Speaker: Ludovic Tangpi, Princeton University Title: Optimal Investment in a Large Population of Competitive and Heterogeneous Agents Abstract: We consider a large crowd of exponential utility...
Speaker: Tyrone Duncan, University of Kansas Title: Some Properties and Applications of Rosenblatt Processes Abstract: Rosenblatt processes are a family of continuous, non-Gaussian processes that are...
Speaker: Yuan Yin, Illinois Institute of Technology Title: Consistency of MLE for partially observed diffusions: application to market microstructure modeling Description: In this talk, I will present...
Speaker: William Hammersley, 3IA, Université Côte D'Azur Title: Rearranged Stochastic Heat Equation Abstract: The ideas presented in this talk are motivated by the desire to regularise by noise...
Speaker: Andreas Søjmark, London School of Economics and Political Science Title: Dynamic default contagion in heterogeneous interbank systems Abstract: In this talk, I will propose a dynamic default...
Speaker: Silvana Pesenti, Assistant Professor, Department of Statistical Sciences, University of Toronto Title: Reverse Stress Testing: Static and Dynamic Abstract: This presentation is based on a...
Speaker Thorsten Schmidt, Department of Mathematical Stochastics, University of Freiburg Title Affine models under uncertainty and robust deep hedging Abstract Model uncertainty is certainly present...
Speaker: Ibrahim Ekren, Florida State University Description: TBA Note:Face coverings will be required. Even if you are fully vaccinated, all students, staff, faculty, and guests must wear a face...
Speaker: Abdoulaye Thiam, Department of Applied Mathematics, Illinois Institute of Technology Title: On Inventory Control Problems with Uncertainty Quantification and a Case Study. Abstract: The...
Speaker: Leonardo Tolomeo, Hausdorff Centre for Mathematics, Bonn, Germany Title: Phase Transitions of the Focusing Φ^p_1 Measures Abstract: We study the behavior of the focusing Φ^p_1 measures on the...
