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Indifference Prices, Implied Volatilities and Implied Sharpe Ratios

Host Applied Mathematics Speaker Matthew Lorig University of Washington http://depts.washington.edu/amath/staff-members/matthew-lorig/ Description Abstract: We consider a general local-stochastic...

On Sparse Fourier Transform

HostApplied Mathematics SpeakerHong Kong University of Science and Technologyhttp://www.ima.umn.edu/governance/Yang.Wang.html Description Abstract: The Discrete Fourier Transform (DFT) is one of the...

A Non-Local Porous Medium Equation

HostApplied Mathematics SpeakerCyril ImbertUniversité Paris-Est Créteilhttp://perso-math.univ-mlv.fr/users/imbert.cyril/ Description In this talk, Imbert will present results obtained with P. Biler...

A Fast Huygens Sweeping Method for Green's Function of Helmholtz Equations in High Frequency Regime

HostApplied Mathematics SpeakerSongting LuoIowa State Universityhttp://orion.math.iastate.edu/luos/ Description Abstract: We present a Eulerian geometrical-optics method, namely fast Huygens sweeping...

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...