# Mathematical Finance and Stochastic Analysis Seminar

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

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
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
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
TBA
Tue.
Oct 29
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
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
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 subspace. Further... read more
Tue.
Nov 19

## Mathematical Finance and Stochastic Analysis Seminar Archive

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
Kevin Webster - Citadel LLC
Sep 17, 2019 - 11:25am to 12:30pm
College of Science, Applied Mathematics - Seminar - TBD
We study two new applications of the Obizhaeva and Wang model using a new, simplified proof method. The first application covers the delta hedging of options in the presence of transient price impact. The second application solves the mean field game arising from the model.
Tue.
Sep 17
Oleksii Mostovyi - Department of Mathematics, University of Connecticut
Sep 10, 2019 - 11:25am to 12:30pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 119
We consider a problem of optimal consumption from investment and labor income in an incomplete semimartingale market. We introduce a set of constraint times, i.e., a set of stopping times, at which the wealth process must stay positive, in a unifying way such that borrowing against the future... read more
Tue.
Sep 10
Randolf Altmeyer - Institut für Mathematik, Humboldt-Universität zu Berlin
Aug 20, 2019 - 11:25am to 12:30pm
College of Science, Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 119
We study the problem of nonparametric estimation in a linear second order stochastic partial differential equation (SPDE). For this a new observation scheme is introduced: The solution is observed continuously in time, but spatially localised with respect to a test function. This... read more
Tue.
Aug 20
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
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
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