Event Archive

No seminar
  1. January 10, 2022 - 3:30pm
No seminar
  1. December 6, 2021 - 4:30pm
" Convergence of Empirical Measures, Mean-Field Games and Signatures" by Ruimeng Hu (UCSB)
  1. November 29, 2021 - 3:30pm to 4:30pm
"On optimal execution strategy of a portfolio of options under market impact" by Saad Mouti (UCSB)
  1. November 22, 2021 - 3:30pm to 4:30pm
"Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading" by Bin Zou (UConn)
  1. November 15, 2021 - 3:30pm to 4:30pm
"Exploration and Entropy-Regularization in LQG Mean Field Games" by Dena Firoozi (HEC Montreal)
  1. November 8, 2021 - 3:30pm to 4:30pm
No seminar
  1. November 1, 2021 - 3:30pm to 4:30pm
"A mean field perspective for multi-agent reinforcement learning" by Xin Guo (UC Berkeley)
  1. October 25, 2021 - 3:30pm to 4:30pm
" Asymptotics and Approximation of Quasi-Stationary Distributions" by Adam Waterbury (UCSB)
  1. October 18, 2021 - 3:30pm to 4:30pm
" Neural networks in Frechet space and some applications to finance " by Nils Detering (UCSB)
  1. October 11, 2021 - 3:30pm to 4:30pm
No seminar
  1. October 4, 2021 - 3:30pm to 4:30pm
"Some Topics on Principal Agent Problem and Optimal Portfolio Problem" by Zimu Zhu (UCSB)
  1. September 27, 2021 - 3:30pm to 4:30pm
"Non-zero-sum optimal stopping game with continuous versus periodic observations" by Kazutoshi Yamazaki (Kansai University, Japan)
  1. May 24, 2021 - 3:30pm to 4:30pm
"Nonlocal Fully-nonlinear Parabolic Partial Differential Equation and its Applications in Finance" by Chi Seng PUN (NTU Singapore)
  1. May 17, 2021 - 3:30pm
" Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle" by Julien Guyon (Bloomberg NY)
  1. May 10, 2021 - 3:30pm
"Catastrophe Principle and Avoiding Sharp Minima with Heavy-Tailed SGD" by Chang-Han Rhee (Northwestern University)
  1. April 26, 2021 - 3:30pm to 4:30pm
"Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models" by Andrew Papanicolaou (NC State University)
  1. April 19, 2021 - 3:30pm to 4:30pm
"Portfolio Optimisation within a Wasserstein Ball" by Silvana Pesenti (University of Toronto)
  1. April 12, 2021 - 3:30pm to 4:30pm
"Finite-state mean-field games and the master equation" by Asaf Cohen (University of Michigan)
  1. March 15, 2021 - 3:30pm to 4:30pm
"Price impact equilibrium with transaction costs and TWAP trading" by Eunjung Noh (Rutgers University)
  1. March 8, 2021 - 3:30pm to 4:30pm