By Hui Meng, Pengyu Wei, Wanlu Zhang, and Sheng Chao ZhuangSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 903-943, January 2022. This paper examines the optimal dynamic reinsurance policy for an insurance company under belief heterogeneity. We...
By Jean-Pierre Fouque, Sebastian Jaimungal, and Yuri F. SaporitoSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 944-968, January 2022. Trading frictions are stochastic. They are, moreover, in many instances fast mean-reverting. Here, we study how...
New York, NY, United States
This is the conference of the SIAM Activity Group on Financial Mathematics and Engineering. The objective of the Activity Group on Financial Mathematics and Engineering is to advance fundamental ...
Baltimore, MD, United States
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By Delia Coculescu and Aditi DandapaniSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 877-902, January 2022. Given a stock price process, we analyze the potential of arbitrage in a context of...
Philadelphia, PA, United States
Houston, TX, United States
Albuquerque, NM, United States
Honolulu, HI, United States
Northampton, MA, United States
By Joseph D. Johnson, Adam M. Redlich, and Daniel M. AbramsSIAM Review, Volume 64, Issue 3, Page 625-639, August 2022. Firms in the U.S. spend over $200 billion each year advertising their products to consumers, around one percent...
By Demi L. Gandy and Martin R. NelsonSIAM Review, Volume 64, Issue 3, Page 728-747, August 2022. The Gray--Scott model is a widely studied autocatalytic model that exhibits a range of interesting pattern formation behavior, as...
By Volker H. SchulzSIAM Review, Volume 64, Issue 3, Page 751-759, August 2022. The section starts with two hot topics combined into one book: data-driven science and COVID-19. In our featured review,...
By Manlio Gaudioso and Jean-Baptiste Hiriart-UrrutySIAM Review, Volume 64, Issue 3, Page 713-727, August 2022. We consider, and study with elementary calculus, the polyhedral norms $||x||_{(k)}=$ sum of the $\mathit{k}$ largest among the $|x_{i}|$'s....
By Qinmeng Zou and Frédéric MagoulèsSIAM Review, Volume 64, Issue 3, Page 517-553, August 2022. The primary aim of this paper is to provide a review of the last few decades of research focused...
By Darinka DentchevaSIAM Review, Volume 64, Issue 3, Page 711-712, August 2022. This issue of SIAM Review presents two papers in the Education section. The first paper, “Deforming $\|\cdot\|_1$ into $\|\cdot\|_\infty$...
By Gonçalo dos Reis and Vadim PlatonovSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 844-876, January 2022. We study a portfolio management problem featuring many-player and mean field competition, investment and consumption, and...
By Nate Veldt, Austin R. Benson, and Jon KleinbergSIAM Review, Volume 64, Issue 3, Page 650-685, August 2022. The minimum $s$-$t$ cut problem in graphs is one of the most fundamental problems in combinatorial optimization, and graph...
By Paolo Guasoni and Yu-Jui HuangSIAM Review, Volume 64, Issue 3, Page 689-709, August 2022. Federal student loans are fixed-rate debt contracts with three main special features: (i) borrowers can use income-driven schemes to...
By Misha E. KilmerSIAM Review, Volume 64, Issue 3, Page 623-624, August 2022. What's in a name [brand]? In the first of three Research Spotlights articles this issue, authors Joseph D....
By Mark Van der Boor, Sem C. Borst, Johan S. H. Van Leeuwaarden, and Debankur MukherjeeSIAM Review, Volume 64, Issue 3, Page 554-622, August 2022. In this survey we provide an overview of recent advances on scalable load balancing schemes which provide favorable delay...
By The EditorsSIAM Review, Volume 64, Issue 3, Page 687-687, August 2022. In this section we present “Minimizing the Repayment Cost of Federal Student Loans,” by Paolo Guasoni and Yu-Jui Huang....
By Andy WathenSIAM Review, Volume 64, Issue 3, Page 640-649, August 2022. The solution of systems of linear(ized) equations lies at the heart of many problems in scientific computing. In particular,...
By J. M. Sanz-SernaSIAM Review, Volume 64, Issue 3, Page 515-515, August 2022. This issue contains two Survey and Review papers. The first, by Qinmeng Zou and Frédéric Magoulès, is “Delayed Gradient...
By Pavel V. Gapeev and Libo LiSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 773-801, January 2022. We derive closed-form solutions to the perpetual American standard and floating-strike lookback put and call options...
By Kyunghyun Park and Hoi Ying WongSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 802-843, January 2022. Consider a robust consumption-investment problem for a risk- and ambiguity-averse investor who is concerned about return...
By Julio Backhoff Veraguas, A. Max Reppen, and Ludovic TangpiSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 745-772, January 2022. Optimized certainty equivalents (OCEs) are a family of risk measures widely used by both practitioners and...
By Marco Avellaneda, Brian Healy, Andrew Papanicolaou, and George PapanicolaouSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 702-744, January 2022. We analyze portfolios constructed from the principal eigenvector of the equity returns' correlation matrix and compare...
By Hansjörg Albrecher, Pablo Azcue, and Nora MulerSIAM Journal on Financial Mathematics, Volume 13, Issue 3, Page 657-701, January 2022. We study the problem of optimal dividend payout from a surplus process governed by Brownian motion...
By Laurence Carassus, Jan Obłój, and Johannes WieselSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 653-655, June 2022. The assertions of Proposition 3.7 in our paper “The robust superreplication problem: A dynamic approach” [L....
By Valentin Tissot-DaguetteSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page SC74-SC86, June 2022. We investigate the approximation of path functionals. In particular, we advocate the use of ...
By Christian Bayer, Masaaki Fukasawa, and Shonosuke NakaharaSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page SC66-SC73, June 2022. We study the weak convergence rate in the discretization of rough volatility models. After showing a...
By Gu WangSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 619-652, June 2022. A hedge fund manager invests the fund in a constant investment opportunity, and receives performance fees...
By Romain Blanchard and Laurence CarassusSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page SC53-SC65, June 2022. In the frictionless discrete time financial market of Bouchard and Nutz (2015), we propose a full...
By Steven Campbell and Ting-Kam Leonard WongSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 576-618, June 2022. In this paper we develop a concrete and fully implementable approach to the optimization of functionally...
By Eyal Neuman and Moritz VoßSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 551-575, June 2022. We study optimal liquidation in the presence of linear temporary and transient price impact along with...
By Lisa R. Goldberg, Alex Papanicolaou, and Alex ShkolnikSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 521-550, June 2022. We identify and correct excess dispersion in the leading eigenvector of a sample covariance matrix when...
By Michel Vellekoop and Marcellino GaudenziSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 491-520, June 2022. In this paper a new approach is proposed to determine the optimal strategy for investment in...
By Mauricio Elizalde and Carlos EscuderoSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page SC39-SC52, June 2022. We study a Black--Scholes market with a finite time horizon and two investors: an honest and...
By Masaaki Fujii and Akihiko TakahashiSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 459-490, June 2022. We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work...
By Etienne Chevalier, Sergio Pulido, and Elizabeth Zún͂igaSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 426-458, June 2022. We price American options using kernel-based approximations of the Volterra Heston model. We choose these approximations...
By Yang Shen and Bin ZouSIAM Journal on Financial Mathematics, Volume 13, Issue 2, Page 391-425, June 2022. We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky...
PA, United States
Clemson, SC, United States
Cambridge, MA, United States
Waco, TX, United States
Rahway, NJ, United States
Exeter, , United Kingdom
Bryn Mawr, PA, United States
Calgary, AB, Canada
Pennington, NJ, United States
Singapore
Charlottesville, VA, United States
Mohali, , India
Beijing, , China
VA, United States
Hong Kong
Blacksburg - Main Campus, VA, United States
The aim of ALENEX is to provide a forum for the presentation of original research in the design, implementation, and experimental evaluation of algorithms and data structures. Typical submissions ...
By Andreas Bluhm , Matthias Christandl , and Florian Speelman Imagine that you are sitting in front of your computer and are about to enter your account information into your bank’s website ...
In the United States, May is Asian American and Pacific Islander Heritage Month. As we recognize the importance of Asian American and Pacific Islander mathematicians throughout history and their ...
How to Be Creative: A Practical Guide for the Mathematical Sciences , written by Nicholas J. Higham and Dennis Sherwood, is a how-to guide that gives a six-step process for generating great ideas ...
This prize was created in 2013 to emphasize George Pólya’s legacy of communicating mathematics effectively. It joins two long-standing Pólya prizes SIAM has awarded in combinatorics and other fields beginning in 1969.
Established in 1998 in memory of Ralph E. Kleinman, the prize recognizes contributions that bridge the gap between high-level mathematics and engineering problems. The award is based on the quality and impact of the mathematics.
Established in 2010, the prize is awarded to an individual in their early career for research contributions to the mathematical modeling of financial markets, based on publications in peer-reviewed journals.
This joint prize was established in 2002 to honor Sonia Kovalevsky and her work on the theory of differential equations. It is awarded to anyone in the scientific or engineering community whose work highlights the achievements of women in applied and computational mathematics. Nominations can be submitted via the AWM website.
The prize recognizes outstanding research presented by students or postdocs at the SIAM Conference on Financial Mathematics and Engineering. Finalists are selected before the conference, and one or two winners are selected and awarded at the conference, based on the delivery of the paper.
The SIAM Student Paper Prize is awarded annually to the student author(s) of the most outstanding paper(s) accepted by SIAM journals within the three years preceding the nomination deadline. Starting with the 2018 award, the focus of the prize is to recognize outstanding scholarship by students in SIAM journals.
The prize was established in 1986 in memory of Richard C. DiPrima, who served SIAM for many years and in 1979–1980 as SIAM President. It aims to recognize an early career researcher in applied mathematics and is based on the doctoral dissertation.
The Pioneer Prize is awarded every four years at the International Council for Industrial and Applied Mathematics (ICIAM) Congress to one individual for pioneering work introducing applied mathematical methods and scientific computing techniques to an industrial problem area or a new scientific field of applications. Nominations can be submitted via the ICIAM website.
Through the generosity and inspiration of Gerald and Judith Porter, the Mathematical Association of America (MAA), American Mathematical Society (AMS), and SIAM offer this annual lecture at the Joint Mathematics Meetings. The lecture, first awarded in 2010, is given on a mathematical topic accessible to the broader community.
Named in honor of I. E. Block, a co-founder and the first managing director of SIAM, this lecture is open to the public at the SIAM Annual Meeting. It is intended to encourage public appreciation of applied mathematics and computational science by reaching out to the local community.
Established in 1959, the prize honors John von Neumann, a founder of modern computing. The prize is awarded annually for distinguished contributions to applied mathematics and for the effective communication of these ideas to the community.
The JPBM Communications Award is given annually to reward and encourage communicators who, on a sustained basis, bring mathematical ideas and information to non-mathematical audiences. The prize may be awarded in two categories: For Public Outreach and For Expository and Popular Books. Nominations can be submitted via the AMS website.
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The MAA-SIAM-AMS Hrabowski-Gates-Tapia-McBay (HGTM) Lecture is named after four influential scientists of color: Freeman Hrabowski, President of the University of Maryland at Baltimore County; James S. Gates, University of Maryland, College Park; Richard Tapia, Rice University; and Shirley McBay, Founder and former President of Quality Education for Minorities. This lecture started in 2016 as an activity of the Mathematical Association of America’s Committee on Minority Participation and became a jointly sponsored MAA-SIAM-AMS event in 2018.
The prize recognizes students for outstanding solutions to real world math problems. It is awarded to six of the teams judged "Outstanding" in the Mathematical Contest in Modeling (MCM) administered annually by the Consortium for Mathematics and Its Applications (COMAP). Registration is accepted via the COMAP website.
The SIAM Outstanding Paper Prize is not currently active. For the 20 years before it was discontinued in 2019, the SIAM Outstanding Paper Prizes brought attention to papers published in SIAM journals. Three awards were made each year to the authors of papers deemed by SIAM journal editors-in-chief worthy of particular attention.
The prize, established in 1985 and originally intended to be awarded periodically, is now awarded annually for contributions to the advancement of applied mathematics on the national or international level.
Looking for financial support to further your research? Fellowships often provide funding plus experiential learning opportunities to young researchers. Learn more about fellowship opportunities.
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Internships allow you to network and forge connections for future job possibilities, while also exploring possible areas of interest. Look at this list of companies who offer valuable opportunities.
Our community is founded on igniting groundbreaking developments in applied math and computational science. Take a deeper dive into your area of study with one of these opportunities.