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Mathematical Finance and Stochastic Analysis Seminar

The activity focuses on Ph.D students presenting their research and discussing related research papers.

Hyun-Jung Kim - Department of Applied Mathematics, Illinois Institute of Technology
Apr 23, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
In this talk, statistical properties of stochastic evolution equations driven by space-only noise, either additive or multiplicative, are discussed. The structure of the observations coming from these equations leads to an interesting interplay between classical and non-traditional statistical... read more
Tue.
Apr 23
Sergey Nadtochiy - Department of Applied Mathematics, Illinois Institute of Technology
Apr 30, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
TBA
Tue.
Apr 30

Mathematical Finance and Stochastic Analysis Seminar Archive

Jaksa Cvitanic - Division of The Humanities and Social Sciences, California Institute of Technology
Apr 16, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the beliefs of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be explicitly constructed from the solution to a calculus of... read more
Tue.
Apr 16
Igor Cialenco - Department of Applied Mathematics, Illinois Institute of Technology
Apr 9, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
TBA
Tue.
Apr 9
Zachary Feinstein - McKelvey School of Engineering, Washington University in St. Louis
Apr 2, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
TBA
Tue.
Apr 2
Mikhail Urusov - Department of Mathematics, University of Duisburg-Essen
Mar 26, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
We discuss the convergence rates in every p-th Wasserstein distance of the EMCEL and related algorithms. For time marginals, we get the rate of 1/4; on the path space, any rate strictly smaller than 1/4. These rates apply also in irregular situations such as, e.g., an SDE with irregular... read more
Tue.
Mar 26
Andreas Sojmark - Mathematical Institute, University of Oxford
Mar 25, 2019 - 3:30pm to 4:30pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 119
In this talk I will present a mean-field model of `systemic risk' in large financial markets, seeking to capture simple notions of herding, common exposures, and default contagion. The mean-field limit (modelling the macroscopic health of the financial system) is described by a nonlinear SPDE on... read more
Mon.
Mar 25
Sergey Nadtochiy - Department of Applied Mathematics, Illinois Institute of Technology
Mar 12, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
TBA
Tue.
Mar 12
Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Feb 26, 2019 - 11:25am to 12:40pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
We present a general method for interpreting a fitted neural network which ranks the importance of predictors and their interaction effects, without assuming a data generation process. This method computes the importances and interaction effects from the Jacobian and Hessian matrix of a composition... read more
Tue.
Feb 26
Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Feb 19, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a multi-Gaussian process regression approach, which is well suited for OTC derivative portfolio valuation... read more
Tue.
Feb 19
Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Feb 12, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a multi-Gaussian process regression approach, which is well suited for OTC derivative portfolio valuation... read more
Tue.
Feb 12
Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Feb 5, 2019 - 11:25am to 12:45pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a multi-Gaussian process regression approach, which is well suited for OTC derivative portfolio valuation... read more
Tue.
Feb 5

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