[grads] [Sem-coll] IIT Applied Math Colloquium & Seminars Next Week

[Joe Millham]

Please join the Applied Math department for the following colloquium
and seminars.  All are welcome to attend, and graduate students are
especially encouraged to come to all they find interesting.

Department Colloquium
Monday, February 23
Roger Lee, University of Chicago
"Pricing Variance Swaps on Time-Changed Levy Processes"
E1 106 4:40 pm  with refreshments served at 4:20 in E1 112
see abstract below
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Discrete Applied Math / Networks and Optimization Seminar
Monday, February 23
Elizabeth Durango-Cohen,
"Supplier Commitment and Production Decisions Under a
Forecast-Commitment Contract"
E1  106  12:45 pm
see abstract below
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Computation and Applications Seminars
Wednesday, February 25
Xiaofan Li, Illinois Institute of Technology
"A High-Order Boundary Integral Method for Surface Diffusions on
Elastically Stressed Solids"
E1 129   11:25 am
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Department Colloquium
Monday, February 23
Roger Lee, University of Chicago
"Pricing Variance Swaps on Time-Changed Levy Processes"
Abstract:
A variance swap on an underlying share price S pays at time T the
quadratic variation of log S -- or, as implemented in practice, the
sum of squared daily increments of log(S).  According to the standard
theory (which underpins, for example, the VIX volatility index), a
variance swap has the same value as a contract paying -2 log(S_T/S_0),
assuming that S has continuous paths. Empirically, however, stock
prices jump. We generalize the variance swap valuation theory to a
class of underlying processes with jumps.
Joint with Peter Carr.
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Discrete Applied Math / Networks and Optimization Seminar
Monday, February 23
Elizabeth Durango-Cohen,
"Supplier Commitment and Production Decisions Under a
Forecast-Commitment Contract"
Abstract:
In this talk we discuss a forecast-commitment contract.  In such
contracts, the customer provides a forecast, the supplier makes a
production commitment to the customer based on the forecast, and the
customers minimum order quantity is a function of the forecast and
committed quantities. We provide a complete analysis of the suppliers
decisions when there is a single customer facing uncertain demand. We
first show that the supplier has two dominant commitment strategies:
committing to the forecast or committing to the production quantity.
We then characterize the jointly optimal commitment and production
strategy for the supplier and extend the results to consider a
capacity constraint. We discuss managerial insights, and future
research directions.
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See you there!

Joe Millham
Administrative Assistant
Department of Applied Mathematics
Illinois Institute of Technology
Engineering-1 Room 208
10 W. 32rd St.
Chicago IL 60616
312.567.8984 (Phone)
312.567.3135 (Fax)
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