### Financial Mathematics Seminars

**Spring 2022**

Jan 13

Organizational meeting

Financial Mathematics SeminarTime: 3:05pm

Location: LOV201

**Organizational meeting**Financial Mathematics SeminarTime: 3:05pm

Location: LOV201

Jan 20

Yerkin Kitapbayev (North Carolina State University)

Financial Mathematics SeminarTime: 3:05pm

Location: zoom

**Optimal capital structure with stochastic variable costs**Financial Mathematics SeminarTime: 3:05pm

Location: zoom

We examine the optimal capital structure of a firm with stochastic revenues, stochastic variable costs, and fixed costs. In this two-state variable setting with stochastic operating leverage, we estab... More

Feb 3

Lingjiong Zhu (FSU)

Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

**Stocking Under Random Demand and Product Variety**Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

Efficient inventory management in the face of product variety is an important part of retail operations management. We analyze the optimal stocking policy for a retailer, in a setup with a single prod... More

Feb 10

Julien Guyon (Bloomberg/Columbia University/New York University)

Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

**Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle**Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

The very high liquidity of S&P 500 (SPX) and VIX derivatives requires that financial institutions price, hedge, and risk-manage their SPX and VIX options portfolios using models that perfectly fit mar... More

Feb 17

Sylvain Carre (Université Paris-Dauphine)

Financial Mathematics SeminarTime: 3:05pm

Location: zoom

**Insider Trading with Penalties**Financial Mathematics SeminarTime: 3:05pm

Location: zoom

We establish existence and uniqueness of equilibrium in a generalized one-period Kyle (1985) model where insider trading can be subject to a penalty cost that is non-decreasing in the trade size.

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Mar 3

Ahmet Göncü (Xi`an Jiaotong-Liverpool University)

Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

**Statistical Arbitrage: A factor investing approach**Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

We introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability dis... More

Mar 10

Ruodu Wang (University of Waterloo)

Financial Mathematics SeminarTime: 2:45pm

Location: Zoom

**Simultaneous optimal transport**Financial Mathematics SeminarTime: 2:45pm

Location: Zoom

We propose a general framework of mass transport between vector-valued measures, which will be called simultaneous mass transport. The new framework is motivated by the need to transport resources of ... More

Mar 24

Moritz Voss (UCLA)

Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

**On Parametric Optimal Execution and Machine Learning Surrogates**Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

We investigate optimal execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed-form rec... More

Mar 31

Vladimir Kobzar (NYU)

Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

**A PDE-Based Analysis of the Symmetric Two-Armed Bernoulli Bandit**Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

The multi-armed bandit is a classic sequential prediction problem. At each round, the predictor (player) selects a probability distribution from a finite collection of distributions (arms) with the go... More

Apr 7

Yuchong Zhang (University of Toronto)

Financial Mathematics SeminarTime: 3:05pm

Location: TBA

**Gradient Flow for Unsupervised Learning**Financial Mathematics SeminarTime: 3:05pm

Location: TBA

Motivated by problems in unsupervised learning, we study gradient flow in the space of probability densities using the notion of linear functional derivative. Gradient flow in this space gives rise to... More

Apr 14

Eunjung Noh (FSU)

Financial Mathematics SeminarTime: 3:05pm

Location: LOV 231

**Activism trading and optimal transport**Financial Mathematics SeminarTime: 3:05pm

Location: LOV 231

Motivated by activism trading, we solve a generalized Kyle's model type problem using the theory of optimal transport and backward stochastic partial differential equations. Our problem can be recast ... More

Apr 21

Ibrahim Ekren (FSU)

Financial Mathematics SeminarTime: 3:05pm

Location: LOV 231

**Imperfect information and optimal transport**Financial Mathematics SeminarTime: 3:05pm

Location: LOV 231

We show that the problem of existence of equilibrium in Kyle's model with imperfect information can be studied by considering a system of forward-bakward equations involving random measures and singul... More