DH 1st floor SR

John Allen: The Bennett Pinch revisited

Abstract: The original derivation of the well-known Bennett relation is presented. Willard H. Bennett developed a theory, considering both electric and magnetic fields within a pinched column, which is completely different from that found in the textbooks. The latter theory is based on simple magnetohydrodynamics which ignores the electric field.

The discussion leads to the interesting question as to whether the possibility of purely electrostatic confinement should be seriously considered.

Angela Mihai: A mathematical model of coupled chemical and electrochemical processes arising in stress corrosion cracking

Abstract: A general mathematical model for the electrochemistry of corrosion in a long and narrow metal crack is constructed by extending classical kinetic models to also incorporate physically realistic kinematic conditions of metal erosion and surface film growth. In this model, the electrochemical processes are described by a system of transport equations coupled through an electric field, and the movement of the metal surface is caused, on the one hand, by the corrosion process, and on the other hand, by the undermining action of a hydroxide film, which forms by consuming the metal substrate. For the model problem, approximate solutions obtained via a combination of analytical and numerical methods indicate that, if the diffusivity of the metal ions across the film increases, a thick unprotective film forms, while if the rate at which the hydroxide produces is increased, a thin passivating film develops.

We will try to cover the following problems in the workshop:

(1) Modelling of aortic aneurisms showing the changes in blood flow / wall loads before and after placements of aortic stents;

(2) Modelling of blood flows / wall loads in interracial aneurisms when flow diverters are used;

(3) Metal artefact reduction in computer tomography (CT).

If we run out of time the third topic may be postponed.

There will be three problems discussed all of which are open for consideration as MSc projects.

1. Reduction of Ndof in Adaptive Signal Processing

2. Calculus of Convex Sets

3. Dynamic Response of a disc with an off centre hole(s)

Abstract: describe several results on the convergence of approximation schemes for possibly degenerate, linear or nonlinear parabolic equations which apply in particular to equations arising in option pricing or portfolio management. We address both the questions of the convergence and the rate of convergence.

The talk will be devoted to criteria of absence of arbitrage opportunities under small transaction costs for a family of multi-asset models of financial market.

In this talk a number of identities will be discussed that relate to the event of level crossing of certain types of stochastic processes. Some of these identities are surprisingly simple and have interpretations in surplus modelling of insurance portfolios, the design of taxation schemes, optimal dividend strategies and the pricing of barrier options.

A stock loan is a contract between two parties: the lender, usually a bank or other financial institution providing a loan, and the borrower, represented by a client who owns one share of a stock used as collateral for the loan. Several reasons might motivate the client to get into such a deal. For example he might not want to sell his stock or even face selling restrictions, while at the same time being in need of available funds to attend to another financial operation. In Xia and Zhou (2007), a stock loan is modeled as a perpetual American option with a time varying strike and analyzed in detail within the Black-Scholes framework. In this paper, we extend the valuation of such loans to an incomplete market setting, which takes into account the natural trading restrictions faced by the client. When the maturity of the loan is infinite we obtain an exact formula for the value of the loan fee to be charged by the bank based on a result in Henderson (2007). For loans of finite maturity, we characterize its value using a variational inequality first presented in Oberman and Zariphopoulou (2003). In both cases we show analytically how the fee varies with the model parameters and illustrate the results numerically. This is joint work with Cesar G. Velez (Universidad Nacional de Colombia).

The theory and computation of convex measures of financial risk has been a very active area of Financial Mathematics, with a rich history in a short number of years. The axioms specify sensible properties that measures of risk should possess (and which the industry's favourite, value-at-risk, does not). The most common example is related to the expectation of an exponential utility function.

A basic application is hedging, that is taking off-setting positions, to optimally reduce the risk measure of a portfolio. In standard continuous-time models with dynamic hedging, this leads to nonlinear PDE problems of HJB type. We discuss so-called static-dynamic hedging of exotic options under convex risk measures, and specifically the existence and uniqueness of an optimal position. We illustrate the computational challenge when we move away from the risk measure associated with exponential utility.

Joint work with Aytac Ilhan (Goldman Sachs) and Mattias Jonsson (University of Michigan).

This is the session for industrial sponsors of the MSc in MM and SC to present the project ideas for 2010-11 academic year. Potential supervisors should attend to clarify details of the projects and meet the industrialists.