### Financial Mathematics Seminars

**Spring 2019**

Apr 25

Austin

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Apr 18

Arun Kumar Polala

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Apr 11

Jamie Fox

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Apr 4

Ajay

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Mar 28

Alex Shkolnik (UCSB)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**Monte Carlo estimation for multivariate jump-diffusions**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Techniques for the simulation of stochastic differential equations have attracted a significant amount of interest in the Monte Carlo methods and applied probability communities. But, while there have... More

Mar 14

Navid Salehy

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**A Black-Scholes analog through limits of random walks over point processes**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

In continuous-time models in finance, it is common to assume that prices follow a geometric Brownian motion. In this talk, we first discuss how this model can be viewed as the limit of a sequence of R... More

Mar 7

Ibrahim Ekren

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**On the asymptotic optimality of the comb strategies for prediction with expert advice**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

In this talk we study the problem of predicting a sequence of 0's and 1's in the so called expert advice framework initiated by Cover (1965). In this setting, a learner takes decisions against an adve... More

Feb 28

Kangwei Xing

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**An introduction to S topology**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

We look at the sequential topology, named by Adam Jakubowski, on the Skorohod space. Then we will look at the weak S topology who has some stronger properties than the S topology.

Feb 22

1. Dan Pirjol, and 2. Hamed Firouzi (1. JP Morgan, and 2. Goldman Sachs)

1. Tail risk in finance and society, and 2. Data Science in systematic trading and risk management

Math Colloquium and Financial Math Quant SymposiumTime: 3:35 pm

Location: LOV 101

1. Tail risk in finance and society, and 2. Data Science in systematic trading and risk management

Math Colloquium and Financial Math Quant SymposiumTime: 3:35 pm

Location: LOV 101

1. Tail risk estimation is a topic of great interest in finance,

insurance and risk management. Tail risk events are frequently

associated with power law (Pareto) distributions. The talk... More

insurance and risk management. Tail risk events are frequently

associated with power law (Pareto) distributions. The talk... More

Feb 14

Xiaoyu Wang

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**A Hitting Time Analysis of Stochastic Gradient Langevin Dynamics**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

We will explain the paper "A Hitting Time Analysis of Stochastic Gradient Langevin Dynamics" by Zhang et al. We study the Stochastic Gradient Langevin Dynamics (SGLD) algorithm for non-convex optimiza... More

Feb 13

Hubeyb Gurdogan (FSU)

Financial Math ATETime: 2:00 pm

Location: LOV 204B

**Application of Levy Processes to Credit Risk Models**Financial Math ATETime: 2:00 pm

Location: LOV 204B

Feb 7

Lingjiong Zhu

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**Breaking Reversibility Accelerates Langevin Dynamics**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Langevin dynamics (LD) has been proven to be a powerful technique for optimizing a non-convex objective as an efficient algorithm to find local minima while eventually visiting a global minimum on lon... More

Jan 31

Lingjiong Zhu

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Stochastic gradient Hamiltonian Monte Carlo (SGHMC) is a variant of stochastic gradient with momentum where a controlled and properly scaled Gaussian noise is added to the stochastic gradients to stee... More

Jan 17

**Organizational Meeting**

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201