FSUMATH

Financial Mathematics Seminars


Apr 16
Maxim Bichuch (Johns Hopkins University)
TBA
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
TBA
Apr 9
Hubeyb Gurdogan (Florida State University )
TBA
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
TBA
Apr 2
Jamie Fox (Florida State University )
TBA
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
TBA
Mar 26
Ibrahim Ekren (Florida State University )
TBA
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
TBA
Mar 12
Ibrahim Ekren (Florida State University )
A general solution technique for insider problems using optimal transport
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
In this talk, we present a flexible technique to solve a continuous-time multi-asset/multioption Kyle’s model under general assumptions, including on the (possibly time-varying)

distribution ... More
Feb 27
Tomasz Bielecki (Illinois Institute of Technology)
A Dynamic Model of CCP Risk
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
We introduce a dynamic model of default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearin... More
Feb 20
Lingjiong Zhu (Florida State University )
Delivering Multi-Specialty Care via Online Telemedicine Platforms
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
The online telemedicine platforms represent a rapidly growing segment of healthcare delivery markets. In this paper, we develop a model of telemedicine platform operations that focuses on managing mul... More
Feb 13
Arash Fahim (Florida State University )
Sensitivity analysis for principle agent problem with switching controls
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
To fulfill the interest of economics community, it is important to establish sensitivity analysis for the stochastic control problems we solve. In the case of principal-agent problem, we benefit from... More
Feb 11
Heting Yan (FSU)
Deep learning for limit order book trading and mid-price movement prediction
Dissertation DefenseTime: 2:00pm
Location: 204B
Jan 30
Alec Kercheval (Florida State University )
Random walks and self-excited Black-Scholes models for option pricing
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201
The Black-Scholes option pricing model is well known to be a limit of binomial tree models. What happens if the branching times of the binomial tree are given by a random point process, such as the s... More