FSUMATH

Financial Mathematics Seminars


Apr 15
Song Yao (University of Pittsburgh)
Optimal Stopping with Expectation Constraints
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with e... More
Apr 8
Kasper Larsen (Rutgers University)
Asset-pricing puzzles and price-impact
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
We solve in closed-form a continuous-time Nash equilibrium model in which a finite number of investors with exponential utilities continuously consume and trade strategically with price-impact. Compar... More
Apr 1
Hubeyb Gurdogan (FSU)
Multi-Anchor Point Shrinkage for Better Betas
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
The GPS (Goldberg, Papanicolaou, Shkolnik) method shrinks the leading eigenvector of the sample covariance matrix towards the vector of all 1’s by a data driven amount in the low sample-high dimensi... More
Mar 25
Nicolás Hernández-Santibanez (Universidad de Chile)
Principal-Agent model in insurance: from discrete to continuous-time
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
In this talk we present a contracting problem between anvinsurance buyer and the seller, subject to prevention efforts in thevform of self-insurance and self-protection. We start with a static formula... More
Mar 18
David Proemel (University of Mannheim)
Martingale Optimal Transport in Robust Finance
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
In the analysis of the financial crises 2008, risk caused by financial modelling was identified as one of the main challenges. In order to reduce the model risk, we discuss an economically justified a... More
Mar 11
Cagin Ararat (Bilkent University)
Set-valued martingales and backward stochastic differential equations
Financial Mathematics SeminarTime: 12:05pm
Location: fsu.zoom.us/j/97820191506
Motivated by the connection between univariate dynamic risk measures and backward stochastic differential equations, we start building a theory for set-valued backward stochastic differential equation... More
Mar 4
Ludovic Tangpi (Princeton University)
Maximum principle for stochastic control of SDEs with measurable drifts
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
Consider the stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. In this talk, we will present a necessary and sufficient stochastic max... More
Feb 25
Qingshuo Song (WPI)
Gradient estimate of HJB and its applications in Graphon Mean Field Game
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
The Graphon Mean Field Game equations consist of a collection of parameterized Hamilton-Jacobi-Bellman equations, and a collection of parameterized Fokker-Planck-Kolmogorov equations coupled through a... More
Feb 18
Shreya Bose (FSU)
Kyle-Back models with a risk aversion and non-Gaussian beliefs
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
In this talk, we show that the existence of equilibrium in the Kyle-Back models can be characterized by considering a system of forward Fokker-Planck equation and a system of backward quasilinear para... More
Feb 11
Max Reppen (Boston University)
Mean Field Games Model for Cryptocurrency Mining
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
We propose a mean field game model to study the question of how centralization of reward and computational power occur in the Bitcoin-like cryptocurrencies. Miners compete against each other for mini... More
Feb 4
Thibaut Mastrolia (Ecole Polytechnique)
Auction market design: a price formation viewpoint
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
We model sequential auctions in financial markets during a given time period receiving orders of market participants. A clearing price of the auction is determined as the price maximizing the exchange... More
Jan 28
Jinniao Qiu (University of Calgary )
Stochastic Black-Scholes Equation under Rough Volatility and Approximations via Deep Learning
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
Rough volatility is a new paradigm in finance. We shall talk about the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option... More
Jan 21
Alex Shkolnik (UCSB)
Analytical Solutions to the Constrained Markowitz Problem via Fixed Point Theory
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
Harry Markowitz transformed finance by framing the portfolio construction as a trade-off between the mean and variance of return. The classic Markowitz problem, as solved by every investor in the Capi... More
Jan 14
Sergey Nadtochiy (Illinois Institute of Technology)
Reflected BSDEs in non-convex domains
Financial Mathematics SeminarTime: 3:05pm
Location: fsu.zoom.us/j/97820191506
Backward stochastic differential equations (BSDEs) are probabilistic analogues of semi-linear partial differential equations (PDEs). In particular, BSDEs are used to describe the solutions of stochast... More