UC Santa Barbara

News

Announcements

Prof. Jean-Pierre Fouque is a plenary speaker at SIAM FM'21 Conference

CFMAR Founder and Co-Director Jean-Pierre Fouque is one of the plenary speakers at the SIAM...

Asst Professor Ruimeng Hu receives a Faculty Career Development Award

Ruimeng was awarded the Faculty Career Development Award for 2021-22 by UCSB Academic Senate....

Prof. Tomoyuki Ichiba speaks at the Bachelier One World Seminar

Prof. Tomoyuki Ichiba is the next speaker in the global BFS One World Seminar Talk Series.

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Events

"Finite-state mean-field games and the master equation" by Asaf Cohen (University of Michigan)

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March 15, 2021 - 3:30pm to 4:30pm

"Portfolio Optimisation within a Wasserstein Ball" by Silvana Pesenti (University of Toronto)

Abstract: We consider the problem of active portfolio management where a loss-...

April 12, 2021 - 3:30pm to 4:30pm

"Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models" by Andrew Papanicolaou (NC State University)

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April 19, 2021 - 3:30pm to 4:30pm

"Catastrophe Principle and Avoiding Sharp Minima with Heavy-Tailed SGD" by Chang-Han Rhee (Northwestern University)

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April 26, 2021 - 3:30pm to 4:30pm

" Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle" by Julien Guyon (Bloomberg NY)

The very high...

May 10, 2021 - 3:30pm

"Nonlocal Fully-nonlinear Parabolic Partial Differential Equation and its Applications in Finance" by Chi Seng PUN (NTU Singapore)

We first analyse the parameter sensitivity of solutions to parametric linear parabolic partial...

May 17, 2021 - 3:30pm

"Non-zero-sum optimal stopping game with continuous versus periodic observations" by Kazutoshi Yamazaki (Kansai University, Japan)

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May 24, 2021 - 3:30pm to 4:30pm

June 2021