Matlab is a high-performance language for technical computing. This short in-person course introduces some basic computing concepts, giving attendees the confidence to use MATLAB to complete various scientific tasks. This is an interactive workshop, so you will be able to try hands-on activities with the tutor on hand for guidance.
You may have seen the launch on Monday of the University’s ‘Be energy friendly’
Come along to the first event of term and learn more about the lab and how you can get involved by applying for a fellowship.
All the details in the flyer below.
Generating random regular graphs quickly
Abstract
A random $d$-regular graph is just a $d$-regular simple graph on $[n]=\{1,2,\ldots,n\}$ chosen uniformly at random from all such graphs. This model, with $d=d(n)$, is one of the most natural random graph models, but is quite tricky to work with/reason about, since actually generating such a graph is not so easy. For $d$ constant, Bollobás's configuration model works well; for larger $d$ one can combine this with switching arguments pioneered by McKay and Wormald. I will discuss recent progress with Nick Wormald, pushing linear-time generation up to $d=o(\sqrt{n})$. One ingredient is reciprocal rejection sampling, a trick for 'accepting' a certain graph with a probability proportional to $1/N(G)$, where $N(G)$ is the number of certain configurations in $G$. The trick allows us to do this without calculating $N(G)$, which would take too long.
16:00
Signatures and Functional Expansions
Note: we would recommend to join the meeting using the Teams client for best user experience.
Abstract
European option payoffs can be generated by combinations of hockeystick payoffs or of monomials. Interestingly, path dependent options can be generated by combinations of signatures, which are the building blocks of path dependence. We focus on the case of 1 asset together with time, typically the evolution of the price x as a function of the time t. The signature of a path for a given word with letters in the alphabet {t,x} (sometimes called augmented signature of dimension 1) is an iterated Stratonovich integral with respect to the letters of the word and it plays the role of a monomial in a Taylor expansion. For a given time horizon T the signature elements associated to short words are contained in the linear space generated by the signature elements associated to longer words and we construct an incremental basis of signature elements. It allows writing a smooth path dependent payoff as a converging series of signature elements, a result stronger than the density property of signature elements from the Stone-Weierstrass theorem. We recall the main concepts of the Functional Itô Calculus, a natural framework to model path dependence and draw links between two approximation results, the Taylor expansion and the Wiener chaos decomposition. The Taylor expansion is obtained by iterating the functional Stratonovich formula whilst the Wiener chaos decomposition is obtained by iterating the functional Itô formula applied to a conditional expectation. We also establish the pathwise Intrinsic Expansion and link it to the Functional Taylor Expansion.