### Financial Mathematics Seminars

**Spring 2020**

Apr 16

Maxim Bichuch (Johns Hopkins University)

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**TBA**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

TBA

Apr 9

Hubeyb Gurdogan (Florida State University )

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**TBA**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

TBA

Apr 2

Jamie Fox (Florida State University )

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**TBA**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

TBA

Mar 26

Ibrahim Ekren (Florida State University )

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**TBA**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

TBA

Mar 12

Ibrahim Ekren (Florida State University )

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**A general solution technique for insider problems using optimal transport**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

In this talk, we present a flexible technique to solve a continuous-time multi-asset/multioption Kyle’s model under general assumptions, including on the (possibly time-varying)

distribution ... More

distribution ... More

Feb 27

Tomasz Bielecki (Illinois Institute of Technology)

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**A Dynamic Model of CCP Risk**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

We introduce a dynamic model of default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearin... More

Feb 20

Lingjiong Zhu (Florida State University )

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**Delivering Multi-Specialty Care via Online Telemedicine Platforms**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

The online telemedicine platforms represent a rapidly growing segment of healthcare delivery markets. In this paper, we develop a model of telemedicine platform operations that focuses on managing mul... More

Feb 13

Arash Fahim (Florida State University )

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**Sensitivity analysis for principle agent problem with switching controls**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

To fulfill the interest of economics community, it is important to establish sensitivity analysis for the stochastic control problems we solve. In the case of principal-agent problem, we benefit from... More

Feb 11

Heting Yan (FSU)

Dissertation DefenseTime: 2:00pm

Location: 204B

**Deep learning for limit order book trading and mid-price movement prediction**Dissertation DefenseTime: 2:00pm

Location: 204B

Jan 30

Alec Kercheval (Florida State University )

Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

**Random walks and self-excited Black-Scholes models for option pricing**Financial Mathematics SeminarTime: 3:35pm-4:25pm

Location: LOV 201

The Black-Scholes option pricing model is well known to be a limit of binomial tree models. What happens if the branching times of the binomial tree are given by a random point process, such as the s... More