Financial Mathematics and Stochastic Analysis Seminar at WPI

Spring 2024, Thursday 11 am - 12 pm, Olin Hall 218 (C term) and Higgins Labs 154 (D term)


Fall 2023, Monday 2 - 3 pm Olin Hall 223 (A term) and Monday 10 - 11 am Unity Hall 405 (B term)

Speaker: Jaehyuk Choi (Peking University HSBC Business School)

Title: Simulation schemes for the Heston model with Poisson conditioning 

Speaker: Shane Gao (WPI Business School)

Title: Investing in Mutual Funds: Exploiting the Cross-sectional Predictability in Fund Performance

Speaker: Qi Feng (Florida State University)

Speaker: Xiao Shen (University of Utah)

Title: Random growth models and the KPZ universality

Speaker: Guangqu Zheng (The University of Liverpool)

      Speaker: Michael Ludkovski (University of California Santa Barbara)

Speaker: Yonatan Ashenafi (WPI)

Title: Homogenization of Multiscale SDE System



Spring 2022, Monday 11 am - 12 pm (C term) and Friday 1 pm - 2 pm (D term)

Speaker: Chao Zhu (University of Wisconsin-Milwaukee)

Title: On an Ergodic Two-Sided Singular Control Problem 

Venue: Zoom - 938 5580 7694

Fall 2021, Tuesdays 3-4 pm, SH 203 (A term) and SH 306 (B term) or online

Speaker: Jianfeng Zhang (University of Southern California)

Title: Mean Field Game Master Equations with Monotonicity and Anti-monotonicity Conditions in Displacement Sense. 

Venue: Zoom - 938 5580 7694

Speaker: Sixian Jin (Worcester Polytechnic Institute) 

Title: A new series representation of martingales using Malliavin calculus and their financial applications

Speaker: Mauricio Elizalde (Autonomous University of Madrid)

Title: Intertemporal cost-efficient consumption

Speaker: Stephan Sturm (Worcester Polytechnic Institute)

Title: When to sell an asset? - A distribution builder approach

Speaker: Sebastien Bossu (Worcester Polytechnic Institute)

Title: Static Option Replication as a Radon Transform Inverse Problem

Speaker: Maxim Bichuch (Johns Hopkins University)

Title: Deep PDE Solution of BSDE