2018-2019 Quantitative Finance Seminar

July 1, 2018 to June 30, 2019, The Fields Institute

Description

The Quantitative Finance Seminar has been a centerpiece of the Commercial/Industrial program at the Fields Institute since 1995. Its mandate is to arrange talks on current research in quantitative finance that will be of interest to those who work on the border of industry and academia. Wide participation has been the norm with representation from mathematics, statistics, computer science, economics, econometrics, finance and operations research. Topics have included derivatives valuation, credit risk, insurance and portfolio optimization.

Talks occur on the last Wednesday of every month throughout the academic year and usually take place in the evening. Each seminar is organized around a single theme with two 45-minute talks with time for networking in between them. There is no cost to attend these seminars and everyone is welcome.

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Confirmed speakers title/abstract submission

Schedule

Past Talks

Wednesday, May 1st, 2019
17:00 to 18:00	Contracting for Financial Execution Christoph Frei, University of Alberta Location:Fields Institute, Room 230
18:00 to 19:00	Continuous-Time Mean--Variance Portfolio Selection via Reinforcement Learning Xunyu Zhou Location:Fields Institute, Room 230

Wednesday, March 27th, 2019
17:00 to 18:00	Optimal Portfolio under Fractional Stochastic Environment Jean-Pierre Fouque, University of California Santa Barbara Location:Fields Institute, Room 230
18:00 to 19:00	Optimal Fund Menus Jaksa Cvitanic (Caltech The Ronald and Maxine Linde Institute) Location:Fields Institute, Room 230

Wednesday, February 27th, 2019
17:00 to 18:00	Portfolio Optimization Under Cumulative Prospect Theory Traian Pirvu, McMaster University Location:Fields Institute, Room 230
18:00 to 19:00	Simulating Heston using explicit weak solutions Anne MacKay, Université du Québec à Montréal (UQAM) Location:Fields Institute, Room 230

Wednesday, January 30th, 2019
17:00 to 18:00	Incorporation of Text News Analytics in Risk Assessment Dan diBartolomeo, Northfield Information Location:Fields Institute, Room 230

Wednesday, November 28th, 2018
17:00 to 18:00	Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model Frederi Viens, Michigan State University Location:Fields Institute, Room 230
18:00 to 19:00	The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets Álvaro Cartea, University of Oxford Location:Fields Institute, Room 230

Wednesday, October 31st, 2018
17:00 to 18:00	Adaptive Robust Control Under Model Uncertainty Prof. Igor Cialenco, Applied Mathematics, Illinois Institute of Technology Location:Fields Institute, Room 230
18:00 to 19:00	Dynamic Index Tracking and Risk Exposure Control Using Derivatives Tim Leung, University of Washington Location:Fields Institute, Room 230

Wednesday, September 26th, 2018
17:00 to 18:00	Impact of News on Oil Futures Stuart Turnbull, Bauer College of Business, University of Houston Location:Fields Institute, Room 230
18:00 to 19:00	Local Volatility Estimation Driven by the Available Data Jorge Zubelli, Institute for Pure and Applied Mathematics Location:Fields Institute, Room 230