Past

The growth of the exchange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts (LETFs). Motivated by a number of empirical market observations, we study the relationship between the ETF and LETF implied volatility surfaces under general stochastic volatility models. Analytic approximations for prices and implied volatilities are derived for LETF ​options, along with rigorous error bounds. In these price and IV expressions, we identify their non-trivial dependence on the leverage ratio. Moreover, we introduce a "moneyness scaling" procedure to enhance the comparison of implied volatilities across leverage ratios, and test it with empirical price data.

Preconditioning is of significant importance in the solution of large dimensional systems of linear equations such as those that arise from the numerical solution of partial differential equation problems. In this talk we will attempt a broad ranging review of preconditioning.

 This is joint work with Angus Macintyre. We prove a general model-completeness theorem for Henselian valued fields
stating that a Henselian valued field of characteristic zero with value group a Z-group and with finite ramification is model-complete in the language of rings provided that its residue field is model-complete. We apply this to extensions of p-adic fields showing that any finite or infinite extension of p-adics with finite ramification is model-complete in the language of rings.

Abstract: Joint work with Syahida Che Dzul-Kifli

Let $f:X\to X$ be a continuous function on a compact metric space forming a discrete dynamical system. There are many definitions that try to capture what it means for the function $f$ to be chaotic. Devaney’s definition, perhaps the most frequently cited, asks for the function $f$ to be topologically transitive, have a dense set of periodic points and is sensitive to initial conditions.  Bank’s et al show that sensitive dependence follows from the other two conditions and Velleman and Berglund show that a transitive interval map has a dense set of periodic points.  Li and Yorke (who coined the term chaos) show that for interval maps, period three implies chaos, i.e. that the existence of a period three point (indeed of any point with period having an odd factor) is chaotic in the sense that it has an uncountable scrambled set.

The existence of a period three point is In this talk we examine the relationship between transitivity and dense periodic points and look for simple conditions that imply chaos in interval maps. Our results are entirely elementary, calling on little more than the intermediate value theorem.

Localization and completion of spaces are fundamental tools in homotopy theory. "Zabrodsky mixing" uses localization to "mix homotopy types". It was used to provide a counterexample to the conjecture that any finite H-space which is $A_3$ is also $A_\infty$. The material in this talk will be very classical (and rather basic). I will describe Sullivan's localization functor and demonstrate Zabrodsky's mixing by constructing a non-classical H-space.

Expansion, Random Walks and Sieving in $SL_2 (\mathbb{F}_p[t])$

We pose the question of how to characterize "generic" elements of finitely generated groups. We set the scene by discussing recent results for linear groups in characteristic zero. To conclude we describe some new work in positive characteristic.

Oxford Mathematics Public Lectures

Inaugural Titchmarsh Lecture

10.03.15

Cédric Villani

Birth of an Idea: A Mathematical Adventure 

What goes on inside the mind of a mathematician? Where does inspiration come from? Cédric Villani will describe how he encountered obstacles and setbacks, losses of faith and even brushes with madness as he wrestled with the theorem that culminated in him winning the most prestigious prize in mathematics, the Fields Medal. Cédric will sign copies of his book after the lecture.

5pm

Lecture Theatre 1, Mathematical Institute, Andrew Wiles Building, Radcliffe Observatory Quarter, Woodstock Road, OX2 6GG

Please email @email to register

Cedric Villani is a Professor at the University of Lyon and Director of the Institut Henri Poincaré

Many numerical solvers of ordinary differential equations require problems to be posed as a system of first order differential equations. This means that if one wishes to solve higher order problems, the system have to be rewritten, which is a cumbersome and error-prone process. This talk presents a technique for automatically doing such reformulations.

Dellamonica, Kohayakawa, Rödl and Ruciński showed that for $p=C(\log n/n)^{1/d}$ the random graph $G(n,p)$ contains asymptotically almost surely all spanning graphs $H$ with maximum degree $d$ as subgraphs. In this talk I will discuss a resilience version of this result, which shows that for the same edge density, even if a $(1/k-\epsilon)$-fraction of the edges at every vertex is deleted adversarially from $G(n,p)$, the resulting graph continues to contain asymptotically almost surely all spanning $H$ with maximum degree $d$, with sublinear bandwidth and with at least $C \max\{p^{-2},p^{-1}\log n\}$ vertices not in triangles. Neither the restriction on the bandwidth, nor the condition that not all vertices are allowed to be in triangles can be removed. The proof uses a sparse version of the Blow-Up Lemma. Joint work with Peter Allen, Julia Ehrenmüller, Anusch Taraz.

Choreographies are periodic solutions of the n-body problem in which all of the bodies have unit masses, share a common orbit and are uniformly spread along it. In this talk, I will present an algorithm for numerical computation and stability analysis of choreographies.  It is based on approximations by trigonometric polynomials, minimization of the action functional using a closed-form expression of the gradient, quasi-Newton methods, automatic differentiation and Floquet stability analysis.

A systematic understanding of the low energy limit of string theory scattering amplitudes is essential for conceptual and practical reasons. In this talk, I shall report on a work where this limit has been analyzed using tropical geometry. Our result is that the field theory amplitudes arising in the low energy limit of string theory are written in a very compact form as integrals over a single object, the tropical moduli space. This picture provides a general framework where the different aspects of the low energy limit of string theory scattering amplitudes are systematically encompassed; the Feynman graph structure and the ultraviolet regulation mechanism. I shall then give examples of application of the formalism, in particular at genus two, and discuss open issues.

No knowledge of tropical geometry will be assumed and the topic shall be introduced during the talk.

A theory of Sobolev inequalities in arbitrary open sets in $R^n$ is offered. Boundary regularity of domains is replaced with information on boundary traces of trial functions and of their derivatives up to some explicit minimal order. The relevant Sobolev inequalities involve constants independent of the geometry of the domain, and exhibit the same critical exponents as in the classical inequalities on regular domains. Our approach relies upon new representation formulas for Sobolev functions, and on ensuing pointwise estimates which hold in any open set. This is a joint work with V. Maz'ya.

If G is a semi-simple Lie group, it is known that all lattices
are arithmetic unless (up to finite index) G=SO(n,1) or SU(n,1).
Non-arithmetic lattices have been constructed in SO(n,1) for
all n and there are infinitely many non-arithmetic lattices in
SU(1,1). Mostow and Deligne-Mostow constructed 9 commensurability
classes of non-arithmetic lattices in SU(2,1) and a single
example in SU(3,1). The problem is open for n at least 4.
I will survey the history of this problem, and then describe
recent joint work with Martin Deraux and Julien Paupert, where
we construct 10 new commensurability classes of non-arithmetic
lattices in SU(2,1). These are the first examples to be constructed
since the work of Deligne and Mostow in 1986.

The model of random interlacements is a one-parameter family of random subsets of $\Z^d$, which locally describes the trace of a simple random walk on a $d$-dimensional torus running up to time $u$ times its volume. Here, $u$ serves as an intensity parameter.

Its complement, the so-called vacant set, has been show to undergo a non-trivial percolation phase transition in $u$, i.e., there is $u_*(d)\in (0,\infty)$ such that for all $u<u_*(d)$ the vacant set has a unique infinite connected component (supercritical phase), while for $u>u_*(d)$ all connected components are finite.

So far all results regarding geometric properties of this infinite connected component have been proven under the assumption that $u$ is close to zero. 

I will discuss a recent result, which states that throughout most of the supercritical phase simple random walk on the infinite connected component is transient, provided that the dimension is high enough.

This is joint work with Alexander Drewitz

A meromorphic connection on a complex curve can be interpreted as a representation of a simple Lie algebroid.  By integrating this Lie algebroid to a Lie groupoid, one obtains a complex surface on which the parallel transport of the connection is globally well-defined and holomorphic, despite the apparent singularities of the corresponding differential equations.  I will describe these groupoids and explain how they can be used to illuminate various aspects of the classical theory of singular ODEs, such as the resummation of divergent series solutions.  (This talk is based on joint work with Marco Gualtieri and Songhao Li.)

Abstract: L\'evy processes are increasingly popular for modelling stochastic process data with jump behaviour. In practice statisticians only observe discretely sampled increments of the process, leading to a statistical inverse problem. To understand the jump behaviour of the process one needs to make inference on the infinite-dimensional parameter given by the L\'evy measure. We discuss recent developments in the analysis of this problem, including in particular functional limit theorems for commonly used estimators of the generalised distribution function of the L\'evy measure, and their application to statistical uncertainty quantification methodology (confidence bands and tests). 

Based upon our joint work with M. Marcolli, I will introduce some algebraic geometric models in cosmology related to the "boundaries" of space-time: Big Bang, Mixmaster Universe, and Roger Penrose's crossovers between aeons. We suggest to model the kinematics of Big Bang using the algebraic geometric (or analytic) blow up of a point $x$. This creates a boundary  which consists of the projective space of tangent directions to $x$ and possibly of the light cone of $x$. We argue that time on the boundary undergoes the Wick rotation and becomes purely imaginary. The Mixmaster (Bianchi IX) model of the early history of the universe is neatly explained in this picture by postulating that the reverse Wick rotation follows a hyperbolic geodesic connecting imaginary time axis to the real one. Roger Penrose's idea to see the Big Bang as a sign of crossover from "the end of the previous aeon" of the expanding and cooling Universe to the "beginning of the next aeon" is interpreted as an identification of a natural boundary of Minkowski space at infinity with the Bing Bang boundary.

Networks are a convenient way to represent systems of interacting entities. Many networks contain "communities" of nodes that are more densely connected to each other than to nodes in the rest of the network.

Most methods for detecting communities are designed for static networks. However, in many applications, entities and/or interactions between entities evolve in time.

We investigate "multilayer modularity maximization", a method for detecting communities in temporal networks. The main difference between this method and most previous methods for detecting communities in temporal networks is that communities identified in one temporal snapshot are not independent of connectivity patterns in other snapshots.  We show how the resulting partition reflects a trade-off between static community structure within snapshots and persistence of community structure between snapshots. As a focal example in our numerical experiments, we study time-dependent financial asset correlation networks.

The behaviour of complex processing systems is often controlled by large numbers of parameters.  For example, one Thales radar processor has over 2000 adjustable parameters.  Evaluating the performance for each set of parameters is typically time-consuming, involving either simulation or processing of large recorded data sets (or both).  In processing recorded data, the optimum parameters for one data set are unlikely to be optimal for another.

We would be interested in discussing mathematical techniques that could make the process of optimisation more efficient and effective, and what we might learn from a more mathematical approach.

I will explain the basics of deformation quantization of Poisson
algebras (an important tool in mathematical physics). Roughly, it is a
family of associative algebras deforming the original commutative
algebra. Following Fedosov, I will describe a classification of
quantizations of (algebraic) symplectic manifolds.
 

I will describe joint work with Manjul Bhargava (Princeton) and Tom Fisher (Cambridge) in which we determine the probability that random equation from certain families  has a solution either locally (over the reals or the p-adics), everywhere locally,  or globally. Three kinds of equation will be considered: quadratics in any number of variables, ternary cubics and hyperelliptic quartics.

In today's interconnected world, the dissemination of an idea, a trend, a rumor through social networks, as well as the propagation of information or cyber-viruses through digital networks are all common phenomena. They are conceptually similar to the spread of infectious diseases among hosts, as common to all these phenomena is the dissemination of a spreading agent on a networked system. A large body of research has been produced in recent years to characterize the spread of epidemics on static connectivity patterns in a wide range of biological and socio-technical systems. In particular, understanding the mechanisms and conditions for widespread dissemination represents a crucial step for its prevention and control (e.g. in the case of diseases) or for its enhancement (e.g. in the case of viral marketing). This task is however further hindered by the temporal nature characterizing the activation of the connections shaping the networked system, for which data has recently become available. As an example, in networks of proximity contacts among individuals, connections represent sequences of contacts that are active for given periods of time. The time variation of contacts in a networked system may fundamentally alter the properties of spreading processes occurring on it, with respect to static networks, and affect the condition at which epidemics become possible. In this talk I will present a novel theoretical framework adopting a multi-layer perspective for the analytical understanding of the interplay between temporal networks and spreading dynamics. The framework is tested on a set of time-varying network models and empirical networks.

In this talk, we discuss the development of fast iterative solvers for matrix systems arising from various constrained optimization problems. In particular, we seek to exploit the saddle point structure of these problems to construct powerful preconditioners for the resulting systems, using appropriate approximations of the (1,1)-block and Schur complement.

The problems we consider arise from two well-studied subject areas within computational optimization. Specifically, we investigate the
numerical solution of PDE-constrained optimization problems, and the interior point method (IPM) solution of linear/quadratic programming
problems. Indeed a particular focus in this talk is the interior point method solution of PDE-constrained optimization problems with
additional inequality constraints on the state and control variables.

We present a range of optimization problems which we seek to solve using our methodology, and examine the theoretical and practical
convergence properties of our iterative methods for these problems.
 

We investigate the problem of optimizing the shape and

location of actuators or sensors for evolution systems

driven by a partial differential equation, like for

instance a wave equation, a Schrödinger equation, or a

parabolic system, on an arbitrary domain Omega, in

arbitrary dimension, with boundary conditions if there

is a boundary, which can be of Dirichlet, Neumann,

mixed or Robin. This kind of problem is frequently

encountered in applications where one aims, for

instance, at maximizing the quality of reconstruction

of the solution, using only a partial observation. From

the mathematical point of view, using probabilistic

considerations we model this problem as the problem of

maximizing what we call a randomized observability

constant, over all possible subdomains of Omega having

a prescribed measure. The spectral analysis of this

problem reveals intimate connections with the theory of

quantum chaos. More precisely, if the domain Omega

satisfies some quantum ergodic assumptions then we

provide a solution to this problem.



These works are in collaboration with Emmanuel Trélat

(Univ. Paris 6) and Enrique Zuazua (BCAM Bilbao, Spain).

NOTE CHANGE OF TIME AND PLACE

It is known by results of Macintyre and Chatzidakis-Hrushovski that the theory ACFA of existentially closed difference fields is decidable. By developing techniques of difference algebraic geometry, we view quantifier elimination as an instance of a direct image theorem for Galois formulae on difference schemes. In a context where we restrict ourselves to directly presented difference schemes whose definition only involves algebraic correspondences, we develop a coarser yet effective procedure, resulting in a primitive recursive quantifier elimination. We shall discuss various algebraic applications of Galois stratification and connections to fields with Frobenius.

 Voevodsky asked what the topology of the universe is in a 
continuous interpretation of type theory, such as Johnstone's 
topological topos. We can actually give a model-independent answer: it 
is indiscrete. I will briefly introduce "intensional Martin-Loef type 
theory" (MLTT) and formulate and prove this in type theory (as opposed 
to as a meta-theorem about type theory). As an application or corollary, 
I will also deduce an analogue of Rice's Theorem for the universe: the 
universe (the large type of all small types) has no non-trivial 
extensional, decidable properties. Topologically this is the fact that 
it doesn't have any clopens other than the trivial ones.

A group is called residually finite if every non-trivial element can be homomorphically mapped to a finite group such that the image is again non-trivial. Residually finite groups are interesting because quite a lot of information about them can be reconstructed from their finite quotients. Baumslag showed that if G is a finitely generated residually finite group then Aut(G) is also residually finite. Using a similar method Grossman showed that if G is a finitely generated conjugacy separable group with "nice" automorphisms then Out(G) is residually finite. The graph product is a group theoretic construction naturally generalising free and direct products in the category of groups. We show that if G is a finite graph product of finitely generated residually finite groups then Out(G) is residually finite (modulo some technical conditions)

Soluble groups, and other classes of groups that can be built from simpler groups, are useful test cases for studying group properties. I will talk about techniques for building profinite groups from simpler ones, and how  to use these to investigate the cohomology of such groups and recover information about the group structure.

Given a Lagrangian submanifold invariant under a Hamiltonian loop, we partially compute the image of the loop's Seidel element under the closed-open string map into the Hochschild cohomology of the Lagrangian. This piece captures the homology class of the loop's orbits on the Lagrangian and can help to prove that the closed-open map is injective in some examples. As a corollary we prove that $\mathbb{RP}^n$ split-generates the Fukaya category of $\mathbb{CP}^n$ over a field of characteristic 2, and the same for real loci of some other toric  varieties.

Suppose that we have a tile $T$ in say $\mathbb{Z}^2$, meaning a finite subset of $\mathbb{Z}^2$. It may or may not be the case that $T$ tiles $\mathbb{Z}^2$, in the sense that $\mathbb{Z}^2$ can be partitioned into copies of $T$. But is there always some higher dimension $\mathbb{Z}^d$ that can be tiled with copies of $T$? We prove that this is the case: for any tile in $\mathbb{Z}^2$ (or in $\mathbb{Z}^n$, any $n$) there is a $d$ such that $\mathbb{Z}^d$ can be tiled with copies of it. This proves a conjecture of Chalcraft.

The first FFT-based algorithm for numerical homogenization from high-resolution images was proposed by Moulinec and Suquet in 1994 as an alternative to finite elements and twenty years later, it is still widely used in computational micromechanics of materials. The method is based on an iterative solution to an integral equation of the Lippmann-Schwinger type, whose kernel can be explicitly expressed in the Fourier domain. Only recently, it has been recognized that the algorithm has a variational structure arising from a Fourier-Galerkin method. In this talk, I will show how this insight can be used to significantly improve the performance of the original Moulinec-Suquet solver. In particular, I will focus on (i) influence of an iterative solver used to solve the system of linear algebraic equations, (ii) effects of numerical integration of the Galerkin weak form, and (iii) convergence of an a-posteriori bound on the solution during iterations.

A year ago I gave a talk raising questions about Faraday shielding which stimulated discussion with John Ockendon and others and led to a collaboration with Jon Chapman and Dave Hewett.  The problem is one of harmonic functions subject to constant-potential boundary conditions.  A year later, we are happy with the solution we have found, and the paper will appear in SIAM Review.  Though many assume as we originally did that Faraday shielding must be exponentially effective, and Feynman even argues this explicitly in his Lectures, we have found that in fact, the shielding is only linear.  Along the way to explaining this we make use of Mikhlin's numerical method of series expansion, homogenization by multiple scales analysis, conformal mapping, a phase transition, Brownian motion, some ideas recollected from high school about electrostatic induction, and a constrained quadratic optimization problem solvable via a block 2x2 KKT matrix.

We will focus on vortex gradient fields of unit-length. The associated stream function solves the eikonal equation, more precisely it is the distance function to a point. We will prove a kinetic formulation characterizing such vector fields in any dimension.
 

A permutation group is called sharply n-transitive if it acts 

freely and transitively on the set of ordered n-tuples of distinct 

points. The investigation of such permutation groups is a classical 

branch of group theory; it led Emile Mathieu to the discovery of the 

smallest finite simple sporadic groups in the 1860's. In this talk I 

will discuss the case where the permutation group is assumed to be a 

locally compact transformation group, and explain how this set-up is 

related to Gromov hyperbolicity and to arithmetic lattices in products 

of trees.

We consider the problem of minimising the commute or shuttle time for a diffusion between the endpoints of an interval. The control is the scale function for the diffusion. We show that the dynamic version of the problem has the same solution as the static version if we start at an end point and consider the much harder case where the starting point is in the interior.

tba

I shall demonstrate, under some mild assumptions, that the symmetry group of  extreme, Killing, supergravity horzions contains an sl(2, R) subalgebra.  The proof requires a generalization of the  Lichnerowicz theorem for non-metric connections. The techniques developed can also be applied in the classification
of AdS and Minkowski flux backgrounds.
 

Computational models of the heart have been primarily developed to simulate, analyse and understand experimental measurements. Increasingly biophysical models are being used to understand cardiac disease and pathologies in patients. This shift from laboratory to clinical contexts requires the development of new modelling frameworks to simulate pathological states that invalidate assumptions in existing modelling frameworks, work flows to integrate multiple data sets to constrain model parameters and an understanding of the clinical questions that models can answer. We report on the development and application of biophysical modelling frameworks representing the cardiac electrical and mechanical systems, which are currently being customised for modelling cardiac pathologies.

Our study addresses the question of how an arbitrage-free semimartingale model is affected when the knowledge about a random time is added. Precisely, we focus on the No-Unbounded-Profit-with-Bounded-Risk condition, which is also known in the literature as the first kind of no arbitrage. In the general semimartingale setting, we provide a sufficient condition on the random time and price process for which the no arbitrage is preserved under filtration enlargement. Moreover we study the condition on the random time for which the no arbitrage is preserved for any process. This talk is based on a joint work with Tahir Choulli, Jun Deng and Monique Jeanblanc.