Current events
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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] | '''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 | ||
| [[Image:horvath.jpg]] | [[Image:horvath.jpg]] | ||
| - | ''Speaker:'' '''[https://sites.google.com/site/blankanorahorvath/home Blanka Horvath]''', Department of Mathematics, King's College London, UK | ||
| ''Title:'' TBA | ''Title:'' TBA | ||
Revision as of 06:23, 24 May 2020
SIAG/FME virtual seminars series
The series of virtual talks, started by the SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME), aims at keeping the mathematical finance community connected worldwide beyond traditional formats. The goal is to host a diverse, across all dimensions, lineup of prominent speakers that will present the latest developments in the area of financial mathematics and engineering.
\diamond The talks will run every other week, and at least until the next SIAG/FME Biennial Meeting in June 2021
\diamond All talks will be delivered remotely using Zoom.
\diamond The talks are open to the public. Due to security reasons, all attendees have to register.
\diamond The registration link will be posted on this web-site, next to the each seminar date below. The detailed information about each talk, and the registration link will be also distributed via SIAG/FME Mailing List.
\diamond 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 usually valid for multiple future talks.
SIAG/FME Seminar Series Committee:
\quad Agostino Capponi (SIAG/FME Chair, Columbia University)
\quad Igor Cialenco (SIAG/FME Program Director, Illinois Institute of Technology)
\quad Sebastian Jaimungal (University of Toronto)
\quad Ronnie Sircar (Princeton University)
Forthcoming 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
Moderator:
Thursday, May 14, 2020, 1PM-2PM (Eastern US; GMT-4);
Speaker:
Title: TBA
Abstract: TBA
Moderator:
Thursday, May 28, 2020, 1PM-2PM (Eastern US; GMT-4);
Speaker:
Title: TBA
Abstract: TBA
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
Moderator:
Thursday, July 09, 2020, 1PM-2PM (Eastern US; GMT-4);
Speaker:
Title: TBA
Abstract: TBA
Moderator:
Past Talks
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 Recorded Video
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.
Moderator: Sebastian Jaimungal, Department of Statistical Sciences, University of Toronto
