Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information.

Speaker: Scott Robertson from Boston University Date and Time: 02/24/20, 4-5pm Room: SH306 Abstract: In this talk, we consider equilibria in the presence of asymmetric information and misinformed agents (noise traders). We establish existence of two equilibria. First, a full communication one where the informed agents’ signal is disclosed to the market, and static policies are optimal. […]

Dynamic Index Tracking and Risk Exposure Control Using Derivatives

Speaker: Tim Leung from UW-Seattle Date and Time: 03/23/2020,  4-5pm Abstract: A common challenge faced by many institutional and retail investors is to effectively control risk exposure to various market factors. There is a great variety of indices designed to provide different types of exposures across sectors and asset classes. Some of these indices can be difficult […]

Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization

Speaker: Lingjiong Zhu from Florida State University Date and Time: 11/05/2019,  4-5pm Abstract: 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 steer the iterates towards a global minimum. Many works reported its empirical success […]

Limit Theorems and Regenerative Processes

Speaker: Ju-yi Yen from University of Cincinnati Date and Time: 10/29/19, 4-5pm Abstract:In this talk, we present limit theorems related to integrals of functions taken at the values of Brownian motion. These limit theorems involve regenerative processes and the local time of the Brownian motion.

The Inverse First Passage Time Problem for killed Brownian motion

Speaker: Alex Hening from Tufts Date and Time: 10/08/19, 4-5pm Abstract: The inverse firat passage time problem asks whether, for a Brownian motion B and a nonnegative random variable ζ, there exists a time-varying barrier b such that P{B s > b(s), 0 ≤ s ≤ t} = P{ζ > t}. We study a ”smoothed” version […]

Actuarial Networking Night

We’re hosting our 5th annual Actuarial Networking Night in a few weeks, on Wednesday, September 11, at 5:00 pm in the Campus Center Odeum.  We have 16 companies sending representatives (often WPI grads!), plus we’ll  open this up to all of our current MAC and MA majors who may want to learn a bit more about […]

CIMS hosts Veronica Meija Bustamante visit.

Dr. Veronica Meija Bustamante, VP at JP Morgan-Chase, gave a presentation to the CIMS REU in Industrial Mathematics and Statistcs on “Applications of Data Science in Finance” on July 12, 2019. The talk was open to all of the NSF-funded REU students on campus as well as WPI undergraduate student researchers.

CIMS Hosts Panel for Industrial Careers in Mathematics – 2019

  On June 12, 2019, CIMS hosted a panel for industrial careers in mathematics, as part of the NSF-funded Research Experiences for Undergraduates in Industrial Mathematics and Statistics.  The panel consisted of Laura Antul (MITRE; Systems Engineer) Alana Aubin (Everquote; VP for Strategic Projects) Kaitlyn Brady (BJ Wholesales Club; Senior Data Scientist) Divya Moorjaney (LogMeIn; […]

CIMS hosts a Panel on Academic Careers in Mathematics

CIMS hosted a panel on Academic Careers in Mathematics on June 4, 2019.  This panel focused on the transition from undergraduate through graduate school and beyond.  Topics included how to choose a graduate program, life in graduate school, postdoctoral positions and the rewards/demands of a faculty position.  The panel consisted of Prof. Andrea Arnold, Assistant […]

M.S. Thesis Presentation-Stephanie Martin, April 12, 3:00pm, SH202

Stephanie A. Martin will be presenting her M.S. Thesis topic on “Computational Characterization of Thermal Processes in an AlN:Mo Susceptor in a Millimeter Wave Heat Exchanger” on April 12, 2019 at 3:00pm in SH 202.