Past

Taking the intersection form of a 4n-manifold defines a functor from a category of cobordisms to a symmetric monoidal category of quadratic forms. I will present the theory of the Maslov index and some higher-categorical constructions as variations on this theme.

We describe individual based continuous models of random evolutions and discuss some effects of competitions in these models. The range of applications includes models of spatial ecology, genetic mutation-selection models and particular socio-economic systems. The main aim of our presentation is to establish links between local characteristics of considered models and their macroscopic behaviour

In this talk we revisit the setting of Bouchard, Touzi, and Zeghal (2004).

For an incomplete market and a non-smooth utility function U defined on the whole real line we study the problem:

sup E [U(XTx,θ – B)]

θΘ(S)

Here B is a bounded contingent claim and Xx,θ represents the wealth process with initial capital x generated by portfolio θ. We study the case when the portfolios are constrained in a closed convex cone.

For the case without constraints and with a smooth utility function the solution method is to approximate the utility function and look at the same problem on a bounded negative domain. However, when one attempts to solve this bounded domain problem for a non-smooth utility function, the standard methods of proof cannot be applied. To circumvent this difficulty the idea of quadratic inf-convolution was introduced in Bouchard, Touzi, and Zeghal (2004). This method is mathematically appealing but leads to lengthy and technical proofs.

We will show that despite the presence of constraints, the dependence on quadratic inf-convolution can be removed. We will also show the existence of a constrained replicating portfolio for the optimal terminal wealth when the filtration is generated by a Brownian motion. This provides a natural generalisation of the results of Karatzas and Shreve (1998) to the whole real line.

Abstract: Quantum Hall systems are characterized by a spectacular set of observations (universal low-temperature conductivity, critical behaviour and semi-circle laws for transitions between Quantum Hall states) that are more robust than would be expected from the detailed theory of underlying electron dynamics. The talk starts with a summary of these observations, and their derivation from the assumption that the important charge carriers at the low energies relevant to conductivity measurements are weakly interacting particles or vortices. This implies a large emergent duality symmetry (a level two subgroup of SL(2,Z)), whose presence underlies the robustness of the observations in question. The newly-discovered and unusual Quantum Hall properties of graphene are discussed as providing a new test of this picture.

In this talk we will investigate the properties of stochastic volatility models, to discuss to what extent, and with regard to which models, properties of the classical exponential Brownian motion model carry over to a stochastic volatility setting.

The properties of the classical model of interest include the fact that the discounted stock price is positive for all $t$ but converges to zero almost surely, the fact that it is a martingale but not a uniformly integrable martingale, and the fact that European option prices (with convex payoff functions) are convex in the initial stock price and increasing in volatility. We give examples of stochastic volatility models where these properties continue to hold, and other examples where they fail.

The main tool is a construction of a time-homogeneous autonomous volatility model via a time change.

Graph-theoretic ideas have become very useful in understanding modern large-scale data-mining techniques. We show in this talk that ideas from optimization are also quite useful to better understand the numerical behavior of the corresponding algorithms. We illustrate this claim by looking at two specific graph theoretic problems and their application in data-mining.

The first problem is that of reputation systems where the reputation of objects and voters on the web are estimated; the second problem is that of estimating the similarity of nodes of large graphs. These two problems are also illustrated using concrete applications in data-mining.

Extending work of Klyachko and Perling, we develop a combinatorial description of pure equivariant sheaves on an arbitrary nonsingular toric

variety X. This combinatorial description can be used to construct moduli spaces of stable equivariant sheaves on X using Geometric Invariant Theory (analogous to techniques used in case of equivariant vector bundles on X by Payne and Perling). We study how the moduli spaces of stable equivariant sheaves on X can be used to explicitly compute the fixed point locus of the moduli space of all stable sheaves on X, i.e. the subscheme of invariant stable sheaves on X.

Cherednik algebras (always of type A in this talk) are an intriguing class of algebras that have been used to answer questions in a range of different areas, including integrable systems, combinatorics and the (non)existence of crepant resolutions. A couple of years ago Iain Gordon and I proved that they form a non-commutative deformation of the Hilbert scheme of points in the plane. This can be used to obtain detailed information about the representation theory of these algebras.

In the first part of the talk I will survey some of these results. In the second part of the talk I will discuss recent work with Gordon and Victor Ginzburg. This shows that the approach of Gordon and myself is closely related to Gan and Ginzburg's quantum Hamiltonian reduction. This again has applications to representation theory; for example it can be used to prove the equidimensionality of characteristic varieties.

A number of phylogenetic algorithms proceed by searching the space of all possible phylogenetic (leaf labeled) trees on a given set of taxa, using topological rearrangements and some optimality criterion. Recently, such an approach, called BSPR, has been applied to the balanced minimum evolution principle. Several computer studies have demonstrated the accuracy of BSPR in reconstructing the correct tree. It has been conjectured that BSPR is consistent, that is, when applied to an input distance that is a tree-metric, it will always converge to the (unique) tree corresponding to that metric. Here we prove that this is the case. Moreover, we show that even if the input distance matrix contains small errors relative to the tree-metric, then the BSPR algorithm will still return the corresponding tree.

A trader in finance is called an insider if she (or he) knows more about the prices in the market than can be obtained from the market history itself. This is the case if, for example, the trader knows something about the future price/value of a stock. We discuss the following question: What is the optimal portfolio of an insider who wants to maximize her expected profit at a given future time? The problem is that heavy trading by the insider will reveal parts of her inside price information to the market and thereby reduce her information advantage.

We will solve this problem by presenting a general anticipative stochastic calculus model for insider trading. Our results generalize equilibrium results due to Kyle (1985) and Back (1992).

The presentation is partly based on recent joint work with Knut Aase and Terje Bjuland, both at the Norwegian School of Economics and Business Administration (NHH).