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Today:
Analysis & PDE
Time: 2:30-3:30 Room: 104 LOV

Entries for this week: 7
Monday February 18, 2019

Analysis & PDE
Time: 2:30-3:30 Room: 104 LOV
Wednesday February 20, 2019

Departmental Tea Time
C is for cookie, and shorthand for C[0,1] w/the sup norm
Time: 3: Room: 204 LOV
Biomathematics Seminar
    - Carolyn Eady, FSU
Time: 3:35 pm Room: LOV 200
Biomathematics Journals
A Vaccination Model for Transmission Dynamics of Influenza
    - Angie Davenport,
Time: 5:00 Room: Dirac Library
Friday February 22, 2019

Colloquium Tea
Time: 3:00 pm Room: 204 LOV
Math Colloquium and Quant Symposium [url]
TBA
    - TBA,
Time: 3:35pm Room: LOV 101
Math Colloquium and Financial Math Quant Symposium [url]
1. Tail risk in finance and society, and 2. Data Science in systematic trading and risk management
    - 1. Dan Pirjol, and 2. Hamed Firouzi, 1. JP Morgan, and 2. Goldman Sachs
Time: 3:35 pm Room: LOV 101
More Information
Abstract/Desc: 1. Tail risk estimation is a topic of great interest in finance, insurance and risk management. Tail risk events are frequently associated with power law (Pareto) distributions. The talk reviews several proposed stochastic models which can generate power law distributions. One important class of such models is based on linear stochastic recursions. The class of GARCH models is of this type. As an application we present a criterion for tail risk monotonicity in GARCH(1,1) under temporal aggregation. 2. Applications of statistical modeling and machine learning in finance with a focus on algorithmic trading and quantitative risk management will be discussed. Additional connections to the evolving cryptocurrency market will be explored. I also address some of the necessary skills for a successful career in this space.

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