Seminar on Financial Mathematics

Fall 2020

  • Dec 10th, 2-3pm, Hussein Nasralah from WPI.
    • Title: Pricing American Options Using Convex Risk Measures(abstract)
  • Nov 19th, 2-3pm, Gu Wang from WPI.
    • Title: Sharing Profits in the Sharing Economy(abstract)
  • Nov 5th, 2-3pm,Xiaoli Wei from UC Berkeley
    • Title: Itô’s formula for flow of measures on semimartingales(abstract)
  • Oct 22th, 2-3pm, Bin Zou from University of Connecticut.
    • Title: Margin Constraints, Default Aversion, and Optimal Hedging in Bitcoin Futures Markets(abstract)
  • Oct 8th, 9-10am, Lingfei Li from Chinese University of Hong Kong
    • Title: A General Method for Valuation of Drawdown Risk under Markov Models(abstract)
  • Sep 10th, 9-10am, Xiaolu Tan from Chinese University of Hong Kong
    • Title:  A C^{0,1}-functional Ito formula and its applications in finance (abstract)

Spring 2020

  • Feb 24th, 4-5pm, SH306, Scott Robertson from Boston University
    • Title: Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information (abstract)
  • Mar 6th, 11am-12, SH203, Peter Caines from McGill University
    • Title: Graphon Mean Field Games: A Dynamical Equilibrium Theory for a Networked World (abstract)
  • Mar 10th, 4-5pm, Term Break
  • Mar 20th, 11am-12, SH203, George Yin from Wayne State University
  • Apr 6th, SH306, Mauricio Enrique Elizalde Mejía from Universidad Autónoma de Madrid
    • Title: Optimal Investments with Anticipative Information (abstract)

Fall 2019

  • Sep 10th, 4-5pm, Hao Xing from BU
    • Title: Rational inattention and dynamic discrete choice (abstract)
  • Oct 8th, 4-5pm, Alex Hening from Tufts
    • Title: The Inverse First Passage Time Problem for killed Brownian motion (abstract)
  • Oct 15th, Term Break
  • Oct 29th, 4-5pm, Ju-yi Yen from University of Cincinnati
    • Title: Limit Theorems and Regenerative Processes  (abstract)
  • Nov 5th, 4-5pm, Lingjiong Zhu from FSU
    • Title: Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization (abstract)