Speaker: Peter Spreij, University of Amsterdam and Radboud University Nijmegen Abstract: We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic...
Speaker: Alex Shkolnik, Department of Statistics and Applied Probability, University of California Santa Barbara Description: Harry Markowitz transformed finance by framing the portfolio construction...
Speaker: Tao Chen, Department of Mathematics, University of Michigan, Ann Arbor Description: In this work, we use a nonparametric Bayesian approach to address the issue of Knightian uncertainty in...
Speaker: Ziteng Cheng, Ph.D. Student, Department of Applied Mathematics, Illinois Institute of Technology Description: We obtain a Wiener-Hopf type factorization for a time-inhomogeneous arithmetic...
Speaker: Ruoting Gong, Assistant Professor, Department of Applied Mathematics, Illinois Institute of Technology Description: In this talk we propose a new method for the estimation of a semiparametric...
Speaker: X. Zhang, Department of Applied Mathematics, Illinois Institute of Technology Description: Diffusion-limited aggregations (DLA) are random growth models on the lattice, where a set grows at...
Speaker: Matthew Dixon, Assistant Professor, Department of Applied Math, Illinois Institute of Technology Description: A ubiquitous problem in surrogate modeling of dynamical systems is how to...
Speaker: Sergey Nadtochiy, Associate Professor, Department of Applied Math, Illinois Institute of Technology Description: Backward stochastic differential equations (BSDEs) are probabilistic analogues...
Speaker: Guillermo Alonso Alvarez, Ph.D. student, Department of Applied Mathematics, ÂÌñÉç Description: The role of the broker in the market is to produce transactions for an Investor charging...
Due to the recent COVID-19 outbreak, this event has been cancelled. Speaker: Ziteng Cheng, PhD Student, Department of Applied Mathematics, Illinois Institute of Technology Description: TBD Topic...
