Forthcoming Seminars
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Wed, 12/06 11:30 |
Emanuele Ghedin |
Algebra Kinderseminar  |
Queen's College |
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Thu, 13/06 13:00 |
Martin Gould |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| More than half of the world's financial markets use a limit order book mechanism to facilitate trade. For markets where trade is conducted through a central counterparty, trading platforms disseminate the same information about the limit order book to all market participants in real time, and all market participants are able to trade with all others. By contrast, in markets that operate under bilateral trade agreements, market participants are only able to view the limit order book activity from their bilateral trading partners, and are unable to trade with the market participants with whom they do not possess a bilateral trade agreement. In this talk, I discuss the implications of such a market structure for price formation. I then introduce a simple model of such a market, which is able to reproduce several important empirical properties of traded price series. By identifying and matching several robust moment conditions to the empirical data, I make model-based inference about the network of bilateral trade partnerships in the market. I discuss the implications of these findings for market stability and suggest how the regulator might improve market conditions by implementing simple restrictions on how market participants form their bilateral trade agreements. | |||
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Thu, 13/06 14:00 |
Dr Dirk Nuyens (KU Leuven) |
Computational Mathematics and Applications |
Gibson Grd floor SR |
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Thu, 13/06 15:00 |
Cancelled |
Junior Geometry and Topology Seminar |
SR1 |
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Thu, 13/06 16:00 |
WOOLLY OWL (Oxford/Cambridge Meeting to be held in Cambridge) |
Industrial and Applied Mathematics Seminar |
DH 1st floor SR |
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Thu, 13/06 17:00 |
Chloe Perin (Strasbourg) |
Logic Seminar |
L3 |
| Sela showed that the theory of the non abelian free groups is stable. In a joint work with Sklinos, we give some characterization of the forking independence relation between elements of the free group F over a set of parameters A in terms of the Grushko and cyclic JSJ decomposition of F relative to A. The cyclic JSJ decomposition of F relative to A is a geometric group theory tool that encodes all the splittings of F as an amalgamated product (or HNN extension) over cyclic subgroups in which A lies in one of the factors. | |||
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Fri, 14/06 09:45 |
Industrial and Interdisciplinary Workshops |
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| Note early start to avoid a clash with the OCCAM group meeting. | |||
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Fri, 14/06 11:30 |
Various (University of Oxford) |
OCCAM Special Seminar |
OCCAM Common Room (RI2.28) |
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Fri, 14/06 14:00 |
Mathematical Biology and Ecology Seminar |
L1 | |
| Please see http://www.cs.ox.ac.uk/seminars/CompBioPublicSeminars/ | |||
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Fri, 14/06 14:30 |
Dr. Anthony Anderson (University of Cambridge) |
Mathematical Geoscience Seminar |
DH 3rd floor SR |
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Fri, 14/06 16:00 |
Kathrin Glau (Technical University Munich) |
Nomura Seminar |
DH 1st floor SR |
| Advanced models such as Lévy models require advanced numerical methods for developing efficient pricing algorithms. Here we focus on PIDE based methods. There is a large arsenal of numerical methods for solving parabolic equations that arise in this context. Especially Galerkin and Galerkin inspired methods have an impressive potential. In order to apply these methods, what is required is a formulation of the equation in the weak sense. We therefore classify Lévy processes according to the solution spaces of the associated parabolic PIDEs. We define the Sobolev index of a Lévy process by a certain growth condition on the symbol. It follows that for Lévy processes with a certain Sobolev index b the corresponding evolution problem has a unique weak solution in the Sobolev-Slobodeckii space with index b/2. We show that this classification applies to a wide range of processes. Examples are the Brownian motion with or without drift, generalised hyperbolic (GH), CGMY and (semi) stable Lévy processes. A comparison of the Sobolev index with the Blumenthal-Getoor index sheds light on the structural implication of the classification. More precisely, we discuss the Sobolev index as an indicator of the smoothness of the distribution and of the variation of the paths of the process. An application to financial models requires in particular to admit pure jump processes as well as unbounded domains of the equation. In order to deal at the same time with the typical payoffs which can arise, the weak formulation of the equation has to be based on exponentially weighted Sobolev-Slobodeckii spaces. We provide a number of examples of models that are covered by this general framework. Examples of options for which such an analysis is required are calls, puts, digital and power options as well as basket options. The talk is based on joint work with Ernst Eberlein. | |||
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Fri, 12/07 11:30 |
Various (University of Oxford) |
OCCAM Special Seminar |
OCCAM Common Room (RI2.28) |
All titles TBC |
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Tue, 15/10 12:00 |
Graeme Segal |
Quantum Field Theory Seminar |
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Thu, 17/10 16:00 |
Stephen Coombes (University of Nottingham) |
Industrial and Applied Mathematics Seminar |
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Thu, 24/10 16:00 |
Carl Dettman (Bristol) |
Industrial and Applied Mathematics Seminar |
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Fri, 25/10 10:00 |
Industrial and Interdisciplinary Workshops |
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Tue, 29/10 12:00 |
Stefan Hollands (Cardiff) |
Quantum Field Theory Seminar |
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Thu, 31/10 16:00 |
George Haller ((ETH)) |
Industrial and Applied Mathematics Seminar |
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Fri, 01/11 10:00 |
Industrial and Interdisciplinary Workshops |
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