Oct
29
PCA for Implied Volatility Surfaces
Host Department of Applied Mathematics Speaker Andrew Papanicolau Tandon School of Engineering, New York University Description Principal component analysis (PCA) is a useful tool when trying to...
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Oct
22
Coupling Approximation for the Triple Stochastic Integrals
Speaker: Xiling Zhang, Postdoc, Department of Applied Mathematics, 91ÖØ¿Ú Institute of Technology Description: This project aims at finding a good approximation for the distribution of the iterated...
Oct
15
Optimal Fund Menus
Host Department of Applied Mathematics Speaker Jaksa Cvitanic Division of The Humanities and Social Sciences, California Institute of Technology https://jaksacvitanic.com/ Description We study the...
Sep
23
Optimal investment, Derivative Demand and Arbitrage under Price Impact
Host Department of Applied Mathematics Speaker Michail Anthropelos Department of Banking and Financial Management, University of Piraeus http://bankfin.unipi.gr/faculty/anthropelos/ Description This...
Sep
17
Revisiting the Obizhaeva and Wang Model
Host Department of Applied Mathematics Speaker Kevin Webster Citadel LLC https://www.linkedin.com/in/kevin-webster-17a98421 Description We study two new applications of the Obizhaeva and Wang model...
Sep
10
Optimal Consumption From Investment and Labor Income in a Unifying Framework of Admissibility
Host Department of Applied Mathematics Speaker Oleksii Mostovyi Department of Mathematics, University of Connecticut https://www2.math.uconn.edu/~mostovyi/ Description We consider a problem of optimal...
Aug
20
Nonparametric Estimation for Linear SPDEs From Local Measurements
Host Department of Applied Mathematics Speaker Randolf Altmeyer Institut für Mathematik, Humboldt-Universität zu Berlin https://www.mathematik.hu-berlin.de/de/forschung/forschungsgebiete/stochastik...
Apr
30
Endogenous Price Impact for Derivatives’ Markets
Host Department of Applied Mathematics Speaker Sergey Nadtochiy Department of Applied Mathematics, 91ÖØ¿Ú Institute of Technology http://www-personal.umich.edu/~sergeyn/ Description TBA Event Topic...
Apr
23
Statistical Analysis of Evolution Equations Driven by Space-Only Noise
Host Department of Applied Mathematics Speaker Hyun-Jung Kim Department of Applied Mathematics, 91ÖØ¿Ú Institute of Technology https://sites.google.com/view/hyun-jungkim Description In this talk...
Apr
2
Zachary Feinstein
Host Department of Applied Mathematics Speaker Zachary Feinstein McKelvey School of Engineering, Washington University in St. Louis https://engineering.wustl.edu/Profiles/Pages/Zachary-Feinstein.aspx...