Financial Math Seminar
Jan 1-1, 1970
- Conference Summary
- Semi-analytical Valuation for Discrete Barrier Options Under Time-Dependent Levy Processes
- Sensitivity Analysis for American Options
- Forecasting Financial Extremes: A Network Degree Measure of Super-Exponential Growth
- 学术报告：投资组合管理---实践的视角
- A new estimator for integrated volatility with microstructure noise and jumps
- 金融工程中的数学之本
- An Adaptive Simulation Approach for Pricing Financial Options
- Optimal Model Averaging Estimation for Generalized Linear Models
- Generalized Sequential Auctions
- Optimal Insurance under Mean-variance Premium Principles
- Maximum likelihood estimation of Levy processes in finance
- Maximum likelihood estimation of Levy processes in finance
- Nonlinearity and It’s application in Portfolio Selection
- Systemic Risk and Optimal Design of Central Clearing Counterparty (CCP)
- Robo-Advising: A Dynamic Mean-Variance Approach
- Interpolation: From Spirochete's Helical Body to Implied Volatility Surfaces
- Family Involvement in Finance
- Investment Decisions and Falling Cost of Data Analytics
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Some optimization problems based on risk measures in actuarial science
- Hyperbolic Normal Stochastic Volatility Model
- Implied Stochastic Volatility Models
- Mathematics behind volatility index and trading on volatility
- Mean-Variance Portfolio Selection for Partially-Observed Point Processes
- Variable Volatility and Financial Failure
- Portfolio selection under Partial Information and relative performance concerns
- Some optimization problems for the risk models with or without dependence structure
- The Rise of Peer-to-Peer Insurance and Its Mathematical Modeling
- 用简单的数学发现谬误
- FinTech: from blockchain to machine learning, and beyond
- Random Sampling and Reconstruction in Some Signal Spaces
- The Tail-null-space-property and the Stability of the Tail-minimization Approach in Compressed Sensing with or without Frames
- Path-dependent Partial Differential Equations
- Controllability, Observability and Stabilization for Stochastic Partial Differential Equations
- Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights
- Dynamic Programming Approach for Optimal Control Problems with State Constraints
- On time inconsistent stochastic linear quadratic problems
- Consensusability of multi-agent systems with time delay and/or packet dropout
- Indefinite Mean-Field Type Linear-Quadratic Stochastic Optimal Control Problems
- Some fine well-posedness results on Backward Stochastic Differential Equations
- 量化投资和数字经济中的新技术
- Optimal Consumption with Reference to Past Spending Maximum
- Forward-Backward Doubly Stochastic Differential Equations with Random Jumps and Related Games
- A Global Maximum Principle for Stochastic Optimal Control Problems with Delay and Applications
- Well-posedness of high dimensional degenerate SDEs
- 保持单调性和凸性的算子分裂期权定价方法
- Revisiting Deterministic Stackelberg Games: Time-consistent Open-loop Solution
- Synchronization of Nonlinearly and Stochastically Coupled Markovian Switching Networks via Event-triggered Sampling
- Approximation methods for the finite time ruin probability and the ultimate ruin probability under reinsurance with partial information
- The cross-interval price impact model and its empirical analysis on cryptocurrency order book
- 智能量化交易算法设计与实证研究
- Applications of Stackelberg Game in Reinsurance Contract
- Testing the factors driving human cooperation based on the big data from the online worlds
- S-shaped narrow framing, skewness and the demand for insurance
- Gradient tree-boosted mixture models and their applications in insurance loss prediction
- Optimal management of DB pension fund with the possibilities of both underfunded and overfunded cases
- Circuit Breakers and Financial Contagion
- Moral-hazard-free insurance
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Mean-Variance Portfolio Selection in Contagious Markets
- Bilateral Risk Sharing in a Comonotone Market with Rank-Dependent Utilities
- Valuing variable annuities via fair dynamic valuation: Effect of longevity-linked security
- On the extinction-extinguishing dichotomy for a stochastic Lotka-Volterra type population dynamic system
- Credibility theory for mean-variance premium principles
- Optimal reinsurance for several lines of business
- Dynamic mean–variance problem with frictions
- Optimal singular dividend control with capital injection and affine penalty payment at ruin
- Systemic Risk under Extremes
- Assessing Cyber Risks of Networked Systems Based on L-hop Propagation
- Optimal control with performance dependent dividend strategies and capital injection for spectrally negative Lévy risk processes
- Optimal risk management with reinsurance and its counterparty risk hedging
- Stackelberg Reinsurance Games From a Single Game to a Chain of Game
- Optimal Risk Pooling of Peer-to-Peer Insurance
- The Equivalence of Density Expansions for Multivariate Diffusions
- Distributional robust insurance within the L^2 ball
- Convergence analysis on the particle systems with centralized control
- Monotonic Transformation, Implied Stock Price Process and Pricing of Spread Options and Other Derivatives
- Robust Estimates of Insurance Misrepresentation through Kernel Quantile Regression Mixtures
- Pareto-optimal insurance under robust distortion risk measures
- Inverse scattering with phaseless data
- Robust peer-to-peer risk sharing in continuous time
- A Bayesian Approach in Projecting Future Mortality at the Provincial Level in China
- Stackelberg reinsurance game between the insurer and the reinsurer
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Moral hazard in peer-to-peer insurance with social connection
- Risk Contagion Under Extremes: interplay of Heavy-tailedness and Tail dependence
- Optimal ratcheting of dividends with capital injection
- Contract Structure and Risk Aversion in Longevity Risk Transfers
- Optimal investment and benefit adjustment problem for a collective DC pension plan with longevity trend under CEV model
- Dispersion Swap within a continuous-time Financial Market
- Factor risk measures
- Competitive insurance pricing in a duopoly
- Optimal reinsurance design under the moment-based premium principle: a representative reinsurer’s perspective
- Optimal timing of investment in cybersecurity technology
- Decentralized risk-sharing: pooling risks without a central insurer
- Robust Λ-quantiles and extremal distributions
- Textual Analysis of Insurance Claims with Large Language Models
- Trading Behavior of Large and Small Investors in the Presence of Large Investor Premium
- Optimal Annuity Divisor of Notional Defined Contribution Plan
- Optimal investment and consumption strategies for pooled annuity with partial information
- Nonzero-sum Dynkin Games under a Generalised Order Condition: Verification Theorem and Application to Convertible Bonds
- Optimal reinsurance design under convex premium principles and distortion risk measures
- Stochastic reinsurance demand-supply game under alpha-maxmin mean-variance criterion
- Optimal weighted reinsurance contract in a Stackelberg-Nash differential game with negotiation
- Optimal usage strategy of catastrophe insurance compensation based on epidemiological model
Semi-analytical Valuation for Discrete Barrier Options Under Time-Dependent Levy Processes
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