L3

Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting underlying financial constraints and while being practically implementable. We derive a state space for prices which are free from static (or model-independent) arbitrage and study the inference problem where a model is learnt from discrete time series data of stock and option prices. We use neural networks as function approximators for the drift and diffusion of the modelled SDE system, and impose constraints on the neural nets such that no-arbitrage conditions are preserved. In particular, we give methods to calibrate neural SDE models which are guaranteed to satisfy a set of linear inequalities. We validate our approach with numerical experiments using data generated from a Heston stochastic local volatility model, and will discuss some initial results using real data.

Based on joint work with Christoph Reisinger and Sheng Wang

 In this talk, we show some recent results related to the study of mechanical instabilities in slender structures. First, we propose a model of metamaterial sheets inspired by the pellicle of Euglenids, unicellular organisms capable of swimming due to their ability of changing their shape. These structures are composed of interlocking elastic rods which can freely slide along their edges. We characterize the kinematics and the mechanics of these structures using the special Cosserat theory of rods and by assuming axisymmetric deformations of the tubular assembly. We also characterize the mechanics of a single elastic beam constrained to smoothly slide along a rigid support, where the distance between the rod midline and the constraint is fixed and finite. In the presence of a straight support, the rod can deform into shapes exhibiting helices and perversions, namely transition zones connecting together two helices with opposite chirality.

Finally, we develop a mathematical model of damaged axons based on the theory of continuum mechanics and nonlinear elasticity. In several pathological conditions, such as coronavirus infections, multiple sclerosis, Alzheimer's and Parkinson's diseases, the physiological shape of axons is altered and a periodic sequence of bulges appears. The axon is described as a cylinder composed of an inner passive part, called axoplasm, and an outer active cortex, composed mainly of F-actin and able to contract thanks to myosin-II motors. Through a linear stability analysis, we show that, as the shear modulus of the axoplasm diminishes due to the disruption of the cytoskeleton, the active contraction of the cortex makes the cylindrical configuration unstable to axisymmetric perturbations, leading to a beading pattern.

The complexity of biological systems necessitates that we develop mathematical models to further our understanding of these systems. Mathematical models of these systems are generally based on heterogeneous sets of experimental data, resulting in a seemingly heterogeneous collection of models that ostensibly represent the same system. To understand the system, and to reveal underlying design principles, we therefore need to understand how the different models are related to each other with a view to obtaining a unified mathematical description. This goal is complicated by the number of distinct mathematical formalisms that may be employed to represent the same system, making direct comparison of the models very difficult. In this talk I will discuss two general methodologies, namely comparison by distance and comparison by equivalence, that allow us to compare model structures in a systematic way by representing models as labelled simplicial complexes. The distance can be obtained either directly from the simplicial complexes, or from the persistence intervals obtained by employing persistent homology with a flat filtration. Model equivalence is used to determine the conceptual similarity of models and can be automated by using group actions on the simplicial complexes. We apply our methodology for model comparison to demonstrate a particular equivalence between a positional-information model and a Turing-pattern model from developmental biology, which constitutes a novel observation for two classes of models that were previously regarded as unrelated. We also discuss an alternative framework for model comparison by representing models as groups, which allows for the application of group-theoretic techniques within our model comparison methodology.

Microscopic green algae show great diversity in structural complexity, and successfully evolved efficient swimming strategies at low Reynolds numbers. Gonium is one of the simplest multicellular algae, with only 16 cells arranged in a flat plate. If the swimming of unicellular organisms, like Chlamydomonas, is nowadays widely studied, it is less clear how a colony made of independent Chlamydomonas-like cells performs coordinated motion. This simple algae is therefore a key organism to model the evolution from single-celled to multicellular locomotion.

In the absence of central communication, how can each cell adapt its individual photoresponse to efficiently reorient the whole algae? How crucial is the distinctive Gonium squared structure?

In this talk, I will present experiments investigating the shape and the phototactic swimming of Gonium, using trajectory tracking and micro-pipette techniques. I will explain our model linking the individual flagella response to the colony trajectory. This eventually emphasises the importance of biological noise for efficient swimming.

 Mathematics for the mind: network dynamical systems for neurodegenerative disease pathology

Travis Thompson

Can mathematics understand neurodegenerative diseases?  The modern medical perspective on neurological diseases has evolved, slowly, since the 20th century but recent breakthroughs in medical imaging have quickly transformed medicine into a quantitative science.  Today, mathematical modeling and scientific computing allow us to go farther than observation alone.  With the help of  computing, experimental and data-informed mathematical models are leading to new clinical insights into how neurodegenerative diseases, such as Alzheimer's disease, may develop in the human brain.  In this talk, I will overview my work in the construction, analysis and solution of data and clinically-driven mathematical models related to AD pathology.  We will see that mathematical modeling and scientific computing are indeed indispensible for cultivating a data-informed understanding of the brain, AD and for developing potential treatments.

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Simplified battery models via homogenisation  

Robert Timms

Lithium-ion batteries (LIBs) are one of the most popular forms of energy storage for many modern devices, with applications ranging from portable electronics to electric vehicles. Improving both the performance and lifetime of LIBs by design changes that increase capacity, reduce losses and delay degradation effects is a key engineering challenge. Mathematical modelling is an invaluable tool for tackling this challenge: accurate and efficient models play a key role in the design, management, and safe operation of batteries. Models of batteries span many length scales, ranging from atomistic models that may be used to predict the rate of diffusion of lithium within the active material particles that make up the electrodes, right through to models that describe the behaviour of the thousands of cells that make up a battery pack in an electric vehicle. Homogenisation can be used to “bridge the gap” between these disparate length scales, and allows us to develop computationally efficient models suitable for optimising cell design.

The organized movement of intracellular material is part of the functioning of cells and the development of organisms. These flows can arise from the action of molecular machines on the flexible, and often transitory, scaffoldings of the cell. Understanding phenomena in this realm has necessitated the development of new simulation tools, and of new coarse-grained mathematical models to analyze and simulate. In that context, I'll discuss how a symmetry-breaking "swirling" instability of a motor-laden cytoskeleton may be an important part of the development of an oocyte, modeling active material in the spindle, and what models of active, immersed polymers tell us about chromatin dynamics in the nucleus.

The organized movement of intracellular material is part of the functioning of cells and the development of organisms. These flows can arise from the action of molecular machines on the flexible, and often transitory, scaffoldings of the cell. Understanding phenomena in this realm has necessitated the development of new simulation tools, and of new coarse-grained mathematical models to analyze and simulate. In that context, I'll discuss how a symmetry-breaking "swirling" instability of a motor-laden cytoskeleton may be an important part of the development of an oocyte, modeling active material in the spindle, and what models of active, immersed polymers tell us about chromatin dynamics in the nucleus.

Some proteins (in their folded form) are classified as being knotted.

The function of the knotting is mysterious since knotting seemingly

would make the folding process unnecessarily complicated.  To

function, proteins need to fold quickly and reproducibly, and

misfolding can have catastrophic results.  For example, Mad Cow

disease and the human analog, Creutzfeldt-Jakob disease, come from

misfolded proteins.

Traditionally, knotting is only defined for closed curves, where the

topology is trapped in the loop.  However, proteins have free ends, as

well as most of the objects that humans consider as being knotted

(like shoelaces and strings of lights).  Defining knotting in open

curves is tricky and ambiguous.  We consider some definitions of

knotting in open curves and see how one of these definitions is used

to characterize the knotting in proteins.

We develop a new class of algorithms for general linear systems and a wide range of eigenvalue problems. These algorithms apply fast randomized sketching to accelerate subspace projection methods.  This approach offers great flexibility in designing the basis for the approximation subspace, which can improve scalability in many computational environments. The resulting algorithms outperform the classic methods with minimal loss of accuracy. For model problems, numerical experiments show large advantages over MATLAB’s optimized routines, including a 100x speedup. 

Joint work with Joel Tropp (Caltech). 

The Hutchinson’s trace estimator approximates the trace of a large-scale matrix A by computing the average of some quadratic forms involving A and some random vectors. Hutch++ is a more efficient trace estimation algorithm that combines this with the randomized singular value decomposition, which obtains a low-rank approximation of A by multiplying the matrix with some random vectors. In this talk, we present an improved version of Hutch++ which aims at minimizing the computational cost - that is, the number of matrix-vector multiplications with A - needed to achieve a trace estimate with a target accuracy. This is joint work with David Persson and Daniel Kressner.