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PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20250309T080000
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TZOFFSETFROM:-0500
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DTSTART:20251102T070000
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20251107T140000
DTEND;TZID=America/Chicago:20251107T150000
DTSTAMP:20260417T063001
CREATED:20250701T183255Z
LAST-MODIFIED:20250707T141727Z
UID:2019-1762524000-1762527600@www.math.ttu.edu
SUMMARY:Robust Bayesian Portfolio Optimization
DESCRIPTION:Speaker: Dr. Carlos Andres Zapata Quimbayo\, ODEON\, Universidad Externado de Colombia\, Bogota \nAbstract: We implement a robust Bayesian framework for portfolio optimization that integrates Bayesian inference with robust optimization techniques. The model considers parameter uncertainty in expected returns and covariances by combining normal-inverse-Wishart and gamma distributions through ellipsoidal uncertainty sets. We apply this methodology to a stock portfolio from the Dow Jones Industrial Average and compare its performance with traditional mean-variance and robust portfolio models.
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-date-reserved-3/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Quimbayo-e1751897818959.jpg
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DTSTART;TZID=America/Chicago:20251114T120000
DTEND;TZID=America/Chicago:20251114T130000
DTSTAMP:20260417T063001
CREATED:20250701T203028Z
LAST-MODIFIED:20250701T203028Z
UID:2023-1763121600-1763125200@www.math.ttu.edu
SUMMARY:Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models
DESCRIPTION:Speaker: Prof. Josep Vives\, Department of Economical\, Financial and Actuarial Mathematics\, University of Barcelona \nAbstract: Let the log returns of an asset X(t) = log(S(t)) be defined on a risk neutral filtered probability space (Ω\, F\, (F(t); t ∈ [0\,T])\, P) for some 0 < T < ∞. Assume that X(t) is a stochastic volatility jump-diffusion model with infinite activity jumps. In this paper\, we obtain an Alós-type decomposition of the plain vanilla option price under a jump-diffusion model with stochastic volatility and infinite activity jumps via two approaches. Firstly\, we obtain a closed-form approximate option price formula. The obtained formula is compared with some previous results available in the literature. In the infinite activity but finite variation case jumps of absolute size smaller than a given threshold ɛ are approximated by their mean while larger jumps are modeled by a suitable compound Poisson process. A general decomposition is derived as well as a corresponding approximate version. Lastly\, numerical approximations of option prices for some examples of Tempered Stable jump processes are obtained. In particular\, for the Variance Gamma one\, where the approximate price performs well at the money.
URL:https://www.math.ttu.edu/mathematicalfinance/event/decomposition-of-the-option-pricing-formula-for-infinite-activity-jump-diffusion-stochastic-volatility-models/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/vives-e1751401644916.jpg
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DTSTART;TZID=America/Chicago:20251121T140000
DTEND;TZID=America/Chicago:20251121T150000
DTSTAMP:20260417T063001
CREATED:20250709T164803Z
LAST-MODIFIED:20250709T211916Z
UID:2076-1763733600-1763737200@www.math.ttu.edu
SUMMARY:Multivariate affine GARCH in portfolio optimization. Analytical solutions and applications
DESCRIPTION:Speaker: Prof. Marcos Escobar-Anel\, Dept. of Statistics & Actuarial Sciences\, University of Western Ontario\, London \nAbstract: Abstract: This paper develops an optimal portfolio allocation formula for multi-assets where the covariance structure follows a multivariate affine GARCH(1\,1) process. We work under an expected utility framework\, considering an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth. After approximating the self-financing condition\, we derive closed-form expressions for all the quantities of interest to investors: optimal allocations\, optimal wealth process\, and value function. Such a complete analytical solution is a first in the GARCH multivariate literature. Our empirical analyses show a significant impact of multidimensional heteroscedasticity in portfolio decisions compared to a setting of constant covariance as per Merton’s embedded solution.
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-date-reserved-7/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Escobar-Anel-scaled-e1752095775466.jpg
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20251128T140000
DTEND;TZID=America/Chicago:20251128T150000
DTSTAMP:20260417T063001
CREATED:20250701T182602Z
LAST-MODIFIED:20250701T182602Z
UID:2013-1764338400-1764342000@www.math.ttu.edu
SUMMARY:No Seminar - Thanksgiving Break
DESCRIPTION:
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-seminar-thanksgiving-break/
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/unhappy.jpg
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