Speaker: Dan Leonte, Postdoctoral Research Fellow, KAUST Abstract: Since the seminal work of Gatheral, Jaisson, and Rosenbaum (2014), it has become widely accepted that volatility in derivatives markets exhibits rough behavior. Numerical methods for rough volatility models are often difficult to stabilize and scale to large volatility smile surfaces. In addition, calibration to volatility surfaces, […]

Speaker: Jean-Pierre Fouque, University of California, Santa Barbara Abstract: We present our recent results on multi-scale reinforcement learning algorithms for mean field game and mean field control problems with applications to finance.   Hongwei Mei is inviting you to a scheduled Zoom meeting. Topic: Mathematical Finance Seminar Time: Oct 2, 2026 02:00 PM Central Time […]