立命館大学数理科学科 » 数理ファイナンスセミナー

数理ファイナンスセミナー

Math-Fi seminar on 11 Jul.

2019.07.08 Mon up

Date: 11 Jul. (Thu.)
Place: W.W. 6th-floor, Colloquium Room
Time: 16:30-18:00
Speaker: José Manuel Corcuera (Universitat de Barcelona)
Title: The Kyle-Back equlibrium model (first lecture)
Abstract:

In this talk we will give a general review on this model propose by Kyle in the discrete time setting, and extended by Back to the continuous time setting, to model the effect of the trading of an agent with privilege information in the market prices of a stock in a financial market.

Math-Fi seminar on 4 Jul.

2019.07.02 Tue up

Date: 4 Jul. (Thu.)
Place: W.W. 6th-floor, Colloquium Room
Time: 16:30-18:00
Speaker: Takanobu Yamanobe (Hokkaido University, School of Medicine)
Title: ノイズを持つ神経細胞モデルの確率過程の漸近展開による解析

Math-Fi seminar on 27 Jun.

2019.06.25 Tue up

Date: 27 Jun. (Thu.)
Place: W.W. 6th-floor, Colloquium Room

Time: 15:30-16:30
First Speaker: Jorge Ignacio González Cázares (The University of Warwick)
Title: TBA (final lecture)

Time: 16:30-17:30
Second Speaker: Kiseop Lee (Purdue University)
Title: Bond Prices with Insufficient Information

Time: 17:30-18:30
Final Speaker: Tomoyuki Ichiba (University of California, Santa Barbara)
Title: Mean-field and tree interactions for stochastic volatility
Abstract:

We shall discuss diffusions with mean-field interactions and interactions through a tree structure by introducing stochastic differential equations with distributional constraints. This class of system includes a system of directed chain stochastic differential equations, and it has an infinite-dimensional feature and so does the corresponding system of filtering equations we discuss. We approximate the system by particle systems, and apply the results for modeling stochastic volatility.

Math-Fi seminar on 20 Jun.

2019.06.18 Tue up

Date: 20 Jun. (Thu.)
Place: W.W. 6th-floor, Colloquium Room
Time: 16:30-18:00
Speaker: Jorge Ignacio González Cázares (The University of Warwick)
Title: Geometrically Convergent Simulation of the Extrema of Lévy Processes (second lecture)