Oct
15
Optimal Fund Menus
Host Department of Applied Mathematics Speaker Jaksa Cvitanic Division of The Humanities and Social Sciences, California Institute of Technology https://jaksacvitanic.com/ Description We study the...
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Sep
23
Optimal investment, Derivative Demand and Arbitrage under Price Impact
Host Department of Applied Mathematics Speaker Michail Anthropelos Department of Banking and Financial Management, University of Piraeus http://bankfin.unipi.gr/faculty/anthropelos/ Description This...
Sep
17
Revisiting the Obizhaeva and Wang Model
Host Department of Applied Mathematics Speaker Kevin Webster Citadel LLC https://www.linkedin.com/in/kevin-webster-17a98421 Description We study two new applications of the Obizhaeva and Wang model...
Sep
10
Optimal Consumption From Investment and Labor Income in a Unifying Framework of Admissibility
Host Department of Applied Mathematics Speaker Oleksii Mostovyi Department of Mathematics, University of Connecticut https://www2.math.uconn.edu/~mostovyi/ Description We consider a problem of optimal...
Aug
20
Nonparametric Estimation for Linear SPDEs From Local Measurements
Host Department of Applied Mathematics Speaker Randolf Altmeyer Institut für Mathematik, Humboldt-Universität zu Berlin https://www.mathematik.hu-berlin.de/de/forschung/forschungsgebiete/stochastik...
Apr
30
Endogenous Price Impact for Derivatives’ Markets
Host Department of Applied Mathematics Speaker Sergey Nadtochiy Department of Applied Mathematics, Illinois Institute of Technology http://www-personal.umich.edu/~sergeyn/ Description TBA Event Topic...
Apr
23
Statistical Analysis of Evolution Equations Driven by Space-Only Noise
Host Department of Applied Mathematics Speaker Hyun-Jung Kim Department of Applied Mathematics, Illinois Institute of Technology https://sites.google.com/view/hyun-jungkim Description In this talk...
Apr
2
Zachary Feinstein
Host Department of Applied Mathematics Speaker Zachary Feinstein McKelvey School of Engineering, Washington University in St. Louis https://engineering.wustl.edu/Profiles/Pages/Zachary-Feinstein.aspx...
Mar
26
Wasserstein Convergence Rates for the EMCEL and Perturbed EMCEL Algorithms
Host Department of Applied Mathematics Speaker Mikhail Urusov Department of Mathematics, University of Duisburg-Essen http://homepage.alice.de/murusov/ Description We discuss the convergence rates in...
Mar
25
Mean-Field Models for Systemic Risk with Common Exposures and Contagion
Host Department of Applied Mathematics Speaker Andreas Sojmark Mathematical Institute, University of Oxford https://www.maths.ox.ac.uk/people/andreas.sojmark Description In this talk I will present a...