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Financial Mathematics Seminars


Jan 13
Organizational meeting
Organizational meeting
Financial Mathematics SeminarTime: 3:05pm
Location: LOV201
Jan 20
Yerkin Kitapbayev (North Carolina State University)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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