SIAM-BFS Mathematical Finance Online Seminar
The series keeps the financial mathematics community connected beyond traditional formats, with a diverse lineup of prominent speakers presenting the latest developments in financial mathematics and engineering.
A shared monthly space for the community.
- The talks take place once a month, usually on the second Thursday of the month.
- All talks are delivered remotely using Zoom.
- The talks are open to the public; for security, every attendee must register.
- The registration link is posted next to each seminar date below and shared through SIAM Engage.
- Registration asks only for your name and email. Once registered, you receive a personal meeting link—please do not share it. Registration is usually valid for multiple future talks.
Future seminars
Registration is quick and the link is valid for multiple future talks.
Ready to join? Register for the SIAG-FME seminar series ↗
The next seminars will be announced soon. Past talks and their recordings are listed below.
Xiaofei Shi
University of Toronto
Inverse Learning in Mixed-Individual Mean Field GamesRead abstract →
Mehdi Talbi
Université Paris-Cité
Quantitative convergence of finite population approximations for mean field control problemsRead abstract →
Thaleia Zariphopoulou
University of Texas at Austin
Title to be announcedSeminar details →Past seminars
Thaleia Zariphopoulou
University of Texas at Austin
Title to be announcedSeminar details →Mehdi Talbi
Université Paris-Cité
Quantitative convergence of finite population approximations for mean field control problemsRead abstract →Xiaofei Shi
University of Toronto
Inverse Learning in Mixed-Individual Mean Field GamesRead abstract →
Ulrich Horst
Humboldt-Universität zu Berlin
Microstructural Foundation of Rough Log-Normal Volatility ModelsRead abstract →
René Aïd
Université Paris-Dauphine
Carbon Markets and Their ModelingRead abstract →
Sergio Pulido
ensIIE
Boundary attainment conditions for stochastic Volterra equationsRead abstract →
Ruimeng Hu
University of California, Santa Barbara
Machine Learning for Stochastic Control and Games: From Foundations to Mean-Field LearningRead abstract →
Yufei Zhang
Imperial College London
An alpha-potential game framework for dynamic N-player gamesRead abstract →
Eduardo Abi Jaber
Ecole Polytechnique
Path-Signatures: Memory and StationarityRead abstract →
Christian Bayer
WIAS Berlin
Global and local regression: a signature approach with applicationsRead abstract →
Erhan Bayraktar
University of Michigan
A Mean-Field Approach to DeFi Currency ExchangesRead abstract →
Luciano Campi
University of Milan
Optimal coarse correlated equilibria in mean field gamesRead abstract →
Nicole Bäuerle
Karlsruhe Institute of Technology
Competitive portfolio optimizationRead abstract →
Fayçal Drissi
University of Oxford
Equilibrium Liquidity Provision in Concentrated Liquidity Automated Market MakersRead abstract →
Chiara Amorino
Universitat Pompeu Fabra
Minimax rate for multivariate data under componentwise local differential privacy constraintsRead abstract →
Purba Das
King's College London
Invariance of Stochastic integral with respect to the choice of partitionsRead abstract →
Valentin Tissot-Daguette
Bloomberg
Pathwise Superhedging of Asian ClaimsRead abstract →
Julio Backhoff
University of Vienna
Of 'most exciting' games and the specific relative entropy between martingalesRead abstract →
Sara Svaluto-Ferro
University of Verona
Signature-based models: theory, calibration, and expansionsRead abstract →
Luhao Zhang
Johns Hopkins University
A Class of Interpretable and Decomposable Multi-period Convex Risk MeasuresRead abstract →
Terry Lyons
University of Oxford
The Mathematics of Complex Streamed DataRead abstract →
Jose Blanchet
Stanford University
Inference in Stochastic Optimization with Heavy Tailed InputRead abstract →
Ben Hambly
University of Oxford
Systemic risk, endogenous contagion and McKean-Vlasov controlRead abstract →
Maxim Bichuch
University at Buffalo
A Deep Learning Scheme for Solving Fully Nonlinear Partial Differential EquationRead abstract →
Miklós Rásonyi
HUN-REN Alfréd Rényi Institute of Mathematics
Portolio choice for exponential investors when prices are mean-revertingRead abstract →
Mykhaylo Shkolnikov
Carnegie Mellon University
Pathwise entropy solutions of SPDEs via rank-based models with common noiseRead abstract →
Joe Jackson
University of Chicago
Sharp convergence rates for mean field control on the region of strong regularityRead abstract →
Ofelia Bonesini
Imperial College London
Rough volatility, path-dependent PDEs and weak rates of convergenceRead abstract →
Ryan Donnelly
King's College London
Dynamic Inventory Management with Mean-Field CompetitionRead abstract →
Athena Picarelli
University of Verona
A deep solver for BSDEs with jumpsRead abstract →
Yu-Jui Huang
University of Colorado Boulder
Partial Information Breeds Systemic RiskRead abstract →
Silvana Pesenti
University of Toronto
Dynamic robust risk measures with applicationsRead abstract →
Michael Ludkovski
University of California Santa Barbara
Machine Learning Surrogates for Parametric and Adaptive Optimal ExecutionRead abstract →
David Itkin
Imperial College London
Ergodic robust maximization of asymptotic growth with stochastic factors.Read abstract →
Gökçe Dayanıkli
University of Illinois Urbana-Champaign
Single level approach to solve Stackelberg Mean Field GamesRead abstract →
Stephan Eckstein
ETH Zürich
Numerical aspects of adapted optimal transportRead abstract →
Haoyang Cao
École Polytechnique
Feasibility and Transferability of Transfer Learning: A Mathematical FrameworkRead abstract →
Mihai Sîrbu
University of Texas at Austin
Backward Martingale Transport and Fitzpatrick Functions in Pseudo-Euclidean SpacesRead abstract →
Sebastian Jaimungal
University of Toronto
Risk-Aware Reinforcement Learning for FinanceRead abstract →
Christoph Reisinger
University of Oxford
Risk Management of Option Books with Arbitrage-Free Neural-SDE Market ModelsRead abstract →
Sigrid Källblad
KTH Royal Institute of Technology
Adapted Wasserstein distance between the laws of SDEsRead abstract →
Johannes Wiesel
Columbia University
An optimal transport based toolbox for mathematical financeRead abstract →
Gabriela Kovacova
WU Vienna
Set-valued Bellman's principle: evidence from the mean-risk problemRead abstract →
Johannes Ruf
London School of Economics and Political Science
Estimation of Growth in Fund ModelsRead abstract →
Eva Lütkebohmert-Holtz
University of Freiburg
Robust deep hedgingRead abstract →
Agostino Capponi
Columbia University
The Adoption of Blockchain-Based Decentralized ExchangesRead abstract →
Harvey Stein
Two Sigma Investments
Model Invariants and Functional RegularizationRead abstract →
Carole Bernard
Grenoble Ecole de Management / Faculty of Economics, Vrije Universiteit Brussel
Multivariate Portfolio Choice via QuantilesRead abstract →
Ronnie Sircar
ORFE, Princeton University
ORFEUSRead abstract →
Yufei Zhang
Department of Statistics, London School of Economics
Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex modelsRead abstract →
Mesias Alfeus
Stellenbosch University
Quantitative Finance: Toward A General Framework for Modelling Roll-Over RiskRead abstract →
Stephane Crepey
Université de Paris / LPSM
Darwinian model risk and reverse stress testingRead abstract →
Daniel Lacker
IEOR, Columbia University
Stochastic games on large graphs in mean field and sparse regimesRead abstract →
Philippe Casgrain
ETH Zürich and Princeton University
Anytime-valid sequential testing for elicitable functionals via supermartingalesRead abstract →
Renyuan Xu
Epstein Department of Industrial and Systems Engineering, University of Southern California
Learning in Linear-quadratic Framework: From Single-agent to Multi-agent, and to Mean-fieldRead abstract →
Beatrice Acciaio
Department of Mathematics, ETH Zurich
Adapted Wasserstein distances in mathematical financeRead abstract →
Ibrahim Ekren
Department of Mathematics, Florida State University
Optimal Transport and Risk Aversion in Kyle's Model of Informed TradingRead abstract →
Konstantinos Spiliopoulos
Department of Mathematics & Statistics, Boston University
Normalization effects on neural networks: generalization properties and high dimensionsRead abstract →
Huyen Pham
Professor, LPSM/Université de Paris
DeepSet and their derivative networks for solving symmetric problemsRead abstract →
Mathieu Laurière
ORFE, Princeton University
Deep learning for Mean Field Games, and applications to financeRead abstract →
Xiaofei Shi
Department of Statistics, Columbia University
Equilibrium Asset Pricing with Liquidity RiskRead abstract →
Marcel Nutz
Professor, Columbia University
Entropic Optimal TransportRead abstract →
Carol Alexander
Professor of Finance, University of Sussex
Trading and Hedging Bitcoin VolatilityRead abstract →
Alvaro Cartea
University of Oxford
Optimal Execution with Stochastic and Deterministic DelayRead abstract →
Sveinn Olafsson
Industrial Engineering and Operations Research, Columbia University
Personalized Robo-Advising: Enhancing Investment through Client InteractionRead abstract →
Dena Firoozi
Department of Decision Sciences, HEC Montréal - University of Montreal
Belief Estimation by Agents in Major-Minor LQG Mean Field GamesRead abstract →
Damir Filipovic
EPFL and Swiss Finance Institute
A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional ProblemsRead abstract →
Francesca Biagini
University of Munich
Reduced-form setting under model uncertainty with non-linear affine intensitiesRead abstract →
Samuel Drapeau
Shanghai Jiao Tong University
On Detecting Spoofing Strategies in High Frequency TradingRead abstract →
Rene Carmona
Princeton University
Contract theory and mean field games to inform epidemic modelsRead abstract →
Sergey Nadtochiy
Illinois Institute of Technology
A simple microstructural explanation of the concavity of price impactRead abstract →
Paolo Guasoni
Dublin City University
The cost of Lightning Network channels and its implications for the network's structureRead abstract →
A. Max Reppen
Boston University
Discrete dividend payments in continuous timeRead abstract →
Ruimeng Hu
University of California Santa Barbara
Deep fictitious play for stochastic differential gamesRead abstract →
Jean-Pierre Fouque
University of California Santa Barbara
Accuracy of Approximation for Portfolio Optimization under Multiscale Stochastic EnvironmentRead abstract →
Patrick Cheridito
ETH Zurich
Deep optimal stoppingRead abstract →
Bruno Dupire
Head of Quantitative Research, Bloomberg LP
The Geometry of Money and the Perils of ParameterizationRead abstract →
Blanka Horvath
Department of Mathematics, King's College London, UK
A Data-driven Market Simulator for Small Data EnvironmentsRead abstract →
Mete Soner
Department of Operations Research and Financial Engineering, Princeton University
Trading with impactRead abstract →