### Financial Mathematics Seminars

Aug 31 2023

Qi Feng (Florida State University)

Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

**Organizational Meeting**Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

Sep 7 2023

Purba Das (Department of Mathematics, King's College London)

Rough volatility: fact or artefact?

Financial Mathematics SeminarsTime: 3:05

Location: Zoom

Rough volatility: fact or artefact?

Financial Mathematics SeminarsTime: 3:05

Location: Zoom

We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for modeling the volatility of financial assets, using a model-free approach. We intro... More

Sep 14 2023

Arash Fahim (Florida State University)

Solving stochastic control problems numerically: a maximum principle approach (I)

Financial Mathematics Seminars Time: 3:05

Location: LOV 0231

Solving stochastic control problems numerically: a maximum principle approach (I)

Financial Mathematics Seminars Time: 3:05

Location: LOV 0231

In this talk, we provide a review of numerical methods for stochastic control problems and the proposed numerical solutions with emphasis on Hamilton-Jacobi-Bellman (HJB) equations. Then, we present m... More

Sep 21 2023

Arash Fahim (Florida State University)

Solving stochastic control problems numerically: a maximum principle approach (II)

Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

Solving stochastic control problems numerically: a maximum principle approach (II)

Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

In this talk, we provide a review of numerical methods for stochastic control problems and the proposed numerical solutions with emphasis on Hamilton-Jacobi-Bellman (HJB) equations. Then, we present m... More

Sep 28 2023

Alec Kercheval (Florida State University )

Financial Mathematics SeminarsTime: 3:05

Location: LOV 231

**Portfolio Selection via Strategy-Specific Eigenvector Shrinkage**Financial Mathematics SeminarsTime: 3:05

Location: LOV 231

Portfolio managers need to estimate risk for many assets simultaneously with a limited number of useful observations. The standard approach is to do this using factor models, which reduce the number ... More

Oct 5 2023

Bingyan Han (University of Michigan, Ann Arbor)

Fitted value iteration methods for bicausal optimal transport

Financial Mathematics Seminars Time: 3:05

Location: LOV 0231

Fitted value iteration methods for bicausal optimal transport

Financial Mathematics Seminars Time: 3:05

Location: LOV 0231

We develop a fitted value iteration (FVI) method to compute bicausal optimal transport (OT) where couplings have an adapted structure. Based on the dynamic programming formulation, FVI adopts a functi... More

Oct 12 2023

Qi Feng (Florida State University)

Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

**Deep Signature Algorithm for Path-Dependent Options**Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

This talk will present the deep signature algorithms for solving path-dependent options. We extend the backward scheme in [Huré-Pham-Warin. Mathematics of Computation 89, no. 324 (2020)] for state-de... More

Oct 19 2023

Oct 26 2023

Nov 2 2023

Indranil SenGupta (Florida International University)

Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

**An optimal portfolio with jumps- an analysis over finite and small-time horizons**Financial Mathematics SeminarsTime: 3:05

Location: LOV 0231

In this presentation, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical analysis suggests that if a significant market fluctuation ("jump... More

Nov 9 2023

Nov 16 2023

Nov 23 2023

**Thanksgiving Break (No Classes)**

Financial Mathematics SeminarsTime:

No location for this even specified.

Nov 30 2023