Skip to content
Texas A&M University
Mathematics

Data Science Empowered Risk Management Models with Some Applications in Finance

Date: April 22, 2024

Time: 2:30PM - 4:00PM

Location: Bloc 628

Speaker: Indranil SenGupta, Florida International University

  

Description: Abstract: In this talk, we will first show some results for stochastic modeling in financial markets. There exist some well-known limitations to existing stochastic models in the literature. A stochastic model refinement using various machine/deep learning methods will be proposed. The refining of the stochastic model using data science methodologies will result in the extraction of a deterministic parameter from the financial data set. The analysis is applied to the commodity market, and some exciting new results will emerge. The findings will also be used to improve portfolio optimization and hedging approaches. We also discuss the applicability of this research to environmental finance.