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Financial Mathematics Seminars


Sep 9
Daniel Bartl (University of Vienna)
Monte-Carlo methods in convex stochastic optimization
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom
We develop a novel procedure for estimating the optimizer of general convex stochastic optimization problems from an iid sample. This procedure is the first one that exhibits the optimal statistical p... More
Sep 16
Lingjiong Zhu (FSU)
The Heavy-Tail Phenomenon in SGD
Financial Mathematics SeminarTime: 3:05pm
Location: 201
In recent years, various notions of capacity and complexity have been proposed for characterizing the generalization properties of stochastic gradient descent (SGD) in deep learning. Some of the popul... More
Sep 23
Hubeyb Gurdogan (FSU)
Multi Anchor Point Shrinkage for the Covariance Matrix Estimation
Financial Mathematics SeminarTime: 3:05pm
Location: 201
Estimation of the covariance of a high-dimensional returns vector is well-known by practitioners to be impeded by the lack of long data history. We extend the work of Goldberg, Papanicolaou, and Shkol... More
Sep 30
Hui Sun (FSU)
Analysis on stochastic neural network through stochastic maximum principle
Financial Mathematics SeminarTime: 3:05pm
Location: 201
A novel algorithm for solving stochastic control problems is constructed by combining the SGD technique and the stochastic maximum principle. Under the strong convexity assumption, a rigorous analytic... More
Oct 7
Zezhong Zhang (FSU)
Nonlinear filtering with GMM
Financial Mathematics SeminarTime: 3:05pm
Location: 201
In this work, we developed a Gaussian Mixture Model (GMM) algorithm to implement the recursive Bayesian filter for nonlinear filtering problem. In the prediction step, we use GMM to approximate the so... More
Oct 8
Hubeyb Gurdogan (FSU)
Eigenvector Shrinkage for Estimating Covariance Matrices
Dissertation DefenseTime: 1:20pm
Location: LOV 204A
Portfolio managers faced with limited sample sizes must use factor models to estimate the covariance matrix of a high-dimensional returns vector. For the simplest one-factor market model, success rest... More
Oct 14
Shreya Bose (FSU)
Multidimensional Kyle-Back model with a risk averse informed trader
Financial Mathematics SeminarTime: 3:05pm
Location: 201
The objective of this paper is to prove the existence of equilibrium in Kyle’s model with multiple assets. We begin with the single stock version of the Kyle-Back model where the informed trader is ... More
Oct 21
Brad Mostowski (FSU)
Stochastic Volatility in the Kyle-Back Model
Financial Mathematics SeminarTime: 3:05pm
Location: 201
In this talk we generalize the Kyle-Back model for insider trading by allowing the volatility to vary stochastically over time. To motivate this extension, we review the case where volatility is deter... More
Oct 28
Eunjung Noh (FSU)
Price impact equilibrium with transaction costs and TWAP trading
Financial Mathematics SeminarTime: 3:05pm
Location: 201
In this talk, I will discuss an equilibrium model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and tr... More
Nov 4
Asaf Cohen (University of Michigan)
TBD
Financial Mathematics SeminarTime: 3:05pm
No location for this even specified.
TBD
Nov 18
Bahman Angoshtari (University of Miami)
TBD
Financial Mathematics SeminarTime: 3:05pm
Location: LOV 0201
TBD
Dec 2
Martin Herdegen (University of Warwick)
TBD
Financial Mathematics SeminarTime: 3:05pm
No location for this even specified.
TBD