FSUMATH

Financial Mathematics Seminars


Apr 26
Heting Yan (FSU)

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 19
Seyyed Navid Salehy (FSU)

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 12
Seyyed Navid Salehy (FSU)

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Mar 29
Arun Kumar Polala (FSU)

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Mar 22
Jamie Fox (FSU)

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Mar 1
Lingjiong Zhu (FSU)
Limit theorems and applications for Markovian Hawkes processes with a large initial intensity
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Hawkes process is a simple point process with stochastic intensity depending on its entire past history. The self-exciting and clustering effect makes it appealing in financial modeling. In this talk,... More
Feb 22
Arash Fahim (FSU)

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Feb 16
Manan Shah (FSU '08) (SimpleReach)
A Random Walk from Finance to Content Marketing Analytics
Colloquium and Quant SymposiumTime: 4:45pm
Location: LOV 101
What do quantitative careers in Finance, Gaming, and Content Marketing Analytics have in common? In this talk, we'll survey some existing challenges in these industries and some approaches to finding ... More
Feb 16
Jay Webb (FSU '93) (Copperwood Energy Fund)
Th US Natural Gas Market
Colloquium and Quant SymposiumTime: 3:35pm
Location: LOV 101
In this talk, we will consider the production, processing and transportation of natural gas, along with the extraordinarily important role of natural gas storage. We will also discuss components of na... More
Feb 8
Lingjiong Zhu (FSU)
Optimal Unbiased Estimation for Expected Cumulative Cost
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
We consider estimating an expected infinite-horizon cumulative cost/reward contingent on an underlying stochastic process by Monte Carlo simulation. An unbiased estimator based on truncating the cumul... More
Feb 1

Organizational Meeting
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Jan 31
Heting Yan (FSU)
Machine Learning and the Limit Order Book
Financial Math Candidacy ExamTime: 2:30
Location: LOV 204B
Jan 25
Ibrahim Ekren (University of Michigan)
Multidimensional utility maximization with small nonlinear price impact
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
In this talk we discuss the multidimensional utility maximisation problem with small nonlinear price impact. Using homogenisation techniques, we obtain a first order expansion of the utility function ... More
Jan 23
Hongzhong Zhang (Columbia University)
Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative Lévy Models
Financial Math SeminarTime: 4:35pm
Location: TBA
Neofytos Rodosthenous, Hongzhong Zhang

We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-hor... More
Jan 18
Andrey Sarantsev (UC Santa Barbara)
Dynamic Contagion In A Banking System With Births And Defaults
Financial Mathematics SeminarTime: 4:35pm
Location: Lov 201
We consider a model of a banking system, with capitals of banks modeled as stochastic processes. New banks can emerge at random moments, and banks can

also default at random times, with contagi... More