Financial Mathematics Seminars
Aug 31 2023
Qi Feng (Florida State University)
Organizational Meeting
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
Organizational Meeting
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
Sep 7 2023
Purba Das (Department of Mathematics, King's College London)
Rough volatility: fact or artefact?
Financial Mathematics SeminarsTime: 3:05
Location: Zoom
Rough volatility: fact or artefact?
Financial Mathematics SeminarsTime: 3:05
Location: Zoom
We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for modeling the volatility of financial assets, using a model-free approach. We intro... More
Sep 14 2023
Arash Fahim (Florida State University)
Solving stochastic control problems numerically: a maximum principle approach (I)
Financial Mathematics Seminars Time: 3:05
Location: LOV 0231
Solving stochastic control problems numerically: a maximum principle approach (I)
Financial Mathematics Seminars Time: 3:05
Location: LOV 0231
In this talk, we provide a review of numerical methods for stochastic control problems and the proposed numerical solutions with emphasis on Hamilton-Jacobi-Bellman (HJB) equations. Then, we present m... More
Sep 21 2023
Arash Fahim (Florida State University)
Solving stochastic control problems numerically: a maximum principle approach (II)
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
Solving stochastic control problems numerically: a maximum principle approach (II)
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
In this talk, we provide a review of numerical methods for stochastic control problems and the proposed numerical solutions with emphasis on Hamilton-Jacobi-Bellman (HJB) equations. Then, we present m... More
Sep 28 2023
Alec Kercheval (Florida State University )
Portfolio Selection via Strategy-Specific Eigenvector Shrinkage
Financial Mathematics SeminarsTime: 3:05
Location: LOV 231
Portfolio Selection via Strategy-Specific Eigenvector Shrinkage
Financial Mathematics SeminarsTime: 3:05
Location: LOV 231
Portfolio managers need to estimate risk for many assets simultaneously with a limited number of useful observations. The standard approach is to do this using factor models, which reduce the number ... More
Oct 5 2023
Bingyan Han (University of Michigan, Ann Arbor)
Fitted value iteration methods for bicausal optimal transport
Financial Mathematics Seminars Time: 3:05
Location: LOV 0231
Fitted value iteration methods for bicausal optimal transport
Financial Mathematics Seminars Time: 3:05
Location: LOV 0231
We develop a fitted value iteration (FVI) method to compute bicausal optimal transport (OT) where couplings have an adapted structure. Based on the dynamic programming formulation, FVI adopts a functi... More
Oct 12 2023
Qi Feng (Florida State University)
Deep Signature Algorithm for Path-Dependent Options
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
Deep Signature Algorithm for Path-Dependent Options
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
This talk will present the deep signature algorithms for solving path-dependent options. We extend the backward scheme in [Huré-Pham-Warin. Mathematics of Computation 89, no. 324 (2020)] for state-de... More
Oct 19 2023
Oct 26 2023
Nov 2 2023
Indranil SenGupta (Florida International University)
An optimal portfolio with jumps- an analysis over finite and small-time horizons
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
An optimal portfolio with jumps- an analysis over finite and small-time horizons
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231
In this presentation, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical analysis suggests that if a significant market fluctuation ("jump... More
Nov 9 2023
Nov 16 2023
Nov 23 2023
Thanksgiving Break (No Classes)
Financial Mathematics SeminarsTime:
No location for this even specified.
Nov 30 2023