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 […]
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) […]
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 […]
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 […]
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 […]
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 […]
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 […]
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 […]
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 […]
Speaker: Dylan Possamaï, ETH Zürich Abstract: In this talk, we provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem […]