Oct
26
Math Outside of School
Description Math and teaching. The two go hand in hand, and indeed many math majors go on to scholastic careers. However, there are non-academic positions which require an undergraduate mathematics...
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Oct
25
Valuation and hedging of convertible bonds in the standard market model
SpeakerStephane CrepeyMathematics Department, Evry University, Evry, Francehttp://grozny.maths.univ-evry.fr/pages_perso/crepey/ Description We construct a Markovian set-up that specifies the standard...
Oct
20
Biomedical Engineering at IIT - Opportunities for Mathematical Approaches
Description The Department of Biomedical Engineering has been established since 2000. It currently has 10 tenure track faculty members, two research faculty , 29 doctoral students and approximately...
Oct
19
On Maximal Markovian Couplings
Event Topic Graduate Student
Oct
10
Bounds and comparisons of quasi-Monte Carlo methods in option pricing
Description Complex option pricing problems often require some form of high-dimensional numerical integration. Monte Carlo (MC) methods are often used in these cases to avoid problems of...
Oct
5
Distribution and White Noise
Event Topic Graduate Student
Oct
3
Eigenvalue Problems in Nanoscale Material Modeling
SpeakerHong ZhangArgonne National Laboratoryhttp://www.mcs.anl.gov/~hzhang/ Description Together with a group of material scientist, we intend to calculate the atomic and electronic structure of...
Sep
30
Weak Solutions for Forward-Backward SDEs and Their Uniqueness
Description Backward stochastic differential equation (BSDE) and its generalized form, Forward-backward stochastic differential equation (FBSDE), have become a ubiquitous tool in mathematical finance...
Sep
28
Transformation of Levy characteristics under initial expansion of filtrations
Event Topic Graduate Student
Sep
26
Levy modelling of defaultable bonds
Description A market with defaultable bonds modelled by equations with L\'evy noise will be considered during the talk. The main aim is to derive conditions under which the market with defaultable...