Description In this talk, a few numerical methods for pricing European options under the Heston model will be reviewed. In particular, the comparison of computational cost and accuracy between methods...
Description We will focus on estimating the drift coefficient and the Hurst parameter for some parabolic SPDEs driven by multiplicative fractional noise. Using the singularity of the probability...
Description In this talk, a few numerical methods for moving boundary problem of partial differential equations will be reviewed. In particular, the boundary integral method is explained in detail...
Description We discuss ideas for a new adaptive algorithm that will enable us to tackle the problems of moving boundaries and fluid-surface interactions. This algorithm combines the flexibility and...
SpeakerJinbo XuToyota Technological Institutehttp://ttic.uchicago.edu/~jinbo/ Description Given the primary sequence of a protein, can we predict its three-dimensional structure by computational...
SpeakerJunhui WangUniversity of Illinois - Chicagohttp://www.math.uic.edu/people/profile?mscsid=jwang Description In classification, semi-supervised learning occurs when a large amount of unlabeled...
Description Classification is a very useful statistical tool for information extraction. Among numerous classification methods, margin-based classification techniques have attracted a lot of attention...
SpeakerPatrick CheriditoPrinceton Universityhttp://www.princeton.edu/~dito/ Description Conditions are given for the existence and uniqueness of equilibria in incomplete dynamic market models when...
Description The theories for radial basis functions (RBFs) as well as piecewise polynomial splines have now reached a stage of relative maturity as is demonstrated by the recent publication of a...
Description Gaussian processes, such as Brownian motion, have been widely used in modeling fluctuations, while some complex phenomena in engineering and science involve non-Gaussian Levy motions. Thus...
