Seminars and Colloquia by Series

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Levy Models with Local Volatility

Series
Stochastics Seminar
Time
Thursday, October 27, 2016 - 15:05 for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
R. GongIllinois Institute of Technology
In this talk, we consider the small-time asymptotics of options on a Leveraged Exchange-Traded Fund (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite activity. Our main results are closed-form expressions for the leading order terms of off-the-money European call and put LETF option prices, near expiration, with explicit error bounds. We show that the price of an out-of-the-money European call on a LETF with positive (negative) leverage is asymptotically equivalent, in short-time, to the price of an out-of-the-money European call (put) on the underlying ETF, but with modified spot and strike prices. Similar relationships hold for other off-the-money European options. In particular, our results suggest a method to hedge off-the-money LETF options near expiration using options on the underlying ETF. Finally, a second order expansion for the corresponding implied volatilities is also derived and illustrated numerically. This is the joint work with J. E. Figueroa-Lopez and M. Lorig.

The art of integration by parts

Series
Analysis Seminar
Time
Wednesday, October 26, 2016 - 14:05 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Irina Mitrea Temple University
The Integration by Parts Formula, which is equivalent withthe DivergenceTheorem, is one of the most basic tools in Analysis. Originating in theworks of Gauss, Ostrogradsky, and Stokes, the search for an optimalversion of this fundamental result continues through this day and theseefforts have been the driving force in shaping up entiresubbranches of mathematics, like Geometric Measure Theory.In this talk I will review some of these developments (starting from elementaryconsiderations to more sophisticated versions) and I will discuss recentsresult regarding a sharp divergence theorem with non-tangential traces.This is joint work withDorina Mitrea and Marius Mitrea from University of Missouri, Columbia.

Matrix Completion Problems and Sums of Squares

Series
Research Horizons Seminar
Time
Wednesday, October 26, 2016 - 12:00 for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Greg BlekhermanGeorgia Institute of Technology
A matrix completion problem starts with a partially specified matrix, where some entries are known and some are not. The goal is to find the unknown entries (“complete the matrix”) in such a way that the full matrix satisfies certain properties. We will mostly be interested in completing a partially specified symmetric matrix to a full positive semidefinite matrix. I will give some motivating examples and then explain connections to nonnegative polynomials and sums of squares.

The relativistic dynamics of an electron coupled with a classical nucleus

Series
PDE Seminar
Time
Tuesday, October 25, 2016 - 15:00 for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Prof. Anne-Sophie de SuzzoniUniversity Paris XIII
This talk is about the Dirac equation. We consider an electron modeled by awave function and evolving in the Coulomb field generated by a nucleus. Ina very rough way, this should be an equation of the form$$i\partial_t u = -\Delta u + V( \cdot - q(t)) u$$where $u$ represents the electron while $q(t)$ is the position of thenucleus. When one considers relativitic corrections on the dynamics of anelectron, one should replace the Laplacian in the equation by the Diracoperator. Because of limiting processes in the chemistry model from whichthis is derived, there is also a cubic term in $u$ as a correction in theequation. What is more, the position of the nucleus is also influenced bythe dynamics of the electron. Therefore, this equation should be coupledwith an equation on $q$ depending on $u$.I will present this model and give the first properties of the equation.Then, I will explain why it is well-posed on $H^2$ with a time of existencedepending only on the $H^1$ norm of the initial datum for $u$ and on theinitial datum for $q$. The linear analysis, namely the properties of thepropagator of the equation $i\partial_t u = D u + V( \cdot - q(t))$ where$D$ is the Dirac operator is based on works by Kato, while the non linearanalysis is based on a work by Cancès and Lebris.It is possible to have more than one nucleus. I will explain why.(Joint work with F. Cacciafesta, D. Noja and E. Séré)

Faculty Meeting

Series
Other Talks
Time
Tuesday, October 25, 2016 - 11:05 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Prasad TetaliSchool of Mathematics, Georgia Tech

Perspectives on Diffeomorphic Image Registration

Series
Applied and Computational Mathematics Seminar
Time
Monday, October 24, 2016 - 14:05 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Prof. Lars RuthottoEmory University Math/CS
Image registration is an essential task in almost all areas involving imaging techniques. The goal of image registration is to find geometrical correspondences between two or more images. Image registration is commonly phrased as a variational problem that is known to be ill-posed and thus regularization is commonly used to ensure existence of solutions and/or introduce prior knowledge about the application in mind. Many relevant applications, e.g., in biomedical imaging, require that plausible transformations are diffeomorphic, i.e., smooth mappings with a smooth inverse. This talk will present and compare two modeling strategies and numerical approaches to diffeomorphic image registration. First, we will discuss regularization approaches based on nonlinear elasticity. Second, we will phrase image registration as an optimal control problem involving hyperbolic PDEs which is similar to the popular framework of Large Deformation Diffeomorphic Metric Mapping (LDDMM). Finally, we will consider computational aspects and present numerical results for real-life medical imaging problems.

Obstructing pseudo-convex embeddings of Brieskorn spheres into complex 2-space

Series
Geometry Topology Seminar
Time
Monday, October 24, 2016 - 14:00 for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Bulent TosunUniversity of Alabama
A Stein manifold is a complex manifold with particularly nice convexity properties. In real dimensions above 4, existence of a Stein structure is essentially a homotopical question, but for 4-manifolds the situation is more subtle. An important question that has been circulating among contact and symplectic topologist for some time asks: whether every contractible smooth 4-manifold admits a Stein structure? In this talk we will provide examples that answer this question negatively. Moreover, along the way we will provide new evidence to a closely related conjecture of Gompf, which asserts that a nontrivial Brieskorn homology sphere, with either orientation, cannot be embedded in complex 2-space as the boundary of a Stein submanifold.

Supperdiusion constants for certain nonuniformly hyperbolic systems

Series
CDSNS Colloquium
Time
Monday, October 24, 2016 - 11:06 for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Hongkun ZhangU. Mass Amherst
We investigate deterministic superdiusion in nonuniformly hyperbolic system models in terms of the convergence of rescaled distributions to the normal distribution following the abnormal central limit theorem, which differs from the usual requirement that the mean square displacement grow asymptotically linearly in time. We obtain an explicit formula for the superdiffusion constant in terms of the ne structure that originates in the phase transitions as well as the geometry of the configuration domains of the systems. Models that satisfy our main assumptions include chaotic Lorentz gas, Bunimovich stadia, billiards with cusps, and can be apply to other nonuniformly hyperbolic systems with slow correlation decay rates of order O(1/n)

On the k-SUM problem

Series
Combinatorics Seminar
Time
Friday, October 21, 2016 - 15:05 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Esther EzraGeorgia Tech

Please Note: Joint work with Micha Sharir (Tel-Aviv University).

Following a recent improvement of Cardinal etal. on the complexity of a linear decision tree for k-SUM, resulting in O(n^3 \log^3{n}) linear queries, we present a further improvement to O(n^2 \log^2{n}) such queries. Our approach exploits a point-location mechanism in arrangements of hyperplanes in high dimensions, and, in fact, brings a new view to such mechanisms. In this talk I will first present a background on the k-SUM problem, and then discuss bottom-vertex triangulation and vertical decomposition of arrangements of hyperplanes and how they serve our analysis.

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