NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: Optimal Bidding Strategy for Targeted Advertising
Prof. Huyen Pham (University Paris Diderot)
Abstract: We introduce and study several optimal control models of targeted advertising with auctions. Each model focuses on a different type of advertising, namely, commercial advertising for triggering purchases or subscriptions, and social marketing for raising public awareness about unhealthy behaviors (anti-drug, road-safety campaigns). All our models are based on a common framework encoding people's online behaviours and the targeted advertising auction mechanism widely used on Internet. Our main results are to provide semi-explicit formulas for the optimal value and bidding policy for each of these problems.
By means of these formulas, we are able to analyze and interpret how phenomenons like people's online behaviors and social interactions affect the optimal bid for targeted advertising auctions.
We also study how to efficiently combine targeted advertising and non-targeted advertising mechanism. We conclude by providing some classes of examples with fully explicit formulas.
Joint work with Médéric Motte (Université de Paris)
About the Speaker
Huyên PHAM is Distinguished Professor of Mathematics at Université de Paris, and adjunct Professor at ENSAE. He leads research in quantitative finance, stochastic analysis and control, machine learning techniques for numerical probabilities, and is the author of more than 100 publications, including the monograph Continuous time Stochastic Control and Optimization with Financial Applications. He serves on the editorial boards of several international journals, and is the co-editor in chief of the journal Applied Mathematics and Optimization. Prof. Pham was appointed member of the Institut Universitaire de France in 2006, awarded the Louis Bachelier prize by the French Academy of Sciences in 2007, and was a plenary speaker at the 9th World congress of the Bachelier Finance Society in 2016, and at the 6th Asian Quantitative Finance Conference in 2018.
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