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...
Speaker: Konstantinos Dareiotis, University of Leeds, UK Title: Approximation of Stochastic Equations with Irregular Drifts Abstract: In this talk we will discuss the rate of convergence of the Euler...
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...
