# Mathematical Finance and Stochastic Analysis Seminar

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

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## Mathematical Finance and Stochastic Analysis Seminar Archive

Konstantin Makarychev, Associate Professor, Department of Computer Science, Northwestern University
Nov 19, 2019 - 11:25am to 12:30pm
Applied Mathematics - Seminar - RE 119
We investigate dimensionality reduction for Euclidean $$k$$-means and $$k$$-medians clustering. We show that the cost of the optimal solution for $$k$$-means and $$k$$-medians is preserved up to a factor of  $$(1+\varepsilon)$$ under a projection onto a random  $$\log k$$dimensional... read more
Tue.
Nov 19
Albina Danilova, Visiting Associate Professor, Questrom School of Business, Boston University
Nov 12, 2019 - 11:25am to 12:30pm
College of Science, Applied Mathematics - Seminar - RE 119
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones.  In this talk I will show that,  for a large class of pricing rules used in current literature, the value... read more
Tue.
Nov 12
Mark Cerenzia, Dickson Instructor, Department of Mathematics, University of Chicago
Nov 5, 2019 - 11:25am to 12:30pm
Applied Mathematics - Seminar - RE 119
Random matrix statistics emerge in a broad class of strongly correlated systems, with evidence suggesting they can play a universal role comparable to the one Gaussian and Poisson distributions do classically. Indeed, studies have identified these statistics among heavy nucleii, Riemann zeta zeros... read more
Tue.
Nov 5
Andrew Papanicolau - Tandon School of Engineering, New York University
Oct 29, 2019 - 11:25am to 12:30pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 119
Principal component analysis (PCA) is a useful tool when trying to uncover factor models from historical asset returns. For the implied volatilities of U.S. equities, there is a PCA-based model with a so-called principal eigenportfolio whose returns time series lies close to that of an overarching... read more
Tue.
Oct 29
Xiling Zhang, Postdoc, Department of Applied Mathematics, Illinois Institute of Technology
Oct 22, 2019 - 11:25am to 12:30pm
Applied Mathematics - Seminar - RE 119
This project aims at finding a good approximation for the distribution of the iterated stochastic integrals of length 3. Iterated integrals are the building blocks for constructing higher-order numerical approximations for SDEs, especially the degenerate ones, and yet they are particularly hard (... read more
Tue.
Oct 22
Jaksa Cvitanic - Division of The Humanities and Social Sciences, California Institute of Technology
Oct 15, 2019 - 11:25am to 12:30pm
College of Science, Applied Mathematics - Seminar - RE 119
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.
Oct 15
Jianfeng Zhang, Professor, Department of Mathematics, University of Southern California
Oct 10, 2019 - 11:25am to 12:30pm
College of Science, Applied Mathematics - Seminar - RE 119
In this talk we consider master equations arising from mean field game problems, under the Lasry-Lions monotonicity condition. Classical solutions of such equations typically require very strong technical conditions. Moreover, unlike the equations arising from mean field control problems, the mean... read more
Thu.
Oct 10
Michail Anthropelos - Department of Banking and Financial Management, University of Piraeus
Sep 23, 2019 - 3:30pm to 4:30pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 119
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules and demand schedules for contingent claims. For... read more
Mon.
Sep 23