14:15
Semi-Smooth Newton Methods for Black-Scholes with American Options and Portfolio Optimization Problems
Abstract
Efficient numerical solutions of several important partial-differential equation based models in mathematical finance are impeded by the fact that they contain operators which are Lipschitz continuous but not continuously differentiable. As a consequence, Newton methods are not directly applicable and, more importantly, do not provide their typical fast convergence properties.
In this talk semi-smooth Newton methods are presented as a remedy to the the above-mentioned difficulties. We also discuss algorithmic issues including the primal-dual active set strategy and path following techniques.
14:00
13:30
Shock Reflection-Diffraction, Transonic Flow, and Free Boundary Problems
Abstract
Finally we will discuss some recent developments in attacking the shock reflection-diffraction problems, including the existence, stability, and regularity of global regular configurations of shock reflection-diffraction by wedges. The approach includes techniques to handle free boundary problems, degenerate elliptic equations, and corner singularities, which is highly motivated by experimental, computational, and asymptotic results. Further trends and open problems in this direction will be also addressed. This talk will be mainly based on joint work with M. Feldman.
Metricity in projective geometry.
Abstract
Cover a plane with curves, one curve through each point
in each direction. How can you tell whether these curves are
the geodesics of some metric?
This problem gives rise to a certain closed system of partial
differential equations and hence to obstructions to finding such a
metric. It has been an open problem for at least 80 years. Surprisingly
it is harder in two dimensions than in higher dimensions. I shall present
a solution obtained jointly with Robert Bryant and Mike Eastwood.
16:30
"Nonlinear stability of time-periodic viscous shocks."
Abstract
"Time-periodic shocks in systems of viscous conservation laws are shown to be nonlinearly stable. The result is obtained by representing the evolution associated to the linearized, time-periodic operator using a contour integral, similar to that of strongly continuous semigroups. This yields detailed pointwise estimates on the Green's function for the time-periodic operator. The evolution associated to the embedded zero eigenvalues is then extracted.
Stability follows from a Gronwall-type estimate, proving algebraic decay of perturbations."
16:00
Density of rational points on diagonal quartic surfaces
Abstract
It is a wide open question whether the set of rational points on a smooth quartic surface in projective three-space can be nonempty, yet finite. In this talk I will treat the case of diagonal quartics V, which are given by: a x^4 + b y^4 + c z^4 + d w^4 = 0 for some nonzero rational a,b,c,d. I will assume that the product abcd is a square and that V contains at least one rational point P. I will prove that if none of the coordinates of P is zero, and P is not contained in one of the 48 lines on V, then the set of rational points on V is dense. This is based on joint work with Adam Logan and David McKinnon.
Hall algebras and Quantum Frobenius
Abstract
Lusztig discover an integral lift of the Frobenius morphism for algebraic groups in positive characteristic to quantum groups at a root of unity. We will describe how this map may be constructed via the Hall algebra realization of a quantum group.
Solving continuous differential equations numerically in the chebfun system
13:00
Modelling and numerical aspects of basket credit derivatives
Abstract
(based on joint work with Helen Haworth, William Shaw, and Ben Hambly)
The simulation of multi-name credit derivatives raises significant challenges, among others from the perspective of dependence modelling, calibration, and computational complexity. Structural models are based on the evolution of firm values, often modelled by market and idiosyncratic factors, to create a rich correlation structure. In addition to this, we will allow for contagious effects, to account for the important scenarios where the default of a number of companies has a time-decaying impact on the credit quality of others. If any further evidence for the importance of this was needed, the recent developments in the credit markets have furnished it. We will give illustrations for small n-th-to-default baskets, and propose extensions to large basket credit derivatives by exploring the limit for an increasing number of firms
13:00
Some results on the three dimensional Navier-Stokes equations
Abstract
Totally Disconnected, Locally Compact Groups & Geometric Group Theory
Abstract
As a small step towards an understanding of the relationship of the two fields in the title, I will present a uniformness result for embeddings of finitely generated, virtually free groups as cocompact, discrete subgroups in totally disconnected, locally compact groups.
A Statistical Physicist's role in molecular biology
Abstract
Modern molecular biology research produces data on a massive scale. This
data
is predominantly high-dimensional, consisting of genome-wide measurements of
the transcriptome, proteome and metabalome. Analysis of these data sets
often
face the additional problem of having small sample sizes, as experimental
data
points may be difficult and expensive to come by. Many analysis algorithms
are
based upon estimating the covariance structure from this high-dimensional
small sample size data, with the consequence that the eigenvalues and eigenvectors
of
the estimated covariance matrix are markedly different from the true values.
Techniques from statistical physics and Random Matrix Theory allow us to
understand how these discrepancies in the eigenstructure arise, and in
particular locate the phase transition points where the eigenvalues and
eigenvectors of the estimated covariance matrix begin to genuinely reflect
the
underlying biological signals present in the data. In this talk I will give
a
brief non-specialist introduction to the biological background motivating
the
work and highlight some recent results obtained within the statistical
physics
approach.
17:00
Multi-phase mixtures, multi-well relaxation and $H$-measures
Abstract
15:45
The Navier Stokes equation and the Absolute Boundary condition
Abstract
Let u be a vector field on a bounded domain in R^3. The absolute boundary condition states that both the normal part of u and the tangential part of curl(u) vanish on the boundary. After motivating the use of this condition in the context of the Navier Stokes equation, we prove local (in time) existence with this boundary behaviour. This work is together with Dr. Z. Qian and Prof. G. Q. Chen, Northwestern University.
14:15
Symplectic invariants of singular Lagrangian fibrations and action variables
14:15
Spectrum of large random graphs
Abstract
We will analyze the convergence of the spectrum of large random graphs to the spectrum of a limit infinite graph. These results will be applied to graphs converging locally to trees and derive a new formula for the Stieljes transform of the spectral measure of such graphs. We illustrate our results on the uniform regular graphs, Erdos-Renyi graphs and graphs with prescribed degree distribution. We will sketch examples of application for weighted graphs, bipartite graphs and the uniform spanning tree of n vertices. If time allows, we will discuss related open problems. This is a joint work with Marc Lelarge (INRIA & Ecole Normale Supérieure).
Gauge Theory, Gravity and Twistor String Scattering Amplitudes
Abstract
Developing multi-scale and multi-physics computational models of the heart
14:30
A bijection for tree-rooted maps and some applications
Abstract
A tree-rooted map is a planar map together with a
distinguished spanning tree. In the sixties, Mullin proved that the
number of tree-rooted maps with $n$ edges is the product $C_n C_{n+1}$
of two consecutive Catalan numbers. We will present a bijection
between tree-rooted maps (of size $n$) and pairs made of two trees (of
size $n$ and $n+1$ respectively) explaining this result.
Then, we will show that our bijection generalizes a correspondence by
Schaeffer between quandrangulations and so-called \emph{well labelled
trees}. We will also explain how this bijection can be used in order
to count bijectively several classes of planar maps
14:00
Disappearing bodies and ghost vortices
Abstract
In many dispersed multiphase flows droplets, bubbles and particles move and disappear due to a phase change. Practical examples include fuel droplets evaporating in a hot gas, vapour bubbles condensing in subcooled liquids and ice crystals melting in water. After these `bodies' have disappeared, they leave behind a remnant `ghost' vortex as an expression of momentum conservation.
A general framework is developed to analyse how a ghost vortex is generated. A study of these processes is incomplete without a detailed discussion of the concept of momentum for unbounded flows. We show how momentum can be defined unambiguously for unbounded flows and show its connection with other expressions, particularly that of Lighthill (1986). We apply our analysis to interpret new observations of condensing vapour bubble and discuss droplet evaporation. We show that the use of integral invariants, widely applied in turbulence, introduces a new perspective to dispersed multiphase flows