### Financial Mathematics Seminars

Jan 18 2024

**Organizational Meeting**

Financial Math SeminarTime: 3:05pm

Location: Lov 231

Feb 1 2024

Lingjiong Zhu (Florida State University)

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)

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)

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)

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)

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)

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)

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)

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)

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)

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)

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)

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)

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