Financial Mathematics and Stochastic Analysis Seminar at WPI
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)
September 25
Speaker: Jaehyuk Choi (Peking University HSBC Business School)
Title: Simulation schemes for the Heston model with Poisson conditioning
October 30
Speaker: Shane Gao (WPI Business School)
Title: Investing in Mutual Funds: Exploiting the Cross-sectional Predictability in Fund Performance
November 13
Speaker: Qi Feng (Florida State University)
November 20
Speaker: Xiao Shen (University of Utah)
Title: Random growth models and the KPZ universality
November 27
Speaker: Guangqu Zheng (The University of Liverpool)
December 1 (2 pm - 3 pm, joint with the Departmental Colloquium)
Speaker: Michael Ludkovski (University of California Santa Barbara)
December 11
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)
April 15 (11 am - 12 pm, joint with Departmental Colloquium)
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
September 10 (11 am - 12 pm, joint with Departmental Colloquium)
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
October 1 (11 am -12 pm, joint with Departmental Colloquium)
Speaker: Sixian Jin (Worcester Polytechnic Institute)
Title: A new series representation of martingales using Malliavin calculus and their financial applications
October 26
Speaker: Mauricio Elizalde (Autonomous University of Madrid)
Title: Intertemporal cost-efficient consumption
November 9
Speaker: Stephan Sturm (Worcester Polytechnic Institute)
Title: When to sell an asset? - A distribution builder approach
November 16
Speaker: Sebastien Bossu (Worcester Polytechnic Institute)
Title: Static Option Replication as a Radon Transform Inverse Problem
November 23
Speaker: Maxim Bichuch (Johns Hopkins University)
Title: Deep PDE Solution of BSDE