### Financial Mathematics Seminars

**Spring 2018**

Apr 30

Arun Polala (FSU)

Doctoral Candidacy ExamTime: 3:00-4:00

Location: 204B

**Unbiased estimation for stochastic differential equation models and applications in finance**Doctoral Candidacy ExamTime: 3:00-4:00

Location: 204B

Apr 12

Seyyed Navid Salehy (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**New scaled random walks changing position at random times, their limits, and their properties**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

We define a new type of scaled random walks which are allowed to change position at random times. The properties of these random walks will be presented. We will also investigate their limits and disc... More

Mar 29

Arun Kumar Polala (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**Unbiased Estimation For Stochastic Differential Equation Models**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

In many Stochastic Differential Equation (SDE) models, it is not always possible to generate the random variable exactly for which an expectation is to be computed. In that case, we need to discretize... More

Mar 22

Jamie Fox (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**Multilevel Monte Carlo with Good Brownian Path Generation Methods**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Over the last 10 years, multilevel Monte Carlo methods have become an increasingly popular area of research, especially with regard to applications in financial mathematics. Multilevel Monte Carlo met... More

Mar 1

Lingjiong Zhu (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**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

**A review of principal-agent problem**Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

The principal-agent problem is a mathematical framework for the moral hazards problem. While the discrete-time problem has been extensively

studied, the continuous-time problem is only been sol... More

studied, the continuous-time problem is only been sol... More

Feb 16

Manan Shah (FSU '08) (SimpleReach)

Colloquium and Quant SymposiumTime: 4:45pm

Location: LOV 101

**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)

Colloquium and Quant SymposiumTime: 3:35pm

Location: LOV 101

**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)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**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)

Financial Math Candidacy ExamTime: 2:30

Location: LOV 204B

**Machine Learning and the Limit Order Book**Financial Math Candidacy ExamTime: 2:30

Location: LOV 204B

Jan 25

Ibrahim Ekren (University of Michigan)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

**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)

Financial Math SeminarTime: 4:35pm

Location: TBA

**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

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)

Financial Mathematics SeminarTime: 4:35pm

Location: Lov 201

**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

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