Division of Applied Mathematics

Seminars for Oct 2 - Oct 6, 2006

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• Tuesday, October 3, 2006
  
  

  Stochastic Systems Seminar

  Speaker:	Robert Liptser, Tel Aviv University
  Title:	Large Deviations in Random Media
  Time/Place:	11:00 a.m., 182 George Street, Room 110

• Wednesday, October 4, 2006
  
  

  Brown Analysis Seminar

  Speaker:	Svitlana Mayboroda, Ohio State University
  Title:	Boundedness of the Gradient and the Hessian of a Biharmonic Function
  Time/Place:	4:00 p.m., Kassar 105

• Friday, October 6, 2006
  
  

  Scientific Computing Seminar

  Speaker:	David A. Kopriva, Department of Mathematics, The Florida State University, Tallahassee, FL
  Title:	A Spectral Element Method for European Option Pricing with Jump Diffusion
  Time/Place:	11:00 a.m., 182 George Street, Room 110

  Abstract:   We discuss a spectral element method to price European options with and without jump diffusion. The method uses piecewise high order Legendre polynomial expansions to approximate the option price represented pointwise on a Gauss-Lobatto mesh within each element. This piecewise polynomial approximation allows an exact representation of the non-smooth final condition. The convolution integral is approximated by high order Gauss-Lobatto quadratures.

  A second order implicit/explicit (IMEX) approximation is used to integrate in time, with the convolution integral integrated explicitly. The use of the IMEX approximation in time means that only a block diagonal, rather than full, system of equations needs to be solved at each time step. The method is spectrally accurate in space and second-order accurate in time. Spectral accuracy is observed in not only the solution, but also in the Greeks.

  PDE Seminar

  Speaker:	Camillo De Lellis, Universitat Zurich
  Title:	Rigidity Estimates for Nearly Umbilical Surfaces
  Time/Place:	3:00 p.m., Kassar 105

  Abstract:   See Mathematics Department Seminar Listing to view abstract.

  Brown University -- Department of Economics Seminar

  Speaker:	Peter Rossi, University of Chicago
  Title:	A Non-Parametric Bayesian Approach to the Instrumental Variable Problem Citibank Workshop in Econometrics
  Time/Place:	4:00 - 5:30 p.m., Robinson Hall, Room 301

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