Optimal investment problem under behavioral setting: A Lagrange duality perspective

Speaker: Zhenyu Cui from Stevens Institute of Technology Time: 02/18/2021, 2:00pm -2:50pm Zoom ID: 992 7853 8762 Abstract:We consider the optimal investment problem with both probability distortion/weighting (e.g. inverse S-shaped probability weighting) and general non-concave utility functions (e.g. S-shape utility). The regular method to solve this type of problems is to apply the concavification technique and then […]

Pricing American Options Using Convex Risk Measures

Speaker: Hussein Nasralah from WPI Time:  12/10/2020 2-2:50pm Zoom: 992 7853 8762 Abstract: In this talk, we propose a definition for the price of an American option in an incomplete market using the methodology of indifference pricing.  In particular, we price options using dynamic monetary convex risk measures given by backward stochastic differential equations, with the driver […]

Itô’s formula for flow of measures on semimartingales

Speaker: Xiaoli Wei from UC Berkeley Time: 11/05/2020, 2:00pm -2:50pm Zoom: 992 7853 8762 Abstract: We state Itô’s formula along a flow of probability measures associated with general semimartingales. This extends recent existing results for flow of measures on Itô processes. Our approach is to first prove Itô’s formula for cylindrical polynomials and then use function […]

Margin Constraints, Default Aversion, and Optimal Hedging in Bitcoin Futures Markets

Speaker: Bin Zou from University of Connecticut Time: 10/22/2020, 2:00 – 2:50pm Zoom: 992 7853 8762 Abstract:  We incorporate margin constraint and default aversion into the study of Bitcoin futures. The margin constraint limits an investor’s ability to satisfy the margin requirement in futures trading, while losses exceeding the margin constraint leads to a default event. The […]

AWM Panel on Summer Opportunities

This academic year, our AWM Student Chapter is excited to be running a four-part Personal and Professional Development Series for Women in Mathematics (supported by the Women’s Impact Network). The first part of this series on Summer Opportunities for Women in Mathematics will be held on Monday, Sept. 21, 11:00 AM – 12:00 PM, on […]

Prof. Suzanne L. Weekes Named SIAM Executive Director

Former CIMS Director and CIMS member Suzanne Weekes has been named the Executive Director of the Society for Industrial and Applied Mathematics (SIAM).  In Prof. Weekes’s words: “SIAM has always been a special and important organization to me, personally and professionally. In fact, the SIAM Annual Meeting was the first conference I attended when I […]

A C{0,1}-functional Ito formula and its applications in finance.

Speaker: Xiaolu Tan from Chinese University of Hong Kong Date and Time: 9/10/2020 at 9:00 AM Zoom:  992 7853 8762 Abstract:  We obtain a functional (path-dependent) extension of the Ito formula for C{0,1}-functions in Bandini and Russo (2017). We then provide some original applications in finance of this new formula, by considering an option replication […]

Impulse Control Problems: Solution and Modeling

Speaker: Chao Zhu from University of Wisconsin-Milwaukee Date and Time: 03/16/20, 4-5pm Room: SH306 Abstract: This talk starts with an optimal inventory control problem using a long-term average criterion. In absence of ordering, the inventory process is modeled by a one-dimensional diffusion on some interval of  (-∞, ∞) with general drift and diffusion coefficients and boundary points that are […]

Optimal Investments with Anticipative Information

Speaker: Mauricio Enrique Elizalde Mejía from Universidad Autónoma de Madrid Date and Time: 04/06/2020 Room: SH306 Abstract: We consider the case in which a trader has anticipative information about the value of a stock assumed to be driven by a Brownian motion. We show the usage of two different ways to model the problem; the first […]

Graphon Mean Field Games: A Dynamical Equilibrium Theory for a Networked World

Speaker: Peter Caines from McGill University Date and Time: 03/06/20, 11am-12 Room: SH203 Abstract: The complexity of large population multi-agent dynamical systems, such as occur in economics, communication systems, and environmental and transportation systems, makes centralized control infeasible and classical game theoretic solutions intractable. In this talk we first present the Mean Field Game (MFG) theory of large population […]