Mathematical Finance Seminar – Spring 2020

Schedule for Spring 2020

Seminars are on Thursdays
Time: 4:10pm – 5:25pm
Location: Columbia University, 903 SSW (1255 Amsterdam Ave, between 121st and 122nd Street)

Organizers: Ruimeng Hu, Ioannis Karatzas, Marcel Nutz, Philip Protter

MAFN Seminar Archive

1/23/20

Xiaofei Shi (CMU)

“Liquidity Risk and Asset Pricing”

Abstract:

We study how the price dynamics of an asset depends on its “liquidity” – the ease with which can be traded. An equilibrium is achieved through a system of coupled forward-backward SDEs, whose solution turns out to be amenable to an asymptotic analysis for the practically relevant regime of large liquidity. We also calibrate our model to time series data of market prices and trading volume, and discuss how to leverage deep-learning techniques to obtain numerical solutions. (Based on joint works in progress with Agostino Capponi, Lukas Gonon, Johannes Muhle-Karbe).

 

1/30/20

Carsten Chong (EPFL)

“High-frequency analysis of SPDEs (and how it relates to rough volatility estimation)”

Abstract:

We consider the problem of estimating stochastic volatility for a class of parabolic stochastic PDEs. Assuming that the solution is observed at high temporal frequency, we use limit theorems for power variations to construct consistent nonparametric estimators and asymptotic confidence bounds for the integrated volatility process. Special attention is given to the case of multiplicative noise. We explain how the involved methods relate to estimation of rough volatility.

2/6/20

 

2/13/20

Nizar Touzi (Polytechnique)

2/20/20
 
 

2/27/20

No seminar (Berkeley-Columbia meeting)
 
3/5/20

Jose Scheinkman (Columbia)

3/12/20

Yerkin Kitapbayev (NCSU)

3/19/20

No seminar (Spring Recess)

3/26/20

 

Matteo Basei (EDF)
4/2/20
 
Xunyu Zhou (Columbia)
4/9/20

Jaksa Cvitanic (Caltech)

 
4/16/20

Jim Gatheral (Baruch)

4/23/20

Giulia Livieri (Pisa)