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 […]
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 […]
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 […]
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.
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; […]
Veronica Mejia Bustamante, Vice President JP Morgan “Applications of data science in finance” March 22nd, 1:00 PM SH 306
State Street will be on campus to host a Tech Talk on Distributed Ledger Technology (DLT). Learn about the impact of DTL on FinTech and the way we do business. There is no better time to bring in your resume and apply to your dream internship or full-time job! See the flyer!
Students from the NSF-funded Research Experiences for Undergraduates in Industrial Mathematics and Statistics gave a presentation on the findings of their research to State Street in Boston, MA, on July 26, 2018. Students. In the presentations the students showed how techniques from machine learning can help in the predication of trade exemptions which will help […]
Both teams in the NSF-funded Research Experiences for Undergraduates in Industrial Mathematics and Statistics gave presentations at the Mathematics Institute for Secondary Teaching at WPI on July 17 and 18, 2018. The Applied and Industrial Mathematics Institute for Secondary Teaching offers workshops for high school mathematics teachers interested in learning more about how high school math is […]
Students from the NSF-funded Research Experiences for Undergraduates in Industrial Mathematics and Statistics visited the State Street Corporation in Quincy, MA, on June 25, 2018. With advisors Prof. Stephan Sturm and Prof. Marcel Blais, students discussed with State Street management their plans to move their post-trade record keeping to a distributed ledger system and how […]
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