数理ファイナンスセミナー

Math-Fi seminar on 18 Jan.

2018.01.16 Tue up
  • Date: 18 Jan.(Thu.)
  • Place: W. W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Takanori Adachi (Ritsumeikan university)
  • Title: アルゴリズム取引って何だろう？
  • Abstract: 
​コンピュータ・プログラムを使って自動的に株などの取引を行う手法をアルゴリズム取引といいます．
中でも，特に高速に取引をおこなうものは，高頻度取引あるいは HFT と呼ばれています．
こうした取引は，従来の人手で行ってきた取引とは違い，コンピュータと数学を駆使して行われます．
本講演では，学部生の皆さんにも興味を持ってもらえるように，投資の肝の解説から初めて，アルゴ・ビジネス (アルゴリズム取引を使ったビジネス) の現状を概観します．
さらにビジネスの基本になる投資戦略とアルファ（利益の源泉）について，それらを自動化して扱うためにどのような技術が使われているかを解説します．
その後，時間が許せば，機械学習の技術を使ってアルファを探索する可能性について議論し，人工知能のプレゼンスが増すであろうアルゴリズム取引の未来について考えてみます．

Math-Fi seminar on 22 Dec.

2017.12.21 Thu up
  • Date: 22 Dec. (Fri.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Tai-Ho Wang
  • Title: Works in progress related to quantitative finance
  • Abstract: In this talk, I will introduce the projects that I am currently working on and their possible extensions. The first concerns the pricing of an exotic option called target volatility option in the fractional SABR model. Secondly, we concern ourselves in an equilibrium model on asymmetric information and insider trading in continuous time taking into account adverse selection and inventory cost. Lastly, we propose an approximate maximum likelihood estimator for the drift term of a  fractional Brownian motion with drift. 

Math-Fi seminar on 23 Nov.

2017.11.21 Tue up
  • Date: 23 Nov. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Masanori Koyama (Ritsumeikan university)
  • Title: TBA
 

Math-Fi seminar on 7 Nov.

2017.11.06 Mon up
  • Date: 7 Nov. (Tue.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Yong Hyun Shin (Seoul)
  • Title: Consumption and Portfolio Selection with Necessities and Luxuries
 

Math-Fi seminar on 2 Nov.

2017.10.31 Tue up
  • Date: 2 Nov.(Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Kanji Inui (Kyoto university)
  • Title: Discontinuity of energy density functions on Sierpinski gasket
  • Abstract: N-dimensional Sierpinski gasket is one of most important fractal. we consider energy density functions on it. Bell, Ho and Strichartz proved that this functions are discontinuous at every point if N = 2 [1]. I will talk about discontinuity of energy density functions on N-dimensional Sierpinski gasket.  
[1] R. Bell, C. W. Ho and R. S. Strichartz, Energy measures of harmonic functions on the Sierpiński gasket, Indiana Univ. Math. J. 63 (2014), 831–868
 

Math-Fi seminar on 12 Oct.

2017.10.03 Tue up
  • Date: 12 Oct. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • TIme: 16:30-18:00
  • Speaker: Roland Friedrich (Saarland University)
  • Title: Operads and Stochastic Calculus

Math-Fi seminar on 5 Oct.

2017.10.03 Tue up
  • Date: 5 Oct. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room.
  • Time: 16:30-18:00
  • Speaker: Dai Taguchi (Osaka university)
  • Title: Semi-implicit Euler-Maruyama approximation for non-colliding particle systems

Math-Fi seminar on 21 Sep.

2017.09.19 Tue up
  • Date: 21 Sep. (Thu.)
  • Place : W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Yuuki Ida (Ritsumeikan university)
  • Title: A Fractional PCOC.

Math-Fi seminar on 7 Sep.

2017.09.05 Tue up
  • Date: 7 Sep. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Makoto Yamazato (Tokyo Woman’s Christian university)
  • Title: リスク過程の破産確率について

Math-Fi seminar on 29 Aug.

2017.08.25 Fri up
  • Date: 29 Aug. (Tue.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 17:00-18:30
  • Speaker: Pham Hai Ha (Hochimin)
  • Title: Default Contagion with Domino Effect –A First Passage Approach
 

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