### Financial Mathematics Seminars

**Spring 2018**

Apr 26

Heting Yan (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Apr 19

Seyyed Navid Salehy (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Apr 12

Seyyed Navid Salehy (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Mar 29

Arun Kumar Polala (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Mar 22

Jamie Fox (FSU)

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

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

Financial Mathematics SeminarTime: 3:35pm

Location: Lov 201

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