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Small-Time Asymptotics and Expansions of Option Prices Under Levy Based Models

SpeakerRuoting GongGeorgia Institute of Technologyhttp://www.math.gatech.edu/users/rgong Description The small-time asymptotic behavior of option prices and implied volatilities for jump-diffusion...

On the Market-Neutrality of Optimal Convergence Trading Strategies

SpeakerBahman AngoshtariOxford Universityhttp://www.maths.ox.ac.uk/people/profiles/bahman.angoshtari Description In this talk, we study the utility maximization problem for assets whose prices are...

Better Than Pre-Commitment Mean-Variance Portfolio Allocation Strategies: Hamilton-Jacobi-Bellman Equations, Viscosity Solutions, and Semi-Self-Financing Strategies

SpeakerDuy-Minh DangUniversity of Torontohttp://utoronto.academia.edu/DuyDang Description Pre-commitment mean-variance (MV) criteria are very popular for portfolio optimization problems, due to their...

Applications of Set Optimization to Finance

SpeakerZachary FeinsteinPrinceton Universityhttp://princeton.academia.edu/zfeinstein Description Abstract: Set optimization is a generalization of vector optimization which can be formulated in a...

Padua Points:Their Construction, Interpolation, Cubature, Their Extensions and Open Problems

Application of Kernel-Based Methods to Medical Image Reconstruction

SpeakerStefano De MarchiDepartment of Mathematics;University of Padova, Italyhttp://www.math.unipd.it/~demarchi/ Description The problem of reconstructing a CT image could be thought as that of...

A Bayesian Model for Joint Analysis of Multivariate Repeated Measures and Time to Event Date in Crossover Trials

SpeakerFang LiuNotre Dame Universityhttp://acms.nd.edu/people/faculty/fang-liu/ Description Joint modeling of longitudinal and survival data has become a popular technique in analyzing clinical...

Constructing Reliable Automatic Numerical Algorithms

SpeakerFred HickernellIllinois Institute of Technologyhttp://www.iit.edu/csl/am/faculty/hickernell_fred.shtml Description Much modern research, development and operations rely on extensive...

Representation Theory in Machine Learning

SpeakerRisi KondorUniversity of Chicagohttp://www.cs.uchicago.edu/people/risi/ Description Representation theory, specifically, non-commutative Fourier transforms, have recently found several...

Effects of Latency

SpeakerRichard SowersUniversity Illinois at Urbana-Champaignhttp://www.math.uiuc.edu/~r-sowers/ Description We discus some ways to think about latency in asset pricing. We consider a framework...