FSUMATH

Financial Mathematics Seminars


Apr 25
Austin

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 18
Arun Kumar Polala

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 11
Jamie Fox

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 4
Ajay

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Mar 28
Alex Shkolnik (UCSB)
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 7
Ibrahim Ekren

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Feb 28
Kangwei Xing

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
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 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
Feb 14
Xiaoyu Wang
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)
Application of Levy Processes to Credit Risk Models
Financial Math ATETime: 2:00 pm
Location: LOV 204B
Feb 7
Lingjiong Zhu
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
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