In this talk, I will introduce a dynamic model of a banking network in which the value of interbank obligations is continuously adjusted to reflect counterparty default risk. An interesting feature of the model is that the credit value adjustments increase volatility during downturns, leading to endogenous distress contagion. The counterparty default risk can be computed backwards in time from the obligations' maturity date, leading to a specification of the model in terms of a forward-backward stochastic differential equation (FBSDE), coupled through the banks' default times. The singular nature of this coupling, makes a probabilistic analysis of the FBSDE challenging. So, instead, we derive a characterisation of the default probabilities through a cascade of partial differential equations (PDE). Each PDE represents a configuration with a different number of defaulted banks and has a free boundary that coincides with the banks' default thresholds. We establish classical well-posedness of this PDE cascade, from which we derive existence and uniqueness of the FBSDE.

Multiparameter persistent homology is a generalization of persistent homology that allows for more than a single filtration function. Such constructions arise naturally when considering data with outliers or variations in density, time-varying data, or functional data. Even though its algebraic roots are substantially more complicated, several new invariants have been proposed recently. In this talk, I will go over such invariants, as well as their stability, vectorizations and implementations in statistical machine learning.

TBD

Placing M-theory on a non-compact Calabi-Yau threefold allows us to construct low energy field theories in 5d with minimal supersymmetry, in a limit in which gravity is decoupled.  We venture into this topic by introducing all the building blocks we hope to capture in a 5d SCFT. Next, from the geometric perspective we realise the 5d gauge theory data from the objects within the Calabi-Yau geometry, given by curves, divisors, rulings, and singularities. After seeing how the geometry captures all the possible field theory data, we illustrate how to build some simple 5d SCFTs by placing M-theory on toric Calabi-Yau threefolds.

Junior Strings is a seminar series where DPhil students present topics of common interest that do not necessarily overlap with their own research area. This is primarily aimed at PhD students and post-docs but everyone is welcome.