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 […]

Sharing Profits in the Sharing Economy

Speaker: Gu Wang from WPI Time: 11/19/2020, 2:00 pm -2:50pm Zoom:  992 7853 8762 Abstract: A monopolist platform (the principal) shares profits with a population of affiliates (the agents), heterogeneous in skill, by offering them a common nonlinear contract contingent on individual output. The principal cannot discriminate across individual skill, but knows its distribution and aims […]

 A General Method for Valuation of Drawdown Risk under Markov Models

Speaker: Lingfei Li from Chinese University of Hong Kong Time: 10/8/2020, 9am-9:50am Abstract: We develop a novel algorithm for the analysis of drawdown in general one-dimensional Markovian models. We compute the Laplace transform of the first passage time of the drawdown process based on continuous time Markov chain (CTMC) approximation and numerically invert the Laplace […]

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 […]

NSA Internship Opportunities – 2021

The National Security Agency has exceptional paid summer internships for undergraduate and graduate mathematics and statistics students to work on research and mission-critical problems vital to our nation’s security.  This announcement covers the requirements, application procedures, deadlines, and contact information.  To be considered for these great opportunities they have to apply online at .  Please note that the application […]

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 […]

REU 2020 Cancelled due to Pandemic

Due to the coronavirus (covid-19) outbreak, we will not be able to host the CIMS REU in Industrial Mathematics and Statistics in Summer 2020.  We thank you for your applications, as we got to learn about all of your efforts in mathematics and science, and are disappointed that our program cannot go forward this year.  […]

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 […]

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