2017年度

Math-Fi seminar on 8 Mar.

2018.03.08 Thu up
  • Date: 8 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Go Yuki (Ritsumeikan University)
 

Math-Fi seminar on 15 Feb.

2018.02.14 Wed up
  • Date: 15 Feb. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Ngoc Khue Tran(Pham Van Dong University )
  • Title: Local asymptotic properties for CIR process and a jump-type CIR process
  • Abstract: 
​In the first part of this talk, we consider a Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at high frequency, we prove the local asymptotic normality (LAN) property in the subcritical case, the local asymptotic quadraticity (LAQ) in the critical case, and the local asymptotic mixed normality (LAMN) property in the supercritical case. To obtain these results, we use the Malliavin calculus techniques developed recently for CIR process by Alòs et al. and Altmayer et al.  together with the $L^p$-norm estimation for positive and negative moments of the CIR process obtained by Bossy et al. and Ben Alaya et al.
In the second part, we will discuss the local asymptotic properties for a jump-type CIR process driven by a Brownian motion and a subordinator, whose growth rate is a unknown parameter. LAN is proved in the subcritical case, LAQ is derived in the critical case, and LAMN is shown in the supercritical case. This is a joint work with Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap.

Math-Fi seminar on 25 Jan.

2018.01.17 Wed up
  • Date: 25 Jan.(Thu.)
  • Place: W. W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Yuichi Shiozawa (Osaka university)
  • Title: Upper rate functions of Brownian motion type for symmetric jump processes
  • ​Abstract: 
本講演の内容は Jian Wang 氏 (Fujian Normal University) との共同研究に基づく．
実軸上の対称レビ過程に対して，分散が有限ならば重複対数の法則が成立する (Gnedenko 1943)．
この事実に動機付けられて，正則ディリクレ形式から生成される（ユークリッド空間上の）飛躍型対称マルコフ過程について，upper rate function が重複対数型（ブラウン運動型）になるための条件を調べる．
ここで upper rate function とは，粒子の空間内での広がりの程度を表す関数のことであり，保存性の定量的表現にあたる．
本講演では，ディリクレ形式の飛躍関数の2次モーメントが有界になるような条件の下で，upper rate function が重複対数型になることを紹介する．
証明の過程で，飛躍型対称マルコフ過程に対応する熱核の長時間挙動を解析するので，このことについても解説する．

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

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