MA Seminar Series of Financial Mathematics/Engineering

 

Date Title Speaker  
23 Feb 2022 Diffusion control games Professor Stefan Ankirchner
University of Jena, Germany
Online via ZOOM
11 Feb 2022 Linear quadratic mean field games and their asymptotic solvability Professor Minyi Huang
Carleton University, Canada
Online via ZOOM
19 Jan 2022 Non-asymptotic convergence rates for mean-field games:weak formulation and McKean-Vlasov BSDEs Professor Dylan Possamai
ETH, Zurich, Switzerland
Online via ZOOM
16 Dec 2021 Stability of Entropic Optimal Transport and Convergence of Sinkhorn's Algorithm Professor Marcel Nutz
Columbia University, USA
Online via ZOOM
4 Nov 2021 Some recent well-posedness results on Backward Stochastic Differenctial Equations Professor Ying Hu
University of Rennes 1, France
Online via ZOOM
22 Sep 2021 Mean-field games of singular control with finite fuel Professor Luciano Campi
University of Milan, Italy
Online via ZOOM
23 June 2021 The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics Professor Ulrich Horst
Humboldt University Berlin, Germany
Online via ZOOM
16 June 2021 Optimal Execution Problems in Single and Networked Markets: a Mean Field Game Formulation Professor Peter E. Caines
McGill University, Canada
Online via ZOOM
9 June 2021 Optimal Mutual Holding and Systemic Risk Professor Nizar Touzi
Ecole Polytechnique, France
Online via ZOOM
26 May 2021 Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability Professor Bruno BOUCHARD
Université Paris-Dauphine, PSL, France
Online via ZOOM
12 May 2021 DeepSet and their derivative networks for solving symmetric problems Professor Huyên PHAM
Université de Paris, France
Online via ZOOM
28 April 2021 A case study on stochastic games on large graphs in mean field and sparse regimes Dr. Daniel H. Lacker
Columbia University, United States
Online via ZOOM
14 April 2021 Mean Field Game Master Equations with Non-separable Hamiltonians and Displacement Monotonicity Professor Jianfeng ZHANG
University of Southern California, United States
Online via ZOOM

 





 

 

 

 

 

 

Last update: 17 January 2022