Talks

• Market Making: Comparison between Reinforcement Learning and Analytical Benchmarks; Workshop On Stochastic Control in Finance, NUS, Singapore, July22, 2019.
• Optimum Thresholding Using Mean and Conditional Mean Squared Error; SIAM Conference on Financial Mathematics & Engineering, June 7, 2019.
• Short-Time Asymptotics in Financial Mathematics. School Of Mathematics, University Of Minnesota, Mar. 14, 2019.
• Utility Maximization in Hidden Regime-Switching Markets with Default Risk. Department Of Mathematics, NCSU, Feb. 8, 2019.
• Short-Time Asymptotics in Financial Mathematics. Department Of Statistics and Probability, MSU, Nov. 29, 2018.
• Optimal Kernel Estimation of Spot Volatility. INFORMS Annual Meeting, Phoenix, Nov. 4, 2018.
• Optimal Kernel Estimation of Spot Volatility. IIT, Chicago, Oct. 28, 2018.
• Optimal Change-Point Detection For Levy Processes. Rice University, June 26, 2018.
• Optimal Kernel Estimation of Spot Volatility. University of Florence, Italy, May 18, 2018.
• Short-Time Asymptotics in Financial Mathematics. Department of Applied Mathematics, IIT, Apr. 15, 2018.
• Short-Time Asymptotics in Financial Mathematics. Department of Mathematics, NCSU, Feb. 5, 2018.
• Short-Time Asymptotics in Financial Mathematics. ORIE, Cornell, Jan. 18, 2018.
• Optimal Placement of a Small Order Under a Diffusive Limit Order Book Model. Market Microstructure: The CFM-Imperial Workshop, London, Dec. 11, 2017.
• Optimal Thresholding of Truncated Realized Variations. INFORMS National Meeting, Houston, TX, Oct. 23, 2017.
• Optimal Kernel Estimation of Spot Volatility of SDE. INFORMS Applied Probability Conference, Northwestern, Chicago, July 10, 2017.
• Optimal Placement of a Small Order Under a Diffusive Limit Order Book Model. 10th Anniversary of CFMAR, UCSB, May 19, 2017.
• Optimum Thresholding for Semimartingales with Levy Jumps under the mean-square error. Spring Central Sectional Meeting, April 2, 2017.
• Financial Mathematics: From Games of Chance to No Free Lunch.Washington University Math Circle, Mar. 26, 2017.
• Optimum Thresholding for Semimartingales using conditional mean square error. Mathematical Finance, Risk and Uncertainty Seminar, Department of Industrial and Enterprise Systems Engineering, UIUC, Mar. 7, 2017.
• Short-Time Asymptotic Methods in Financial Mathematics. Probability and Mathematical Finance Seminar, Department of Mathematical Sciences, Carnegie Mellon University, Feb. 20, 2017.
• Asymptotic Methods in Financial Mathematics. Statistics Seminar, Washington University in St. Louis, Feb. 17, 2017.
• Optimal Kernel Estimation of Spot Volatility. 12th German Probability and Statistics Days, Bochum, Germany, Mar. 1, 2016.
• Optimally Thresholded Realized Power Variations for Stochastic Volatility Models with Jumps. Informs Philadelphia 2015, Nov. 1, 2015.
• Short-time Asymptotics for Stochastic Differential Equations with Jumps. Statistics/Probability Seminar, Washington University in St. Louis, Oct. 9, 2015.
• Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity. AMS Central Fall Sectional Meeting, Loyola University, Oct. 3, 2015.
• Optimally Thresholded Realized Power Variations for Stochastic Volatility Models with Jumps. ISI 2015: 60th World Statistics Conference, Rio de Janeiro, Jul. 19, 2015.
• Optimally Thresholded Realized Power Variations for Stochastic Volatility Models with Jumps. AMS Central Spring Sectional Meeting, Michigan State University, Mar. 15, 2015.
• Short-time asymptotics for Levy models with a view towards financial mathematics. Rutgers, Jan. 28, 2015.
• Statistical methods for asset price processes with jumps based on high-frequency data. Department of Mathematics, Washington University in St. Louis, Jan. 21, 2015.
• Short-time asymptotics for Levy models with a view towards financial mathematics. Computational Finance Seminar, Purdue University, Jan. 13, 2015.
• Short-time asymptotics for Levy models with a view towards financial mathematics. WPI, Dec. 4, 2014.
• Optimally Thresholded Realized Power Variations for Levy Jump Diffusion Models. SIAM Conference on Financial Mathematics & Engineering, Nov. 14, 2014.
• Power Utility Maximization in Hidden Regime-Switching Markets with Default Risk. Mathematical Finance Seminar, Department of Mathematics, Rutgers University, Nov. 4, 2014.
• Optimally Thresholded Realized Power Variations for Levy Jump Diffusion Models. Financial Statistics Conference, The University of Chicago, Sept. 27, 2014.
• Short-time expansions for close-to-the-money options under a Levy jump model with stochastic volatility. Barcelona GSE Summer Forum, Jun 26, 2014.
• Optimally Thresholded Realized Power Variations for Levy Jump Diffusion Models . High Dimensional Probability VII, Corcica, France, May 29, 2014.
• Power Utility Maximization in Hidden Regime-Switching Markets with Default Risk. Computational Finance Seminar, Purdue University, Feb. 18, 2014.
• Statistical methods for asset price processes based on high-frequency data. Exploring Statistical Science Research Seminar, Purdue University, Fall 2013.
• Applications of short-time asymptotics to the statistical estimation and option pricing of Levy-driven models: Lecture 1, Lecture 2, Lecture 3. Universidad de Guanajuato and CIMAT, May 15-17, 2013.
• Optimally Thresholded Realized Power Variations for Levy Jump Diffusion Models , University of Missouri-Kansas City, Apr. 5, 2013.
• Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias, Computational Finance Seminar, Purdue University, Jan. 17, 2013.
• Short-time asymptotics for ATM option prices under tempered stable processes, Probability Seminar, Purdue University, Oct. 30, 2012.
• Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias, Ajou Univeristy & Seoul National University, South Korea, August, 2012.
• Small-time Expansions for Stochastic Volatility Models with Levy Jumps, SIAM Conference on Financial Mathematics and Engineering, Minneapolis, July 10, 2012.
• Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias, 8th International Purdue Symposium on Statistics, Purdue University, June 22, 2012.
• Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias, CLAPEM 2012, Vinia del Mar, Chile, March 30, 2012.
• Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching, INFORMS, Charlotte, NC, Nov. 14, 2011.
• Option Pricing under Regime-Switching, ECE Seminar, Purdue University, Nov. 9, 2011.
• Small-time expansions for local jump-diffusions models with infinite-jump activity, High-Dimensional Probability, BIRS Canada, Oct. 10, 2011.
• Small-time expansions for local jump-diffusions models, Probability Seminar, Purdue University, Oct. 4, 2011.
• Near-expiration option prices in Levy financial models, ICIAM, Vancouver, CA, July 20, 2011.
• Central limit theorems for the nonparametric estimation of time-changed Levy models. Statistics and Modeling for Complex Data. Session: Statistics for finance. Ecole des Ponts Paris-Tech, France, June 22-24, 2011.
• Near-expiration behavior of implied volatility for exponential Levy models. Risk Seminar, Statistics Department, Columbia University, Spring 2011.
• Near-expiration behavior of implied volatility for exponential Levy models. Financial Mathematics Seminar, The Stevanovich Center for Financial Mathematics, The University of Chicago, Spring 2011.
• Near-expiration behavior of implied volatility for exponential L’evy models . SIAM-SEAS Minisymposium in Mathemtical Finance (UNC, Charlotte) and Central Sectional AMS Meeting (Iowa), Spring 2011.
• On the small-maturity behavior of implied volatilities under exponential Levy models. Computational Finance Seminar, Purdue, Spring 2011.
• Small-time asymptotics for Levy processes and their application to estimation and option pricing . Bachelier seminar, France, Fall 2010.
• High-Frequency based estimation of exponential Levy Models. Indiana University Statistics Colloquium, Fall 2010.
• Small-time statistical behavior of Levy processes and its application to the estimation and pricing of Levy-based financial models. Seminar on Mathematical Finance and Financial Engineering. Georgia Tech. Department of Mathematics. Fall 2010.
• Optimal portfolios and admissible strategies in a Levy-driven markets . International Workshop in Applied Probability, Universidad Carlos III de Madrid, Summer 2010.
• High-Frequency based estimation of exponential L’evy Models. Modeling High Frequency Data in Finance II, Stevens Institute of Technology, Summer 2010.
• Mini course on “Statistical Methods for Financial Models driven by Levy Processes.” Lecture 1, Lecture 2, Lecture 3, Lecture 4. The Pan-American Advanced Studies Institute, CIMAT, Mexico, Summer 2010.
• Nonparametric estimation for a Time-changed Levy Model. Southeastern Sectional AMS Meeting, Spring 2010.
• Nonparametric estimation for a Time-changed Levy Model. Mathematics Colloquium, University of Louisville, Spring 2010.
• Nonparametric estimation for a Time-changed Levy Model. Research Colloquium, Purdue University, Spring 2010.
• Accurate asset price modeling and related statistical problems under microstructure noise. VIGRE Seminar, Purdue University, Fall 2009.
• Nonparametric estimation of time-changed L’evy models. Applied Mathematics Colloquia, Illinois Institute of Technology, November 2009. Also presented at the Mathematical Finance and Probability Seminar, Rutgers University, October 2009.
• Optimal portfolios and admissible strategies in a Levy market Stochastic Analysis at Purdue ’09 Workshop 2009.
• Some estimation problems related to time-changed L’evy models. Mathematical statistics seminar. Department of Statistics. Purdue University.
• Sieve-based confidence intervals and bands for Levy densities. Mathematical statistics seminar. Department of Statistics. Purdue University.
• Non-parametric methods for L’evy-based financial models. Workshop on Infinitely Divisible Processes. CIMAT. Guanajuato, Mexico. March 2009.
• Modeling and estimating the dynamics of asset prices. VIGRE Seminar, Purdue University, Fall 2008.
• Model selection for Levy processes based on discrete-sampling. The fifth international conference on High Dimensional Probabilty. CIRM, Luminy, France. May, 2008.
• State-dependent utility maximization in markets driven by additive Levy processes . AMS Spring Central Section Meeting, Bloomington, IN. Special Session on Financial Mathematics, April, 2008.
• State-dependent utility maximization in Levy markets. Seminar on Mathematical Finance and Financial Engineering. Georgia Tech. Department of Mathematics. Spring 2008.
• Introduction to pricing methods for credit derivatives. Computationa Finance Seminar, Purdue University, Spring 2008.
• Modeling and estimation of the dynamics of asset prices. VIGRE Seminar, Purdue University, Fall 2007.
• Model selection for Levy processes based on discrete-sampling . Statistics Research Colloquium, Purdue University, Fall 2007.
• Non-parametric estimation for some models driven by Levy processes,The Third Erich L. Lehmann Symposium, 2007.
• State-dependent utility maximization in Levy markets, Kent-Purdue Mini Symposium on Financial Mathematics, 2007
• State-dependent utility maximization in Levy markets, Probability and statistics seminar, USC, Feb. 2007.
• Notes, Seminar “Topics in Financial Mathematics”, UCSB, Jan. 2007.
• Calibration and portfolio optimization issues in asset price modelling driven by Levy processes, ORIE Colloquium, Cornell, Jan. 2007.
• Estimation Methods for Levy based models of asset prices, Financial Mathematics Seminar, Statistics Department, UCSB, Oct. 2006.
  • Talk 1
  • Talk 2
  • Notes
• Nonparametric methods for financial models driven by Levy processes, Special Colloquium, Department of Statistics, Purdue University, Mar. 2006.