[grads] Applied Math Speaker This Wednesday

Jiarui Yang ruiruiren at gmail.com
Thu Nov 18 14:16:05 CST 2010


Hi Everyone,

I will have my comprehensive exam tomorrow afternoon at 1pm, in E1-129.
Please come if you are interested.
The following is the title and abstract of my talk.

Title:  Quantifying Uncertainty in Complex System and Its Application in
Finance

Abstract: Uncertainties are abundant in complex systems. Mathematical models
for these systems
thus contain random effects or noises. The models are often in the form of
stochastic differential
equations, with some parameters to be determined by observations. The
stochastic differential equations
may be driven by Brownian motion, fractional Brownian motion or L´evy
motion.
After a brief overview of recent advances in estimating parameters in
stochastic differential equations,
various numerical algorithms for computing parameters are implemented. The
numerical
simulation results are shown to be consistent with theoretical analysis.
Moreover, by using methods we
discussed, we model the interrelationship between interest rate volatility
and credit risk, with the goal of quantifying the
credit risk of collateralized interest-rate derivative contracts between
financial institutions.

Best Wishes,
Jiarui Yang


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