Past

Most financial models introduced for the purpose of pricing and hedging derivatives concentrate

on the dynamics of the underlying stocks, or underlying instruments on which the derivatives

are written. However, as certain types of derivatives became liquid, it appeared reasonable to model

their prices directly and use these market models to price or hedge exotic derivatives. This framework

was originally advocated by Heath, Jarrow and Morton for the Treasury bond markets.

We discuss the characterization of arbitrage free dynamic stochastic models for the markets with

infinite number of European Call options as the liquid derivatives. Subject to our assumptions on the

presence of jumps in the underlying, the option prices are represented either through local volatility or

through local L´evy measure. Each of the latter ones is then given dynamics through an Itˆo stochastic

process in infinite dimensional space. The main thrust of our work is to characterize absence of arbitrage

in this framework and address the issue of construction of the arbitrage-free models.

Associated to a pencil of algebraic curves with singular fibres is a bundle of Jacobians (which are abelian varieties off the discriminant locus of the family and semiabelian varieties over it). Normal functions, which are holomorphic sections of such a Jacobian bundle, were introduced by Poincare and used by Lefschetz to prove the Hodge Conjecture (HC) on algebraic surfaces. By a recent result of Griffiths and Green, an appropriate generalization of these normal functions remains at the center of efforts to establish the HC more generally and understand its implications. (Furthermore, the nature of the zero-loci of these normal functions is related to the Bloch-Beilinson conjectures on filtrations on Chow groups.)

Abel-Jacobi maps give the connection between algebraic cycles and normal functions. In this talk, we shall discuss the limits and singularities of Abel-Jacobi maps for cycles on degenerating families of algebraic varieties. These two features are strongly connected with the issue of graphing admissible normal functions in a Neron model, properly generalizing Poincare's notion of normal functions. Some of these issues will be passed over rather lightly; our main intention is to give some simple examples of limits of AJ maps and stress their connection with higher algebraic K-theory.

A very new theme in homological mirror symmetry concerns what the mirror of a normal function should be; in work of Morrison and Walcher, the mirror is related to counting holomorphic disks in a CY 3-fold bounding on a Lagrangian. Along slightly different lines, we shall briefly describe a surprising application of "higher" normal functions to growth of enumerative (Gromov-Witten) invariants in the context of local mirror symmetry.

Let $G=(V,E)$ be a graph with weights $\{w_e : e \in E\}$, and assume all weights are distinct. If $G$ is finite, then the well-known Prim's algorithm constructs its minimum spanning tree in the following manner. Starting from a single vertex $v$, add the smallest weight edge connecting $v$ to any other vertex. More generally, at each step add the smallest weight edge joining some vertex that has already been "explored" (connected by an edge) to some unexplored vertex.

If $G$ is infinite, however, Prim's algorithm does not necessarily construct a spanning tree (consider, for example, the case when the underlying graph is the two-dimensional lattice ${\mathbb Z}^2$, all weights on horizontal edges are strictly less than $1/2$ and all weights on vertical edges are strictly greater than $1/2$).

The behavior of Prim's algorithm for *random* edge weights is an interesting and challenging object of study, even
when the underlying graph is extremely simple. This line of research was initiated by McDiarmid, Johnson and Stone (1996), in the case when the underlying graph is the complete graph $K_n$. Recently Angel et. al. (2006) have studied Prim's algorithm on regular trees with uniform random edge weights. We study Prim's algorithm on $K_n$ and on its infinitary analogue Aldous' Poisson-weighted infinite tree. Along the way, we uncover two new descriptions of the Poisson IIC, the critical Poisson Galton-Watson tree conditioned to survive forever.

Joint work with Simon Griffiths and Ross Kang.

Living systems are subject to constant evolution through the two processes of mutations and selection, a principle discovered by C. Darwin. In a very simple, general and idealized description, their environment can be considered as a nutrient shared by all the population. This alllows certain individuals, characterized by a 'phenotypical trait', to expand faster because they are better adapted to use the environment. This leads to select the 'best fitted trait' in the population (singular point of the system). On the other hand, the new-born individuals undergo small variation of the trait under the effect of genetic mutations. In these circumstances, is it possible to describe the dynamical evolution of the current trait?

We will give a mathematical model of such dynamics, based on parabolic equations, and show that an asymptotic method allows us to formalize precisely the concepts of monomorphic or polymorphic population. Then, we can describe the evolution of the 'fittest trait' and eventually to compute various forms of branching points which represent the cohabitation of two different populations.

The concepts are based on the asymptotic analysis of the above mentioned parabolic equations once appropriately rescaled. This leads to concentrations of the solutions and the difficulty is to evaluate the weight and position of the moving Dirac masses that desribe the population. We will show that a new type of Hamilton-Jacobi equation, with constraints, naturally describes this asymptotic. Some additional theoretical questions as uniqueness for the limiting H.-J. equation will also be addressed.

This work is based on collaborations with O. Diekmann, P.-E. Jabin, S. Mischler, S. Cuadrado, J. Carrillo, S. Genieys, M. Gauduchon, S. Mirahimmi and G. Barles.

I'll explain (following Kontsevich and Soibelman) how cluster transformations intertwine non-commutative DT invariants for CY3 algebras related by a tilt.

We have recently found a way to describe large-scale neural

activity in terms of non-equilibrium statistical mechanics.

This allows us to calculate perturbatively the effects of

fluctuations and correlations on neural activity. Major results

of this formulation include a role for critical branching, and

the demonstration that there exist non-equilibrium phase

transitions in neocortical activity which are in the same

universality class as directed percolation. This result leads

to explanations for the origin of many of the scaling laws

found in LFP, EEG, fMRI, and in ISI distributions, and

provides a possible explanation for the origin of various brain

waves. It also leads to ways of calculating how correlations

can affect neocortical activity, and therefore provides a new

tool for investigating the connections between neural

dynamics, cognition and behavior

In this talk, Professor Lions will first present several examples of numerical simulations of complex industrial systems. All these simulations rely upon some mathematical models involving partial differential equations and he will briefly explain the nature, history and role of such equations. Examples showing the importance of the mathematical analysis (i.e. ‘understanding’) of those models will be presented, concluding with a few trends and perspectives.

Pierre-Louis Lions is the son of the famous mathematician Jacques-Louis Lions and has himself become a renowned mathematician, making numerous important contributions to the theory of non-linear partial differential equations. He was awarded a Fields Medal in 1994, in particular for his work with Ron DiPerna giving the first general proof that the Boltzmann equation of the kinetic theory of gases has solutions. Other awards Lions has received include the IBM Prize in 1987 and the Philip Morris Prize in 1991. Currently he holds the position of Chair of Partial Differential Equations and their Applications at the prestigious Collège de France in Paris.

This lecture is given as part of the 7th ISAAC Congress • www.isaac2009.org

Clore Lecture Theatre, Huxley Building, Imperial College London,
South Kensington Campus, London SW7 2AZ

RSVP: Attendance is free, but with registration in advance
Michael Ruzhansky • @email

I will describe some recent joint work with Davide Gaiotto and Greg Moore, in which we explain the origin of the wall-crossing formula of Kontsevich and Soibelman, in the context of N=2 supersymmetric field theories in four dimensions. The wall-crossing formula gives a recipe for constructing the smooth hyperkahler metric on the moduli space of the field theory reduced on a circle to 3 dimensions. In certain examples this moduli space is actually a moduli space of ramified Higgs bundles, so we obtain a new description of the hyperkahler structure on that space.

When two inclusions (in a composite) get closer and their conductivities degenerate

to zero or infinity, the gradient of the solution to the

conductivity equation blows up in general. We show

that the solution to the conductivity equation can be decomposed

into two parts in an explicit form: one of them has a bounded

gradient and the gradient of the other part blows up. Using the

decomposition, we derive the best possible estimates for the blow-up

of the gradient. The decomposition theorem and estimates have an

important implication in computation of electrical field in

the presence of closely located inclusions.

This short course runs from Monday 29th June to Friday 3rd July. For details of the course and how to register, please visit http://www2.maths.ox.ac.uk/oxmos/meetings/moms/.

Preview of problems to be solved at the study Group in Limerick taking place in the following week.

I will explain what a perfect obstruction theory is, and how it gives rise to a "virtual" fundamental class of the right expected dimension, even when the dimension of the moduli space is wrong. These virtual fundamental classes are one of the main preoccupations of "modern" moduli theory, being the central object of study in Gromov-Witten and Donaldson-Thomas theory. The purpose of the talk is to remove the black-box status of these objects. If there is time I will do some cheer-leading for dg-schemes, and try to convince the audience that virtual fundamental classes are most happily defined to live in the dg-world.

Martin Bridson will give a "repeat" performance of his Abel Lecture which he delivered a few weeks ago in Oslo as part of the scientific programme in honour of Abel Prize laureate Mikhail Gromov.

Abstract:

Gromov has illuminated great swathes of mathematics with the bright light of geometry. By means of example, I hope to convey the sense of wonder that his work engenders and something of the profound influence he has had on the way my generation thinks about mathematics.

I shall focus particularly on Geometric Group Theory. Gromov's ideas turned the study of discrete groups on its head, infusing it with an array of revolutionary ideas and unveiling deep connections to many other branches of mathematics.

We generalize rings, Banach algebras and C*-algebras to ringoids, Banach algebroids and C*-algebroids. We construct algebraic and topological K-theory of these objects. As an application we can formulate Farrell-Jones Conjecture in algebraic K-theory, Bost- and Baum-Connes-Conjecture in topological K-theory

I will describe joint work with Mohammed Abouzaid, in which we complete the proof of homological mirror symmetry for the standard four-torus and consider various applications. A key tool is the recently-developed holomorphic quilt theory of Mau-Wehrheim-Woodward.

We resume former discussions of the question, whether the spin-spin repulsion and the gravitational attraction of two aligned black holes can balance each other. To answer the question we formulate a boundary value problem for two separate (Killing-) horizons and apply the inverse (scattering) method to solve it. Making use of results of Manko, Ruiz and Sanabria-Gómez and a novel black hole criterion, we prove the non-existence of the equilibrium situation in question.

Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that simply incorporating the well-established time-varying return dynamics across trading and nontrading periods generates a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisingly, the higher liquidity premium is Not from higher trading frequency, but mainly from the substantially suboptimal (relative to the no transaction case) trading strategy chosen to control transaction costs. In addition, we show that adopting strategies prescribed by standard models that assume a continuously open market and constant return dynamics can result in significant utility loss. Furthermore, our model predicts that trading volume is greater at market close and market open than the rest of trading times.

I will talk about two pieces of work on finite covers:

(i) Work of Hrushovski which, for a stable theory, links splitting of certain finite covers with higher amalgamation properties;

(ii) Joint work of myself and Elisabetta Pastori which uses group cohomology to investigate some non-split finite covers of the set of k-sets from a disintegrated set.

Platelet ice may be an important component of Antarctic land-fast sea

ice. Typically, it is found at depth in first-year landfast sea ice

cover, near ice shelves. To explain why platelet ice is not commonly

observed at shallower depths, we consider a new mechanism. Our

hypothesis is that platelet ice eventually appears due to the sudden

deposition of frazil ice against the fast ice-ocean interface,

providing randomly oriented nucleation sites for crystal growth.

Brine rejected in plumes from land-fast ice generates stirring

sufficient to prevent frazil ice from attaching to the interface,

forcing it to remain in suspension until ice growth rate and brine

rejection slow to the point that frazil can stick. We calculate a

brine plume velocity, and match this to frazil rise velocity.

We consider both laminar and turbulent environments. We find that

brine plume velocities are generally powerful enough to prevent most

frazil from sticking in the case of laminar flow, and that in the

turbulent case there may be a critical ice thickness at which most

frazil suddenly settles.

Suppose a power series $f(x):= \sum_{n=0}^{\infty} a_{n} x^{n}$ has radius of convergence equal to $1$ and that $lim_{x\rightarrow 1}f(x) = s$. Does it therefore follow that $\sum_{n=0}^{\infty} a_{n} = s$? Tauber's Theorem answers in the affirmative, \textit{if} one imposes a certain growth condition (a \textit{Tauberian Condition}) on the coefficients $a_{n}$. Without such a condition it is clear that this cannot be true in general - take, for example, $f(x) = \sum_{n=0}^{\infty} (-1)^{n} x^{n}.$

Current community models in the geosciences employ a variety of numerical methods from finite-difference, finite-volume, finite- or spectral elements, to pseudospectral methods. All have specialized strengths but also serious weaknesses. The first three methods are generally considered low-order and can involve high algorithmic complexity (as in triangular elements or unstructured meshes). Global spectral methods do not practically allow for local mesh refinement and often involve cumbersome algebra. Radial basis functions have the advantage of being spectrally accurate for irregular node layouts in multi-dimensions with extreme algorithmic simplicity, and naturally permit local node refinement on arbitrary domains. We will show test examples ranging from vortex roll-ups, modeling idealized cyclogenesis, to the unsteady nonlinear flows posed by the shallow water equations to 3-D mantle convection in the earth’s interior. The results will be evaluated based on numerical accuracy, stability and computational performance.

The AJ conjecture relates two different knot invariants, namely the coloured Jones polynomial and the A-polynomial. The approach we will use will be that of 2+1 dimensional Topological Quantum Field Theory. Indeed, the coloured Jones polynomial is constructed in Reshetikhin and Turaev's formulation of a TQFT using quantum groups. The A-polynomial is defined by a subvariety of the moduli space of flat SL(2,C) connections of a torus.  Geometric quantization on this moduli space also gives a TQFT, and the correspondence between these provides a framework where the knot invariants can be compared. In the talk I will sketch the above constructions and show how we can do explicit calculations for simple knots. This is work in progress joint with J. E. Andersen.