Past

When managing risk, frequently only imperfect hedging instruments are at hand.

We show how to optimally cross-hedge risk when the spread between the hedging

instrument and the risk is stationary. At the short end, the optimal hedge ratio

is close to the cross-correlation of the log returns, whereas at the long end, it is

optimal to fully hedge the position. For linear risk positions we derive explicit

formulas for the hedge error, and for non-linear positions we show how to obtain

numerically effcient estimates. Finally, we demonstrate that even in cases with no

clear-cut decision concerning the stationarity of the spread it is better to allow for

mean reversion of the spread rather than to neglect it.

The talk is based on joint work with Georgi Dimitroff, Gregor Heyne and Christian Pigorsch.

I'll start by defining the zeta function and stating the Weil conjectures (which have actually been theorems for some time now). I'll then go on by saying things like "Weil cohomology", "standard conjectures" and "Betti numbers of the Grassmannian". Hopefully by the end we'll all have learned something, including me.

Recent papers by Butler-Campbell-Kovàcs, Rump, Prihoda-Puninski and others introduce over an order O over a Dedekind domain D a notion of "generalized lattice", meaning a D-projective O-module.

We define a similar notion over Dedekind-like rings -- a class of rings intensively studied by Klingler and Levy. We examine in which cases every generalized lattices is a direct sum of ordinary -- i.e., finitely generated -- lattices. We also consider other algebraic and model theoretic questions about generalized lattices.

Voltammetry is a powerful method for interrogating electrochemical systems. A voltage is applied to an electrode and the resulting current response analysed to determine features of the system under investigation, such as concentrations, diffusion coefficients, rate constants and thermodynamic potentials. Here we will focus on ac voltammetry, where the voltage signal consists of a high frequency sine-wave superimposed on a linear ramp. Using multiple scales analysis, we find analytical solutions for the harmonics of the current response and show how they can be used to determine the system parameters. We also include the effects of capacitance due to the double-layer at the electrode surface and show that even in the presence of large capacitance, the harmonics of the current response can still be isolated using the FFT and the Hanning window.

I show how invariants of curves of genus 2 can be used for explicitly constructing class fields of

certain number fields of degree 4.

Following the framework of the heterogeneous multiscale method, we present a numerical method for nonlinear elliptic homogenization problems. We briefly review the numerical, relying on an efficient coupling of macro and micro solvers, for linear problems. A fully discrete analysis is then given for nonlinear (nonmonotone) problems, optimal convergence rates in the H¹ and L² norms are derived and the uniqueness of the method is shown on sufficiently fine macro and micro meshes.

Numerical examples confirm the theoretical convergence rates and illustrate the performance and versatility of our approach.

We consider a multidimensional structural credit model, where each company follows a jump-diffusion process and is connected with other companies via global factors. We assume that a company can default both expectedly, due to the diffusion part, and unexpectedly, due to the jump part, by a sudden fall in a company's value as a result of a global shock. To price CDOs efficiently, we use ideas, developed by Bush et al.

for diffusion processes, where the joint density of the portfolio is approximated by a limit of the empirical measure of asset values in the basket. We extend the method to jump-diffusion settings. In order to check if our model is flexible enough, we calibrate it to CDO spreads from pre-crisis and crisis periods.

For both data sets, our model fits the observed spreads well, and what is important, the estimated parameters have economically convincing values.

We also study the convergence of our method to basic Monte Carlo and conclude that for a CDO, that typically consists of 125 companies, the method gives close results to basic Monte Carlo."

The class of fields with a given absolute Galois group is in general not an elementary class. Looking instead at abstract elementary classes we can show that this class, as well as the class of pairs (F,K), where F is a function field in one variable over a perfect base field K with a fixed absolute Galois group, is abstract elementary. The aim is to show categoricity for the latter class. In this talk, we will be discussing some consequences of basic properties of these two classes.

It is known for long that the set of possible compactifications of a topological space (up to homeomorphism) is in order-preserving bijection to "strong inclusion" relations on the lattice of open sets. Since these relations do not refer to points explicitly, this bijection has been generalised to point-free topology (a.k.a. locales). The strong inclusion relations involved are typically "witnessed" relations. For example, the Stone-Cech compactification has a strong inclusion witnessed by real-valued functions. This makes it natural to think of compactification in terms of d-frames, a category invented by Jung and Moshier for bitopological Stone duality. Here, a witnessed strong inclusion is inherent to every object and plays a central role.

We present natural analogues of the topological concepts regularity, normality, complete regularity and compactness in d-frames. Compactification is then a coreflection into the category of d-frames dually equivalent to compact Hausdorff spaces. The category of d-frames has a few surprising features. Among them are:

• The real line with the bitopology of upper and lower semicontinuity admits precisely one compactification, the extended reals.
• Unlike in the category of topological spaces (or locales), there is a coreflection into the subcategory of normal d-frames, and every compactification can be factored as "normalisation" followed by Stone-Cech compactification.

The talk will start with the definition of amenable groups. I will discuss various properties and interesting facts about them. Those will be underlined with representative examples. Based on this I will give the definition and some basic properties of sofic groups, which only emerged quite recently. Those groups are particularly interesting as it is not know whether every group is sofic.

We consider random walks on two classes of random graphs and explore the likely structure of the the set of unvisited vertices or vacant set. In both cases, the size of the vacant set $N(t)$ can be obtained explicitly as a function of $t$. Let $\Gamma(t)$ be the subgraph induced by the vacant set. We show that, for random graphs $G_{n,p}$ above the connectivity threshold, and for random regular graphs $G_r$, for constant $r\geq 3$, there is a phase transition in the sense of the well-known Erdos-Renyi phase transition. Thus for $t\leq (1-\epsilon)t^*$ we have a unique giant plus components of  size $O(\log n)$ and for $t\geq (1+\epsilon)t^*$ we have only components of  size $O(\log n)$.

In the case of $G_r$ we describe the likely degree sequence, size of the giant component and structure of the small ($O(\log n)$) size components.

Please note that this seminar has been cancelled due to unforeseen circumstances.

In this talk we show that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or strictly concave.

The value function is smooth if admissible controls satisfy an integrability condition or if it is continuous on the closure of its domain.

The key idea is to work on the dual control problem and the dual HJB equation. We construct a smooth, strictly convex solution to the dual HJB equation and show that its conjugate function is a smooth, strictly concave solution to the primal HJB equation satisfying the terminal and boundary conditions

The derived category of a variety has (relatively) recently come into play as an invariant of the variety, useful as a tool for classification. As the derived category contains cohomological information about the variety, it is perhaps a natural question to ask how close the derived category is to the motive of a variety.

We will begin by briefly recalling Grothendieck's category of Chow motives of smooth projective varieties, recall the definition of Fourier-Mukai transforms, and state some theorems and examples. We will then discuss some conjectures of Orlov http://arxiv.org/abs/math/0512620, the most general of which is: does an equivalence of derived categories imply an isomorphism of motives?

Due to illness the speaker has been forced to postpone at short notice. A new date will be announced as soon as possible.

"We will talk on stability, simplicity, nip, etc of partial types. We will review some known results and we will discuss some open problems."

Flows involving immiscible liquids are encountered in a variety of industrial and natural processes. Recent applications in micro- and nano-fluidics have led to a significant scientific effort whose aim (among other aspects) is to enable theoretical predictions of the spatiotemporal dynamics of the interface(s) separating different flowing liquids. In such applications the scale of the system is small, and forces such as surface tension or externally imposed electrostatic forces compete and can, in many cases, surpass those of gravity and inertia. This talk will begin with a brief survey of applications where electrohydrodynamics have been used experimentally in micro-lithography, and experiments will be presented that demonstrate the use of electric fields in producing controlled encapsulated droplet formation in microchannels.

The main thrust of the talk will be theoretical and will mostly focus on the paradigm problem of the dynamics of electrified falling liquid films over topographically structured substrates.

Evolution equations will be developed asymptotically and their solutions will be compared to direct simulations in order to identify their practicality. The equations are rich mathematically and yield novel examples of dissipative evolutionary systems with additional effects (typically these are pseudo-differential operators) due to dispersion and external fields.

The models will be analysed (we have rigorous results concerning global existence of solutions, the existence of dissipative dynamics and an absorbing set, and analyticity), and accurate numerical solutions will be presented to describe the large time dynamics. It is found that electric fields and topography can be used to control the flow.Time permitting, I will present some recent results on transitions between convective to absolute instabilities for film flows over periodic topography.

he Iwasawa theory of elliptic curves over the rationals, and more
generally of modular forms, has mostly been studied with the
assumption that the form is "ordinary" at p -- i.e. that the Hecke
eigenvalue is a p-adic unit. When this is the case, the dual of the
p-Selmer group over the cyclotomic tower is a torsion module over the
Iwasawa algebra, and it is known in most cases (by work of Kato and
Skinner-Urban) that the characteristic ideal of this module is
generated by the p-adic L-function of the modular form.

I'll talk about the supersingular (good non-ordinary) case, where
things are slightly more complicated: the dual Selmer group has
positive rank, so its characteristic ideal is zero; and the p-adic
L-function is unbounded and hence doesn't lie in the Iwasawa algebra.
Under the rather restrictive hypothesis that the Hecke eigenvalue is
actually zero, Kobayashi, Pollack and Lei have shown how to decompose
the L-function as a linear combination of Iwasawa functions and
explicit "logarithm-like" series, and to modify the definition of the
Selmer group correspondingly, in order to formulate a main conjecture
(and prove one inclusion). I will describe joint work with Antonio Lei
and Sarah Zerbes where we extend this to general supersingular modular
forms, using methods from p-adic Hodge theory. Our work also gives
rise to new phenomena in the ordinary case: a somewhat mysterious
second Selmer group and L-function, which is related to the
"critical-slope L-function" studied by Pollack-Stevens and Bellaiche.


This talk is about the Induced Dimension Reduction (IDR) methods developed by Peter Sonneveld and, more recently, Martin van Gijzen. We sketch the history, outline the underlying principle, and give a few details about different points of view on this class of Krylov subspace methods. If time permits, we briefly outline some recent developments in this field and the benefits and drawbacks of these and IDR methods in general.

In this talk I want to ask how to create a coherent mathematical framework for pricing and hedging which starts with the information available in the market and does not assume a given probabilistic setup. This calls for re-definition of notions of arbitrage and trading and, subsequently, for a ``probability-free first fundamental theorem of asset pricing". The new setup should also link with a classical approach if our uncertainty about the model vanishes and we are convinced a particular probabilistic structure holds. I explore some recent results but, predominantly, I present the resulting open questions and problems. It is an ``internal talk" which does not necessarily present one paper but rather wants to engage into a discussion. Ideas for the talk come in particular from joint works with Alex Cox and Mark Davis.

Solutions which are time-bounded in L^3 up to time T can be continued

past this time, by a landmark result of Escauriaza-Seregin-Sverak,

extending Serrin's criterion. On the other hand, the local Cauchy

theory holds up to solutions in BMO^-1; we aim at describing how one

can obtain intermediate regularity results, assuming a priori bounds

in negative regularity Besov spaces.

This is joint work with J.-Y. Chemin, Isabelle Gallagher and Gabriel

Koch.

First of all, we are going to recall some basic facts and definitions about homogeneous Riemannian manifolds. Then we are going to talk about existence and non-existence of invariant Einstein metrics on compact homogeneous manifolds. In this context, we have that it is possible to associate to every homogeneous space a graph. Then, the graph theorem of Bohm, Wang and Ziller gives an existence result of invariant Einstein metrics on a compact homogeneous space, based on properties of its graph. We are going to discuss this theorem and sketch its proof.

Given a deterministically time-changed Brownian motion Z starting from 1, whose time-change V (t) satisfies V (t) > t for all t > 0, we perform an explicit construction of a process X which is Brownian motion in its own filtration and that hits zero for the first time at V (S), where S := inf {t > 0 : Z_t = 0}. We also provide the semimartingale decomposition of X under the filtration jointly generated by X and Z. Our construction relies on a combination of enlargement of filtration and filtering techniques. The resulting process X may be viewed as the analogue of a 3-dimensional Bessel bridge starting from 1 at time 0 and ending at 0 at the random time V (S). We call this a dynamic Bessel bridge since S is not known at time 0 but is slowly revealed in time by observing Z. Our study is motivated by insider trading models with default risk. (this is a joint work with Luciano Campi and Albina Danilova)

In 1968, Dixmier posed six problems for the algebra of polynomial

  differential operators, i.e. the Weyl algebra. In 1975, Joseph

solved the third and sixth problems and, in 2005, I solved the

  fifth problem and gave a positive solution to the fourth problem

  but only for homogeneous differential operators. The remaining three problems are still open. The first problem/conjecture of Dixmier (which is equivalent to the Jacobian Conjecture as was shown in 2005-07 by Tsuchimito, Belov and Kontsevich) claims that the Weyl algebra `behaves'

like a finite field. The first problem/conjecture of

  Dixmier:   is it true that an algebra endomorphism of the Weyl

  algebra an automorphism? In 2010, I proved that this question has

  an affirmative answer for the algebra of polynomial

  integro-differential operators. In my talk, I will explain the main

  ideas, the structure of the proof and recent progress on the first problem/conjecture of Dixmier.

A random planar graph $P_n$ is a graph drawn uniformly at random from the class of all (labelled) planar graphs on $n$ vertices. In this talk we show that with probability $1-o(1)$ the number of vertices of degree $k$ in $P_n$ is very close to a quantity $d_k n$ that we determine explicitly. Here $k=k(n) \le c \log n$. In the talk our main emphasis will be on the techniques for proving such results. (Joint work with Kosta Panagiotou.)

In this talk, we will present some recent mathematical features around two-fluid models. Such systems may be encountoured for instance to model internal waves, violent aerated flows, oil-and-gas mixtures. Depending on the context, the models used for simulation may greatly differ. However averaged models share the same structure. Here, we address the question whether available mathematical results in the case of a single fluid governed by the compressible barotropic equations for single flow may be extended to two phase model and discuss derivations of well-known multi-fluid models from single fluid systems by homogeneization (assuming for instance highly oscillating density). We focus on existence of local existence of strong solutions, loss of hyperbolicity, global existence of weak solutions, invariant regions, Young measure characterization.

Leveraged ETFs are funds that target a multiple of the daily return of a reference asset; eg UYG (Proshares) targets twice the daily return of XLF (Financial SPDR) and SKF targets minus twice the daily return of XLF.

 It is well known that these leveraged funds have exposure to realized volatility. In particular, the relation between the leveraged and the unleveraged funds over a given time-horizon (larger than 1 day) is uncertain and will depend on the realized volatility. This talk examines this phenomenon theoretically and empirically first, and then uses this to price options on leveraged ETFs in terms of the prices of options on the underlying ETF. The resulting model allows to model the volatility skews of the leveraged and unleveraged funds in relation to each other and therefore suggest an arbitrage relation that could prove useful for traders and risk-managers.

The goal of this talk is to construct new examples of hyperbolic

aspherical complexes. More precisely, given an aspherical simplicial

complex P and a subcomplex Q of P, we are looking for conditions under

which the complex obtained by attaching a cone of base Q on P remains

aspherical. If Q is a set of loops of a 2-dimensional complex, J.H.C.

Whitehead proved that this new complex is aspherical if and only if the

elements of the fundamental group of P represented by Q do not satisfy

any identity. To deal with higher dimensional subcomplexes we use small

cancellation theory and extend the geometric point of view developed by

T. Delzant and M. Gromov to rotation families of groups. In particular

we obtain hyperbolic aspherical complexes obtained by attaching a cone

over the "real part" of a hyperbolic complex manifold.

Recently, Liang, Lyons and Qian developed a new methodology for the study of backward stochastic differential equations (BSDEs) on general filtered probability spaces. Their approach is based on the analysis of a particular class of functional differential equations, where the driver of the equation does not depend only on the present, but also on the terminal value of the solution.

The purpose of this work is to study fully coupled systems of forward functional differential equations, which are related to a broad class of fully coupled forward-backward stochastic dynamics with respect to general filtrations. In particular, these systems of functional differential equations have a more homogeneous structure with respect to the underlying forward-backward problems, allowing to partly avoid the conflicting nature between the forward and backward components.

Another advantage of the approach is that its generality allows to consider many other types of forward-backward equations not treated in the classical literature: this is shown with the help of several examples, which have interesting applications to mathematical finance and are related to parabolic integro-partial differential equations. In the second part of the talk, we introduce a numerical scheme for the approximation of decoupled systems, based on a time discretization combined with a local iteration approach.

I will introduce the notion of a nonlinear Levy process, discuss basic well-posednes, SDE links and the connection with interacting particles. The talk is aimed to be an introduction to the topic of my recent CUP monograph 'Nonllinear Markov processes and kinetic equations'.

We argue that a natural extension of the well known structural credit risk framework of Black and Cox is to model both the firm's assets and liabilities as correlated geometric Brownian motions. This financially reasonable assumption leads to a unification of equity derivatives (written on the stock price), and credit securities like bonds and credit default swaps (CDS), nesting the Black-Cox credit model with a particular stochastic volatility model for the stock. As we will see, it yields reasonable pricing performance with acceptable computational efficiency. However, it has been well understood how to extend a credit framework like this quite dramatically by the trick of time- changing the Brownian motions. We will find that the resulting two factor time-changed Brownian motion framework can encompass well known equity models such as the variance gamma model, and at the same time reproduce the stylized facts about default stemming from structural models of credit. We will end with some encouraging calibration results for a dataset of equity and credit derivative prices written on Ford Motor Company.

In this talk I shall present some ongoing work on principal G-Higgs bundles, for G a simple Lie group. In particular, we will consider two non-compact real forms of GL(p+q,C) and SL(p+q,C), namely U(p,q) and SU(p,q). By means of the spectral data that principal Higgs bundles carry for these non-compact real forms, we shall give a new description of the moduli space of principal U(p,q) and SU(p,q)-Higgs bundles. As an application of our method, we will count the connected components of these moduli spaces.