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June 10 at 4 pm (CEST). Petter Kolm, Feature Selection in Jump Models, June 6, 2021
Presenters: Petter Kolm (NYU, Courant Institute) Title: Feature Selection in Jump Models Abstract: Jump models switch infrequently between states to fit a sequence of data while taking the ordering of…
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May 25 at 4 pm (CEST). Laura Ballotta, Fourier-based methods for the management of complex insurance products, May 20, 2021
Presenters: Laura Ballotta (Cass Business School, City University of London) Title: Fourier-based methods for the management of complex insurance products Abstract: This paper proposes a framework for the valuation and…
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May 18 at 4 pm (CEST). Julien Guyon, Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle, May 12, 2021
Presenters: Julien Guyon (Bloomberg, Columbia University, Courant Institute) Title: Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle Abstract: The very high liquidity of S&P 500 (SPX)…
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May 11 at 4 pm (CEST). Loriano Mancini, Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments, May 7, 2021
May 11 at 4 pm (CEST). Presenters: Loriano Mancini (Università della Svizzera Italiana) Title: Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments Abstract: We empirically…
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May 4 at 4 pm (CEST). Lukasz Szpruch, Gradient Flows for Regularized Stochastic Control Problems, May 7, 2021
May 4 at 4 pm (CEST). Presenters: Lukasz Szpruch (University of Edinburgh) Title: Gradient Flows for Regularized Stochastic Control Problems Abstract: This talk is on stochastic control problems regularized by…
