Georgia Institute of Technology College of Sciences

When the asset price follows geometric Brownian motion but allows random Poisson jumps (called jump diffusion) then the standard Black Scholes partial differential for the option price becomes a partial-integro differential equation (PIDE). If, in addition, the volatility of the diffusion is assumed to lie between given upper and lower bounds but otherwise not known then sharp upper and lower bounds on the option price can be found from the Black Scholes Barenblatt equation associated with the jump diffusion PIDE. In this talk I will introduce the model equations and then discuss the computational issues which arise when the Black Scholes Barenblatt PIDE for jump diffusion is to be solved numerically.

The uniform thickness property (UTP) is a property of knots embeddedin the 3-sphere with the standard contact structure. The UTP was introduced byEtnyre and Honda, and has been useful in studying the Legendrian and transversalclassification of cabled knot types. We show that every iterated torus knotwhich contains at least one negative iteration in its cabling sequence satisfiesthe UTP. We also conjecture a complete UTP classification for iterated torusknots, and fibered knots in general.

Fourier's Law assert that the heat flow through a point in a solid is proportional to the temperature gradient at that point. Fourier himself thought that this law could not be derived from the mechanical properties of the elementary constituents (atoms and electrons, in modern language) of the solid. On the contrary, we now believe that such a derivation is possible and necessary. At the core of this change of opinion is the introduction of probability in the description. We now see the microscopic state of a system as a probability measure on phase space so that evolution becomes a stochastic process. Macroscopic properties are then obtained through averages. I will introduce some of the models used in this research and discuss their relevance for the physical problem and the mathematical results one can obtain.

This is the third session in this series and a special effort will be made to make it self contained ... to the fullest extent possible.With Felsner and Li, we proved that the dimension of the adjacency poset of a graph is bounded as a function of the genus. For planar graphs, we have an upper bound of 8 and for outerplanar graphs, an upper bound of 5. For lower bounds, we have respectively 5 and 4. However, for bipartite planar graphs, we have an upper bound of 4, which is best possible. The proof of this last result uses the Brightwell/Trotter work on the dimension of thevertex/edge/face poset of a planar graph, and led to the following conjecture:For each h, there exists a constant c_h so that if P is a poset of height h and the cover graph of P is planar, then the dimension of P is at most c_h.With Stefan Felsner, we have recently resolved this conjecture in the affirmative. From below, we know from a construction of Kelly that c_h must grow linearly with h.