Financial Mathematics Seminars

Past Events

Dec 7 2023

Melih Iseri (University of Michigan, Ann Arbor)
Set Values of Mean Field Games
Financial Mathematics SeminarTime: 3:05
Location: ZOOM

In this talk we study mean field games with possibly multiple mean field equilibria. Instead of focusing on the individual equilibria, we propose to study the set of values over all possible equilibri... More

Nov 30 2023

Wei Deng (Morgan Stanley, New York)
Non-convex Bayesian Learning via Stochastic Gradient Markov Chain Monte Carlo
Financial Mathematics SeminarsTime: 3:05
Location: ZOOM

Training modern deep neural networks (DNNs) can be cast as a non-convex Bayesian learning problem. A standard tool to address this challenge is Langevin Monte Carlo, but it can be arbitrarily slow and... More

Nov 23 2023

Thanksgiving Break (No Classes)
Financial Mathematics SeminarsTime:
No location for this even specified.

Nov 16 2023

Ryan Bausback and Changkui Wu (Florida State University )
Deep Operator Networks: Implementation and Applications (Ryan Bausback); A brief survey of optimal execution problem (Changkui Wu)
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231

Deep Operator Networks: Implementation and Applications (Ryan Bausback)

"In the traditional machine learning setting, the goal is to use a neural network 'f' to approximate the "true" function ... More

Nov 9 2023

Lingjiong Zhu (Florida State University)
Langevin Algorithms in Machine Learning
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231

Langevin algorithms are core Markov Chain Monte Carlo methods for solving machine learning problems. These methods arise in several contexts in machine learning and data science including Bayesian (le... More

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

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

Oct 26 2023

Ruth Lopez Fajardo (Florida State University )
From Data to Insights: Permeability values estimation with a Direct Filter
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231

In this presentation we will explore an approach for estimating static parameters in state-space models. To illustrate this approach, our focus is directed to the specific task of estimating permeabil... More

Oct 19 2023

Canceled
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231

Oct 12 2023

Qi Feng (Florida State University)
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 5 2023

Bingyan Han (University of Michigan, Ann Arbor)
Fitted value iteration methods for bicausal optimal transport
Financial Mathematics Seminars Time: 3:05
Location: Zoom

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

Sep 28 2023

Alec Kercheval (Florida State University )
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

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

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 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

Sep 7 2023

Purba Das (Department of Mathematics, King's College London)
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

Aug 31 2023

Qi Feng (Florida State University)
Organizational Meeting
Financial Mathematics SeminarsTime: 3:05
Location: LOV 0231

Apr 27 2023

Igor Cialenco (Illinois Institute of Technology)
Risk Filtering and Risk-Averse Control of Systems with Model Uncertainty
Financial Mathematics SeminarTime: 3:05pm
Location: zoom

We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but its law is unknown to the observer. In addition, whil... More

Apr 20 2023

Liming Feng (University of Illinois at Urbana-Champaign)
Sinc expansion for derivatives applications
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

The Whittaker-Shannon-Kotel′nikov sampling theorem and the Paley-Wiener theorem state that an entire function of exponential type (band-limited function) can be reconstructed exactly from its values... More

Apr 13 2023

Leonard Wong (University of Toronto)
Bregman-Wasserstein divergence
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

Consider the Monge-Kantorovich optimal transport problem where the cost function is given by a Bregman divergence. The associated transport cost, termed the Bregman-Wasserstein divergence here, presen... More

Mar 30 2023

Bruno Strulovici (Northwestern University)
Smoothness of Value Functions in General Control-Stopping Diffusion Problems
Financial Mathematics SeminarTime: 3:05pm
Location: LOV231

We study the properties of value functions in joint optimal control and stopping problems where (i) the state variable may be multi-dimensional, (ii) the domain may be unbounded, and (iii) the primiti... More

Mar 23 2023

Youhong Lee (UCSB)
Regularized Estimators in High Dimensional PCA
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

The idea of regularization that combines a simply structured target with classical estimators is popular in high-dimensional data analysis. We propose a new regularization method and its fast machine ... More

Mar 9 2023

Noh/Huang (FSU)
Postdoc/Talks
Financial Mathematics SeminarTime: 3:05pm
Location: LOV 231

Noh: Solvability of the Gaussian Kyle model with imperfect information and risk aversion

Abstract: We investigate a Kyle model with imperfect information and a risk-averse informed tra... More

Mar 2 2023

Andrea Cosso (Università di Milano)
On mean field control
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

We report on recent works (with Fausto Gozzi, Idris Kharroubi, Huyên Pham, Mauro Rosestolato) on mean field control. In particular, we focus on the law invariance property of the value function. We a... More

Feb 23 2023

Yu-Jui Huang (University of Colorado Boulder)
Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

For a general entropy-regularized stochastic control problem on an infinite horizon, we prove that a policy improvement algorithm (PIA) converges to an optimal relaxed control. Contrary to the standar... More

Feb 16 2023

Christian Keller (UCF)
A new methodology for fully nonlinear second-order partial differential equations
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

Fully nonlinear second-order partial differential equations (PDEs) play an important role in many areas. For example, value functions in stochastic optimal control and option prices in mathematical fi... More

Feb 9 2023

Thanh Dang (FSU)
On convergence of densities of Gaussian functionals to a Gamma density via the Malliavin-Stein method
Financial Mathematics SeminarTime: 3:05pm
Location: LOV231

The now classical Malliavin-Stein method, a combination of Stein's method with Malliavin calculus, has been very successful in deriving quantitative limit theorems for non-linear approximation. One im... More

Jan 26 2023

Ibrahim Ekren (FSU)
Prediction problems and second order equations
Financial Mathematics SeminarTime: 3:05pm
Location: LOV231

TBAWe study the long-time regime of the prediction with expert advice problem in both full information and adversarial bandit feedback setting. We show that with full information, the problem leads to... More

Jan 19 2023

Ibrahim Ekren (FSU)
Organizational Meeting
Financial Mathematics SeminarTime: 3:05pm
Location: LOV 231

Organizational Meeting

Dec 3 2022

Zailei Cheng (Citi)
Introduction to Market Risk
Financial Math Quant SymposiumTime: 9:00am
Location: Lov 101

Market risks are growing due to volatility, securitization and increased trading. In this talk we will introduce the concept of market risk, focusing on value at risk (VaR) measure. VaR is a statistic... More

Dec 3 2022

Yuan Cheng
Market Risk Analytics
Financial Math Quant SymposiumTime: 9:00am
Location: Lov 101

The transition from LIBOR to new alternate risk-free rates will bring considerable challenges for financial institutions in many areas. One typical challenge is how to handle this transition properly ... More

Dec 2 2022

Zhiqiu Li (Wells Fargo)
Counterparty Credit Risk for Risk Participation Swaps
Financial Math Quant SymposiumTime: 4:15pm
Location: Lov 101

A Risk Participation Swap (RPS) is an agreement by which a bank hedges/offsets a portion or all of the credit risk arising from an over-the-counter (OTC) derivatives transaction with one of its counte... More

Dec 1 2022

Xin Zhang (University of Vienna)
Wasserstein space of continuous time filtered processes
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

Researchers from different areas have independently defined extensions of the usual weak topology between laws of stochastic processes. This includes Aldous' extended weak convergence, Hellwig's info... More

Nov 17 2022

Xiaoyu Cheng (FSU)
Ambiguous Persuasion Under Dynamic Consistency
Financial Mathematics SeminarTime: 3:05pm
Location: 231

We explore the extent to which using ambiguous communication in persuasion can be beneficial for the sender when facing a receiver who behaves dynamic-consistently under ambiguity. For a family of dec... More

Nov 10 2022

Yu-Jui Huang (University of Colorado Boulder)
Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

Nov 3 2022

Dang/Huang/Duan (FSU)
Phd Student Talks
Financial Mathematics SeminarTime: 3:05pm
Location: 231

Yue: The Global Active Subspace Method

Abstract: The active subspace (AS) method is a popular dimension reduction method used in problems from sciences and engineering. The method uses... More

Oct 27 2022

Bausback/Vy/Nguyen (FSU)
Phd Student Talks
Financial Mathematics SeminarTime: 3:05pm
Location: 231

Nguyen: Anchored Langevin Dynamics in Sampling and Optimization

Abstract: In this talk, we introduce our newly developed algorithm, the anchored Langevin dynamics. The Langevin dynamic... More

Oct 20 2022

Jianjun Zhou (Northwest A&F University)
Viscosity Solutions to Second Order Elliptic HJB Equation with infinite delay
Financial Mathematics SeminarTime: 10:05pm
Location: Zoom

In this talk, we introduce a notion of viscosity solutions for second order elliptic Hamilton-Jacobi-Bellman (HJB) equations with infinite delay associated with infinite-horizon optimal control probl... More

Oct 13 2022

Mostowski/DuongDuan (FSU)
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 d... More

Oct 6 2022

Mete Soner (Princeton University)
Synchronization in a Kuramoto Mean Field Game
Financial Mathematics SeminarTime: 3:05pm
Location: LOV 101

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

Sep 29 2022

Duan/Yue (FSU)
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

Sep 22 2022

Bose/Zhang (FSU)
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

Sep 15 2022

Stephan Sturm (Worcester Polytechnic Institute)
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 8 2022

Alec Kercheval (FSU)
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 1 2022

Ibrahim Ekren (FSU)
Organizational Meeting
Financial Mathematics SeminarTime: 3:05pm
Location: LOV231

Apr 21 2022

Ibrahim Ekren (FSU)
Imperfect information and optimal transport
Financial Mathematics SeminarTime: 3:05pm
Location: LOV 231

We show that the problem of existence of equilibrium in Kyle's model with imperfect information can be studied by considering a system of forward-bakward equations involving random measures and singul... More

Apr 14 2022

Eunjung Noh (FSU)
Activism trading and optimal transport
Financial Mathematics SeminarTime: 3:05pm
Location: LOV 231

Motivated by activism trading, we solve a generalized Kyle's model type problem using the theory of optimal transport and backward stochastic partial differential equations. Our problem can be recast ... More

Apr 7 2022

Yuchong Zhang (University of Toronto)
Gradient Flow for Unsupervised Learning
Financial Mathematics SeminarTime: 3:05pm
Location: TBA

Motivated by problems in unsupervised learning, we study gradient flow in the space of probability densities using the notion of linear functional derivative. Gradient flow in this space gives rise to... More

Mar 31 2022

Vladimir Kobzar (NYU)
A PDE-Based Analysis of the Symmetric Two-Armed Bernoulli Bandit
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

The multi-armed bandit is a classic sequential prediction problem. At each round, the predictor (player) selects a probability distribution from a finite collection of distributions (arms) with the go... More

Mar 24 2022

Moritz Voss (UCLA)
On Parametric Optimal Execution and Machine Learning Surrogates
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

We investigate optimal execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed-form rec... More

Mar 10 2022

Ruodu Wang (University of Waterloo)
Simultaneous optimal transport
Financial Mathematics SeminarTime: 2:45pm
Location: Zoom

We propose a general framework of mass transport between vector-valued measures, which will be called simultaneous mass transport. The new framework is motivated by the need to transport resources of ... More

Mar 3 2022

Ahmet Göncü (Xi`an Jiaotong-Liverpool University)
Statistical Arbitrage: A factor investing approach
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

We introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability dis... More

Feb 17 2022

Sylvain Carre (Université Paris-Dauphine)
Insider Trading with Penalties
Financial Mathematics SeminarTime: 3:05pm
Location: zoom

We establish existence and uniqueness of equilibrium in a generalized one-period Kyle (1985) model where insider trading can be subject to a penalty cost that is non-decreasing in the trade size.
<... More

Feb 10 2022

Julien Guyon (Bloomberg/Columbia University/New York University)
Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

The very high liquidity of S&P 500 (SPX) and VIX derivatives requires that financial institutions price, hedge, and risk-manage their SPX and VIX options portfolios using models that perfectly fit mar... More

Feb 3 2022

Lingjiong Zhu (FSU)
Stocking Under Random Demand and Product Variety
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

Efficient inventory management in the face of product variety is an important part of retail operations management. We analyze the optimal stocking policy for a retailer, in a setup with a single prod... More

Jan 20 2022

Yerkin Kitapbayev (North Carolina State University)
Optimal capital structure with stochastic variable costs
Financial Mathematics SeminarTime: 3:05pm
Location: zoom

We examine the optimal capital structure of a firm with stochastic revenues, stochastic variable costs, and fixed costs. In this two-state variable setting with stochastic operating leverage, we estab... More

Jan 13 2022

Organizational meeting
Organizational meeting
Financial Mathematics SeminarTime: 3:05pm
Location: LOV201

Dec 2 2021

Martin Herdegen (University of Warwick)
Liquidity Provision with Adverse Selection and Inventory Costs
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

We study a one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure... More

Nov 20 2021

Twenty-Third Annual Financial Mathematics Quant Symposium
Time: 9:30 AM
Location: Zoom

The financial math quant symposium at the Florida State University is a twenty three years old tradition to provide our students with guidance on the new trends in the quantitative finance and the suc... More

Nov 18 2021

Bahman Angoshtari (University of Miami)
Optimal consumption under drawdown and habit-formation constraints
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

We consider an infinite horizon optimal investment and consumption problem for an agent who invests in a Black-Scholes-Samuelson market and is unwilling to consume below a fixed proportion her consump... More

Nov 4 2021

Asaf Cohen (University of Michigan)
Markovian Equilibria In Ergodic Many-Player Games and Mean-Field Games.
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

We consider a symmetric stochastic game with weak interactions between many players. Time is continuous, the number of states is finite, and costs are ergodic. We prove the existence of a unique Nash ... More

Oct 28 2021

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

Oct 21 2021

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 14 2021

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 8 2021

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 7 2021

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

Sep 30 2021

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

Sep 23 2021

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 16 2021

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 9 2021

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

Apr 15 2021

Song Yao (University of Pittsburgh)
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 2021

Kasper Larsen (Rutgers University)
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 2021

Hubeyb Gurdogan (FSU)
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 2021

Nicolás Hernández-Santibanez (Universidad de Chile)
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 2021

David Proemel (University of Mannheim)
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 2021

Cagin Ararat (Bilkent University)
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 2021

Ludovic Tangpi (Princeton University)
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 2021

Qingshuo Song (WPI)
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 2021

Shreya Bose (FSU)
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 2021

Max Reppen (Boston University)
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 2021

Thibaut Mastrolia (Ecole Polytechnique)
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 2021

Jinniao Qiu (University of Calgary )
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 2021

Alex Shkolnik (UCSB)
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 2021

Sergey Nadtochiy (Illinois Institute of Technology)
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

Dec 3 2020

Maxim Bichuch (Johns Hopkins University)
Deep PDE Solutions of BSDEs
Financial Math SeminarTime: 4:35pm
Location: Zoom

We investigate the numerical convergence of a deep learning method of a solution to a PDE to that of a BSDE. We transform the BSDE to a coupled PDE, and find the relationship between the solutions to ... More

Nov 19 2020

Bin Zou (University of Connecticut)
Mean-Variance Investment and Risk Control Strategies: A Time-Consistent Approach via A Forward Auxiliary Process
Financial Math SeminarTime: 3:35pm
Location: Zoom

We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate... More

Nov 5 2020

Zhenjie Ren (CEREMADE at Universite Paris-Dauphine)
Training Neural Networks and Mean-field Langevin dynamics
Financial Math SeminarTime: 3:35pm
Location: Zoom

The neural networks have become an extremely useful tool in various applications such as statistical learning and sampling. The empirical success urges a theoretical investigation based on mathematica... More

Oct 29 2020

Ruoyu Wu (Iowa State University)
Graphon mean field systems: large population and long time limits
Financial Math SeminarTime: 3:35pm
Location: Zoom

We consider heterogeneously interacting diffusive particle systems and their large population limit. The interaction is of mean field type with random weights characterized by an underlying graphon. T... More

Oct 15 2020

Gu Wang (Worcester Polytechnic Institute)
High-Water Mark Fees with Stochastic Benchmark
Financial Math SeminarTime: 3:35pm
Location: Zoom

A hedge fund manager invests the fund in a constant investment opportunity, and receives high-water mark fees when the fund reaches a new maximum relative to a stochastic benchmark, aiming to maximize... More

Oct 8 2020

Matt Lorig (University of Washington)
Semi-parametric pricing and hedging of claims on price and volatility
Financial Math SeminarTime: 3:35pm
Location: Zoom

We consider a variety of semi-parametric models for a risky asset S = Log X and show how to robustly price and replicate a variety of path dependent claims. The semi-parametric models we consider may... More

Oct 1 2020

Dan Pirjol (Stevens Institute of Technology)
Implied volatility shapes beyond the (U-shaped) smile
Financial Math SeminarTime: 3:35pm
Location: Zoom

The past few years have seen unusual shapes of the implied volatility in equities markets: under certain conditions the implied volatility can deviate from the familiar U-shaped smile, and is better d... More

Sep 24 2020

Qi Feng (University of Southern California)
Cubature method for Volterra SDEs and rough volatility model
Financial Math SeminarTime: 3:35pm
Location: Zoom

The classical models for asset processes in math finance are SDEs driven by Brownian motion, and the option price solves a parabolic PDE. In this talk, we will consider that the asset process follows ... More

Sep 17 2020

Hao Xing (Boston University)
Generalized Robustness and Dynamic Pessimism
Financial Math SeminarTime: 3:35pm
Location: Zoom

This paper develops a theory of dynamic pessimism and its impact on asset prices. Notions of time-varying pessimism arise endogenously in our setting as a consequence of agents’ concern for model mi... More

Sep 10 2020

Konstantinos Spiliopoulos (Boston University)
Stochastic gradient descent in continuous time and deep learning for PDEs
Financial Math SeminarTime: 3:35pm
Location: Zoom

Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering... More

Sep 3 2020

Agostino Capponi (Columbia University)
Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply
Financial Math SeminarTime: 3:35pm
Location: Zoom

We solve a continuous time dynamic Stackelberg game, where a large uninformed seller executes optimally, fully cognizant of the response of Cournot-competitive market makers. The game therefore endoge... More

Apr 16 2020

Maxim Bichuch (Johns Hopkins University)
CANCELLED
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

CANCELLED

Apr 9 2020

Hubeyb Gurdogan (Florida State University )
CANCELLED
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

CANCELLED

Apr 2 2020

Jamie Fox (Florida State University )
CANCELLED
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

CANCELLED

Mar 26 2020

Ibrahim Ekren (Florida State University )
CANCELLED
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

CANCELLED

Mar 12 2020

Ibrahim Ekren (Florida State University )
A general solution technique for insider problems using optimal transport
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

In this talk, we present a flexible technique to solve a continuous-time multi-asset/multioption Kyle’s model under general assumptions, including on the (possibly time-varying)

distribution ... More

Feb 27 2020

Tomasz Bielecki (Illinois Institute of Technology)
A Dynamic Model of CCP Risk
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

We introduce a dynamic model of default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearin... More

Feb 20 2020

Lingjiong Zhu (Florida State University )
Delivering Multi-Specialty Care via Online Telemedicine Platforms
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

The online telemedicine platforms represent a rapidly growing segment of healthcare delivery markets. In this paper, we develop a model of telemedicine platform operations that focuses on managing mul... More

Feb 13 2020

Arash Fahim (Florida State University )
Sensitivity analysis for principle agent problem with switching controls
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

To fulfill the interest of economics community, it is important to establish sensitivity analysis for the stochastic control problems we solve. In the case of principal-agent problem, we benefit from... More

Feb 11 2020

Heting Yan (FSU)
Deep learning for limit order book trading and mid-price movement prediction
Dissertation DefenseTime: 2:00pm
Location: 204B

Jan 30 2020

Alec Kercheval (Florida State University )
Random walks and self-excited Black-Scholes models for option pricing
Financial Mathematics SeminarTime: 3:35pm-4:25pm
Location: LOV 201

The Black-Scholes option pricing model is well known to be a limit of binomial tree models. What happens if the branching times of the binomial tree are given by a random point process, such as the s... More

Jan 21 2020

Alex Shkolnik (UCSB)
TBD
Financial Mathematics SeminarTime: 3:05pm
Location: Zoom

TBD

Nov 21 2019

Reda Chhaibi (Institut de Mathématiques de Toulouse. Université Paul Sabatier)
Spiking and Collapsing in Large Noise Limits of SDE’s
Financial MathematicsTime: 3:35
Location: 201

We analyze strong noise limit of some stochastic differential equations. We focus on the particular case of Belavkin equations, arising from quantum measurements, where Bauer and Bernard pointed out a... More

Nov 14 2019

Jamie Fox (FSU Mathematics)
Applications of Polynomial Chaos in Monte Carlo Simulation
Financial MathematicsTime: 3:35
Location: 201

In this talk, we will investigate two applications of polynomial chaos in Monte Carlo simulation. First, we will examine how an orthogonal transformation based on the 2nd order polynomial chaos expans... More

Nov 7 2019

Ibrahim Ekren (FSU Mathematics)
Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
Financial MathematicsTime: 3:35
Location: 201

We construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work stems from the ... More

Oct 31 2019

Arash Fahim (FSU Mathematics)
Introducing controls in the principal-agent problem with applications
Financial MathematicsTime: 3:30
Location: 201

We generalize an approach to the principal-agent problem introduced by [DeMarzo-Sannikov, 2006], where the agent is hired to deliver an output to the principal. However, a passive principal does not k... More

Oct 24 2019

Kangwei Xing (FSU Mathematics)
On robust finance in continuous time with portfolio constraint
Financial MathematicsTime: 3:30
Location: 201

In this talk, we establish a duality for the robust superhedging problem under portfolio constraint. Without portfolio constraint, the work has been done by various authors including [Dolinsky and Son... More

Oct 10 2019

Arash Fahim (FSU Mathematics)
A General Duality for Martingale Optimal Transport
Financial Mathematics SeminarTime: 3:35
Location: 201

As a tool in finance, martingale optimal transport is used to study the model risk in pricing and hedging financial derivatives. Unlike the classical optimal transport, the martingale version does not... More

Oct 3 2019

Lingjiong Zhu (FSU Mathematics)
Technology Adoption: Optimal Timing, Pricing, and Employee Incentives
Financial MathematicsTime: 3:35pm
Location: 201

With the rapid development of new technologies, firms and technology suppliers must understand the timing, pricing, and incentive issues regarding technology adoption. We formulate a general optimal s... More

Sep 26 2019

Yiran Chen (FSU Mathematics)
Goodness-of-fit testing of copulas using quasi-Monte Carlo methods
Financial MathematicsTime: 3:35
Location: 201

Simulations of copulas can be done by Monte Carlo methods or quasi-Monte Carlo methods. Goodness-of-it test can be used to find the best simulation algorithms for copulas. In this talk, I will introdu... More

Sep 19 2019

Jamie Fox and Arun Polala (FSU Mathematics)
Internships at Wells Fargo: A tale of two cities
Financial MathematicsTime: 3:35
Location: 201

Arun and Jamie are giving two talks with the same title presenting their internship experience over last summer.

Abstracts:

Arun Polala:

1. TensorFlow is a deep ... More

Sep 5 2019

Organizational meeting
Financial mathematicsTime: 3:35pm
Location: 201

Apr 25 2019

Austin Eovito
ZeroCoin
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

In this seminar, we present the paper by Miers et al. (2013). Bitcoin is the first e-cash system to see widespread adoption. While Bitcoin offers the potential for new types of financial interaction, ... More

Apr 18 2019

Arun Kumar Polala
Multilevel Monte Carlo for LIBOR Market Model
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

The LIBOR Market Model is a very popular interest rate model used for pricing interest rate derivatives like caplets, caps, swaptions, etc. In 2008, Giles proposed Multilevel Monte Carlo (MLMC) techn... More

Apr 16 2019

Navid Salehy (FSU)
Random walks over point processes and their application in finance
Financial Math Dissertation DefenseTime: 4:30 pm
Location: LOV 204B

Apr 15 2019

Hamed Ghoddusi (Stevens Institute of Technology)
Why a Competitive Industry May Prefer Low-Quality Assets
Mathematics ColloquiumTime: 3:35 pm
Location: LOV 101

We highlight the impact of capital quality, i.e., depreciation rate of capital assets, on firms' investment behavior, the endogenous output price dynamics, and industry equilibrium outcomes. To rigoro... More

Apr 11 2019

Jamie Fox
Brownian Path Generation Using Polynomial Chaos Expansion
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

We will examine how an orthogonal transformation based on the 2nd order polynomial chaos expansion of the payoff function can be used to reduce error in quasi-Monte Carlo simulation. To motivate these... More

Apr 4 2019

Albert Iglesias
A brief survey of Cryptocurrency systems
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

In this talk, we present the paper by Mukhopadhyay et al. Cryptocurrencies have emerged as important financial software systems. They rely on a secure distributed ledger data structure; mining is an i... More

Mar 28 2019

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 2019

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 2019

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 2019

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 2019

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 2019

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 2019

Hubeyb Gurdogan (FSU)
Application of Levy Processes to Credit Risk Models
Financial Math ATETime: 2:00 pm
Location: LOV 204B

Feb 7 2019

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 2019

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 2019

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

Dec 6 2018

Feng Bao (FSU )
Backward SDE Methods for Nonlinear Filtering Problems
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

Nov 30 2018

Andrey Manakov (FSU Mathematics Department)
Construction of a General Trading Approach for Financial Markets with Artificial Neural Networks
Ph. D. defenseTime: 2:00 p.m.
Location: LOV 204-B

Nov 15 2018

Heting Yan (FSU )
Machine learning and e-trading
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

Nov 1 2018

Francois Cocquemas (FSU Finance)
The Term Structure of Securities Lending Fees
Financial Mathematics SeminarTime: 3:35
Location: 201 LOV

Oct 25 2018

Navid Salehy (FSU)
Limits of random walks over point processes and a Black-Scholes analog
Financial Mathematics SeminarTime: 3:35 pm
Location: LOV 201

Oct 12 2018

Roger Lee (University of Chicago)
Cumulant formulas for implied volatility [POSTPONED to November]
Mathematics ColloquiumTime:
No location for this even specified.

Expressing option prices as Black-Scholes implied volatilities

reveals features of the underlying probability distribution.

We investigate a manifestation of this idea

in a near-... More

Oct 4 2018

Ibrahim Ekren (FSU)
Equilibrium option price with competing agents
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

In this talk, we present a market equilibrium between $N$ option market makers that compete for the orders of their clients. The market makers face market illiquidity when trading the stock and manag... More

Sep 27 2018

Jamie Fox and Arun Polala (FSU)
Internships in Financial Math
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Sep 20 2018

Ling Zhu (FSU)
Explosion in the quasi-Gaussian HJM model
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

We study the explosion of the solutions of the SDE in the quasi-Gaussian HJM model with a CEV-type volatility. The quasi-Gaussian HJM models are a popular approach for modeling the dynamics of the yi... More

Sep 13 2018

Alec Kercheval (FSU)
A short talk on talks
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Sep 6 2018

Alec Kercheval (FSU)
Organizational Meeting
Financial Math SeminarTime: 3:35 pm
Location: LOV 201

Apr 30 2018

Arun Polala (FSU)
Unbiased estimation for stochastic differential equation models and applications in finance
Doctoral Candidacy ExamTime: 3:00-4:00
Location: 204B

Apr 12 2018

Seyyed Navid Salehy (FSU)
New scaled random walks changing position at random times, their limits, and their properties
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

We define a new type of scaled random walks which are allowed to change position at random times. The properties of these random walks will be presented. We will also investigate their limits and disc... More

Mar 29 2018

Arun Kumar Polala (FSU)
Unbiased Estimation For Stochastic Differential Equation Models
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

In many Stochastic Differential Equation (SDE) models, it is not always possible to generate the random variable exactly for which an expectation is to be computed. In that case, we need to discretize... More

Mar 22 2018

Jamie Fox (FSU)
Multilevel Monte Carlo with Good Brownian Path Generation Methods
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

Over the last 10 years, multilevel Monte Carlo methods have become an increasingly popular area of research, especially with regard to applications in financial mathematics. Multilevel Monte Carlo met... More

Mar 1 2018

Lingjiong Zhu (FSU)
Limit theorems and applications for Markovian Hawkes processes with a large initial intensity
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

Hawkes process is a simple point process with stochastic intensity depending on its entire past history. The self-exciting and clustering effect makes it appealing in financial modeling. In this talk,... More

Feb 22 2018

Arash Fahim (FSU)
A review of principal-agent problem
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

The principal-agent problem is a mathematical framework for the moral hazards problem. While the discrete-time problem has been extensively

studied, the continuous-time problem is only been sol... More

Feb 16 2018

Manan Shah (FSU '08) (SimpleReach)
A Random Walk from Finance to Content Marketing Analytics
Colloquium and Quant SymposiumTime: 4:45pm
Location: LOV 101

What do quantitative careers in Finance, Gaming, and Content Marketing Analytics have in common? In this talk, we'll survey some existing challenges in these industries and some approaches to finding ... More

Feb 16 2018

Jay Webb (FSU '93) (Copperwood Energy Fund)
Th US Natural Gas Market
Colloquium and Quant SymposiumTime: 3:35pm
Location: LOV 101

In this talk, we will consider the production, processing and transportation of natural gas, along with the extraordinarily important role of natural gas storage. We will also discuss components of na... More

Feb 8 2018

Lingjiong Zhu (FSU)
Optimal Unbiased Estimation for Expected Cumulative Cost
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

We consider estimating an expected infinite-horizon cumulative cost/reward contingent on an underlying stochastic process by Monte Carlo simulation. An unbiased estimator based on truncating the cumul... More

Feb 1 2018

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

Jan 31 2018

Heting Yan (FSU)
Machine Learning and the Limit Order Book
Financial Math Candidacy ExamTime: 2:30
Location: LOV 204B

Jan 25 2018

Ibrahim Ekren (University of Michigan)
Multidimensional utility maximization with small nonlinear price impact
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

In this talk we discuss the multidimensional utility maximisation problem with small nonlinear price impact. Using homogenisation techniques, we obtain a first order expansion of the utility function ... More

Jan 23 2018

Hongzhong Zhang (Columbia University)
Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative Lévy Models
Financial Math SeminarTime: 4:35pm
Location: TBA

Neofytos Rodosthenous, Hongzhong Zhang

We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-hor... More

Jan 18 2018

Andrey Sarantsev (UC Santa Barbara)
Dynamic Contagion In A Banking System With Births And Defaults
Financial Mathematics SeminarTime: 4:35pm
Location: Lov 201

We consider a model of a banking system, with capitals of banks modeled as stochastic processes. New banks can emerge at random moments, and banks can

also default at random times, with contagi... More

Dec 4 2017

Qi Si (FSU)
Levy processes and applications to credit risk
Financial Math ATETime: 3:35pm
Location: LOV 204B

Nov 30 2017

Seyyed Nima Salehy (FSU Mathematics)
Theory of Belief Functions
Financial mathematics research seminarTime: 3:35
Location: 201

The speaker will start with the fundamentals of the Belief Function Theory, also known as Dempster-Shafer Theory or Evidence Theory. Then, an application of this theory to finance is presented. Finall... More

Nov 16 2017

Arash Fahim (FSU Mathematics)
Volatility can be detrimental to the option price
Financial MathematicsTime: 3:35
Location: 201

We show in a general setting that the value of a digital option is non-monotone in volatility. In practice, some real options have a digital payoff which may not be good for highly risky businesses su... More

Nov 9 2017

Haoyang Liu (FSU Business School)
Estimation of Linear Process Spectra with an Application to Determining the Mean-Variance Frontier for Time Series
Financial Mathematics SeminarTime:
No location for this even specified.

Financial econometric techniques all are designed for large time series and small cross-sections, yet financial data typically has a large cross section and short time series (large-N small-T). One pa... More

Oct 26 2017

Wan-Yu Tsai (FSU Mathematics)
A Monte Carlo scheme for a singular control problem: Investment-consumption under proportional transaction costs
Financial Mathematics SeminarTime: 3:35
Location: 201

We provide a numerical solution of the nonlinear parabolic double obstacle problem arising from a finite horizon portfolio selection with proportional transaction costs. The problem is mainly governed... More

Oct 19 2017

Lingjiong Zhu (FSU Mathematics)
Operational Risk Management: Preventive vs. Corrective Control
Financial MathematicsTime: 3:35
Location: 201

We propose a general modeling framework for operational risk management of financial firms. We consider operational risk events as shocks to a financial firm's value process, and then study capital in... More

Oct 12 2017

Giray Ökten (FSU mathematics)
Global Sensitivity Analysis and Model Robustness
Financial mathematics seminarTime: 3:35
Location: 201

Oct 5 2017

Philipp Harms (Freiburg University)
Markovian representation and approximation of fractional processes
Financial Mathematics Research SeminarTime: 3:35
Location: 201

I will present an approximation method for a wide class of fractional

processes, including fractional Brownian motion of any Hurst index.

The method is built upon a representation of the... More

Sep 28 2017

Hua-Yi Lin (FSU Mathematics)
Optimal Portfolio Execution under Time-Varying Liquidity Constraints
Financial mathematicsTime: 3:35
Location: 201

Sep 25 2017

Pierre Garreau (CTO, Maritime Data Systems)
Event detection, machine learning and the maritime industry
Special Applied Math SeminarTime: 3:35 pm
Location: LOV 106

In this talk we present a data pipeline build on top of raw NMEA messages to capture events in ports such as traffic, routes or boat operations. The problem we pose is the detection of engage events, ... More

Sep 21 2017

Alec Kercheval (FSU Mathematics)
Portfolio credit risk from a jump threshold perspective
Financial math research seminarTime: 3:35
Location: 4:35

Sep 14 2017

Wan-Yu Tsai (FSU Mathematics)
A Monte Carlo scheme for a singular control problem
Financial MathematicsTime: 3:35
Location: 201

Sep 7 2017

Arash Fahim (FSU)
Organizational Meeting
Financial math research seminarTime: 3:35
Location: 201

We meet to chat and set the schedule till the end of semester.

Jul 18 2017

Jian Wang (FSU)
Ensemble methods for capturing dynamics of limit order books
Dissertation DefenseTime: 1:00 PM
Location: 204B

Jun 15 2017

Chenchen Zhou (FSU)
On the multidimensional default threshold model for credit risk
Financial Math Dissertation DefenseTime: 10am
Location: 204B

May 4 2017

Yu-Ying Tzeng
Quasi-Monte Carlo and Markov Chain Quasi-Monte Carlo Methods in Estimation and Prediction of Time Series Models
Dissertation DefenseTime: 12:15 PM - 1:15
Location: 204B

Apr 27 2017

Kurtulus Kidik
The Measurement of Tail Risk
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

In January 2016, the Basel Committee on Banking Supervision (BCBS) shifted

from the Value-at-Risk (VaR) to an Expected Shortfall (ES) measure of risk

under stress. The reason of this cha... More

Apr 13 2017

Chenchen Zhou

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

Apr 13 2017

Chenchen Zhou
A new structural model for credit risk
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

Correlated default risk is one of the key challenges in credit risk

modelling. The credit crunch of the sub-prime mortgage debt crisis

happens in 2008 is essentially due to the underesti... More

Apr 6 2017

Lingjiong Zhu
Dark Pool Trading: A Hawkes Process Approach
Financial Mathematics SeminarTime: 3:35pm
Location: Lov 201

Dark pools are automated trading facilities which do not display bid and ask quotes to the public. In this talk, we use the Hawkes process to model the clustered arrival of trades in a dark pool and a... More

Mar 30 2017

Yiran Chen
Simulation for Copulas
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

A brief introduction to copulas and some examples, e.g., Elliptical Copulas, Archimedean copulas; and their corresponding simulation methods.

Mar 28 2017

David Mandel (FSU)
Random Sobol' Sensitivity Analysis and Model Robustness
PhD DefenseTime: 10:00 AM
Location: 204B

Mar 23 2017

Lingjiong Zhu
Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical finan... More

Feb 17 2017

John Geng (Wells Fargo)
Convexity adjustments in rates products
Colloquium and Financial Math Quant SymposiumTime: 3:45 pm
Location: LOV 101

Rates products range from vanilla products like swaps and European swaptions to exotic products involving full term structure models.

In terms of model complexity, convexity adjustment lies in ... More

Feb 9 2017

Jian Wang
Ensemble methods for measuring dynamics of limit order books
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

According to rapid development in information technology, limit order books (LOB) mechanism has emerged to prevail in today's financial market. In this paper, we propose ensemble machine learning arch... More

Feb 2 2017

Alec Kercheval
How to give a talk
Financial Math SeminarTime: 3:35pm
Location: Lov 201

Jan 26 2017

David Mandel
Randomized Sensitivity Analysis and Model Robustness
Financial Mathematics SeminarTime: 3:35pm
Location: Love 201

Global sensitivity analysis (GSA) is a suite of statistical techniques for gaining insights into the dependencies of a mathematical model in the presence of uncertainty. Estimation of model parameter... More

Jan 19 2017

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

Dec 1 2016

Seyyed Navid Salehy

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

Nov 22 2016

Fangxi Gu
Exponential Convergence Fourier Method and its Applications to Option Pricing with Levy Processes
Dissertation DefenseTime: 3:15
Location: 101 Love

Nov 21 2016

Kouadio David Yao (FSU)
Statistical analysis on object spaces with applications to 3D face analysis and exchange rates data
Financial Mathematics Dissertation DefenseTime: 12:30pm
Location: LOV 204B

Nov 15 2016

Chun-Yuan Chiu (FSU)
Modeling credit risk in the default threshold framework
Financial Math Dissertation DefenseTime: 11:00 am
Location: LOV 204B

Nov 10 2016

Kouadio Yao
Statistical Analysis on Object Spaces with Applications to 3D Face Analysis
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

Most of the data encountered are nonlinear data on bounded spaces. Such data are

regarded as values of a random object. In order to conduct a proper statistical

analysis , we need a noti... More

Nov 3 2016

Seyyed Nima Salehy
Theory of Belief Functions
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

The speaker will start with the fundamentals of the Belief

Function Theory, also known as Dempster-Shafer Theory or Evidence Theory.

Then, an application of this theory to finance is pre... More

Oct 27 2016

Giray Okten
Dempster-Shafer theory and applications (II)
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

I will describe some of the rudiments of the Dempster-Shafer theory,

including Monte Carlo algorithms to combine belief functions. I will present some

examples that illustrate how the th... More

Oct 20 2016

Giray Okten
Dempster-Shafer theory and applications (I)
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

I will describe some of the rudiments of the Dempster-Shafer theory,

including Monte Carlo algorithms to combine belief functions. I will present some

examples that illustrate how the th... More

Oct 13 2016

Bin Chen
An Introduction To High Performance Financial Simulations Using Hardware Acccelerators
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

Modern financial simulations are often computationally intensive and time critical. It is therefore important to develop algorithms which can run parallel on a high performance computing (HPC) cluster... More

Oct 6 2016

Jian Wang
Ensemble methods for measuring dynamics of limit order books
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

According to rapid development in information technology, limit order books(LOB) mechanism has emerged to prevail in today's financial market. In this

paper, we proposes ensemble machine learni... More

Sep 29 2016

Lingjiong Zhu
Variational approximations for exponential random graph models
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

We study a model of strategic network formation with heterogeneous players, that converges to an exponential random graph model. The likelihood of observing a specific network is known up to an intrac... More

Sep 28 2016

Klein surfaces and NEC groups
Complex AnalysisTime: 3:35
Location: 104 Love

Sep 22 2016

Chun-Yuan Chiu
Smooth Calibration of the SABR Model
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

A variant of the SABR model is calibrated to the interest rate swaption market quotes. In the model each parameter is treated as a surface, a function of option expiry and swap tenor, and then approxi... More

Sep 15 2016

David Mandel
Algo Index-Induced Volatility Structure
Financial Mathematics SeminarTime: 3:35pm
Location: 201 Lov

An algorithmic ("algo") index tracks returns on a notional portfolio of underlyings which periodically rebalances according to a set of rules. A popular such index we focus on seeks to maximize histo... More

Sep 14 2016

Financial Math Welcome and Faculty ShowcaseTime: 3:35 pm
Location: LOV 102

Sep 8 2016

Lingjiong Zhu
Organizational Meeting
Financial Mathematics SeminarTime: 3:35pm
Location: Love 201

Apr 21 2016

Fangxi Gu (FSU Mathematics)
N-dimensional sinc Interpolation and European option pricing
Financial MathematicsTime: 3:35
Location: 201

Apr 14 2016

David Yao (Cancelled) (FSU Mathematics)
TBA
Financial MathematicsTime: 3:35
Location: 201

Apr 7 2016

Chenchen Zhou (FSU Mathematics)
A New Hybrid Model for Multi-dimensional Default Risk
Financial MathematicsTime: 3:35
Location: 201

Mar 31 2016

Kangwei Xing (FSU Mathematics)
A Model-Free Version of The FTAP and the super-replication theorem
Financial MathematicsTime: 3:35
Location: 201

Mar 24 2016

Jian Wang (FSU Mathematics)
Evolution of limit order book dynamics: machine learning high frequency trading model
Financial MathematicsTime: 3:35
Location: 201

Mar 17 2016

Zailie Cheng (FSU Mathematics)
Optimal Dividend Strategy in Dual Risk Model
Financial MathematicsTime: 3:35
Location: 201

Mar 3 2016

Chun-Yuan Chiu (FSU Mathematics)
Fast Approximation of the Moment Generating Function of the Hawkes Process
Financial MathematicsTime: 3:35
Location: 201

Feb 25 2016

David Mandel (FSU Mathematics)
Robustness of Affine Short Rate Models
Financial MathematicsTime: 3:35
Location: 201

Feb 19 2016

David Chenyao (Citi, Tampa)
The Changing Role and Practices of Model Risk Management due to the Impact and Evolution of Regulatory Requirements
Financial Math Festival and ColloquiumTime: 3:45 pm
Location: LOV 101

This talk will provide an overview of Model Risk Management at a top financial institution and the evolution of regulatory requirements (especially around Basel I, II, III) and how the ever changing r... More

Feb 18 2016

Reserved for festival
TBA
Financial MathematicsTime: 3:35
Location: 201

Feb 11 2016

Fangxi Gu (FSU Mathematics)
On pricing Bermudan option with sato processes: a spectral sinc method approach without Hilbert transform and comparison with Monte Carlo simulation
Financial MathematicsTime: 3:35
Location: 201

Feb 4 2016

Arash Fahim (FSU Mathematics)
Cap-and-trade: a review on emission markets
Financial MathematicsTime: 3:35
Location: 201

Jan 28 2016

Lingjiong Zhu (FSU Mathematics)
Optimal Investment in a Dual Risk Model
Financial MathematicsTime: 3:35
Location: 201

Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing lite... More

Jan 21 2016

Alec Kerchaval (FSU Mathematics)
TBA
Financial MathematicsTime: 3:35
Location: 201

Jan 14 2016

Organizational meeting
Financial MathematicsTime: 3:35
Location: 201

Dec 3 2015

Fangxi Gu (FSU)
Numerical Experiments on Pricing Options with Exponential Jump processes
Financial Math SeminarTime: 3:35 pm
Location: LOV 201

Nov 21 2015

Yuanda Chen (FSU)
Modeling Limit Order Book Dynamics and Predicting Mid-Price Movement using Hawkes Processes
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

Nov 5 2015

Kangwei Xing (FSU)
TBA
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

Oct 29 2015

Nizar Touzi (Ecole Polytechnique, Paris)
Martingale Optimal Transport with Measurable Cost Function
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales. A quasi-sure formulation of the dual problem is introduced... More

Oct 22 2015

Yuanda Chen (FSU)
Modeling Limit Order Book Dynamics and Predicting Mid-Price Movement using Hawkes Processes
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

Oct 15 2015

David Yao (FSU)
Extrinsic mean & antimean and their asymptotic distributions
Financial Mathematics SeminarTime: 3:35 pm
Location: 201 LOV

Oct 8 2015

Chun-Yuan Chiu (FSU)
Credit Risk Modeling: Reduced-Form Models and Default Level Models
Financial Mathematics SeminarTime: 3:35pm
Location: LOV 201

Oct 1 2015

Ling Zhu (FSU)
Discrete Sum of Geometric Brownian Motions and Asian Options
Financial Mathematics SeminarTime: 3:35 pm
Location: LOV 201

The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in finance. We consider the asymptotics of the discrete time average of a geometric Brownian motion ... More

Sep 24 2015

David Mandel (FSU)
Improving Drift Estimates of Geometric Brownian Motion with Bayesian Calibration, II
Financial Mathematics SeminarTime: 3:35 pm
Location: LOV 201

Sep 17 2015

David Mandel (FSU)
Improving Drift Estimates of Geometric Brownian Motion with Bayesian Calibration
Financial Mathematics SeminarTime: 3:35pm
Location: LOV 201

Sep 10 2015

Lingjiong Zhu (FSU)
A Reduced-Form Model for Level-1 Limit Order Books
Financial MathematicsTime: 3:35 pm
Location: LOV 201

One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing fact... More

Sep 9 2015

Alec Kercheval (FSU)

Financial Math Welcome and Faculty ShowcaseTime: 3:35pm
Location: LOV 102

Sep 3 2015

Organizational Meeting
Financial Math SeminarTime: 3:35 pm
Location: LOV 201

Jul 8 2015

Linlin Xu (FSU)
GPU COMPUTING IN FINANCIAL ENGINEERING
PhD DefenseTime: 11:00
Location: 204B

Jun 9 2015

Wei Yuan (FSU)
Estimating Sensitivities of Exotic Options Using Monte Carlo Methods
Ph.D. DefenseTime: 3:30 PM
Location: 204B

May 29 2015

Dawna Jones (FSU)
Asset Pricing Equilibria for Heterogeneous, Limited Information Agents
Dissertation DefenseTime: 10:30am
Location: LOV 204B

Apr 23 2015

Jian Wang (Mathematics, FSU)
Comparison of machine learning methods for stock return series analysis
Financial MathematicsTime: 3:35
Location: 201

Machine learning is a method of teaching computers to make predictions based on data. It is one important branch of artificial intelligence research area. Nowadays, those popular algorithms have been ... More

Apr 16 2015

Dawna Jones (FSU Mathematics)
An equilibrium concept in a boundedly rational financial markets economy
Financial MathematicsTime: 3:35
Location: 201

The prevailing standard for modelling expectations in econofinance models has been the rational expectations paradigm. However, since the nineties more economists have called into question the unreali... More

Mar 26 2015

Kangwei Xing (FSU)
Model Independent Pricing: An Optimal Transport Approach
Financial MathematicsTime: 3:35
Location: 201

This talk is an introduction to model free pricing which is independent of any specific probability measure. Since we do not assume a probability measure we cannot get a price generated by a model, bu... More

Mar 19 2015

Chun-Yuan Chiu (FSU)
Credit Risk Modeling - A Survey
Financial MathematicsTime: 3:35
Location: 201

One of the important applications of credit risk models is to price defaultable securities and credit derivatives. I will talk about the pricing problems and give an overview of several different cred... More

Mar 5 2015

Yuanda Chen (Canceled) (FSU)
Modelling Limit Order Book Dynamics Using Point Processes
Financial MathematicsTime: 3:35
Location: 201

I will give a brief introduction of limit order books. I will revisit the approach by Cont, Stoikov and Talreja where Poisson processes are used to model the occurrence times of events. I will discuss... More

Feb 26 2015

David Mandel (FSU)
Distribution of Returns in the Heston Model
Financial MathematicsTime: 3:35
Location: 201

Empirical log stock returns exhibit leptokurtic distributions, deviating from the Black-Scholes framework. An alternative is the Heston model, which, although has been shown to better describe option... More

Feb 20 2015

Vassilios Papathanakos (Intech, LLC)
Mathematical Structures in US Equities
Colloquium and Financial Math FestivalTime: 3:40pm
Location: LOV 101

Feb 12 2015

Giray Okten (FSU)
Research problems in Monte Carlo: a survey
Financial MathematicsTime: 3:35
Location: 201

I will give a brief survey of the research of my former and current PhD students in financial math. I will give more details on the research of Nguyet Nguyen and Linlin Xu, on the acceptance-rejection... More

Jan 22 2015

Organizational Meeting
Financial MathematicsTime: 3:35
Location: 201

Jan 20 2015

Jin Hyuk Choi (Carnegie Mellon University)
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Financial MathematicsTime: 3:35
Location: 201

We revisit the optimal investment and consumption model of Davis and Norman (1990), following a shadow-price approach. We reformulate and reduce the HJB equation for this singular stochastic control p... More

Jan 15 2015

Yu-Jui Huang (Dublin City University)
Stopping with No Regret
Financial MathematicsTime: 3:35
Location: 201

We investigate time-inconsistency, or “regret over time”, of optimal stopping problems under

non-exponential discounting. This endeavor is important because numerous empirical studies indi... More

Jan 8 2015

Lingjiong Zhu (University of Minnesota)
Variable Volatility and Financial Failure
Financial Math SeminarTime: 3:35 pm
Location: LOV 201

Structural models of corporate default, e.g. Merton's model typically impose a rigid parametric specification on the volatility of the firm's assets. We propose a nonparametric structural model whose ... More

Nov 20 2014

Jian Wang (FSU)
Bayesian-Glasso model for stock return series analysis
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Nov 18 2014

David Mandel (FSU)
GLOBAL SENSITIVITY ANALYSIS WITH APPLICATIONS IN QUANTITATIVE FINANCE
Candidacy ExamTime: 4:00
Location: MCH 414

Nov 6 2014

David Yao (FSU)
Statistical Inverse Estimation on a Sphere and Functional PCA
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Oct 23 2014

David Kopriva (FSU )
Novel PDE Approaches for Computational Finance
Financial Math SeminarTime: 3:35 pm
Location: LOV 201

Oct 16 2014

Tony Wills (FSU)
Weak Derivatives and the Solution to the Stochastic Heat Equation
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Oct 9 2014

Alec Kercheval (FSU)
Levy models of two dimensional credit risk
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Oct 2 2014

Arash Fahim (FSU)
Finance of pollution: a mathematical approach
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Sep 25 2014

Minjing Tao (FSU Dept. of Statistics)
Volatility Estimation Based on High-frequency Financial Data with Noise Contamination
Financial Math Seminar Time: 3:35 pm
Location: LOV 201

Sep 18 2014

David Mandel (FSU)
A mean-seeking interest rate hedging strategy
Financial Math SeminarTime: 3:35 pm
Location: 201 LOV

Sep 11 2014

Linlin Xu (FSU)
Adjoint algorithmic differentiation for PDE solvers
Financial Math Seminar Time: 3:35 pm
Location: LOV 201

Sep 4 2014

Alec Kercheval (FSU)
Organizational Meeting
Financial Math Seminar Time: 3:35 pm
Location: LOV 201

Sep 3 2014

Alec Kercheval and Brian Ewald (FSU )
Welcome and Faculty Showcase
Financial Math ProseminarTime: 3:35
Location: LOV 102

Jul 10 2014

Nguyet Nguyen
Probabilistic methods in estimation and prediction of financial models
PhD DefenseTime: 11-11:50AM
Location: 204B

Apr 17 2014

Ming Zhu (FSU)
A Radically Elementary Stochastic Volatility Model
Financial Math Seminar Time: 3:35 pm
Location: LOV 102

Apr 10 2014

Fangxi Gu (FSU)
Pricing European Call Options with Jump Processes
Financial Math SeminarTime: 3:35 pm
Location: LOV 102

Apr 3 2014

Dawna Jones (FSU)
The 'price-equivalent' representative agent in a heterogeneous agent economy, II
Financial MathematicsTime: 3:35pm
Location: LOV 102

Mar 28 2014

A. D. Islim (FSU)
Pricing and hedging derivatives with sharp profiles using high resolution finite difference schemes
Ph.D. DefenseTime: 3:00
Location: 204b

Mar 20 2014

Dawna Jones (FSU)
The 'price-equivalent' representative agent in a heterogeneous agent economy
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Feb 27 2014

Tony Wills (FSU)
The CIR Model with Random Parameters
Financial Math SeminarTime: 3:35 pm
Location: LOV 102

Feb 21 2014

Irene Aldridge (ABLE Alpha Trading, NYC)
The Costs of Latency
FInancial Math FestivalTime: 3:35pm
Location: 101 LOV

We derive the economic costs of latency induced by computer technology in trading. We show that the costs of latency are negligible in their expected value, but instead manifest themselves in increase... More

Feb 13 2014

Arash Fahim (FSU)
Robust hedging under constraint and optimal transportation, III (rescheduled)
Financial MathematicsTime: 3:35pm
Location: LOV 102

Feb 6 2014

Arash Fahim (FSU)
Robust hedging under constraint and optimal transportation, III-- POSTPONED
Financial MathematicsTime: 3:35pm
Location: LOV 102

Jan 30 2014

Arash Fahim (FSU)
Robust hedging under constraint and optimal transportation, II
Financial MathematicsTime: 3:35pm
Location: LOV 102

Jan 23 2014

Arash Fahim (FSU)
Robust hedging under constraint and optimal transportation
Financial Math SeminarTime: 3:35pm
Location: LOV 102

Jan 16 2014

Organizational Meeting
Financial Math SeminarTime: 3:35pm
Location: LOV 102

Nov 25 2013

Kouadio David Yao (FSU)
Nonparametric Estimation on Manifolds and Applications
Financial Math PhD Candidacy ExamTime: 10:15am
Location: MCH 110

Nov 21 2013

Linlin Xu (FSU)
Summer internship projects: Sobol' on GPU and spectral element method for Black-Scholes PDE
Financial Math SeminarTime: 3:35pm
Location: LOV 102

Nov 14 2013

Wei Yuan (FSU)
Estimating Sensitivities for Mountain Range Options using Monte Carlo Methods
Financial Math SeminarTime: 3:35pm
Location: LOV 102

Nov 7 2013

Yuan Zhang (FSU)
Modeling high-frequency order book dynamics with support vector machines
Dissertation DefenseTime: 3:35 pm
Location: LOV 102

Oct 31 2013

Gary Pai (FSU)
Pricing Credit Derivatives with PDEs
Financial Math SeminarTime: 3:35pm
Location: LOV 102

Oct 17 2013

Stan Lewkow (FSU)
Feature Vectors Describing Limit Order Books
Financial Mathematics SeminarTime: 3:35pm
Location: LOV 102

Oct 10 2013

Nguyet Nguyen (FSU)
Hidden Markov Model for High Frequency Data
Financial Math Seminar Time: 3:35pm
Location: LOV 102

Oct 4 2013

Pierre Garreau (FSU )
Jump dependence and multi-dimensional default risk
Dissertation DefenseTime: 3:45 pm
Location: LOV 200

Sep 26 2013

Jian Wang (FSU)
Historical arbitrage opportunities for treasury futures
Financial Mathematics Seminar Time: 3:35pm
Location: LOV 102

Sep 19 2013

Yuan Zhang (FSU)
Modeling high-frequency limit order book dynamics with support vector machines
Financial Mathematics Seminar Time: 3:35pm
Location: LOV 102

Sep 18 2013

Rolf Agather (CFA Managing Director of Research and Innovation for Russell Investments)
Smart Beta: Implications for Active Management
Financial Mathematics ProseminarTime: 3:35
Location: Love 102

The increasing availability of "smart beta" strategies is providing investors

with a wider array of tools to achieve their investment goals, and has added

another dimension to the active... More

Sep 12 2013

Arash Fahim (FSU)
Probabilistic representation for deterministic problems in finance
Financial Mathematics Seminar Time: 3:35pm
Location: LOV 102

Sep 11 2013

(FSU Career Services)
Introduction to FSU Career Services
Financial Math ProseminarTime: 3:35
Location: LOV 102

Sep 5 2013

Junmei Ma (FSU and Shanghai Univ of Finance and Economics)
Importance Sampling for Pricing Financial Derivatives: a Least Squares Approach
Financial Mathematics SeminarTime: 3:35pm
Location: LOV 102

Sep 4 2013

Alec Kercheval and Brian Ewald (FSU)
Welcome and Faculty Showcase
Financial Math ProseminarTime: 3:35pm
Location: LOV 102

Our annual Welcome for all current Financial Math students.

Jun 27 2013

Ibukun Amusan (FSU)
PARAMETER ESTIMATION FOR A STOCHASTIC VOLATILITY MODEL WITH COUPLED ADDITIVE AND MULTIPLICATIVE NOISE
PhD DefenseTime: 3:30
Location: Love 200

Jun 19 2013

Wanwan Huang (FSU)
Stochastic Modeling of Financial Derivatives
PhD DefenseTime: 3:30
Location: 204B

Apr 25 2013

David Yao (FSU)
Single Factor HJM models with Linear Volatility
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Models in the Heath-Jarrow-Morton framework are interest rate models. This class of models are derived by directly modeling the dynamics of the forward rate curve. All models in the HJM framework are... More

Apr 18 2013

Pierre Garreau (FSU)
When Poisson Processes Jump Together
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Apr 11 2013

Andrey Manakov (FSU)
The role of the dollar in the global economy
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Apr 4 2013

Jian Wang (FSU)
Bayesian network models in stock return analysis
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Mar 28 2013

Szu-Yu Pai (FSU)
Internship experience in Chinatrust Bank
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Mar 22 2013

Ramo Gencay (Simon Fraser University)
Economic Links and Credit Spreads
Special Financial Math SeminarTime: 3:35 pm
Location: LOV 301

Counterparty risk is an important determinant of corporate credit spreads. However, there are only a few techniques available to isolate it from other factors. In this paper we describe a model of fin... More

Mar 7 2013

Derar Islim (FSU)

Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Mar 1 2013

Lisa Goldberg (UC Berkeley)
In Search of a Statistically Valid Volatility Risk Factor
Mathematics ColloquiumTime: 3:35 pm
Location: LOV 101

Feb 28 2013

Linlin Xu (FSU)
High Performance RQMC financial simulation
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Feb 21 2013

Dawna Jones (FSU)

Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Feb 7 2013

Pierre Garreau (FSU)
A spectral element method for option pricing under general exponential Levy processes
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

We derive a spectral element framework to compute the price of vanilla derivatives when the dynamic of the underlying follows a general exponential Levy process. The representation of the solution wit... More

Jan 31 2013

Alexandra Chronopoulou (UC Santa Barbara)
Stochastic volatility models with long memory
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Jan 24 2013

Yi Shen (Cornell)
Stationarity Tests and Topological Analysis of Financial Data
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Jan 17 2013

Giray Okten (FSU)
Weather Derivatives
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Jan 16 2013

Janet Lenz (FSU Career Center)
Job Interviewing Workshop
Financial Math ProseminarTime: 3:35 pm
Location: 102 LOV

Dec 14 2012

Jinhua Yan (FSU)
Partial Differential Equation Methods to Price Options in the Energy Marke
Ph.D. DefenseTime: 10:00
Location: 204B

Nov 29 2012

Tony Wills (FSU)
Exploring the Stochastic Heat Equation on a Finite Interval
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Nov 15 2012

Yu-Ying Tzeng (FSU)
Markov Chain Quasi-Monte Carlo Methods
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Nov 8 2012

Nguyet Nguyen (FSU)
Hidden Markov Model for Financial Economics
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Nov 1 2012

Ming Zhu (FSU)
Nonstandard Binomial Models
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Oct 25 2012

Bo Zhao (FSU)
Financial Market Forecasting using Support Vector Regression
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Oct 18 2012

Wei Yuan (FSU)
Implementation of Term Structure Lattice Models
Financial Math SeminarTime: 3:35
Location: 102 LOV

Oct 11 2012

Jian Geng (FSU)
Optimal debt allocation from an issuer's perspective
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Oct 4 2012

Ibukun Amusan (FSU)
Option pricing under a coupled additive-multiplicative stochastic volatility model
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Sep 27 2012

Yuan Zhang (FSU)
Image Recommendation Systems: A New Way for Image Search
Financial Math SeminarTime: 3:35 pm
Location: 102 LOV

Sep 20 2012

Pierre Garreau (FSU)
Markov chain models for mortgage pricing
Financial Math SeminarTime: 3:35
Location: LOV 102

Sep 13 2012

Derar Islim (FSU)
On CMS and CMS-Linked Cash Flows
Financial Math SeminarTime: 3:35
Location: 102 LOV

Sep 6 2012

FACULTY SHOWCASE
Financial Math SeminarTime: 3:35
Location: 102 LOV

Aug 30 2012

Organizational Meeting
Financial Math SeminarTime: 3:35
Location: 102 LOV

Apr 19 2012

Derar Islim (FSU)
Currency Derivatives
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Apr 18 2012

Dawna Jones (FSU)
Dynamic Asset Pricing Theory in Complete Markets
PhD Candidacy ExamTime: 8:00 am
Location: 204B

Apr 12 2012

Jian Wang (FSU)
Bayesian network models for stock return analysis
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Apr 5 2012

Linlin Xu (FSU)
A Fast LIBOR Market Model Simulation on GPU
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Mar 29 2012

Dawna Jones (FSU)
Trading Volume in Complete Markets with Heterogeneous Agents
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Mar 28 2012

Ahmed Islim (FSU)
My interviewing experiences for Quant Internships
Financial Math ProseminarTime: 3:35 pm
Location: LOV 101

Mar 15 2012

Derar Islim (FSU)
Pricing Long Term FX Options
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Mar 1 2012

Nguyet Nguyen (FSU)
Fast quasi-Monte Carlo simulation of the variance gamma model
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Feb 29 2012

Henry Huang (FSU)
My experiences interviewing for Financial Math jobs
Financial Math ProseminarTime: 3:35 pm
Location: 101 LOV

Feb 23 2012

He Huang (FSU)
Modeling Order Book Dynamics using Queues and Point Processes
Financial Math Dissertation DefenseTime: 3:35 pm
Location: 102 LOV

Feb 16 2012

Ibuken Amusan (FSU)
Parameter estimation for an additive-multiplicative stochastic volatility model
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Feb 13 2012

Yang Liu (FSU)
Risk Forecasting and Portfolio Optimization with GARCH, Skewed-t Distributions, and Multiple Timescales
Financial Math Dissertation DefenseTime: 3:35 pm
Location: 201 LOV

Feb 9 2012

Tianyu Liang (FSU)
Alternative Models for Stochastic Volatility Corrections for Equity and Interest Rate Derivatives
Financial Math Dissertation DefenseTime: 3:35 pm
Location: 102 LOV

Feb 2 2012

Ming Zhu (FSU)
Weak Convergence of Probability Measures in Metric Spaces
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Jan 19 2012

Wei Yuan (FSU)
Esimating Greeks Using Monte Carlo
Financial MathematicsTime: 3:35 pm
Location: 102 LOV

Jan 11 2012

Spring Welcome and Introduction to Seminole Link
Financial Math ProseminarTime: 3:35
Location: 101 LOV

Dec 1 2011

Jian Geng
Non-parametric calibration of local volatility models for European Options
FinMath Advanced SeminarTime: 3:35 PM
Location: LOV 201

This talk will present a robust method for the non parametric calibration of local volatility surfaces for European options. The method is tested first with a theoretical model and then with three oth... More

Nov 30 2011

Jerry Osteryoung (FSU Jim Moran Institute)
About entrepreneurship POSTPONED
Financial Mathematics ProseminarTime: POSTPONED
Location: LOV101

Osteryoung gives sound information to those who have interest in small businesses - or for whom consulting may be a fall-back plan. He writes a regular column in the Tallahassee Democrat.

Nov 17 2011

Pierre Garreau (FSU)
Structural Models of Credit: A Spectral Element Approach
FinMath Advanced SeminarTime: 3:35 PM
Location: LOV 201

Nov 9 2011

Manuel Utset (FSU College of Law)
Financial Systems with Hyperbolic Discounters
FinMath Proseminar and Advanced SeminarTime: 3:35
Location: LOV101

Participants in financial systems are generally modeled as making intertemporal decisions in a time-consistent (TC) manner—i.e., using exponential discount functions. Both intuition and a large body... More

Nov 2 2011

Paul Beaumont (joint work with M. Badshah and A. S (FSU Economics)
Computing Equilibrium Wealth Distributions in Models with Heterogeneous-Agents, Incomplete Markets and Idiosyncratic Risk
Financial Mathematics ProseminarTime: 3:40
Location: LOV101

An accurate, fast and robust fixed point method for computing the stationary wealth distributions in macroeconomic models with a continuum of infinitely-lived households who face idiosyncratic sh... More

Oct 20 2011

Dr. Yiyuan She (Statistics Department, FSU)
Joint variable and rank selection for parsimonious estimation of high dimensional matrices
FinMath Advanced SeminarTime: 3:35 PM
Location: Love 201

The talk discusses joint variable and rank selection for supervised dimension reduction in predictive learning. When the number of responses and/or that of the predictors exceed the sample size, one h... More

Oct 6 2011

Henry Huang (FSU)
Hawkes' point processes for the high-frequency dynamics of a limit order book
Finmath Advanced SeminarTime: 3:35 PM
Location: LOV 201

In order to capture the "clustering" features of order arrivals, Hawkes' point processes are used to model the high-frequency dynamics of a limit order book. We use the Level II data for a stock liste... More

Sep 29 2011

Tianyu Liang (FSU)
Alternative stochastic volatility models
FinMath Advanced SeminarTime: 3:35
Location: Love 201

Sep 22 2011

Yang Liu (FSU)
Evaluating portfolio VaR with Delta-Gamma approximation
FinMath Advanced SeminarTime: 3:35
Location: Love 201

Sep 15 2011

Ahmed Derar Islim (FSU)
What I did on my summer vacation: On Bloomberg FX volatility surface and pricing long term FX options
FinMath Advanced SeminarTime: 3:35
Location: Love 201

Sep 1 2011

Giray Okten (FSU)
Organizational meeting
Finmath Advanced SeminarTime: 3:35
Location: 201

Jun 30 2011

Yuanying Guan (Department of Mathematics, Florida State University)
Asset Market Dynamics of Heterogeneous Agent Models with Learning
Ph.D. Dissertation DefenseTime: 1:00 pm
Location: 201 Love

The standard Lucas asset pricing model makes two common assumptions of

homogeneous agents and rational expectations equilibrium. However, these

assumptions are unrealistic for real fina... More

Apr 21 2011

Joseph Boor (FSU Math)
Advanced Topics Exam
Financial MathTime: 3:35
Location: 102 Love

Apr 19 2011

Y. Liu / P. Garreau (FSU)
Elliptical Distributions / Levy Copulas
Financial Math Dissertation SeminarTime: 3:35
Location: 107 LOV

Apr 14 2011

Pieere Garreau (FSU Math)
Merton Jump Diffusion Revisted : A Levy Copula Approach
Financial MathematicsTime: 3:35
Location: 102 Love

Apr 13 2011

Dr. Anuj Srivastava (Statistics Department, FSU)
An Overview of Markov Chain Monte Carlo Methods
Financial Math ProSeminarTime: 3:35
Location: Lov 101

Apr 11 2011

Yuan Zhang (FSU)
Modeling Electricity Spot Prices By Using Mean Reverting Jump Processes with Seasonality
PhD Candidacy ExamTime: 3:35
Location: 200 LOV

Apr 7 2011

Joseph Boor (FSU)
Marginal Risk by Claims Size of Insurance Companies with Considerations in Capital Requiremants, Insurer Profit and Reinsurance Purchasing
financial mathTime: 3:35
Location: 102 Love

Apr 6 2011

Dr. Douglas E. Stevens (Dept of Accounting, FSU)
Rediscovering Adam Smith: How The Theory of Moral Sentiments can explain Recent Evidence in Experimental Economics
Financial Math ProSeminarTime: 3:35 PM
Location: Lov 101

Recent experimental tests of economic theory have provided evidence consistent with the existence of internalized social norms that control narrow self interest. I discuss how Adam Smithâ€™s firs... More

Mar 31 2011

Ming Zhu (FSU)
Nonstandard Analysis and Radically Elementary Probability Theory
Doctoral Candidacy ExamTime: 3:35
Location: 102 LOV

Mar 23 2011

Dr. Xiuwen Liu (Computer Science, FSU)
Statistical Pattern Recognition for Financial Engineering
Financial Math ProSeminarTime: 3:35
Location: Lov 101

Mar 18 2011

Bo Zhao (FSU)
Characterizing FX data with multifractal processes
Candidacy Exam for Bo ZhaoTime: 11:15am
Location: 102 LOV

Mar 16 2011

Ted Nation (FSU Alumnus)
Financial Advising Reality
Financial Math ProSeminarTime: 3:35 PM
Location: 101 LOV

Feb 17 2011

Cancelled due to Lighthill lecture
Financial MathematicsTime: 3:35
Location: 102 love

Feb 16 2011

Ted Nation (FSU Alumnus)
Financial Advising Reality
PROSEMINAR CANCELLED DUE TO LIGHTHILL LECTURETime: 3:35PM
Location: Lov 101

Feb 10 2011

Ibukun Amusan (FSU Math)
Parameter Estimation for a Coupled Additive-Multiplicative Noise Model for Stochastic Volatility
Financial MathematicsTime: 3:35
Location: 102 Love

Feb 3 2011

Ming Zhu (FSU Math)
Nonstandard analysis and radically probability theory
Financial MathematicsTime: 3:35
Location: 102 Love

Jan 27 2011

Motoi Namihira (FSU Math)
The Effect of Parametric Uncertainty in Option Prices
Financial MathematicsTime: 3:35
Location: 102 Love

Jan 26 2011

Kendra Hill (FSU FinMath Alumnus)
"Soft" Survival Skills of the Quantitatively Minded Job Candidate and Employee
Financial Math ProSeminarTime: 3:35
Location: 101 LOV

Jan 25 2011

Zhang/Liu (FSU)
Topics in Jump Processes and Non-Gaussian Distributions, III
Financial Math Dissertation SeminarTime: 3:35
Location: 107 LOV

Jan 19 2011

Jian Geng & Henry Huang (FSU)
Introduction to the trading software TT Xtrader
Financial Math ProSeminarTime: 3:35
Location: 101 LOV

Jan 11 2011

Garreau/Zhang/Liu (FSU)
Topics in Jump Processes and Non-Gaussian Distributions
Financial Math Dissertation SeminarTime: 4:00
Location: LOV 107

Jan 5 2011

Colin Hickey (Finance, FSU)
About Wall Street Prep: looking for an edge over thousands of other applicants?
Financial Math ProSeminarTime: 3:35
Location: 101 LOV

Jan 4 2011

Alec Kercheval (FSU)
organizational meeting
Financial Math Dissertation SeminarTime: 3:35
Location: LOV 107

Dec 2 2010

James M. Carson (FSU)
Catastrophes and the Demand for Life Insurance
Financial Mathematics SeminarTime: 3:35-4:25
Location: LOV201

Nov 18 2010

Ahmed Derar ISLIM (FSU)
PRICING DIGITAL OPTIONS WITH HIGH RESOLUTION METHODS
Financial Mathematics SeminarTime: 3:35-4:25
Location: LOV201