[grads] [Sem-coll] Applied Math Seminar and Colloquium Monday Oct 23 and Thursday Oct 26

[trekvana at aol.com]

 Please join us for next Monday's and next Thursday's talks. We will have 
refreshments 10-15 minutes before the talks.
 
1. AM Seminar: Monday, Oct 23 4:35pm, E1 106, Damiano Brigo
2. AM Colloquium: Thursday, Oct 26 4:00pm, E1 TBA, Stephen Hartke
 
For further information see http://math.iit.edu/academics/sem_coll.html 
------------------------------------------------------------ 
1. AM Seminar: Monday, Oct 23 4:35pm, E1 106, Damiano Brigo
 
Speaker: Damiano Brigo (Banca IMI and Bocconi University) 
Title: Consistent Calibration of CDO Tranches with the Generalized-Poisson Loss dynamical model 
 
Abstract: We consider a dynamical model for the loss distribution of a pool of names. The model is based on the notion of generalized Poisson process, allowing for the possibility of more than one jump in small time intervals. We introduce extensions of the basic model based on piecewise-gamma or scenario-based random intensity in the constituent Poisson processes. The models are tractable, pricing and in particular simulation is easy, and consistent calibration to quoted index CDO tranches and tranchelets for several maturities is feasible, as we illustrate with detailed numerical examples. 
 
------------------------------------------------------------ 
2. AM Colloquium: Thursday, Oct 26 4:00pm, E1 TBA, Stephen Hartke 
 
Speaker: Stephen Hartke (University of Illinois, Urbana-Champaign) 
Title: Graph classes characterized both by forbidden subgraphs and degree sequences
 
Abstract: Given a set F of graphs, a graph G is F-free if G does not contain any member of F as an induced subgraph. We say that F is a degree-sequence-forcing set if, for each graph G in the class C of F-free graphs, every realization of the degree sequence of G is also in C. We prove that for any k there are finitely many minimal degree-sequence-forcing sets with cardinality k. We also give a complete characterization of the degree-sequence-forcing sets F when F has cardinality at most two, and partial results when F has cardinality three.
________________________________________________________________________
Check out the new AOL.  Most comprehensive set of free safety and security tools, free access to millions of high-quality videos from across the web, free AOL Mail and more.
-------------- next part --------------
An HTML attachment was scrubbed...
URL: http://math.iit.edu/pipermail/grads/attachments/20061019/0d8c3b1e/attachment.htm 
-------------- next part --------------
_______________________________________________
sem-coll mailing list
sem-coll at math.iit.edu
http://math.iit.edu/mailman/listinfo/sem-coll