L4

We will introduce the Thurston norm in the setting of 3-manifold groups, and show how the techniques coming from L2-homology allow us to extend its definition to the setting of free-by-cyclic groups.
We will also look at the relationship between this Thurston norm and the Alexander norm, and the BNS invariants, in particular focusing on the case of ascending HNN extensions of the 2-generated free group.

In 1878, Jordan showed that there is a function f on the set of natural numbers such that, if $G$ is a finite subgroup of $GL(n,C)$, then $G$ has an abelian normal subgroup of index at most $f(n)$. Early bounds were given by Frobenius and Schur, and close to optimal bounds were given by Weisfeiler in unpublished work in 1984 using the classification of finite simple groups; about ten years ago I obtained the optimal bounds. Crucially, these are "absolute" bounds; they do not address the wider question of divisibility of orders.

In 1887, Minkowski established a bound for the order of a Sylow p-subgroup of a finite subgroup of GL(n,Z). Recently, Serre asked me whether I could obtain Minkowski-like results for complex linear groups, and posed a very specific question. The answer turns out to be no, but his suggestion is actually quite close to the truth, and I shall address this question in my seminar. The answer addresses the divisibility issue in general, and it turns out that a central technical theorem on the structure of linear groups from my earlier work which there was framed as a replacement theorem can be reinterpreted as an embedding theorem and so can be used to preserve divisibility.

Structure-preserving signatures are an important cryptographic primitive that is useful for the design of modular cryptographic protocols. In this work, we show how to bypass most of the existing lower bounds in the most efficient Type-III bilinear group setting. We formally define a new variant of structure-preserving signatures in the Type-III setting and present a number of fully secure schemes with signatures half the size of existing ones. We also give different constructions including constructions of optimal one-time signatures. In addition, we prove lower bounds and provide some impossibility results for the variant we define. Finally, we show some applications of the new constructions.

In the context of surplus models of insurance risk theory, 
some rather surprising and simple identities are presented. This 
includes an
identity relating level crossing probabilities of continuous-time models 
under (randomized) discrete and continuous observations, as well as
reflection identities relating dividend payments and capital injections. 
Applications as well as extensions to more general underlying processes are
discussed.

 

CANCELLED

The limit order book is the at the core of every modern, electronic financial market. In this talk, I will present some results pertaining to their statistical properties, mathematical modelling and numerical simulation. Questions such as ergodicity, dependencies, relation betwen time scales... will be addressed and sometimes answered to. Some on-going research projects, with applications to optimal trading and market making, will be evoked.

This seminar is run jointly with OMI.

Throughout the Western world, defined benefit pension plans are disappearing, replaced by defined contribution (DC) plans. Retail investors are thus faced with managing investments over a thirty year accumulation period followed by a twenty year decumulation phase. Holders of DC plans are thus truly long term investors. We consider dynamic mean variance asset allocation strategies for long term investors. We derive the "embedding result" which converts the mean variance objective into a form suitable for dynamic programming using an intuitive approach. We then discuss a semi-Lagrangian technique for numerical solution of the optimal control problem via a Hamilton-Jacob-Bellman PDE. Parameters for the inflation adjusted return of a stock index and a risk free bond are determined by examining 89 years of US data. Extensive synthetic market tests, and resampled backtests of historical data, indicate that the multi-period mean variance strategy achieves approximately the same expected terminal wealth as a constant weight strategy, while reducing the probability of shortfall by a factor of two to three.