Financial Mathematics Seminars Series

Series 2015

Tuesday, October 20, 12-1:30 pm Location: ENG-210
Speaker: Niushan Gao (Southwest Jiaotong University)
Title: On the Fatou property of risk measures.
Abstract:
In this talk, we will discuss the problem of determining the dual representation of risk measures with the Fatou property. In particular we will propose a solution to this problem when the space of financial positions is a Banach lattice. Our approach is based on the concept of unbounded order convergence.

Series 2013-2014

November 27th 11am-12pm, ENG 210
Dr. Alexey Rubtsov, Department of Mathematics, Ryerson University
Abstract: Title of the talk: Portfolio Choice with Stochastic Interest Rates and Learning about Stock Return Predictability.
The problem of optimal wealth allocation is solved under the assumptions that interest rates are stochastic and stock returns are predictable with observed and unobserved factors. The stock risk premium is taken to be an affine function of the predictive variables and the stock return volatility is assumed to depend on the observed factor. The latent factor is estimated based on the observations. It is shown that the stock return predictability can significantly impact the optimal bond portfolio. The welfare loss from ignoring learning can be considerable.

Thursday, October 30, 2014, 11:00 am, ENG 210
Dr. Pablo Olivares, Department of Mathematics, Ryerson University
speaks on Pricing Basket Contracts by Polynomial Approximations and Discontinuous Models
Abstract: Some results about pricing basket contracts such as spreads and exchange options considering approximation techniques based on Bernstein, Chebyshev and Taylor polynomials. The dynamic of the underlying assets is driven by some classes of Levy models with finite and infinity activity, and stochastic covariance models with Inverse Gaussian subordinators as background noise.

September 25, 2014, 11:00 am -12:00 pm, EPH441
Dr. Marianito Rodrigo
University of Wollongong, New South Wales, Australia
Valuation of American options with general payoffs

Thursday March 13, 2014, 2:10 pm, ENG 210
Dr. Sebastian Ferrando, Department of Mathematics, Ryerson University
topic: Trajectory Based Discrete Market Models and Arbitrage. Relation to Risk Neutral Pricing

Thursday January 30, 2014, 2:10, ENG 210
Dr. Damir Kinzebulatov with A. Cartea and S. Jaimungal
University of Toronto
Algorithmic trading with learning

Wednesday, March 13, 2013, from 1:00-2:00 pm in room ENG 210
Dr. Alexander Alvarez
Department of Mathematics, Ryerson University
Quasi-continuity in functional spaces and financial applications

Wednesday, February 13, 2013, 1:00pm, ENG 210
Dr. Sebastian Ferrando
Department of Mathematics, Ryerson University
Constrained Estimator for Conditional Expectations

Series 2011-2012

Monday, April 2nd, 2012, 10am-12pm, ENG 210

Speakers:

10-11am Dr. Marcos Escobar
Department of Mathematics, Ryerson University
Pricing Barrier Derivatives

11am-12pm Dr. Maria Quintanilla
Department of Mathematics, Ryerson University
An asymptotic method for the computation of Value at Risk in Operational Risk Context

Wednesday, November 23, 2011, 1:30 pm, ENG 210
Dr. Alexander Alvarez
Department of Mathematics, Ryerson University
Local continuity of stopping times and arbitrage

Wednesday, October 26, 2011, 1:30 pm, ENG 210
Dr. Pablo Olivares
Department of Mathematics, Ryerson University
Title: "Problems in Modelling Hedge Funds"

Wednesday, September 28, 2011, 1:30 pm, ENG 210
Dr. Sebastian Ferrando
Department of Mathematics, Ryerson University
Title: "Trajectory Based Pricing and Arbitrage Opportunities"

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