数理ファイナンスセミナー

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
 

Math-Fi seminar on 24 Aug.

2017.08.22 Tue up
  • Date: 24 Aug. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Kevkhishvili Rusudan (Kyoto University)
  • Title: An Application of Time Reversal to Credit Risk Management
 

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