Designing experimental conditions to use the Lotka–Volterra model to infer tumor cell line interaction types
 Cho, H Lewis, A Storey, K Byrne, H Journal of Theoretical Biology volume 559 (05 Dec 2022)
Gravity from thermodynamics: optimal transport and negative effective dimensions
 De Luca, G De Ponti, N Mondino, A Tomasiello, A (05 Dec 2022)

Song of the Week: Emahoy Tsegue-Maryam Guebrou - Homesickness Pt. 2

Emahoy Tsegue-Maryam Guebrou is a 98-year-old Ethiopian nun whose solo piano music came to prominence in 2006 as part of the Ethiopiques collection. She was trained in the western classical tradition though her music has been described as bluesy, freewheeling waltzes with the influence of the chants of the Orthodox Church. It might all sound a bit obscure, but it is well worth a listen.

Thu, 19 Jan 2023

16:00 - 17:00
L6

Model Calibration with Optimal Transport

Benjamin Joseph
Abstract

In order for one to infer reasonable predictions from a model, it must be calibrated to reproduce observations in the market. We use the semimartingale optimal transport methodology to formulate this calibration problem into a constrained optimisation problem, with our model calibrated using a finite number of European options observed in the market as constraints. Given such a PDE formulation, we are able to then derive a dual formulation involving an HJB equation which we can numerically solve. We focus on two cases: (1) The stochastic interest rate is known and perfectly matches the observed term structure in the market, however the asset local volatility and correlation are not known and must be calibrated; (2) The dynamics of both the stochastic interest rate and the underlying asset are unknown, and we must jointly calibrate both to European options on the interest rate and on the asset.

Flattened and wrinkled encapsulated droplets: Shape-morphing induced by
gravity and evaporation
 Riccobelli, D Al-Terke, H Laaksonen, P Metrangolo, P Paananen, A Ras, R Ciarletta, P Vella, D (01 Dec 2022) http://arxiv.org/abs/2212.00826v3
A Model-Free Approach to Continuous-Time Finance
 Chiu, H Cont, R (01 Jan 2021)
A model-free approach to continuous-time finance
 Cont, R Chiu, H Mathematical Finance
Blast from the past II: constraints on heavy neutral leptons from the BEBC WA66 beam dump experiment
 Barouki, R Marocco, G Sarkar, S SciPost Physics volume 13 issue 5 (28 Nov 2022)
Unsung Heros of Science - Graham Garland Ross (1944-2021)
 Ghilencea, D Sarkar, S 360 (23 Nov 2022)
Evidence for neutrino emission from the nearby active galaxy NGC 1068
 IceCube Collaboration Abbasi, R Ackermann, M Adams, J Aguilar, J Ahlers, M Ahrens, M Alameddine, J Alispach, C Alves, A Amin, N Andeen, K Anderson, T Anton, G Argüelles, C Ashida, Y Axani, S Bai, X V., A Barbano, A Barwick, S Bastian, B Basu, V Baur, S Bay, R Beatty, J Becker, K Tjus, J Bellenghi, C BenZvi, S Berley, D Bernardini, E Besson, D Binder, G Bindig, D Blaufuss, E Blot, S Boddenberg, M Bontempo, F Borowka, J Böser, S Botner, O Böttcher, J Bourbeau, E Bradascio, F Braun, J Brinson, B Bron, S Brostean-Kaiser, J Browne, S Burgman, A Burley, R Busse, R Campana, M Carnie-Bronca, E Chen, C Chen, Z Chirkin, D Choi, K Clark, B Clark, K Classen, L Coleman, A Collin, G Conrad, J Coppin, P Correa, P Cowen, D Cross, R Dappen, C Dave, P De Clercq, C DeLaunay, J López, D Dembinski, H Deoskar, K Desai, A Desiati, P de Vries, K de Wasseige, G de With, M DeYoung, T Diaz, A Díaz-Vélez, J Dittmer, M Dujmovic, H Dunkman, M DuVernois, M Dvorak, E Ehrhardt, T Eller, P Engel, R Erpenbeck, H Evans, J Evenson, P Fan, K Fazely, A Fedynitch, A Feigl, N Fiedlschuster, S Fienberg, A Filimonov, K Finley, C Fischer, L Fox, D Franckowiak, A Friedman, E Fritz, A Fürst, P Gaisser, T Gallagher, J Ganster, E Garcia, A Garrappa, S Gerhardt, L Ghadimi, A Glaser, C Glauch, T Glüsenkamp, T Goldschmidt, A Gonzalez, J Goswami, S Grant, D Grégoire, T Griswold, S Günther, C Gutjahr, P Haack, C Hallgren, A Halliday, R Halve, L Halzen, F Minh, M Hanson, K Hardin, J Harnisch, A Haungs, A Hebecker, D Helbing, K Henningsen, F Hettinger, E Hickford, S Hignight, J Hill, C Hill, G Hoffman, K Hoffmann, R Hokanson-Fasig, B Hoshina, K Huang, F Huber, M Huber, T Hultqvist, K Hünnefeld, M Hussain, R Hymon, K In, S Iovine, N Ishihara, A Jansson, M Japaridze, G Jeong, M Jin, M Jones, B Kang, D Kang, W Kang, X Kappes, A Kappesser, D Kardum, L Karg, T Karl, M Karle, A Katz, U Kauer, M Kellermann, M Kelley, J Kheirandish, A Kin, K Kintscher, T Kiryluk, J Klein, S Koirala, R Kolanoski, H Kontrimas, T Köpke, L Kopper, C Kopper, S Koskinen, D Koundal, P Kovacevich, M Kowalski, M Kozynets, T Kun, E Kurahashi, N Lad, N Gualda, C Lanfranchi, J Larson, M Lauber, F Lazar, J Lee, J Leonard, K Leszczyńska, A Li, Y Lincetto, M Liu, Q Liubarska, M Lohfink, E Mariscal, C Lu, L Lucarelli, F Ludwig, A Luszczak, W Lyu, Y Ma, W Madsen, J Mahn, K Makino, Y Mancina, S Mariş, I Martinez-Soler, I Maruyama, R Mase, K McElroy, T McNally, F Mead, J Meagher, K Mechbal, S Medina, A Meier, M Meighen-Berger, S Micallef, J Mockler, D Montaruli, T Moore, R Morse, R Moulai, M Naab, R Nagai, R Nahnhauer, R Naumann, U Necker, J Nguyên, L Niederhausen, H Nisa, M Nowicki, S Nygren, D Pollmann, A Oehler, M Oeyen, B Olivas, A O'Sullivan, E Pandya, H Pankova, D Park, N Parker, G Paudel, E Paul, L Heros, C Peters, L Peterson, J Philippen, S Pieper, S Pittermann, M Pizzuto, A Plum, M Popovych, Y Porcelli, A Rodriguez, M Price, P Pries, B Przybylski, G Raab, C Rack-Helleis, J Raissi, A Rameez, M Rawlins, K Rea, I Rehman, A Reichherzer, P Reimann, R Renzi, G Resconi, E Reusch, S Rhode, W Richman, M Riedel, B Roberts, E Robertson, S Roellinghoff, G Rongen, M Rott, C Ruhe, T Ryckbosch, D Cantu, D Safa, I Saffer, J Herrera, S Sandrock, A Sandroos, J Santander, M Sarkar, S Satalecka, K Schaufel, M Schieler, H Schindler, S Schmidt, T Schneider, A Schneider, J Schröder, F Schumacher, L Schwefer, G Sclafani, S Seckel, D Seunarine, S Sharma, A Shefali, S Silva, M Skrzypek, B Smithers, B Snihur, R Soedingrekso, J Soldin, D Spannfellner, C Spiczak, G Spiering, C Stachurska, J Stamatikos, M Stanev, T Stein, R Stettner, J Steuer, A Stezelberger, T Stokstad, R Stürwald, T Stuttard, T Sullivan, G Taboada, I Ter-Antonyan, S Tilav, S Tischbein, F Tollefson, K Tönnis, C Toscano, S Tosi, D Trettin, A Tselengidou, M Tung, C Turcati, A Turcotte, R Turley, C Twagirayezu, J Ty, B Elorrieta, M Valtonen-Mattila, N Vandenbroucke, J van Eijndhoven, N Vannerom, D van Santen, J Verpoest, S Walck, C Watson, T Weaver, C Weigel, P Weindl, A Weiss, M Weldert, J Wendt, C Werthebach, J Weyrauch, M Whitehorn, N Wiebusch, C Williams, D Wolf, M Woschnagg, K Wrede, G Wulff, J Xu, X Yanez, J Yoshida, S Yu, S Yuan, T Zhang, Z Zhelnin, P (17 Nov 2022)
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