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     Department of Systems Engineering and Engineering Management

                    The Chinese University of Hong Kong

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Date: Monday, October 12, 2026, 4:30pm to 5:30pm HKT

Venue: YIA_LT2, The Chinese University of Hong Kong

Title:  Beyond Model Selection: Combining, Projecting, and Clustering Stochastic Models

Speaker: Prof. Sebastian Jaimungal, University of Toronto

Abstract:

Financial decisions are increasingly informed by collections of plausible models rather than a single trusted one. This talk develops a framework for combining, projecting, and clustering probability measures on path space. The framework is based on projected Kullback-Leibler barycenters coupled with clustering to construct representative stochastic models to support decision-making under ambiguity.

Biography:

Dr. Jaimungal is a Full Professor of Mathematical Finance at the University of Toronto’s Department of Statistical Sciences, and its current Chair, a SIAM Fellow, a Fellow of the Fields Institute for Mathematical Sciences, an Associate Member of the Oxford-Man Institute for Quantitative Finance. He served as a former Chair of SIAM activity group in Financial Mathematics and is the incoming Editor-In-Chief of SIAM Journal on Financial Mathematics, as well, he serves as associate editor at Quantitative Finance and Data Science in Science, among other roles. His research interests span stochastic control and games, reinforcement learning, generative modeling, clean energy, and algorithmic trading.