## Stochastics Seminar - Tien Khai Nguyen

Dec. 13, 2018

A Stochastic Model of Optimal Debt Management and Bankruptcy We consider a problem of optimal debt management which is modeled as a non-cooperative game between a borrower and a pool of risk-neutral lenders. Since the debtor may go bankrupt, lenders charge a higher interest rate to offset the possible loss...

## Stochastics Seminar - Saeed Khalili

Nov. 29, 2018

Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption processes, without any a priori boundedness constraint. A non-standard stochastic differential equation, with neither Lipschitz continuity...

## Stochastics Seminar - Joshua Aurand

Nov. 8, 2018

Epstein-Zin Utility Maximization over Random Horizon This talk focuses on solving the consumption-investment problem for an agent with stochastic differential utility of Epstein-Zin type. In contrast to prior literature, our time horizon is random, taken from the class of stopping times in the augmented Brownian filtration. Parameter specification is empirically...

## Stochastics Seminar - Yerkin Kitapbayev

Oct. 25, 2018

American option pricing under stochastic volatility models via Picard iterations This talk discusses the valuation of American options for a general one- factor stochastic volatility model. Using the local time-space calculus on surfaces we derive an early exercise premium representation for the option price, parametrized by the optimal exercise surface...

## Stochastics Seminar - Ruimeng Hu

Oct. 18, 2018

Optimal Portfolio under Fractional Stochastic Environments Rough stochastic volatility models have attracted a lot of attention recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of the optimal value function for the nonlinear asset allocation...

## Stochastics Seminar - Matteo Basei

Sept. 20, 2018

Nonzero-sum stochastic differential games with impulse controls We consider a general class of nonzero-sum impulsive games with N players. By means of a suitable system of quasi-variational inequalities, we provide a verification theorem for the equilibrium strategies and the value functions of the game. In particular, we focus on the...

## Stochastics Seminar - Xingtan Zhang

May 3, 2018

The Value of Scattered Information We analyze a model in which the value of a security is comprised of multiple distinct parts and private information about these pieces is scattered among investors. We show that as information is scattered into smaller, distinctively informative pieces, endogenous information acquisition activity can increase,...

## Stochastics Seminar - Justin Sirignano

April 26, 2018

Machine Learning in Quantitative Finance Machine learning has revolutionized fields such as image, text, and speech recognition. There is now growing interest in applying machine learning in financial applications. Recently, we have developed machine learning methods for modeling high-frequency financial data, solving high-dimensional partial differential equations, and estimating continuous-time models...

## Stochastics Seminar - Leonard Wong

April 5, 2018

Portfolios, optimal transport and informations geometry Can we outperform a market index in the presence of volatility? What is the optimal frequency to rebalance a portfolio? We show that these questions can be analyzed using modern ideas in probability and information geometry (geometry in information theory). We quantify market volatility...

## Stochastics Seminar - Ibrahim Ekren

March 1, 2018

A Dynamic Equilibrium Model for Brokerage Fees We develop a dynamic equilibrium model for market liquidity. To wit, we solve for the equilibrium prices at which liquidity takers' demands are absorbed by liquidity providers, who can in turn gradually transfer these positions to a group of end users. We also...