### Financial Mathematics Seminars

**Spring 2021**

Apr 15

Song Yao (University of Pittsburgh)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 12:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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 )

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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)

Financial Mathematics SeminarTime: 3:05pm

Location: fsu.zoom.us/j/97820191506

**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