Event Archive

"A mean field perspective for multi-agent reinforcement learning" by Xin Guo (UC Berkeley)
  1. October 25, 2021 - 3:30pm to 4:30pm
" Asymptotics and Approximation of Quasi-Stationary Distributions" by Adam Waterbury (UCSB)
  1. October 18, 2021 - 3:30pm to 4:30pm
" Neural networks in Frechet space and some applications to finance " by Nils Detering (UCSB)
  1. October 11, 2021 - 3:30pm to 4:30pm
No seminar
  1. October 4, 2021 - 3:30pm to 4:30pm
"Some Topics on Principal Agent Problem and Optimal Portfolio Problem" by Zimu Zhu (UCSB)
  1. September 27, 2021 - 3:30pm to 4:30pm
"Non-zero-sum optimal stopping game with continuous versus periodic observations" by Kazutoshi Yamazaki (Kansai University, Japan)
  1. May 24, 2021 - 3:30pm to 4:30pm
"Nonlocal Fully-nonlinear Parabolic Partial Differential Equation and its Applications in Finance" by Chi Seng PUN (NTU Singapore)
  1. May 17, 2021 - 3:30pm
" Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle" by Julien Guyon (Bloomberg NY)
  1. May 10, 2021 - 3:30pm
"Catastrophe Principle and Avoiding Sharp Minima with Heavy-Tailed SGD" by Chang-Han Rhee (Northwestern University)
  1. April 26, 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)
  1. April 19, 2021 - 3:30pm to 4:30pm
"Portfolio Optimisation within a Wasserstein Ball" by Silvana Pesenti (University of Toronto)
  1. April 12, 2021 - 3:30pm to 4:30pm
"Finite-state mean-field games and the master equation" by Asaf Cohen (University of Michigan)
  1. March 15, 2021 - 3:30pm to 4:30pm
"Price impact equilibrium with transaction costs and TWAP trading" by Eunjung Noh (Rutgers University)
  1. March 8, 2021 - 3:30pm to 4:30pm
CANCELLED. Seminar by Philip Ernst (Rice University)
  1. February 22, 2021 - 3:30pm to 4:30pm
" Large population games in the weak formulation and their mean field game limits" by Ludovic Tangpi (Princeton University)
  1. February 8, 2021 - 3:30pm to 4:30pm
2nd UCSB InsurTech Summit
  1. January 29, 2021 - 12:00am
"Kriging the Local Volatility Surface" by Matthew Dixon (Illinois Institute of Technology)
  1. January 25, 2021 - 3:30pm to 4:30pm
10th Western Conference on Mathematical Finance
  1. January 15, 2021 - 12:00am to January 18, 2021 - 12:00am
"On Learning in Mean-Field Games" by Mathieu Laurière (Princeton University)
  1. January 11, 2021 - 3:30pm to 4:30pm
"Error Estimates for the Longstaff-Schwartz Least-Squares Monte Carlo Algorithm" by Daniel Zanger (UCSB)
  1. November 30, 2020 - 3:30pm to 4:30pm