FSUMATH

Financial Mathematics Seminars


Apr 25
Austin

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 18
Arun Kumar Polala

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 11
Jamie Fox

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Apr 4
Ajay

Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Mar 28
Alex Shkolnik (UCSB)
Monte Carlo estimation for multivariate jump-diffusions
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Techniques for the simulation of stochastic differential equations have attracted a significant amount of interest in the Monte Carlo methods and applied probability communities. But, while there have... More
Mar 14
Navid Salehy
A Black-Scholes analog through limits of random walks over point processes
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
In continuous-time models in finance, it is common to assume that prices follow a geometric Brownian motion. In this talk, we first discuss how this model can be viewed as the limit of a sequence of R... More
Mar 7
Ibrahim Ekren
On the asymptotic optimality of the comb strategies for prediction with expert advice
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
In this talk we study the problem of predicting a sequence of 0's and 1's in the so called expert advice framework initiated by Cover (1965). In this setting, a learner takes decisions against an adve... More
Feb 28
Kangwei Xing
An introduction to S topology
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
We look at the sequential topology, named by Adam Jakubowski, on the Skorohod space. Then we will look at the weak S topology who has some stronger properties than the S topology.
Feb 22
1. Dan Pirjol, and 2. Hamed Firouzi (1. JP Morgan, and 2. Goldman Sachs)
1. Tail risk in finance and society, and 2. Data Science in systematic trading and risk management
Math Colloquium and Financial Math Quant SymposiumTime: 3:35 pm
Location: LOV 101
1. Tail risk estimation is a topic of great interest in finance,

insurance and risk management. Tail risk events are frequently

associated with power law (Pareto) distributions. The talk... More
Feb 14
Xiaoyu Wang
A Hitting Time Analysis of Stochastic Gradient Langevin Dynamics
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
We will explain the paper "A Hitting Time Analysis of Stochastic Gradient Langevin Dynamics" by Zhang et al. We study the Stochastic Gradient Langevin Dynamics (SGLD) algorithm for non-convex optimiza... More
Feb 13
Hubeyb Gurdogan (FSU)
Application of Levy Processes to Credit Risk Models
Financial Math ATETime: 2:00 pm
Location: LOV 204B
Feb 7
Lingjiong Zhu
Breaking Reversibility Accelerates Langevin Dynamics
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Langevin dynamics (LD) has been proven to be a powerful technique for optimizing a non-convex objective as an efficient algorithm to find local minima while eventually visiting a global minimum on lon... More
Jan 31
Lingjiong Zhu
Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201
Stochastic gradient Hamiltonian Monte Carlo (SGHMC) is a variant of stochastic gradient with momentum where a controlled and properly scaled Gaussian noise is added to the stochastic gradients to stee... More
Jan 17

Organizational Meeting
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201