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Spring 2018

Student Presentations: May 10, 2018 at 11am, Whitman 183 

Title: Random Number Generators and European Option Pricing

Presenters: Venkat Ganesh, Carmeline Jean-Francois, Mark D. Valerie, Joseph R. Yackel (under the direction of Dr. Yu)

March 15, Thursday at 11am in CAMS(Whitman 183)

Speaker: Dr. Wenjian Liu, Queensborough Community College

Title: Spectral Methods and Ross Recovery

Abstract: Steve Ross contributed a revolutionary breakthrough against the conventional wisdom by showing that along with a restriction on preferences, option prices forecast not only the average return, but also the entire return distribution. By placing the structure on the dynamics of the numeraire portfolio rather than Ross's restriction on the references of the representative agent, Carr and Yu have shown that the real-world transition probabilities of a univariate Markovian state in a bounded diffusion can be recovered by its risk-neutral transition probabilities. By means of the refined spectrum analysis of the elliptic operator, we build the general Ross Recovery under n driving state variables.

Tuesday, April 10

Speaker: Dr. Douglas E. Johnston, Department of Mathematics


Abstract: In this talk, we propose a new approach for analyzing extreme values such as large losses in financial markets. We apply a stochastic
parametrization for a generalized extreme value distribution to model the asymptotic behavior of the block-maxima for the time series
of interest. This allows for a relaxation of the i.i.d. assumption and the use of finer data blocks. By using a particle filter, with
Rao-Blackwellization, we reduce the parameter space and provide a recursive solution. We use this to compute the conditional predictive
distribution that is used to assess the probability of extreme events and risk-measures. We introduce a new risk-measure, p-VaR,
that is a more robust estimate of the true nature of value-at-risk and illustrate our results using stock market data from 1928-2017.

Tuesday, April 17, 11am in CAMS (Whitman 183)

Speaker: Dr. Yajun Yang, Department of Mathematics

Title and abstract TBA

Thursday, April 19, 11am in CAMS (Whitman 183)

Speaker: Ning (Patricia) Ning, UC Santa Barbara

Title: Financial Machine Learning != Machine Learning on Finance: Challenges & Strategies

Abstract: In this talk, I will first talk about the main reason why most of the standard machine learning tools fail when applied to the field of finance, and what's the fixing strategies currently being used by financial practitioners. Then I will focus on one working machine learning model: Multivariate Bayesian Structural Time Series Model, which is a machine learning technique used for feature selection, time series forecasting, nowcasting, inferring causal impact and other. (This talk is based on joint work with S. Rao Jammalamadaka and Jinwen Qiu)

Tuesday, April 24, 11am in CAMS (Whitman 183)

Speaker: Dr. Chunhui Yu, Department of Mathematics

Title and abstract TBA

Fall 2017

December 7, 2017 at 11am, December 11, 2017  at 1:30pm, and December 12, 2017  at 11 am

Spring 2017

May 4, 2017 Student: Tammy Avolese

Title: The Lorenz Equations: Non-Linear System Used to Model Weather Patterns

Abstract: A study of the Lorenz Equations and their meteorological application. The behavior of the solutions, and their sensitivity to the perturbations of the initial conditions, is studied for different values of the Rayleigh Number, a parameter that determines the convective flow in the physical problem that is being modeled.

Fall 2016

December 6, 2016  Students: James Breinlinger, Jenna DeCordova, and Donald Romard

Title: An Introduction to Actuarial Present Value

Abstract: Students introduce the concept of actuarial present value for several probability survival models.

December 6, 2016  Student: Jaskarun Pabla

Title: Energy Evolution Fitting Software using Six-Order Harmonic Polylogarithms

Mathematics and CAMS Seminars: Whitman 183 at 11:00 am

November 21, 2017: Steven Hoehner

Title: Best and Random Approximation of convex bodies by polytopes. Abstract: How well can a convex body be approximated by a polytope? This is a fundamental question not only in convex geometry, but also in view of applications in stochastic geometry, complexity, computer vision, medical tomography, geometric algorithms, and many more. Typically, side conditions are imposed on the approximating polytopes, such as a prescribed number of vertices, facets, or more generally k-dimensional faces. Moreover, various notions of approximation can and have been considered. In this talk we will focus on two such notions: the symmetric difference metric and the surface area deviation. We will present background material and some results on best and random approximation. The talk will be accessible to nonexperts and is the first part of a two part talk.

November 28, 2017: Steven Hoehner

Title: Approximation of convex bodies by random polytopes and the connection to sphere covering (joint with Gil Kur, Weizmann Institute of Science).


October 11, 2016: Steven Hoehner
Title: The Surface Area Deviation of the Euclidean Ball and a Polytope
Abstract: While there is extensive literature on approximation of convex bodies by inscribed or circumscribed polytopes, much less is known in the case of generally positioned polytopes. Here we give upper and lower bounds for approximation of convex bodies by arbitrarily positioned polytopes with a fixed number of vertices or facets in the symmetric surface area deviation. (Joint work with Carsten Schuett, Christian-Albrechts-Universität zu Kiel and Elisabeth Werner, Case Western Reserve University)

November 17, 2016: Worku Bitew
Title: A Bio-economic Model of Externalities and Foreign Capital in Aquaculture Production in Developing Countries
Abstract: Most developing countries are increasingly depending on fresh water based aquaculture (cage culture) to supplement the declining catch from capture fisheries. Yet the competition for space between capture fisheries and cage culture, pollution generated by cage culture, and fish markets interaction effects are hardly conceptualized in a bioeconomic framework. Furthermore, the economic viability of cage culture depends on substantial investment thresholds, engendering foreign direct investment in the industry. This paper develops a conceptual model for fresh water based aquaculture that account for (1) space allocation, pollution, and interaction of markets for fish from aquaculture and capture fisheries; and (2) foreign capital financing aquaculture production. We found that a Pigouvian tax (optimum ad valorem tax) that corrects the externalities depends on economic and biological parameters in aquaculture and capture fisheries. Furthermore, if the aquaculture is financed with foreign capital, then the Pigouvian tax equal the ratio of net to total benefit from aquaculture. Numerical values are used to illustrate the results. (Joint work with Wisdom Akpalu, UNU-WIDER)

February 28, 2017: Svetlana Tlupova

Title: Fast and accurate solutions of coupled free/porous media flow

Abstract: An interface between fluids partly flowing freely and partly coursing through a permeable matrix is a fundamental feature of all living systems comprised of more than one cell. Such problem is modeled by a coupled Stokes-Darcy system with carefully chosen interface conditions. In this talk, I will present a numerical solution based on a boundary integral formulation, where the Green's function is regularized and correction terms are added for high accuracy. I will also address the cost of computing the discretized sum of the particle-particle interactions, using a treecode algorithm to compute the sum rapidly.

March 28, 2017: Ron Smith, Ph.D. candidate at College of William & Mary and FSC Applied Math alumnus

Title: My Experiences as a Graduate Student
Abstract: After getting my bachelor's degree, I was uncertain about whether or not I should go to grad school. The whole thing was a bit of a mystery to me. In this talk I'll give an overview of what the last 3 years as a grad student have been like, including some really hard tests, canoe trips in Canada, trying to explain to my family what I do, and getting to meet some really neat people from various disciplines. This talk should be of interest for any students considering pursuing a graduate degree. I will also give a brief introduction into the field of mathematical biology, what types of problems are studied, and various opportunities for employment that might follow from such a degree.

March 30, 2017: Ron Smith, Ph.D. candidate at College of William & Mary and FSC Applied Math alumnus

Title: Likelihood ratio tests for Homeolog Expression Bias

Abstract: Duplicated genes are common in eukaryotes and a likely contributor to the diversity of life on earth. There are several ways that a gene can be duplicated. In this talk we'll focus on Whole Genome Duplications (WGD), common to all plants, especially all major crops (corn, potato, rice,...). It is not well understood how duplicated genes evolve in function over time or in different tissues. In this talk I'll present a statistical method, using RNA-seq data, that can be used to measure "homeolog expression bias" (HEB) and HEB-shift (HEBS). Results from the monkeyflower Mimulus Luteus (a tetraploid) will be shown, and we will also discuss the broad applicability of this approach. These techniques should be of interest to any researcher interested in the fate of duplicated genes.

April 18, 2017: Chunhui Yu

Title: Shortfall risk in long term hedging with short-term future contracts on multi-commodity case

Abstract: We study strategies to reduce shortfall risk in long-term hedging with short-term futures contracts on multi-commodity case. We re-evaluate these strategies in Glasserman's work and introduce some new hedging strategies. We will also introduce "most likely path" associated with some of these strategies.

April 20, 2017: Dipendra Regmi

Title: Global regularity for the 2D magneto-micropolar equations with partial dissipation

Abstract: We study the global existence and regularity of classical solutions to the 2D incompressible magneto-micropolar equations with partial dissipation. The magneto-micropolar equations model the motion of electrically conducting micropolar fluids in the presence of a magnetic field. When there is only partial dissipation, the global regularity problem can be quite difficult. We are able to single out three special partial dissipation cases and establish the global regularity for each case. As special consequences, the 2D Navier-Stokes equations, the 2D magnetohydrodynamic equations, and the 2D micropolar equations with several types of partial dissipation always possess global classical solutions.

April 25, 2017: Yajun Yang

Title: Introducing Polynomial Interpolation through Modeling Parabolas

Abstract: There are two well-known approaches to the interpolating polynomial – Lagrange's formula and Newton's formula. We will introduce and derive these formulas by examining how we model a parabola. Through modeling parabolas, we bring the most powerful and useful tools of numerical analysis to the attention of lower division students while simultaneously building on and reinforcing some of the fundamental ideas in precalculus mathematics.

April 27, 2017: Paul Macciarone (faculty) and James Denino (graduate student), St. John's University

Summary: Information session for Applied Mathematics students regarding the Actuarial Science Master's program at St. John's University. James is an FSC Applied Math alumnus.

May 2, 2017: Carlos Marques

Title: Continuously but Discretely Looking at Sums

Abstract: Some thoughts derived from the soon to be submitted paper "Sums of Powers of Consecutive Integers via Matrices" (Chrysafi, Marques) highlighting some continuous-discrete interplay.

Past Seminars

  • Nov 12, 2015: Worku Bitew
  • Dec 3, 2015: Yajun Yang
  • Feb 25, 2016: Dipendra Regmi
  • Mar 8, 2016: Chunhui Yu
  • March 17, 2016: Nathaniel Prince (Farmingdale class of 2010), Ph.D. candidate at RPI "The Energy Method and Corresponding Eigenvalue Problem for Navier Slip Flow"
  • Apr 5, 2016: Loucas Chrysafi & Carlos Marques
  • Apr 19, 2016: Gerald Flynn
  • October 11, 2016: Steven Hoehner
  • November 17, 2016: Worku Bitew


Second Biennial Conference in Financial Mathematics, March 24, 2017 Call for abstract submission

Conference on Mathematics of Signals, Friday, September 23, 2016