Forthcoming Seminars

Thu, 30/05
13:00 		Peng Hu Mathematical Finance Internal Seminar Add to calendar DH 1st floor SR
Particle methods and the pricing of American options
The aim of this lecture is to give a general introduction to the interacting particle system and applications in finance, especially in the pricing of American options. We survey the main techniques and results on Snell envelope, and provide a general framework to analyse these numerical methods. New algorithms are introduced and analysed theoretically and numerically.
Thu, 30/05
14:00 		Professor Eric Polizzi (University of Massachusetts) Computational Mathematics and Applications Add to calendar Rutherford Appleton Laboratory, nr Didcot
The FEAST eigenvalue algorithm and solver with new perspectives for first-principle electronic structure calculations
FEAST is a new general purpose eigenvalue algorithm that takes its inspiration from the density-matrix representation and contour integration technique in quantum mechanics [Phys. Rev. B 79, 115112, (2009)], and it can be understood as a subspace iteration algorithm using approximate spectral projection [http://arxiv.org/abs/1302.0432 (2013)]. The algorithm combines simplicity and efficiency and offers many important capabilities for achieving high performance, robustness, accuracy, and multi-level parallelism on modern computing platforms. FEAST is also the name of a comprehensive numerical library package which currently (v2.1) focuses on solving the symmetric eigenvalue problems on both shared-memory architectures (i.e. FEAST-SMP version – also integrated into Intel MKL since Feb 2013) and distributed architectures (i.e. FEAST-MPI version) including three levels of parallelism MPI-MPI-OpenMP.

In this presentation, we aim at expanding the current capabilies of the FEAST eigenvalue algorithm and developing an unified numerical approach for solving linear, non-linear, symmetric and non-symmetric eigenvalue problems. The resulting algorithms retain many of the properties of the symmetric FEAST including the multi-level parallelism. It will also be outlined that the development strategy roadmap for FEAST is closely tied together with the needs to address the variety of eigenvalue problems arising in computational nanosciences. Consequently, FEAST will also be presented beyond the "black-box" solver as a fundamental modeling framework for electronic structure calculations.

Three problems will be presented and discussed: (i) a highly efficient and robust FEAST-based alternative to traditional self-consistent field (SCF) procedure for solving the non-linear eigenvector problem (J. Chem. Phys. 138, p194101 (2013)]); (ii) a fundamental and practical solution of the exact muffin-tin problem for performing both accurate and scalable all-electron electronic structure calculations using FEAST on parallel architectures [Comp. Phys. Comm. 183, p2370 (2012)]; (iii) a FEAST-spectral-based time-domain propagation techniques for performing real-time TDDFT simulations. In order to illustrate the efficiency of the FEAST framework, numerical examples are provided for various molecules and carbon-based materials using our in-house all-electron real-space FEM implementation and both the DFT/Kohn-Sham/LDA and TDDFT/ALDA approaches.
Thu, 30/05
15:00 		Vittoria Bussi Junior Geometry and Topology Seminar Add to calendar SR1
To Be Announced
Thu, 30/05
16:00 		SangHoon Lee (OCIAM) Industrial and Applied Mathematics Seminar Add to calendar DH 1st floor SR
Matchmaker, matchmaker, make me a match: migration of population via marriages in the past
The study of human mobility patterns can provide important information for city planning or predicting epidemic spreading, has recently been achieved with various methods available nowadays such as tracking banknotes, airline transportation, official migration data from governments, etc. However, the dearth of data makes it much more difficult to study human mobility patterns from the past. In the present study, we show that Korean family books (called "jokbo") can be used to estimate migration patterns for the past 500 years. We apply two generative models of human mobility, which are conventional gravity-like models and radiation models, to quantify how relevant the geographical information is to human marriage records in the data. Based on the different migration distances of family names, we show the almost dichotomous distinction between "ergodic" (spread in the almost entire country) and (localized) "non-ergodic" family names, which is a characteristic of Korean family names in contrast to Czech family names. Moreover, the majority of family names are ergodic throughout the long history of Korea, suggesting that they are stable not only in terms of relative fractions but also geographically.
Thu, 30/05
16:00 		Eugen Keil (Bristol) Number Theory Seminar Add to calendar L3
On translation invariant quadratic forms
Solutions to translation invariant linear forms in dense sets  (for example: k-term arithmetic progressions), have been studied extensively in additive combinatorics and number theory. Finding solutions to translation invariant quadratic forms is a natural generalization and at the same time a simple instance of the hard general problem of solving diophantine equations in unstructured sets. In this talk I will explain how to modify the  classical circle method approach to obtain quantitative results  for quadratic forms with at least 17 variables.
Thu, 30/05
17:00 		Jochen Koenigsmann (Oxford) Logic Seminar Add to calendar L3
To Be Announced
Fri, 31/05
10:00 		Michel Chipot (University of Zurich) OxPDE Special Seminar Add to calendar Gibson Grd floor SR
Asymptotic Behavior of Problems in Cylindrical Domains - Lecture 4 of 4
A mini-lecture series consisting of four 1 hour lectures. We would like to consider asymptotic behaviour of various problems set in cylinders. Let $ \Omega_\ell = (-\ell,\ell)\times (-1,1) $ be the simplest cylinder possible. A good model problem is the following. Consider $ u_\ell $ the weak solution to
$$ \cases{ -\partial_{x_1}^2 u_\ell - \partial_{x_2}^2 u_\ell = f(x_2) \quad \hbox{in } \Omega_\ell, \quad \cr \cr u_\ell = 0 \quad \hbox{ on } \quad \partial \Omega_\ell. \cr} $$
When $ \ell \to \infty $ is it trues that the solution converges toward $ u_\infty $ the solution of the lower dimensional problem below ?
$$ \cases{ - \partial_{x_2}^2 u_\infty = f(x_2) \quad \hbox{in }(-1,1), \quad \cr \cr u_\infty = 0 \quad \hbox{ on } \quad \partial (-1,1). \cr} $$
If so in what sense ? With what speed of convergence with respect to $ \ell $ ? What happens when $ f $ is also allowed to depend on $ x_1 $ ? What happens if $ f $ is periodic in $ x_1 $, is the solution forced to be periodic at the limit ? What happens for general elliptic operators ? For more general cylinders ? For nonlinear problems ? For variational inequalities ? For systems like the Stokes problem or the system of elasticity ? For general problems ? ... We will try to give an update on all these issues and bridge these questions with anisotropic singular perturbations problems. Prerequisites : Elementary knowledge on Sobolev Spaces and weak formulation of elliptic problems.
Fri, 31/05
10:00 		Mike Clifton (Thales UK (Underwater Systems)) Industrial and Interdisciplinary Workshops Add to calendar DH 1st floor SR
hydrophones (to be confirmed)
to appear soon...
Fri, 31/05
14:00 		Mathematical Biology and Ecology Seminar Add to calendar L1
Please note that there is a Computational Biology Seminar.
Please see http://www.cs.ox.ac.uk/seminars/CompBioPublicSeminars/
Fri, 31/05
14:30 		Prof. Bruce Malamud (King's College London) Mathematical Geoscience Seminar Add to calendar DH 3rd floor SR
To Be Announced
Fri, 31/05
16:00 		Ioannis Karatzas (Columbia) Nomura Seminar Add to calendar DH 1st floor SR
Rank-based portfolios, the 'size effect', and an identity for the exponential distribution
In an equity market with stable capital distribution, a capitalization-weighted index of small stocks tends to outperform a capitalization-weighted index of large stocks.} This is a somewhat careful statement of the so-called "size effect", which has been documented empirically and for which several explanations have been advanced over the years. We review the analysis of this phenomenon by Fernholz (2001) who showed that, in the presence of (a suitably defined) stability for the capital structure, this phenomenon can be attributed entirely to portfolio rebalancing effects, and will occur regardless of whether or not small stocks are riskier than their larger brethren. Collision local times play a critical role in this analysis, as they capture the turnover at the various ranks on the capitalization ladder. We shall provide a rather complete study of this phenomenon in the context of a simple model with stable capital distribution, the so-called “Atlas model" studied in Banner et al.(2005). This is a Joint work with Adrian Banner, Robert Fernholz, Vasileios Papathanakos and Phillip Whitman.
Mon, 03/06
12:00 		Chris Hull (Imperial College) String Theory Seminar Add to calendar L3
To Be Announced
Mon, 03/06
14:15 		PETER TANKOV (Universite Paris Diderot Paris 7) Stochastic Analysis Seminar Add to calendar Oxford-Man Institute
Small-time asymptotics and adaptive simulation schemes for stopped
Jump processes, and Lévy processes in particular, are notoriously difficult to simulate. The task becomes even harder if the process is stopped when it crosses a certain boundary, which happens in applications to barrier option pricing or structural credit risk models. In this talk, I will present novel adaptive discretization schemes for the simulation of stopped Lévy processes, which are several orders of magnitude faster than the traditional approaches based on uniform discretization, and provide an explicit control of the bias. The schemes are based on sharp asymptotic estimates for the exit probability and work by recursively adding discretization dates in the parts of the trajectory which are close to the boundary, until a specified error tolerance is met. This is a joint work with Jose Figueroa-Lopez (Purdue).
Mon, 03/06
15:45 		DOMINIQUE PICARD (Université Paris Diderot) Stochastic Analysis Seminar Add to calendar Oxford-Man Institute
Bayesian nonparametric estimation using the heat kernel
Convergence of the Bayes posterior measure is considered in canonical statistical settings (like density estimation or nonparametric regression) where observations sit on a geometrical object such as a compact manifold, or more generally on a compact metric space verifying some conditions. A natural geometric prior based on randomly rescaled solutions of the heat equation is considered. Upper and lower bound posterior contraction rates are derived.
Mon, 03/06
15:45 		Sarah Whitehouse (Sheffield) Topology Seminar Add to calendar L3
Derived A-infinity algebras from the point of view of operads

A-infinity algebras arise whenever one has a multiplication which is "associative up to homotopy". There is an important theory of minimal models which involves studying differential graded algebras via A-infinity structures on their homology algebras. However, this only works well over a ground field. Recently Sagave introduced the more general notion of a derived A-infinity algebra in order to extend the theory of minimal models to a general commutative ground ring.

Operads provide a very nice way of saying what A-infinity algebras are - they are described by a kind of free resolution of a strictly associative structure. I will explain the analogous result for derived A_infinity algebras - these are obtained in the same manner from a strictly associative structure with an extra differential.

This is joint work with Muriel Livernet and Constanze Roitzheim.
Tue, 04/06
12:00 		David Dunbar (Swansea) Relativity Seminar Add to calendar L3
Gravity Amplitudes
Wed, 05/06
11:30 		Jason Semeraro Algebra Kinderseminar Add to calendar Queen's College
To Be Announced

For any corrections/updates to these listings, please contact seminars [-at-] maths [dot] ox [dot] ac [dot] uk.

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