Description Archimedean copulas have proven to be remarkably useful for modeling dependence in a variety of settings. In this talk we will survey important aspects of the theory of Archimedean copulas...
Speaker Joe Tribbia Institute for Mathematics Applied to Geosciences, NCAR http://www.cgd.ucar.edu/cdp/gdsstaffwebs/tribbia.htm Description The problem of predicting the future state of the weather...
Description Many scenarios in theoretical biology, physics, and management science can be modeled as discrete complex systems with several interacting components that can be in various states. The aim...
Description The paper presents an overview of methods of hedging defaultable derivatives under the assumption that there exist tradeable assets with dynamics allowing for elimination of default risk...
SpeakerErhan BayraktarUniversity of Michiganhttp://www.math.lsa.umich.edu/~erhan/ Description We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a...
Description Large deviation estimates are probabilistic limit theorems which are used to describe atypical behavior of random systems. Markov processes are a rich class of probabilistic models. Their...
