Speaker: Prof. Davide Lauria, Department of Management, University of Bergamo Abstract: The ESG score of a company is a measure of its commitment to environmental, social and governance investing standards. ESG scores are produced by rating agencies using unique and proprietary methodologies. The complexity of measurement and the lack of widely accepted standards contribute to […]
Speaker: Prof. Ralf Wunderlich, Institute of Mathematics, Brandenburg University of Technology Cottbus-Sentenberg, Germany Abstract: This paper investigates the optimal selection of portfolios for power utility maximizing investors in a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in […]
Speaker: Professor Antonis Papapantoleon, Delft Institute of Applied Mathematics, EEMCS, Delft University of Technology Abstract: We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial differential equation is reformulated as an energy minimization […]
Speaker: Dr. Jean-Loup Dupret, Department of Mathematics, ETH Zurich Abstract: We present ABIDES-MARL, a framework that combines a new multi-agent reinforcement learning (MARL) methodology with a new realistic limit-order-book (LOB) simulation system to study equilibrium behavior in complex financial market games. The system extends ABIDES-Gym by decoupling state collection from kernel interruption, enabling synchronized learning […]
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 […]
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 […]
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 […]
Speaker: Peter Tankov, ENSAE ParisTech Abstract: We develop a mean-field game framework to study carbon pricing in a multi-sector economy with defaultable firms. In each sector, firms produce a homogeneous good and choose inputs—labor, emissions, and intermediate goods—while taking endogenous prices as given and optimally deciding default timing. The economy is modeled as a system […]
Speaker: Jakša Cvitanić, Caltech Humanities and Social Sciences Abstract: We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the beliefs of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be constructed […]
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 […]
