Mathematical Finance Internal Seminar
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Thu, 03/05/2012 13:00 |
Sylvestre Burgos |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
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Thu, 10/05/2012 13:00 |
Jeremy Large |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match coun- terparties using a pro-rata rule. These four markets’ offered depths at the quotes on average exceed mean market order size by two orders of magnitude, and their order cancellation rates (the probability of any given offered lot being cancelled) are significantly over 96 per cent. We develop a simple theoretical model to explain these facts, where strategic complementarities in the choice of limit order size cause traders to risk overtrading by submitting over-sized limit orders, most of which they expect to cancel. Joint work with Jonathan Field. | |||
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Thu, 17/05/2012 13:00 |
Jan Witte |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| Min-Max equations, also called Isaacs equations, arise from many applications, eg in game theory or mathematical finance. For their numerical solution, they are often discretised by finite difference methods, and, in a second step, one is then faced with a non-linear discrete system. We discuss how upper and lower bounds for the solution to the discretised min-max equation can easily be computed. | |||
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Thu, 24/05/2012 13:00 |
N/A |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
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Thu, 07/06/2012 13:00 |
Radek Erban |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| I will discuss methods for spatio-temporal modelling in cellular and molecular biology. Three classes of models will be considered: (i) microscopic (molecular-based, individual-based) models which are based on the simulation of trajectories of individual molecules and their localized interactions (for example, reactions); (ii) mesoscopic (lattice-based) models which divide the computational domain into a finite number of compartments and simulate the time evolution of the numbers of molecules in each compartment; and (iii) macroscopic (deterministic) models which are written in terms of reaction-diffusion-advection PDEs for spatially varying concentrations. In the first part of my talk, I will discuss connections between the modelling frameworks (i)-(iii). I will consider chemical reactions both at a surface and in the bulk. In the second part of my talk, I will present hybrid (multiscale) algorithms which use models with a different level of detail in different parts of the computational domain. The main goal of this multiscale methodology is to use a detailed modelling approach in localized regions of particular interest (in which accuracy and microscopic detail is important) and a less detailed model in other regions in which accuracy may be traded for simulation efficiency. I will also discuss hybrid modelling of chemotaxis where an individual-based model of cells is coupled with PDEs for extracellular chemical signals. | |||
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Thu, 14/06/2012 13:00 |
Ian Angus |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
