Events Archive

Return Optimization Securities and Other Remarkable Structured Financial Products

HostApplied Mathematics SpeakerDonald RichardsPenn State Universityhttp://stat.psu.edu/people/dsr11 Description Abstract: We analyze the mathematical foundations of three types of structured financial...

A Two-Stage Risk Model Building and Evaluation in Reject Inference

HostApplied Mathematics SpeakerXinwei DengVirginia Polytechnic Institutehttp://www.stat.vt.edu/people/faculty/Deng-Xinwei.html Description Abstract: With the prevalence of the electronic commerce...

Simulations for Discoveries at Fermilab

HostApplied Mathematics SpeakerAdam LyonFermi National Laboratoryhttp://computing.fnal.gov/xms/About/Sector_Scientists/Adam_Lyon Description Abstract: The Fermi National Accelerator Laboratory...

Student Colloquium

From Shannon's Sampling to Optimal Stopping in Finance

HostApplied Mathematics SpeakerLiming FengUniversity of Illinois at Urbana-Champaignhttp://web.engr.illinois.edu/~fenglm/ Description Abstract: The Whittaker-Shannon-Kotel¡änikov sampling theorem and...

On the Limiting Distribution of the Length of the Longest Common Subsequence

HostApplied Mathematics SpeakerChristian HoudréGeorgia Institute of Technologyhttp://people.math.gatech.edu/~houdre/ Description Abstract: Let (X_k)_{k \geq 1} and (Y_k)_{k\geq1} be two independent...

Clustered Planarity Testing Revisited

Date Change Host Applied Mathematics Speaker Radoslav Fulek Columbia University https://sites.google.com/site/fulekrado/ Description Abstract: The Hanani–Tutte theorem is a classical result proved for...

Epsilon-Strong Simulation for Multidimensional Stochastic Differential Equations via Rough Path Analysis

HostApplied Mathematics SpeakerJing DongNorthwestern Universityhttp://www.iems.northwestern.edu/people/faculty/profiles/dong-jing.html Description Abstract: Consider a multidimensional diffusion...

Optimal Investment with Transaction Costs and Stochastic Volatility

Host Applied Mathematics Speaker Ronnie Sircar Princeton University Description Abstract: We analyze the joint impact of transaction costs and uncertain volatility on the problem of portfolio...

Coping with Nonlinearity and High-Dimensionality to Control Complex Networks

HostApplied Mathematics SpeakerAdilson E. MotterNorthwestern Universityhttp://dyn.phys.northwestern.edu/ Description Abstract: An increasing number of systems are now modeled as complex networks of...