Forthcoming Seminars
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Fri, 18/06/2010 14:15 |
Alexander Cox (Bath) |
Nomura Seminar  |
L3 |
| "We investigate a construction of a Skorokhod embedding due to Root (1969), which has been the subject of recent interest for applications in Mathematical Finance (Dupire, Carr & Lee), where the construction has applications for model-free pricing and hedging of variance derivatives. In this context, there are two related questions: firstly of the construction of the stopping time, which is related to a free boundary problem, and in this direction, we expand on work of Dupire and Carr & Lee; secondly of the optimality of the construction, which is originally due to Rost (1976). In the financial context, optimality is connected to the construction of hedging strategies, and by giving a novel proof of the optimality of the Root construction, we are able to identify model-free hedging strategies for variance derivatives. Finally, we will present some evidence on the numerical performance of such hedges. (Joint work with Jiajie Wang)" | |||
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Fri, 18/06/2010 14:30 |
Dr Steven Roper (Glasgow) |
Mathematical Geoscience Seminar |
DH 3rd floor SR |
| The presence and flow of fluid inside a crack within a solid causes deformation of the solid which in turn influences the flow of the fluid. This coupled fluid-solid problem will be discussed in the context of dyke propagation and hydrofracture. The background material will be discussed in detail and some applications to specific geometries presented. | |||
