Current events
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| == SIAG/FME virtual seminars series == | == SIAG/FME virtual seminars series == | ||
| - | '''Thursday, April 16, 1PM-2PM''' (EDT; Eastern US) | + | |
| - | '''Speaker: Professor Mete Soner''', Department of Operations Research and Financial Engineering, Princeton University https://soner.princeton.edu | + | |
| - | '''Title: Trading with impact''' | + | The talks are open to the public, and due to security reasons, all attendees have to register by following the link https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg |
| + | The link contains also detailed information about the talk. The registration is quick (asks only for your name and email), and once registered, you will receive an email with the link to the meeting(s), which is unique to you, so please do not share that email. | ||
| + | The registration is valid for all talks till end of May, and you will receive a reminder about the future talks. | ||
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| + | '''Thursday, April 30, 2020, 1PM-2PM''' (Eastern US; GMT-4); [https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg Registration Link] | ||
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| + | ''Speaker:'' '''[https://sites.google.com/site/blankanorahorvath/home Blanka Horvath]''', Department of Mathematics, King's College London, UK | ||
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| + | ''Title:'' TBA | ||
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| + | ''Abstract:'' TBA | ||
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| + | ''Host and moderator:'' | ||
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| + | '''Thursday, May 14, 2020, 1PM-2PM''' (Eastern US; GMT-4); [https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg Registration Link] | ||
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| + | '''Thursday, May 28, 2020, 1PM-2PM''' (Eastern US; GMT-4); [https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg Registration Link] | ||
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| + | '''Thursday, June 11, 2020, 1PM-2PM''' (Eastern US; GMT-4); | ||
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| + | '''Thursday, June 25, 2020, 1PM-2PM''' (Eastern US; GMT-4); | ||
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| + | '''Thursday, July 09, 2020, 1PM-2PM''' (Eastern US; GMT-4); | ||
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| + | === Past Seminars === | ||
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| + | '''Thursday, April 16, 2020, 1PM-2PM''' (Eastern US; GMT-4) | ||
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| + | ''Speaker:'' '''[https://soner.princeton.edu Mete Soner]''', Department of Operations Research and Financial Engineering, Princeton University | ||
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| + | ''Title:'' Trading with impact | ||
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| + | ''Abstract:'' It is well known that large trades cause unfavorable price impact resulting in trading losses. These losses are particularly high when the underlying instrument is not liquid enough or when the trade size is large. Other type of market frictions such as transaction costs also cause similar effects. When one considers hedging or portfolio management or equilibrium models these effects must be taken into account. After describing widely used approaches of Cetin, Jarrow & Protter and Almgren & Chris, I first study the impact of resilience and then the structure of the optimal portfolios. This talk will be a summary of many results obtained jointly with many people including, Peter Bank, Bruno Bouchard, Umut Cetin, Ludovic Moreau, Johannes Muhle-Karbe, Nizar Touzi and Moritz Voss. | ||
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| + | ''Host and moderator:'' '''[http://sebastian.statistics.utoronto.ca/ Sebastian Jaimungal]''', Department of Statistical Sciences, University of Toronto | ||
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| + | ''Slides'', ''Video'' | ||
Revision as of 23:04, 22 May 2020
SIAG/FME virtual seminars series
The talks are open to the public, and due to security reasons, all attendees have to register by following the link https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg The link contains also detailed information about the talk. The registration is quick (asks only for your name and email), and once registered, you will receive an email with the link to the meeting(s), which is unique to you, so please do not share that email. The registration is valid for all talks till end of May, and you will receive a reminder about the future talks.
Thursday, April 30, 2020, 1PM-2PM (Eastern US; GMT-4); Registration Link
Speaker: Blanka Horvath, Department of Mathematics, King's College London, UK
Title: TBA
Abstract: TBA
Host and moderator:
Thursday, May 14, 2020, 1PM-2PM (Eastern US; GMT-4); Registration Link
Speaker:
Title: TBA
Abstract: TBA
Host and moderator:
Thursday, May 28, 2020, 1PM-2PM (Eastern US; GMT-4); Registration Link
Speaker:
Title: TBA
Abstract: TBA
Host and moderator:
Thursday, June 11, 2020, 1PM-2PM (Eastern US; GMT-4);
Speaker:
Title: TBA
Abstract: TBA
Host and moderator:
Thursday, June 25, 2020, 1PM-2PM (Eastern US; GMT-4);
Speaker:
Title: TBA
Abstract: TBA
Host and moderator:
Thursday, July 09, 2020, 1PM-2PM (Eastern US; GMT-4);
Speaker:
Title: TBA
Abstract: TBA
Host and moderator:
Past Seminars
Thursday, April 16, 2020, 1PM-2PM (Eastern US; GMT-4)
Speaker: Mete Soner, Department of Operations Research and Financial Engineering, Princeton University
Title: Trading with impact
Abstract: It is well known that large trades cause unfavorable price impact resulting in trading losses. These losses are particularly high when the underlying instrument is not liquid enough or when the trade size is large. Other type of market frictions such as transaction costs also cause similar effects. When one considers hedging or portfolio management or equilibrium models these effects must be taken into account. After describing widely used approaches of Cetin, Jarrow & Protter and Almgren & Chris, I first study the impact of resilience and then the structure of the optimal portfolios. This talk will be a summary of many results obtained jointly with many people including, Peter Bank, Bruno Bouchard, Umut Cetin, Ludovic Moreau, Johannes Muhle-Karbe, Nizar Touzi and Moritz Voss.
Host and moderator: Sebastian Jaimungal, Department of Statistical Sciences, University of Toronto
Slides, Video
