This Week in Mathematics


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Entries for this week: 4

Wednesday September 23, 2020

Departmental Tea Time
C is for cookie, and shorthand for C[0,1] w/the sup norm
Time: 3: Room: 204 LOV

Thursday September 24, 2020

Algebra seminar
- Ettore Aldrovandi, FSU
Time: 3:35pm Room: Zoom

Financial Math Seminar
Cubature method for Volterra SDEs and rough volatility model
- Qi Feng, University of Southern California
Time: 3:35pm Room: Zoom
Abstract/Desc: The classical models for asset processes in math finance are SDEs driven by Brownian motion, and the option price solves a parabolic PDE. In this talk, we will consider that the asset process follows a rough volatility model. For example, in the rough Heston model, and the underlying is the solution of Volterra type SDEs, and is non-Markovian. The option price solves the so called Path Dependent PDE (PPDE). We propose a new algorithm to numerically solve PPDE by using cubature type formulas for Volterra SDEs. The cubature formula for Volterra SDEs is solved by using machine learning method. In the end, I will show some numerical examples. The talk is based on a joint work with Jianfeng Zhang.

Friday September 25, 2020

Colloquium Tea
Time: 3:00 pm Room: 204 LOV

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Department of Mathematics

This Week in Mathematics