Financial Mathematics Seminars
Jan 18 2024
Organizational Meeting
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Feb 1 2024
Lingjiong Zhu (Florida State University)
Uniform-in-Time Wasserstein Stability Bounds for (Noisy) Stochastic Gradient Descent
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Uniform-in-Time Wasserstein Stability Bounds for (Noisy) Stochastic Gradient Descent
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Algorithmic stability is an important notion that has proven powerful for deriving generalization bounds for practical algorithms. The last decade has witnessed an increasing number of stability bound... More
Feb 8 2024
Zecheng Zhang (Florida State University)
Data-Driven Algorithms for PDE: Single and Multiple Operator Learning
Financial Math SeminarTime: 4:30pm
Location: Lov 106
Data-Driven Algorithms for PDE: Single and Multiple Operator Learning
Financial Math SeminarTime: 4:30pm
Location: Lov 106
We will delve into multiple facets of operator learning for PDE. Specifically, I will address some of the key challenges in operator learning, including discretization invariance that the network rema... More
Feb 16 2024
Ololade Sowunmi (FSU)
Estimating the covariance matrix in the high dimensional, low sample size regime
Financial Math PhD Candidacy ExamTime: 1:00
Location: LOV 204A
Estimating the covariance matrix in the high dimensional, low sample size regime
Financial Math PhD Candidacy ExamTime: 1:00
Location: LOV 204A
The Markowitz Mean-Variance Optimization problem aims to provide an optimal portfolio with
minimum risk, but the most important parameter in the problem (the covariance
matrix) has to be... More
minimum risk, but the most important parameter in the problem (the covariance
matrix) has to be... More
Feb 22 2024
Lingjiong Zhu (Florida State University)
Differential Privacy of Noisy (S)GD under Heavy-Tailed Perturbations
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Differential Privacy of Noisy (S)GD under Heavy-Tailed Perturbations
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Injecting heavy-tailed noise to the iterates of stochastic gradient descent (SGD) has received increasing attention over the past few years. While various theoretical properties of the resulting algor... More
Feb 29 2024
Thanh Dang (Florida State University)
Some recent applications of multivariate approximation via Stein's method to computational statistics
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Some recent applications of multivariate approximation via Stein's method to computational statistics
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Stein's method is a collection of techniques for bounding probability distance between two distributions. While Stein's method has been developed for a wide variety of univariate targets, there is muc... More
Mar 7 2024
Zhenyu Cui (Stevens Institute of Technology)
Diffusion Operator Integral Method and Applications to Pricing and Optimal Investment
Financial Math SeminarTime: 3:05pm
Location: Zoom
Diffusion Operator Integral Method and Applications to Pricing and Optimal Investment
Financial Math SeminarTime: 3:05pm
Location: Zoom
In this talk, I shall discuss the diffusion operator integral (DOI) method and its applications in options pricing and solving optimal investment problems. The DOI method is a useful tool to generate ... More
Mar 21 2024
Hengrong Du (Vanderbilt University)
Efficient Solvers for Partial Gromov--Wasserstein
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Efficient Solvers for Partial Gromov--Wasserstein
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Addressing the challenge of comparing unbalanced measures in distinct metric spaces, our work transforms the Partial Gromov-Wasserstein (PGW) problem into a more tractable variant, akin to the Gromov-... More
Mar 26 2024
Xi Geng (University of Melbourne)
Lower estimates for SDEs driven by fractional Brownian motion
Financial Math SeminarTime: 4:05pm
Location: Lov 102
Lower estimates for SDEs driven by fractional Brownian motion
Financial Math SeminarTime: 4:05pm
Location: Lov 102
Stochastic differential equations (SDEs) driven by fractional Brownian motion arise as natural non-Markovian models in financial mathematics. While upper estimates for the distribution of solution hav... More
Mar 28 2024
Giulia Livieri (London School of Economics)
Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis
Time: 3:05pm
Location: Zoom
Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis
Time: 3:05pm
Location: Zoom
Causal operators (CO), such as various solution operators to stochastic differential equations, play a central role in contemporary stochastic analysis; however, there is still no canonical framework ... More
Apr 2 2024
Ruilong Yue (FSU)
The Global Active Subspace Method
Dissertation DefenseTime: 10AM
Location: Love 204 A
The Global Active Subspace Method
Dissertation DefenseTime: 10AM
Location: Love 204 A
We present a new dimension reduction method called the global active subspace (GAS) method, and new global sensitivity indices called global activity scores based on GAS. GAS uses expected values of ... More
Apr 4 2024
Ruoyu Wu (Iowa State University)
Weakly interacting jump processes with graphon interactions
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Weakly interacting jump processes with graphon interactions
Financial Math SeminarTime: 3:05pm
Location: Lov 231
We consider systems of weakly interacting jump processes on heterogeneous random graphs and their large population limit. The interaction is of mean field type weighted by the underlying graphon. A la... More
Apr 11 2024
Song Yao (University of Pittsburgh)
Stochastic Control/Stopping Problem with Expectation Constraints
Financial Math SeminarTime: 3:05pm
Location: Lov 231
Stochastic Control/Stopping Problem with Expectation Constraints
Financial Math SeminarTime: 3:05pm
Location: Lov 231
We study a stochastic control/stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We demonstrate that the stochastic contr... More
Apr 18 2024
Zachary Feinstein (Stevens Institute of Technology)
Hedging the Divergence Loss of the Constant Product Market Maker in Decentralized Finance
Financial Math SeminarTime: 3:05pm
Location: Zoom
Hedging the Divergence Loss of the Constant Product Market Maker in Decentralized Finance
Financial Math SeminarTime: 3:05pm
Location: Zoom
Automated Market Makers (AMMs) are a decentralized approach for creating financial markets by allowing investors to invest in liquidity pools of assets against which traders can transact. Liquidity pr... More