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Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective

via Zoom

Speaker: Prof. Karen Grigorian, Department of Statistics and Applied Probability, UC Santa Barbara Abstract: We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in the context of partial information and partially observable financial markets: (i) convergence of reduced-information market price processes to the true price process under an increasing […]

Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew- copula approach

via Zoom

Speaker: Dr. Kakeru Ito, Senior Portfolio Manager (Multi-Asset / Quants), Mizuho Securities Co., Ltd. and Visiting Researcher, Graduate School of Management, Tokyo Metropolitan University Abstract: This study proposes AC dynamic skew-𝑡 copula with cDCC model to capture the dynamic asymmetric tail dependence structure among multi-asset classes (government bonds, corporate bonds, equities, and REITs). We provide […]

Corruption via Mean Field Games

via Zoom

Speaker: Dr. Kirill Golubnichiy, Department of Mathematics & Statistics, Texas Tech University Abstract: A new mathematical model describing the evolution of a corrupted hierarchy is derived. This model is based on mean field games theory. We consider a retrospective (inverse) problem for this model. From an applied standpoint, this problem amounts to reconstructing the past […]