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Financial Mathematics Seminars


Sep 1 2022
Ibrahim Ekren (FSU)
Organizational Meeting
Financial Mathematics SeminarTime: 3:05pm
Location: LOV231
Sep 8 2022
Alec Kercheval (FSU)
The James-Stein estimator for eigenvectors
Financial Mathematics SeminarTime: 3:05pm
Location: LOV231
Portfolio risk forecasts require an estimate of the covariance matrix of asset returns, often for a large number of assets. When only a small number of observations are available, we are in the high-d... More
Sep 15 2022
Stephan Sturm (Worcester Polytechnic Institute)
Cost Efficiency in Incomplete Markets
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom
We study the topic of cost-efficiency in incomplete markets. A portfolio payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum... More
Sep 22 2022
Bose/Zhang (FSU)
PhD Student Talks
Financial Mathematics SeminarTime: 3:05pm
Location: 231
Bose: Backward-looking SABR model for pricing RFR caplets

Abstract: In this talk, we will study the effects of transition from LIBOR to SOFR on interest rate derivatives (caps and floors). I w... More
Sep 29 2022
Duan/Yue (FSU)
Phd Student Talks
Financial Mathematics SeminarTime: 3:05pm
Location: 231
Duan: Implementations on LIBOR Market Model



Abstract: In this talk, we will give a brief introduction to LIBOR Market Model(LMM) and SOFR Market Model frameworks. We will focus on the ... More
Oct 6 2022
Mete Soner (Princeton University)
Synchronization in a Kuramoto Mean Field Game
Financial Mathematics SeminarTime: 3:05pm
Location: LOV 231
Originally motivated by systems of chemical and biological oscillators, the classical Kuramoto model has found an amazing range of applications from neuroscience to Josephson junctions in superconduc... More
Oct 13 2022
Mostowski/Duong (FSU)
TBA
Financial Mathematics SeminarTime: 3:05pm
Location: 231
TBA
Oct 20 2022
Jianjun Zhou (Northwest A&F University)
TBA
Financial Mathematics SeminarTime: 3:05pm
Location: TBA
TBA
Oct 27 2022
Bausback/Vy/Nguyen (FSU)
TBA
Financial Mathematics SeminarTime: 3:05pm
Location: 231
TBA
Nov 3 2022
Thanh/Huang (FSU)
TBA
Financial Mathematics SeminarTime: 3:05pm
Location: 231
TBA
Nov 10 2022
Yu-Jui Huang (University of Colorado Boulder)
TBA
Financial Mathematics SeminarTime: 3:05pm
Location: TBA
Nov 17 2022
Xiaoyu Cheng (FSU)
TBA
Financial Mathematics SeminarTime: 3:05pm
Location: 231
TBA
Dec 1 2022
Xin Zhang (University of Vienna)
TBA
Financial Mathematics SeminarTime: 3:05pm
Location: TBA
TBA