PCA for Implied Volatility Surfaces
Host Department of Applied Mathematics Speaker Andrew Papanicolau Tandon School of Engineering, New York University Description Principal component analysis (PCA) is a useful tool when trying to...
Host Department of Applied Mathematics Speaker Andrew Papanicolau Tandon School of Engineering, New York University Description Principal component analysis (PCA) is a useful tool when trying to...
Speaker: Xiling Zhang, Postdoc, Department of Applied Mathematics, Illinois Institute of Technology Description: This project aims at finding a good approximation for the distribution of the iterated...
Speaker: Xiling Zhang Illinois Institute of Technology Description: This project aims at finding a good approximation for the distribution of the iterated stochastic integrals of length 3. Iterated...
Host Department of Applied Mathematics Speaker Jaksa Cvitanic Division of The Humanities and Social Sciences, California Institute of Technology https://jaksacvitanic.com/ Description We study the...
Speaker Jianfeng Zhang University of Southern California Professor, Department of Mathematics Description In this talk, we consider master equations arising from mean field game problems under the...
Host Department of Applied Mathematics Speaker Michail Anthropelos Department of Banking and Financial Management, University of Piraeus http://bankfin.unipi.gr/faculty/anthropelos/ Description This...
Host Department of Applied Mathematics Speaker Kevin Webster Citadel LLC https://www.linkedin.com/in/kevin-webster-17a98421 Description We study two new applications of the Obizhaeva and Wang model...
Host Department of Applied Mathematics Speaker Oleksii Mostovyi Department of Mathematics, University of Connecticut https://www2.math.uconn.edu/~mostovyi/ Description We consider a problem of optimal...
Host Department of Applied Mathematics Speaker Randolf Altmeyer Institut für Mathematik, Humboldt-Universität zu Berlin https://www.mathematik.hu-berlin.de/de/forschung/forschungsgebiete/stochastik...
Host Department of Applied Mathematics Speaker Sergey Nadtochiy Department of Applied Mathematics, Illinois Institute of Technology http://www-personal.umich.edu/~sergeyn/ Description TBA Event Topic...