Past

The classical expected utility maximisation theory for financial asset allocation is premised on the assumption that human beings when facing risk make rational choices. The theory has been challenged by many observed and repeatable empirical patterns as well as a number of famous paradoxes and puzzles. The prospect theory in behavioural finance use cognitive psychological techniques to incorporate anomalies in human judgement into economic decision making. This lecture explains the interplay between risk and human judgement, and its impact on dynamic asset allocation via mathematically establishing and analysing a behavioural portfolio choice model.

The geometric Langlands program aims at a "spectral decomposition" of certain derived categories, in analogy with the spectral decomposition of function spaces provided by the Fourier transform. I'll explain such a geometrically-defined spectral decomposition of categories for a particular geometry that arises naturally in connection with integrable systems (more precisely, the quantum Calogero-Moser system) and representation theory (of Cherednik algebras). The category in this case comes from the moduli space of vector bundles on a curve equipped with a choice of ``mirabolic'' structure at a point. The spectral decomposition in this setting may be understood as a case of ``tamely ramified geometric Langlands''. In the talk, I won't assume any prior familiarity with the geometric Langlands program, integrable systems or Cherednik algebras.

Let G be the union of a red graph R and a blue graph B where every edge of G is in R or B (or both R and B). We call such a graph 2-painted. Given 2-painted graphs G and H, we say that G contains a copy of H if we can find a subgraph of G which is isomorphic to H. Let 0

Quasifuchsian punctured-torus groups are the `simplest'
Kleinian groups with an interesting deformation theory. I will show that the convex core of the quotient of hyperbolic 3-space by such a group admits a decomposition into ideal tetrahedra which is canonical in two completely independent senses: one combinatorial, the other geometric. One upshot is a proof of the Bending Lamination Conjecture for such groups.

I will give a characterization of connected Lie groups admitting a quasi-isometric embedding into a CAT(0) metric space. The proof relies on the study of the geometry of their asymptotic cones

In the first part of the talk, we fit the Hua-Pickrell measure (which is a two parameters deformation of the Haar measure) on the unitary group and the Ewens measure on the symmetric group in a same framework. We shall see that in the unitary case, the eigenvalues follow a determinantal point process with explicit hypergeometric kernels. We also study asymptotics of these kernels. The techniques used rely upon splitting of the Haar measure and sampling techniques. In the second part of the talk, we provide a matrix model for the circular Jacobi ensemble, which is the sampling used for the Hua-Pickrell measure but this time on Dyson's circular ensembles. In this case, we use the theory of orthogonal polynomials on the unit circle. In particular we prove that when the parameter of the sampling grows with n, both the spectral measure and the empirical spectral measure converge weakly in probability to a non-trivial measure supported only by one piece of the unit circle.

We consider a critical, measure-valued branching diffusion ξ in Rd, where the branching is continuous and the spatial motion is given by the heat flow. For d ≥ 2 and fixed t > 0, ξt is known to be an a.s. singular random measure of Hasudorff dimension 2. We explain how it can be approximated by Lebesgue measure on ε-neighbourhoods of the support. Next we show how ξt can be approximated in total variation near n points, and how the associated Palm distributions arise in the limit from elementary conditioning. Finally we hope to explan the duality between moment and Palm measures, and to show how the latter can be described in terms of discrete “Palm trees.”

In recent years Schanuel’s Conjecture (SC) has played a fundamental role

in the Theory of Transcendental Numbers and in decidability issues.

Macintyre and Wilkie proved the decidability of the real exponential field,

modulo (SC), solving in this way a problem left open by A. Tarski.

Moreover, Macintyre proved that the exponential subring of R generated

by 1 is free on no generators. In this line of research we obtained that in

the exponential ring $(\mathbb{C}, ex)$, there are no further relations except $i^2 = −1$

and $e^{i\pi} = −1$ modulo SC. Assuming Schanuel’s Conjecture we proved that

the E-subring of $\mathbb{R}$ generated by $\pi$ is isomorphic to the free E-ring on $\pi$.

These results have consequences in decidability issues both on $(\mathbb{C}, ex)$ and

$(\mathbb{R}, ex)$. Moreover, we generalize the previous results obtaining, without

assuming Schanuel’s conjecture, that the E-subring generated by a real

number not definable in the real exponential field is freely generated. We

also obtain a similar result for the complex exponential field.

Many portfolio optimization problems are directly or indirectly concerned with the current maximum of the underlying. For example, loockback or Russian options, optimization with max-drawdown constraint , or indirectly American Put Options, optimization with floor constraints.

The Azema-Yor martingales or max-martingales, introduced in 1979 to solve the Skohorod embedding problem, appear to be remarkably efficient to provide simple solution to some of these problems, written on semi-martingale with continuous running supremum.

The phenomenon of ignition is one with which we are all familiar, but which is remarkably difficult to define and model effectively. My own (description rather than definition) is “initiation of a (high temperature) self-sustaining exothermic process”; it may of course be desirable, as in your car’s engine, or highly undesirable, as the cause of many disastrous fires and explosions Both laboratory experiments and numerical simulations demonstrate its extreme sensitivity to external influences, past history and process (essentially chemical) kinetics, but at the heart of all instances there appears to be some “critical” unstable equilibrium state. Though some analytical modelling has been useful in particular cases, this remains in general virgin territory for applied mathematicians – perhaps there is room for some “knowledge transfer” here.

We recall that an elliptic curve is a curve of genus one with a rational point on it. Certain algorithms for determining the structure of the group of rational points on an elliptic curve produce a whole set of curves of genus one and then require that we determine which of these curves has a rational point.

Unfortunately no algorithm which has been proved to terminate is known for doing this. Such an algorithm or proof would probably have profound implications for the study of elliptic curves and may shed light on the Birch and Swinnerton-Dyer conjecture.

This talk will be about joint work with Samir Siksek (Warwick) on the development of a new algorithmic criterion for determining that a given curve of genus one has no rational points. Both the theory behind the criterion and recent attempts to make the criterion computationally practical, will be detailed.