Speaker: Sergey Nadtochiy, Associate Professor, Department of Applied Mathematics, Illinois Institute of Technology Description: I will present a simple model of market microstructure which explains...
Speaker: Gregory Pasemann, TU Berlin Description: In this talk we consider drift estimation for Stochastic Partial Differential Equations (SPDEs). While Girsanov's theorem implies that the drift of a...
Speaker: Adrien Richou, associate professor, University of Bordeaux Event Topic: Stochastic Analysis
Speaker: Konstantin Makarychev, Associate Professor, Department of Computer Science, Northwestern University Description: We investigate dimensionality reduction for Euclidean kk-means and kk-medians...
Speaker: Albina Danilova, Visiting Associate Professor, Questrom School of Business, Boston University Description: The folk result in Kyle-Back models states that the value function of the insider...
Speaker: Mark Cerenzia, Dickson Instructor, Department of Mathematics, University of Chicago Description: Random matrix statistics emerge in a broad class of strongly correlated systems, with evidence...
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...
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...
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...
