Past

When estimated volatilities are not in perfect agreement with reality, delta hedged option portfolios will incur a non-zero profit-and-loss over time. There is, however, a surprisingly simple formula for the resulting hedge error, which has been known since the late 90s. We call this The Fundamental Theorem of Derivative Trading. This is a survey with twists of that result. We prove a more general version and discuss various extensions (including jumps) and applications (including deriving the Dupire-Gyo ̈ngy-Derman-Kani formula). We also consider its practical consequences both in simulation experiments and on empirical data thus demonstrating the benefits of hedging with implied volatility.

In the year 2003 Yuri Ershov gave a talk at a conference in Teheran on
his notion of ``extremal valued fields''. He proved that algebraically
complete discretely valued fields are extremal. However, the proof
contained a mistake, and it turned out in 2009 through an observation by
Sergej Starchenko that Ershov's original definition leads to all
extremal fields being algebraically closed. In joint work with Salih
Durhan (formerly Azgin) and Florian Pop, we chose a more appropriate
definition and then characterized extremal valued fields in several
important cases.

We call a valued field (K,v) extremal if for all natural numbers n and
all polynomials f in K[X_1,...,X_n], the set of values {vf(a_1,...,a_n)
| a_1,...,a_n in the valuation ring} has a maximum (which is allowed to
be infinity, attained if f has a zero in the valuation ring). This is
such a natural property of valued fields that it is in fact surprising
that it has apparently not been studied much earlier. It is also an
important property because Ershov's original statement is true under the
revised definition, which implies that in particular all Laurent Series
Fields over finite fields are extremal. As it is a deep open problem
whether these fields have a decidable elementary theory and as we are
therefore looking for complete recursive axiomatizations, it is
important to know the elementary properties of them well. That these
fields are extremal could be an important ingredient in the
determination of their structure theory, which in turn is an essential
tool in the proof of model theoretic properties.

The notion of "tame valued field" and their model theoretic properties
play a crucial role in the characterization of extremal fields. A valued
field K with separable-algebraic closure K^sep is tame if it is
henselian and the ramification field of the extension K^sep|K coincides
with the algebraic closure. Open problems in the classification of
extremal fields have recently led to new insights about elementary
equivalence of tame fields in the unequal characteristic case. This led
to a follow-up paper. Major suggestions from the referee were worked out
jointly with Sylvy Anscombe and led to stunning insights about the role
of extremal fields as ``atoms'' from which all aleph_1-saturated valued
fields are pieced together.

I will collect some results about the study of topological and algebraic invariants of this moduli space by using non-abelian Hodge theory. Some keywords are: Higgs bundles, Mixed Hodge structures.

I will discuss the notion of badly approximable points and recent progress and problems in this area, including Schmidt's conjecture, badly approximable points on manifolds and real numbers badly approximable by algebraic numbers.

The problem of optimal stopping with finite horizon in discrete time
is considered in view of maximizing the expected gain. The algorithm
presented in this talk is completely nonparametric in the sense that it
uses observed data from the past of the process up to time -n+1 (n being
a natural number), not relying on any specific model assumption. Kernel
regression estimation of conditional expectations and prediction theory
of individual sequences are used as tools.
The main result is that the algorithm is universally consistent: the
achieved expected gain converges to the optimal value for n tending to
infinity, whenever the underlying process is stationary and ergodic.
An application to exercising American options is given.

Honey poured from a sufficient height onto toast undergoes the well-known `liquid rope coiling’ instability.

We have studied this instability using a combination of laboratory experiments, theory, and numerics, with the aim of determining phase diagrams and scaling laws for the different coiling modes. Finite-amplitude coiling has four distinct modes - viscous, gravitational, inertio-gravitational, and inertial - depending on how the viscous forces that resist deformation of the rope are balanced. The inertio-gravitational mode is particularly interesting as it involves resonance between the coiling portion of the rope and its long trailing `tail’. Further experiments using less viscous fluids reveal that the rope can exhibit five different morphologies, of which steady coiling is only one. We determine the detailed phase diagram of these morphologies, which includes a novel `liquid supercoiling’

state in which the coiled cylinder formed by the primary coiling instability undergoes in turn its own complex buckling instability.  We show that the onset of these different patterns is determined by a non-penetrability condition which takes different forms in the viscous, gravitational and inertial limits. To close, we will briefly evoke two additional related phenomena: spiral waves of bubbles generated by coiling, and the `fluid mechanical sewing machine’ in which the fluid falls onto a moving belt.

The aim of this talk is to design an efficient multigrid method for constrained convex optimization problems arising from discretization  of  some  underlying  infinite  dimensional  problems. Due  to problem  dependency  of this approach, we only consider bound constraints with (possibly) a linear equality constraint. As our aim is to target large-scale problems, we want to avoid computation of second 
derivatives of the objective function, thus excluding Newton like methods. We propose a smoothing operator that only uses first-order information and study the computational efficiency of the resulting method. In the second part, we consider application of multigrid techniques to more general optimization problems, in particular, the topology design problem.

I will talk about the boundaries of CAT(0) groups giving definitions, some examples and will state some theorems. I may even prove something if there is time. 

I will talk about a remarkable theorem by Paulin, which says
that if a one-ended hyperbolic group has infinite outer automorphism
group, then it splits over a two-ended subgroup. In particular, this
gives a condition which ensures a hyperbolic group doesn't have property
(T).

We will discuss a result to the effect that the moduli space of log stable maps to a toric variety X is "the same" as the Morse-theoretic moduli space of broken gradient flow lines in the "differentiable realization" Y of the fan for X.  This is joint work with Sam Molcho.

 I will talk about Jochen’s theorem about the existence of some non-trivial Henselian valuation given by investigating the absolute Galois group.

The size Ramsey number r'(H) of a graph H is the smallest number of edges in a graph G which is Ramsey with respect to H, that is, such that any 2-colouring of the edges of G contains a monochromatic copy of H. A famous result of Beck states that the size Ramsey number of the path with n vertices is at most bn for some fixed constant b > 0. An extension of this result to graphs of maximum degree ∆ was recently given by Kohayakawa, Rödl, Schacht and Szemerédi, who showed that there is a constant b > 0 depending only on ∆ such that if H is a graph with n vertices and maximum degree ∆ then r'(H) < bn^{2 - 1/∆} (log n)^{1/∆}. On the other hand, the only known lower-bound on the size Ramsey numbers of bounded-degree graphs is of order n (log n)^c for some constant c > 0, due to Rödl and Szemerédi.

Together with David Conlon, we make a small step towards improving the upper bound. In particular, we show that if H is a ∆-bounded-degree triangle-free graph then r'(H) < s(∆) n^{2 - 1/(∆ - 1/2)} polylog n. In this talk we discuss why 1/∆ is the natural "barrier" in the exponent and how we go around it, why we need the triangle-free condition and what are the limits of our approach.

In this talk I will present some recent work on the amplituhedron formulation of scattering amplitudes. Very recently it has been conjectured that amplitudes in planar N=4 sYM are nothing else but the volume of a completely new mathematical object, called amplituhedron, which generalises the positive Grassmannian. After a review of the main ingredients which will be used, I will discuss some of the questions which remain open in this framework. I will then describe a new direction which promises to solve these issues and compute the volume of the amplituhedron at tree level.

 

The Ginzburg-Landau functional serves as a model for the formation of vortices in many physical contexts. The natural gradient flow, the parabolic Ginzburg-Landau equation, converges in the limit of small vortex size and finite number of vortices to a system of ODEs. Passing to the limit of many vortices in this ODE, one can derive a mean field PDE, similar to the passage from point vortex systems to the 2D Euler equations. In the talk, I will present quantitative estimates that allow us to directly connect the parabolic GL equation to the limiting mean field PDE. In contrast to recent work by Serfaty, our work is restricted to a fairly low number of vortices, but can handle vortex sheet initial data in bounded domains. This is joint work with Daniel Spirn (University of Minnesota).