Math-Finance seminar

Math-Fi seminar on 11 Apr.

2019.03.27 Wed up
  • Date: 11 Apr. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: David Nualart (Universitat de Barcelona & Kansas University)
  • Title: Stein’s method for normal approximations

Math-Fi seminar on 28 Mar.

2019.03.27 Wed up
  • Date: 28 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: David Nualart (Universitat de Barcelona & Kansas University)
  • Title: A brief introduction to Malliavin calculus

Math-Fi seminar on 14 Mar.

2019.03.11 Mon up
  • Date: 14 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Katsushi Nakajima (Ritsumeikan Asia Pacific University)
  • Title: Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading
  • Reference: “https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2603946“

Math-Fi seminar on 15 Feb.

2019.02.18 Mon up
  • Date: 15 Feb. (Fri.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Antoine Lejay (Institut Élie Cartan de Lorraine)
  • Title: Rough paths (the final lecture)

Math-Fi seminar on 14 Feb.

2019.02.18 Mon up
  • Date: 14 Feb. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:30
​
  • ​First speaker: Antoine Lejay (Institut Élie Cartan de Lorraine)
  • Title: rough paths (the second lecture)
​
  • Second speaker: Takafumi Amaba (Fukuoka University)
  • Title: On the regularity of time occupation functionals for Gaussian processes
  • Abstract:
We are interested in the order of Sobolev space $\mathbb{D}_{2}^{\alpha}$ for which Wiener functional functional $ \int_{0}^{t} \Lambda ( X_{s}, \dot{X}_{s} ) \mathrm{d}s $ belongs to, where $\Lambda$ is a Schwartz distribution on $\mathbb{R}^{2}$ and $X = (X_{t})_{t \in \mathbb{R}}$ is a centered stationary Gaussian process satisfying some conditions. This class of functionals cover the cases of time-occupational functionals and level crossings. Joint work with Marie Kratz.

Math-Fi seminar on 12 Feb.

2019.02.18 Mon up
  • Date: 12 Feb. (Tue.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Antoine Lejay (Institut Élie Cartan de Lorraine)
  • Title: Rough paths (the first lecture)

Math-Fi seminar on 10 Jan.

2019.01.09 Wed up
  • Date: January 10th (Thu.), 17th (Thu.), 18th (Fri.) and 24th (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Reiichiro Kawai (University of Sydney)
  • Title: time series analysis

Math-Fi seminar on 15 Nov.

2018.11.13 Tue up
  • Date: 15 Nov. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Akihiro Tanaka (Osaka University, Sumitomo Mitsui Banking Corporation)
  • Title: Introduction to xVA:Remark on arbitrage free condition.

Math-Fi seminar on 8 Nov.

2018.11.07 Wed up
  • Date: 8 Nov. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Tadashi Ono (University of Tsukuba)
  • Title: TBA

Math-Fi seminar on 25 Oct.

2018.10.23 Tue up
  • Date: 25 Oct. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room


  • Time: 16:30-16:50
  • Speaker: Masahiro Kinuya (Ritsumeikan University)
  • Title: Euler-Maruyama type approximation of stochastic PDEs by orthogonal random variables
​
  • ​Time: 16:50-17:10
  • Speaker: Yuta Nakamura (Ritsumeikan University)
  • Title: Approximation of Heston model by a lattice on 3-dimensional Heisenberg group
​
  • Time: 17:10-17:30
  • Speaker: Yuki Semba (Ritsumeikan University)
  • Title: Polya Urn Binomial Model for Option Price
​
  • Time: 17:30-17:50
  • Speaker: Tsuyoshi Kinoshita (Ritsumeikan University)
  • Title: Default Contagion with Domino Effect as a Point Process
​
  • Time: 17:50-18:10
  • Speaker: Shuji Tamada (Ritsumeikan University)
  • Title: Thermodynamic Approach to Whole-Life Insurance: An Evaluation Method of Surrender Risk

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