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...
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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 ...
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By Roland Glowinski, Yongcun Song, Xiaoming Yuan, and Hangrui YueSIAM Review, Volume 64, Issue 2, Page 392-421, May 2022. We consider the bilinear optimal control of an advection-reaction-diffusion system, where the control arises as the velocity field in...
By Volker H. SchulzSIAM Review, Volume 64, Issue 2, Page 503-513, May 2022. We start this section with Andreas Mang's in-depth featured review on the book Introduction to the Tools of Scientific...
By Axel Kittenberger, Leonidas Mindrinos, and Otmar ScherzerSIAM Review, Volume 64, Issue 2, Page 469-484, May 2022. In this paper, we provide assembly instructions for an easy-to-build experimental setup in order to gain practical experience with...
By Darinka DentchevaSIAM Review, Volume 64, Issue 2, Page 467-467, May 2022. This issue contains two papers in the Education section. The first paper, “Computed Origami Tomography,” is presented by Axel...
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 Bernardo Gouveia and Howard A. StoneSIAM Review, Volume 64, Issue 2, Page 485-499, May 2022. In the study of ordinary differential equations (ODEs) of the form $\hat{L}[y(x)]=f(x)$, where $\hat{L}$ is a linear differential operator,...
By František KardošSIAM Review, Volume 64, Issue 2, Page 425-465, May 2022. Fullerene graphs, i.e., 3-connected planar cubic graphs with pentagonal and hexagonal faces, are conjectured to be Hamiltonian. This is...
By Steven L. Brunton, Marko Budišić, Eurika Kaiser, and J. Nathan KutzSIAM Review, Volume 64, Issue 2, Page 229-340, May 2022. The field of dynamical systems is being transformed by the mathematical tools and algorithms emerging from modern computing and...
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 Misha E. KilmerSIAM Review, Volume 64, Issue 2, Page 341-342, May 2022. This issue features three Research Spotlight articles. The first of these is entitled “Variance and Covariance of Distributions...
By The EditorsSIAM Review, Volume 64, Issue 2, Page 423-423, May 2022. The SIGEST article in this issue is Hamiltonicity of Cubic Planar Graphs with Bounded Face Sizes, by František Kardoš....
By J. M. Sanz-SernaSIAM Review, Volume 64, Issue 2, Page 227-227, May 2022. Steven L. Brunton, Marko Budišić, Eurika Kaiser, and J. Nathan Kutz are the authors of the Survey and Review...
By Alexander Strang, Karen C. Abbott, and Peter J. ThomasSIAM Review, Volume 64, Issue 2, Page 360-391, May 2022. Competitive tournaments appear in sports, politics, population ecology, and animal behavior. All of these fields have developed methods...
By Karel Devriendt, Samuel Martin-Gutierrez, and Renaud LambiotteSIAM Review, Volume 64, Issue 2, Page 343-359, May 2022. We develop a theory to measure the variance and covariance of probability distributions defined on the nodes of a...
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...
By Philippe Bergault, Fayçal Drissi, and Olivier GuéantSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 353-390, March 2022. In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Among the numerous...
By Bahman Angoshtari, Erhan Bayraktar, and Virginia R. YoungSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 321-352, March 2022. We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit...
By Elena VignaSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 295-320, March 2022. Given an intertemporal optimization problem over a time interval $[t_0,T]$ and a control plan associated to...
By Fabio Bellini and Ilaria PeriSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page SC26-SC38, March 2022. We give an axiomatic foundation to $\Lambda$-quantiles, a family of generalized quantiles introduced in [M. Frittelli,...
By Álvaro Cartea, Maria Flora, Tiziano Vargiolu, and Georgi SlavovSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 262-294, March 2022. We show that there exists a profitable cross-border trading strategy for an agent who trades electricity...
By Claude Martini and Arianna MingoneSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 227-261, March 2022. We fully characterize the absence of butterfly arbitrage in the stochastic volatility inspired (SVI) formula for...
By Yan Dolinsky and Shir MosheSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page SC12-SC25, March 2022. We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for...
By Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, and Hariom TatsatSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 213-226, March 2022. We present a reinforcement learning (RL) approach for robust optimization of risk-aware performance criteria. To allow...
By Christian Bayer, Jinniao Qiu, and Yao YaoSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 179-212, March 2022. In this paper, we study the option pricing problems for rough volatility models. As the framework...
By Yunzhang LiSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 147-178, March 2022. In this paper, we propose a local discontinuous Galerkin (LDG) method for backward stochastic partial differential...
By Marcel Nutz and Yuchong ZhangSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 129-146, March 2022. Following the risk-taking model of Seel and Strack, $n$ players decide when to stop privately observed...
By Jean-Pierre Fouque, Ruimeng Hu, and Ronnie SircarSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 109-128, March 2022. The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in...
By Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, and Daniel RitterSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 70-108, March 2022. Fire sales are among the major drivers of market instability in modern financial systems. Due to...
By Elisa Alòs, David García-Lorite, and Aitor Muguruza GonzalezSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 32-69, March 2022. We develop a method to study the implied volatility of exotic underlyings, with special focus on...
By Toshihiro YamadaSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page SC1-SC11, March 2022. This paper introduces an efficient implementation scheme for Kusuoka approximation for a stochastic differential equation ...
By Ivan Guo, Grégoire Loeper, Jan Obłój, and Shiyi WangSIAM Journal on Financial Mathematics, Volume 13, Issue 1, Page 1-31, March 2022. This paper addresses the joint calibration problem of SPX options and VIX options or futures. We...
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April is Global Volunteer Month, an occasion to celebrate the dedicated individuals who offer their time in exchange for nothing more than making SIAM (and the world) a better place. We would like ...
Society for Industrial and Applied Mathematics (SIAM) is pleased to announce the inaugural class of MGB-SIAM Early Career (MSEC) Fellows. These distinguished early career professionals were ...
This guide was prepared to provide more information regarding SIAM Conferences being held in hybrid format. Visit the individual conference website and SIAM Hybrid Conference Guidelines & ...
March is Women's History Month! At SIAM, we celebrate the achievements made by women in the applied mathematics fields. This month, we hope you will take a moment to read through the spotlights of ...
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.