Mathematical Finance and Probability Seminars

Event Type

Year

Oct 15 2021

5th Eastern Conference on Mathematical Finance

Information: Friday, October 15, 2021 - Saturday, October 16, 2021; 12:00 AM - 11:59 PM; Event Type: Mathematical Finance and Probability Seminars; TBD; Event Short Description
The goal of the Eastern Conference on Mathematics Finance (ECMF) series is to bring together researc

Mar 10 2020

PDE Uniqueness for Diffusive Strict Local Martingales

Information: Tuesday, March 10, 2020 - Tuesday, March 10, 2020; 11:50 AM - 12:50 PM; Event Type: Mathematical Finance and Probability Seminars; Hill Center 425; Event Short Description
For a real-valued diffusive strict local martingale, we prove a uniqueness result for the Cauchy pro

Nov 19 2019

Resolving Asset Pricing Puzzles with Price Impact

Information: Tuesday, November 19, 2019 - Tuesday, November 19, 2019; 11:50 AM - 12:50 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 425; Event Short Description
We solve in closed-form a Nash equilibrium model in which a finite number of exponential investors t

Nov 12 2019

Deep Fictitious Play for Stochastic Differential Games

Information: Tuesday, November 12, 2019 - Tuesday, November 12, 2019; 11:50 AM - 12:50 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 425; Event Short Description
We propose the deep fictitious play theory to compute the Nash equilibrium of asymmetric N-player no

Oct 08 2019

Inverting the Markovian projection, with an application to local stochastic volatility models

Information: Tuesday, October 8, 2019 - Tuesday, October 8, 2019; 11:55 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 425; Event Short Description
We study two-dimensional stochastic differential equations (SDEs) of McKean--Vlasov type in which th

Oct 01 2019

Viscosity solutions for controlled McKean–Vlasov jump-diffusions

Information: Tuesday, October 1, 2019 - Tuesday, October 1, 2019; 11:50 AM - 12:50 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 425; Event Short Description
We study a class of nonlinear integro-differential equations on the Wasserstein space related to the

Sep 24 2019

Optimal Bookmaking

Information: Tuesday, September 24, 2019 - Tuesday, September 24, 2019; 11:50 AM - 12:50 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 425; Event Short Description
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynam

Apr 23 2019

Pricing Debt in Interbank Networks with Comonotonic Endowments

Information: Tuesday, April 23, 2019 - Tuesday, April 23, 2019; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In this talk we present formulas for the pricing of debt and equity of firms in a financial network

Apr 09 2019

FBSDEs with discontinuous coefficients

Information: Tuesday, April 9, 2019 - Tuesday, April 9, 2019; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Abstract: In this talk we consider well-posedness of systems of forward and backward stochastic diff

Apr 02 2019

Yule’s “Nonsense Correlation” Solved!

Information: Tuesday, April 2, 2019 - Tuesday, April 23, 2019; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In this talk, I will discuss how I recently resolved a longstanding open statistical problem. The pr

Mar 26 2019

The Dyson Game

Information: Tuesday, March 26, 2019 - Tuesday, March 26, 2019; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Random matrix statistics emerge in a broad class of strongly correlated systems, with evidence sugge

Feb 19 2019

Homogenization of a class of one-dimensional nonconvex viscous Hamilton-Jacobi equations with random potential

Information: Tuesday, February 19, 2019 - Tuesday, February 19, 2019; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
I will present joint work with Elena Kosygina and Ofer Zeitouni in which we prove the homogenization

Nov 27 2018

Optimal investment with transient price impact

Information: Tuesday, November 27, 2018 - Tuesday, November 27, 2018; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We introduce a price impact model which accounts for finite market depth, tightness and resilience.

Oct 23 2018

Sharing Profits in the Sharing Economy

Information: Tuesday, October 23, 2018 - Tuesday, October 23, 2018; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Abstract: A monopolist platform (the principal) shares profits with a population of affiliates (the

Oct 09 2018

An algorithmic approach to the optimal execution problem in finance

Information: Tuesday, October 9, 2018 - Tuesday, October 9, 2018; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In Obizhaeva-Wang setting for the problem of liquidating a large position, we consider the case wher

Sep 25 2018

Optimal portfolio allocations in a heterogeneous banking system

Information: Tuesday, September 25, 2018 - Tuesday, September 25, 2018; 11:50 AM - 12:55 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We study the portfolio choice implications of leverage constrained banks, which need to deleverage i

Apr 24 2018

Exit problems near hyperbolic equilibria and noisy heteroclinic networks

Information: Tuesday, April 24, 2018 - Tuesday, April 24, 2018; 11:40 AM - 12:45 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Abstract: Motivated by a simple model of sequential decision making, we study small random perturbat

Apr 17 2018

Optimal Portfolio under Fractional Stochastic Environment

Information: Tuesday, April 17, 2018 - Tuesday, April 17, 2018; 11:40 AM - 12:45 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Rough stochastic volatility models have attracted a lot of attention recently, in particular for the

Apr 10 2018

Diffusion Transformations, Black-Scholes Equation and Optimal Stopping

Information: Tuesday, April 10, 2018 - Tuesday, April 10, 2018; 11:40 AM - 12:45 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705

Mar 27 2018

Log-optimal portfolios with memory effect

Information: Tuesday, March 27, 2018 - Tuesday, March 27, 2018; 11:40 AM - 12:45 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
I am going to talk about an investment problem with logarithmic utility function where we take into

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