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Financial Mathematics Seminars


Past Events

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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
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
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
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 Smith’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