### Financial Mathematics Seminars

Sep 1 2022

Sep 8 2022

Alec Kercheval (FSU)

Financial Mathematics SeminarTime: 3:05pm

Location: LOV231

**The James-Stein estimator for eigenvectors**Financial Mathematics SeminarTime: 3:05pm

Location: LOV231

Portfolio risk forecasts require an estimate of the covariance matrix of asset returns, often for a large number of assets. When only a small number of observations are available, we are in the high-d... More

Sep 15 2022

Stephan Sturm (Worcester Polytechnic Institute)

Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

**Cost Efficiency in Incomplete Markets**Financial Mathematics SeminarTime: 3:05pm

Location: Zoom

We study the topic of cost-efficiency in incomplete markets. A portfolio payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum... More

Sep 22 2022

Bose/Zhang (FSU)

Financial Mathematics SeminarTime: 3:05pm

Location: 231

**PhD Student Talks**Financial Mathematics SeminarTime: 3:05pm

Location: 231

Bose: Backward-looking SABR model for pricing RFR caplets

Abstract: In this talk, we will study the effects of transition from LIBOR to SOFR on interest rate derivatives (caps and floors). I w... More

Abstract: In this talk, we will study the effects of transition from LIBOR to SOFR on interest rate derivatives (caps and floors). I w... More

Sep 29 2022

Duan/Yue (FSU)

Financial Mathematics SeminarTime: 3:05pm

Location: 231

**Phd Student Talks**Financial Mathematics SeminarTime: 3:05pm

Location: 231

Duan: Implementations on LIBOR Market Model

Abstract: In this talk, we will give a brief introduction to LIBOR Market Model(LMM) and SOFR Market Model frameworks. We will focus on the ... More

Abstract: In this talk, we will give a brief introduction to LIBOR Market Model(LMM) and SOFR Market Model frameworks. We will focus on the ... More

Oct 6 2022

Mete Soner (Princeton University)

Financial Mathematics SeminarTime: 3:05pm

Location: LOV 231

**Synchronization in a Kuramoto Mean Field Game**Financial Mathematics SeminarTime: 3:05pm

Location: LOV 231

Originally motivated by systems of chemical and biological oscillators, the classical Kuramoto model has found an amazing range of applications from neuroscience to Josephson junctions in superconduc... More

Oct 13 2022

Oct 20 2022

Oct 27 2022

Nov 3 2022

Nov 10 2022

Yu-Jui Huang (University of Colorado Boulder)

Financial Mathematics SeminarTime: 3:05pm

Location: TBA

**TBA**Financial Mathematics SeminarTime: 3:05pm

Location: TBA

Nov 17 2022

Dec 1 2022