Seminars and Colloquia by Series

Stochastic volatility with long-memory in discrete and continuous time

Series
Mathematical Finance/Financial Engineering Seminar
Time
Wednesday, September 19, 2012 - 15:05 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Frederi ViensPurdue University

Please Note: Hosts Christian Houdre and Liang Peng

It is commonly accepted that certain financial data exhibit long-range dependence. A continuous time stochastic volatility model is considered in which the stock price is geometric Brownian motion with volatility described by a fractional Ornstein-Uhlenbeck process. Two discrete time models are also studied: a discretization of the continuous model via an Euler scheme and a discrete model in which the returns are a zero mean iid sequence where the volatility is a fractional ARIMA process. A particle filtering algorithm is implemented to estimate the empirical distribution of the unobserved volatility, which we then use in the construction of a multinomial recombining tree for option pricing. We also discuss appropriate parameter estimation techniques for each model. For the long-memory parameter, we compute an implied value by calibrating the model with real data. We compare the performance of the three models using simulated data and we price options on the S&P 500 index. This is joint work with Prof. Alexandra Chronopoulou, which appeared in Quantitative Finance, vol 12, 2012.

The onset of turbulence in pipe flow

Series
Math Physics Seminar
Time
Wednesday, September 19, 2012 - 15:00 for 1 hour (actually 50 minutes)
Location
Howey N110
Speaker
Dwight BarkleyMathematics Institute, University of Warwick

Please Note: Host: Predrag Cvitanovic

More than 125 years ago Osborne Reynolds launched the quantitative study of turbulent transition as he sought to understand the conditions under which fluid flowing through a pipe would be laminar or turbulent. Since laminar and turbulent flow have vastly different drag laws, this question is as important now as it was in Reynolds' day. Reynolds understood how one should define "the real critical value'' for the fluid velocity beyond which turbulence can persist indefinitely. He also appreciated the difficulty in obtaining this value. For years this critical Reynolds number, as we now call it, has been the subject of study, controversy, and uncertainty. Now, more than a century after Reynolds pioneering work, we know that the onset of turbulence in shear flows is properly understood as a statistical phase transition. How turbulence first develops in these flows is more closely related to the onset of an infectious disease than to, for example, the onset of oscillation in the flow past a body or the onset of motion in a fluid layer heated from below. Through the statistical analysis of large samples of individual decay and proliferation events, we at last have an accurate estimate of the real critical Reynolds number for the onset of turbulence in pipe flow, and with it, an understanding of the nature of transitional turbulence. This work is joint with: K. Avila, D. Moxey, M. Avila, A. de Lozar, and B. Hof.

Computational genomics and its challenges: From finding extreme elements to rearranging genomes

Series
Mathematical Biology Seminar
Time
Wednesday, September 19, 2012 - 11:05 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Dmitry KorkinInformatics Institute and Department of Computer Science, University of Missouri-Columbia
We have recently witnessed the tremendous progress in evolutionary and regulatory genomics of eukaryotes fueled by hundreds of sequenced eukaryotic genomes, including human and dozens of animal and plant genomes and culminating in the recent release of The Encyclopedia of DNA Elements (ENCODE) project. Yet, many interesting questions about the functional and structural organization of the genomic elements and their evolution remain unsolved. Computational genomics methods have become essential in addressing these questions working with the massive genomic data. In this presentation, I will talk about two interesting open problems in computational genomics. The first problem is related to identifying and characterizing long identical multispecies elements (LIMEs), the genomic regions that were slowed down through the course of evolution to their extremes. I will discuss our recent findings of the LIMEs shared across six animal as well as six plant genomes and the computational challenges associated with expanding our results towards other species. The second problem is finding genome rearrangements for a group of genomes. I will present out latest approach approach that brings together the idea of symbolic object representation and stochastic simulation of the evolutionary graphs.

Time-averages of multiscale PDE systems and applications in geophysical fluid dynamics

Series
PDE Seminar
Time
Tuesday, September 18, 2012 - 15:05 for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Bin ChengArizona State University
Time-averages are common observables in analysis of experimental data and numerical simulations of physical systems. We describe a PDE-theoretical framework for studying time-averages of dynamical systems that evolve in both fast and slow scales. Patterns arise upon time-averaging, which in turn affects long term dynamics via nonlinear coupling. We apply this framework to geophysical fluid dynamics in spherical and bounded domains subject to strong Coriolis force and/or Lorentz force.

Discrete Mathematical Biology Working Seminar

Series
Other Talks
Time
Tuesday, September 18, 2012 - 10:00 for 1 hour (actually 50 minutes)
Location
Skiles 114
Speaker
Will PerkinsGeorgia Tech
We will continue discussing co-transcriptional RNA folding, and the potential for trap models to capture these dynamics.

Explicit modular approaches to generalized Fermat equations

Series
Algebra Seminar
Time
Monday, September 17, 2012 - 15:05 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
David Zureick-BrownEmory
Let a,b,c >= 2 be integers satisfying 1/a + 1/b + 1/c > 1. Darmon and Granville proved that the generalized Fermat equation x^a + y^b = z^c has only finitely many coprime integer solutions; conjecturally something stronger is true: for a,b,c \geq 3 there are no non-trivial solutions and for (a,b,c) = (2,3,n) with n >= 10 the only solutions are the trivial solutions and (+- 3,-2,1) (or (+- 3,-2,+- 1) when n is even). I'll explain how the modular method used to prove Fermat's last theorem adapts to solve generalized Fermat equations and use it to solve the equation x^2 + y^3 = z^10.

The equivalence of transverse link invariants in knot Floer homology

Series
Geometry Topology Seminar
Time
Monday, September 17, 2012 - 14:00 for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Shea Vela-VickLSU
The Heegaard Floer package provides a robust tool for studying contact 3-manifolds and their subspaces. Within the sphere of Heegaard Floer homology, several invariants of Legendrian and transverse knots have been defined. The first such invariant, constructed by Ozsvath, Szabo and Thurston, was defined combinatorially using grid diagrams. The second invariant was obtained by geometric means using open book decompositions by Lisca, Ozsvath, Stipsicz and Szabo. We show that these two previously defined invariant agree. Along the way, we define a third, equivalent Legendrian/transverse invariant which arises naturally when studying transverse knots which are braided with respect to an open book decomposition.

Linear Colorings of Subcubic Graphs

Series
ACO Student Seminar
Time
Friday, September 14, 2012 - 14:00 for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Chun-Hung LiuGeorgia Tech, Math
A linear coloring of a graph is a proper coloring of the vertices of the graph so that each pair of color classes induce a union of disjoint paths. In this talk, I will prove that for every connected graph with maximum degree at most three and every assignment of lists of size four to the vertices of the graph, there exists a linear coloring such that the color of each vertex belongs to the list assigned to that vertex and the neighbors of every degree-two vertex receive different colors, unless the graph is $C_5$ or $K_{3,3}$. This confirms a conjecture raised by Esperet, Montassier, and Raspaud. Our proof is constructive and yields a linear-time algorithm to find such a coloring. This is joint work with Gexin Yu.

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