Past Seminars Current Seminars - Future Seminars - Past Seminars Computational Applied Math - Computational Biology - Operations Research - Quantitative Finance - Statistics Wednesday, November 30, 2011 Time: 1:00PM-2:00PM Location: Seminar Room 1-122 Speaker: Professor Hyunsun Lee, Department of Mathematics, Florida State University, Tallahassee, FL, USA Abstract: An acoustic analogy using decomposition of the Lighthill source term to ten sub-terms is discussed in the light of a high-fidelity numerical simulation of a subsonic jet, at Mach number 0.9 and Reynolds number 100,000, with a baseline nozzle (SMC000) as a benchmark problem. These sub-terms consist of density, velocity, vorticity and dilatation fields, presenting their reciprocal non-linear interactions. To understand aerodynamic noise generation mechanism, intrinsic links between turbulence and emitted sound waves, such as cross-correlation function, are necessary. This causality method is directly adopted to the LES data to identify fundamental noise sources by calculating the cross-correlation between each spatial sub-term in near field and acoustic pressure fluctuation at a far field position, showing its contribution on the noise generation. Three principal noise production terms, related to Laplacian of turbulence kinetic energy and divergence of Lamb vector, are witnessed and interpreted, showing encouraging agreement with previous predictions. As a future work, the observation can be extended on SMC006 chevron jet nozzle configuration, possibly leading us to characterize the structure by comparing the correlation profiles with those of SMC000. Furthermore, this study is expected to shed light on assessing a better understanding and prediction on other sound control devices. Friday, October 21, 2011, Time: 11:00-12:00PM Location: Seminar Room 1-122 Abstract: In this talk, I will introduce the notion of splines over T-meshes and present some recent advances on the theory and applications of splines over T-meshes. The applications in Geometric Modelling and Isogeometric Analysis (IGA) are emphasized.
Speaker: Dr. Rajeev Jaiman, Director of CFD Development at Altair Engineering, Inc. Title: Stable and Accurate Techniques for Transient Multiphysics Simulations Abstract: This presentation summarizes recent results obtained in the development of a novel numerical treatment of coupled multiphysics problems, with emphasis on the simulation of transient fluid-structure interaction (FSI) applications. The talk will begin with the example problems ranging from the propagation of shocks and blast waves along deformable structures, flutter instability, aeroelasticity-driven failure events in solid propellant rockets, offshore marine risers and pipelines, large scale wind turbines, nuclear energy, bio-medical and many more. The talk will focus on two aspects of the on-going research in the area of multiphysics simulations: (i) the development of an accurate scheme used to transfer fluid-induced loads across non-matching discretized interfaces; and (ii) the formulation and implementation of new stable and accurate coupling schemes between fluid and structural solvers. Beyond a presentation of the load transfer and coupling schemes, the talk will include results of a detailed comparative study between the proposed methods and existing schemes. These comparative assessments are based on a set of FSI applications of increasing complexity involving flat and curved fluid interfaces. The talk will conclude with a brief reporting on the successful applications of the new methods and their impact on the current state of the art in computational mechanics. Wednesday, September 28, 2011, Time from 12:00-1:00PM. Location: AMS 1-122 Friday, September 23, 2011, Time from 10:00AM -11:30AM. Location: AMS 1-122 Speaker: Prof. Hong Qian, Title: Delbruck-Gillespie Processes: Nonlinear Stochastic Dynamics, Phase transition, Thermodynamics and Analytical Mechanics
Title: Numerical simulations of ideal MHD and applications in astrophysics Abstract: We introduce a finite volume code for ideal MHD. Ingredients are: an approximate Riemann solver, extension to multidimensions via a Powell term, second order preserving positivity. We have extensively tested our code. We then show driven turbulence simulations applied to star formation. Tuesday, May 31, 2011, Time 11:00am - 12:00pm, Location: AMS Seminar Room, Math Tower 1-122 Speaker: Dr. Karunesh Arora Title: Multiscale Modeling and Simulation as a Tool to Integrate Biomolecular Structure, Dynamics, and Function Large-scale conformational changes in proteins are often related to their function such as in signal transduction, immune response, protein folding, or enzymatic activity. These
conformational changes can be induced by the interaction with other proteins or ligands. One of the key questions is to understand how the binding of a substrate (i.e., small
molecule ligand or protein/nucleic acid) leads to large-scale protein motions. To understand this molecular recognition process completely, it is essential to determine
the orresponding conformational transition pathway as well as the underlying energy landscape of the conformational changes taking place. This, in turn, will point to ways to
modulate protein function and help inform the search for pharmacological treatments of human diseases. X-ray crystallography provides crucial structural information on the
conformation of the biomolecule before and after the conformation changes but reveal less about the transition dynamics between two end structures. Molecular dynamics
(MD) simulations can provide an atomically detailed picture of both the kinetics and thermodynamics of conformational changes and have become an important tool for
investigating the dynamics of biological molecules. Unfortunately, brute-force MD simulations typically fall orders of magnitude short of biologically relevant timescales
(μs–ms time range). In this seminar, I will present our multiscale modeling and enhanced sampling simulation approach to overcome the spatial and timescale
limitations in computational modeling of the substrate-induced structural transitions in large biomolecules. Furthermore, I will illustrate the applicability of our computational
approach through the investigation of ATP hydrolysis driven mechanical deformations in AAA+ Helicase motor protein and the allosteric conformational changes in Adenylate
Kinase enzyme. Our work in describing the energy landscape and dynamic reorganization of these molecular machines has already revealed that the
thermodynamic flexibilities built into in the protein structure play a dominant role in predefining the mechanisms of substrate binding. My future research plan is to exploit this
particular design feature of proteins to develop small-molecule inhibitors of therapeutic value. I am also interested in exploring how conformational fluctuations influence the Friday May 6th, 2011, Time 1:15pm - 2:15pm, Location: AMS seminar room, Math Tower 1-122 Speaker: Dr. Rosemary Braun Title: Spectral Clustering for Pathway Analysis of Gene Expression Data Gene profiling experiments have become a ubiquitous tool in the study of disease, and the vast number of gene transcripts assayed by modern microarrays has driven forward our understanding of biological processes tremendously. However, because most phenotypes studied by gene expression profiling studies are complex, there is a need for analytical techniques that can identify relationships between samples that are driven by many genes and that may exist on several scales. In this talk, I will describe a spectral clustering based technique -- the Partition Decoupling Method (PDM) -- and present its application to several gene expression data sets, showing how PDM may be used to classify samples based on multi-gene expression patterns and to identify pathways associated with phenotype. The PDM uses iterated spectral clustering steps, revealing at each iteration progressively finer structure in the geometry of the data; these iterations, each of which provide a partition of the data that is decoupled from the others, are carried forward until the structure in the data is indistinguishable from noise, preventing over-fitting. Because it has the ability to reveal non-linear and non-convex geometries present in the data, the PDM is an improvement over typical gene expression analysis algorithms, permitting a multi-gene analysis that can reveal phenotypic differences even when the individual genes do not exhibit differential expression. After describing the method, I will present the results of its application to several publicly-available gene expression data sets, demonstrating that PDM is able to identify cell types and treatments with higher accuracy than is obtained through other approaches. By applying PDM in a pathway-by-pathway fashion, I will illustrate how the PDM may be used to find sets of mechanistically-related genes that discriminate phenotypes.
Wednesday, April 20, 2011, Time 1:00-2:00PM, Locationin AMS Seminar Room 1-122 Speaker: Prof. Evangelos
A.
Coutsias Title:Protein Loop Modeling with Inverse Kinematics Abstract: Protein
loops
are
the
sections
of
the
polypeptide
chain
connecting
regions
of
secondary
structure
such
as
helices
and
beta
strands.They
may
contain
functional
residues
or
have
purely
structural
roles
and
often
they
can
be
the
sites
of
evolutionary
changes. In
contrast
to
the
relatively
rigid
helices
and
strands,
loops
can
be
flexible,
allowing
a
protein
to
rapidly
respond
to
changes
and
bind Monday April 18th, 2011, Time 1:00pm - 2:00pm, Location: AMS seminar room, Math Tower 1-122 Speaker: Prof. Michal Brylinski Title: Ligand Homology Modeling as a new computational platform to support modern drug discovery Abstract: As an integral part of drug development, high-throughput virtual screening is a widely used tool that could in principle significantly reduce the cost and time needed to discover new pharmaceuticals. In practice, virtual screening algorithms suffer from a number of limitations and the development of new methodologies is required. In this talk, I will discuss the ideas of Ligand Homology Modeling (LHM), which is likely one of the first approaches in Cheminformatics that successfully extends template-based techniques, commonly used in proteins structure prediction, to the modeling of protein-ligand interactions. Our intensive research in this field culminated in the development of a novel virtual screening approach, which appears as a powerful compound prioritization technique applicable to the early stages of proteome-scale drug design projects. As an example, I will describe the application of LHM to all kinase domains in humans, which has provided the scientific community with a very extensive structural and functional characterization of the human kinome to support the discovery of novel kinase inhibitors. Wednesday April 13th, 2011, Time 1:00pm - 2:00pm, Location: AMS seminar room, Math Tower 1-122 Speaker: Dr. Thomas MacCarthy Title: Modeling somatic hypermutation in B-cells Abstract: Somatic hypermutation (SHM) is a fundamental process in antibody diversity generation that functions by introducing point mutations into the variable regions of immunoglobulin (Ig) heavy and light chain genes of B-cells. The enzyme activation-induced cytidine deaminase (AID) has been found to play a central part in SHM by generating C→U mutations. AID achieves this by cytosine site deamination, which occurs preferentially at so-called hotspot motifs. Computational models can be used to produce simulated sequences which in turn can be compared to “control” (e.g. wildtype) datasets. I previously used a computational model of AID activity to quantify the contribution of simple hotspot motif targeting to the mutation process, and found that the model could only account for ~50% of the complexity of the full in vivo mutation process. Extending the model by incorporating features such as processivity and DNA entry sites for AID increases the explained complexity to over 80% when compared to a large dataset of human IGHV3-23 sequences. We have also investigated AID entry sites experimentally by inserting a cluster of overlapping hotspot motifs into the human heavy chain V region expressed by the Ramos Burkitt’s lymphoma cell line using both a cell-free in vitro assay and intact Ramos cells. Clustering analysis of the in vitro data shows that wildtype sequences contain a protected segment in the 3’ half of the V region. The protection appears to occur stochastically, affecting only a subset of sequences. When the cluster of hotspots was inserted, the protection disappeared. In Ramos cells when the hotspot cluster was inserted into the endogenous Ig locus, only one of five Ramos clones displayed a focusing of mutation within the cluster as well as a concentration of mutations 3’ to the cluster suggesting that the stochastic use of entry sites and disruption of 3’ protection also apply in the in vivo context. Monday, March 28, 2011, 2:30 - 3:30pm. Simon Center Lecture Hall. Speaker: Dr. James Chen Title: Statistics in the Analysis of High-Dimensional Biological Data Abstract: High-throughout genomic, proteomic, and metabolomic technologies are widely used in biomedical research to develop molecular biomarkers of exposure, toxicity, disease risk, disease status and response to therapy. High-dimensional data often refer to a data set where each sample is described by hundreds or thousands of correlated measurements of attributes; the number of samples can be large too. This talk presents salient problems and challenges encountered in the analysis of high-dimensionality, multiple testing, gene set enrichment analysis, dimensionality reduction with feature selection and feature extraction, and ensemble classification.
Thursday, April 26, 10:45 - 11:45AM, Math Tower 1-122 Abstract:
Friday, April 27, 10:30-12:00PM, Math Tower 4-130 (Math Department Seminar Room) Speaker: Albert N. Shiryaev Abstract:
Tuesday, April 17, 2012, 1:00 - 2:30PM, Math Tower 1-122 Speaker: Mark S Squillante Title: Linear Stochastic Loss Networks: Analysis and Optimization
Tuesday, February 28, Math Tower 1-122, 1:00-2:30 The talk is based on a joint paper with Eugene A. Feinberg and Nina V. Zadoianchuk Speaker: Pavlo O. Kasyanov Title: Average-Cost Markov Decision Process with Weakly Continuous Transition Probabilities This talk presents sufficient conditions for the existence of stationary optimal policies for average-cost Markov Decision Processes with Borel state and action sets and with weakly continuous transition probabilities. The one-step cost functions may be unbounded, and action sets may be noncompact. Our main contributions are: (i) general sufficient conditions for the existence of stationary discount-optimal and average-cost optimal policies and descriptions of properties of value functions and sets of optimal actions, (ii) a sufficient condition for the average-cost optimality of a stationary policy in the form of optimality inequalities, and (iii) approximations of average-cost optimal actions by discount-optimal actions.
Tuesday, May 8, 2012, 2:00 - 3:00PM, Math Tower, Seminar Room 1-122 Speaker: Alexander MelnikovProfessor, University of Alberta, Edmonton, Canada E-mail: melnikov@ualberta.ca Title: On Quantitative Risk-Management in Equity-Linked Life Inurance Abstract: Thursday, May 3, 2012, 2:00 - 3:00PM, Math Tower, Seminar Room 1-122
Monday, April 30, 2012, 1:00 - 2:00PM, Simons Center, Lecture Hall Room 102 Speaker: John Mulvey Title: Optimal Asset Allocation and Asset-liability Management Systems: Lessons from the 2008/09 Crash Abstract:
Wednesday, March 21, 2012, 2:00 - 3:00 PM, Math Tower, Seminar Room 1-122
Speaker: Ilya Pollak Abstract: The emergence of computerized microscopes and the resulting high volume of collected imagery has made it impossible for a human operator to perform image segmentation and analysis, requiring the development of effective techniques which require little or no human intervention. Importantly, since abundant prior information is usually available regarding the shape of the structures of interest, any viable segmentation method must properly account for such information. Similar segmentation problems arise in many other applications: analysis of microscopy images of cells; extraction of buildings and road networks from remove sensing images; and population counting in surveillance, remote sensing, and microscopy. To address such problems, we propose a novel way of constructing and
enforcing shape priors within a maximum a posteriori (MAP) segmentation
framework. After computing a preliminary segmentation through matching
pursuit, our algorithm uses it to construct a prior model for a MAP segmentation
problem. This problem is then solved using a min-cut algorithm. The resulting
algorithm has a small number of parameters that need to be selected
by the user, and produces very accurate segmentations. It significantly We then introduce the concept of point processes with multiresolution marks and show how they can be used to generalize our models and algorithms. This is joint work with Landis Huffman, Jeff Simmons, and Marc De Graef.
Wednesday, February 29, 2012, Time from 2:00PM -3:00PM, Location: Math Tower, Seminar Room 1-122 Speaker: Alan De Genaro Dario Abstract:
Speaker: Dr. Andrew Mullhaupt (AMS Stony Brook) many years in finance, (Morgan Stanley, Renaissance Technologies, SAC Capital).Research Professor, Ph.D., 1984, New York University Title: Information Geometry and Prediction Wednesday, November 2nd, Time: 11:00am-12:00pm Location: Math Tower, Seminar Room 1-122 Thursday, October 27th, 2011, Time: 2:00pm-3:30pm Location: Simon Center Room 102 Speaker: Dr. Michel Balinski Laboratoire d'Econométrie Title: "Judge, Don't Vote !" Abstract: Judge: Don’t Vote! Tuesday October 11, 2011, Time from 12:00pm -1:00pm, Location: AMS 1-122 Speaker: Prof. Dr. Ludger Ruechendorf Title: Stochastic dependence, extremal risk and optimal portfolio diversification Abstract: This talk is concerned with the description of possible influence of Wednesday, September 28, 2011, Time from 11:00AM -12:00PM, Location: Physics Building P127 FinAnalytica is a leading provider of real world portfolio and risk management solutions for quantitative analysts and portfolio managers. FinAnalytica's Cognity software suite I have been with FinAnalytica for almost 9 years, 6 of them - on senior positions - Chief Architect, Head of Framework team, Head of position-based Cognity and now - Head of Technical Services. I was a direct witness of the progress of our company and this
Speaker: Prof. Stefan Mittnik. Title: Solvency II Calibrations: Where Curiosity Meets Spuriosity Abstract: To derive a company’s SCR, the Solvency II framework specifies a Standard Formula, which has two inputs: the SCRs of individual risk components and their correlations. To appropriately calibrate these input parameters, several Quantitative Impact Studies that have been conducted. Thursday May 26th, 2011, Time 2:30pm - 3:30pm, Location: Humanities Building. Room 1003 Speaker: William H. May Title: GARP programs, including the Financial Risk Manager (FRM) and Energy Risk Professional (ERP) Certifications, the Advocacy program and risk education and training from entry level to board level. Abstract: The Global Association of Risk Professionals (GARP) is made up of over 150,000 risk management practitioners and researchers representing banks, investment management firms, government agencies, academic institutions and corporations from more than 195 countries and territories worldwide. GARP’s mission is to help develop leaders within the risk management community by encouraging communications between practitioners, academics and regulators. The speaker will discuss GARP programs, including the Financial Risk Manager (FRM) and Energy Risk Professional (ERP) Certifications, the Advocacy program and risk education and training from entry level to board level. Participants will have the opportunity to learn how GARP can add value to their risk management careers.Wednesday, March 16, 2011, 1:00-2:00pm, Math Tower 1-122 Speaker: Yuedong Wang Title: Nonparametric Nonlinear Regression Models Abstract: Friday, September 30, 2011, Time from 2:00PM -3:00PM, Location: AMS 1-122 Speaker: Dmitry Malioutov Title: Smooth Isotonic Covariances for Interest Rate Risk Modeling Wednesday September 07, 2011, Time from 2:30pm -3:30pm, Location: Simon Center Room 102 Speaker: Prof. Gennady Samorodnitsky School of Operations Research Title: TAIL INFERENCE: WHERE DOES THE TAIL BEGIN?" Abstract: The quality of estimation of tail parameters, such as tail index in the univariate case,
Speaker: Andrey Bernstein We consider the general problem of adaptive decision making in complex and, possibly, unpredictable/adversarial environments. In this Friday, June 17, 2011, Time 11:00am - 12:00pm, Location: AMS Seminar Room, Math Tower 1-122 Speaker: Jian Hu A Ph.D. candidate in the Department of Industrial Engineering and Management Sciences at Northwestern University. He received a M.S. degree in Logistics/Transportation from the University of Arkansas at Little Rock and a B.Eng. degree in Control Engineering from Xi’an Jiaotong University. He will receive his Ph.D. in 2011. Title: Risk Adjusted Budget Allocation Models with Application in Homeland Security Monday, June 06, 2011, Time 11:00am - 12:00pm, Location: AMS Seminar Room, Math Tower 1-122 Speaker: Dr. Evrim Dalkiran Evrim Dalkiran is a postdoctoral associate and an adjunct faculty in the Grado Department of Industrial and Systems Engineering at Virginia Tech. She received her Ph.D. in Operations Research from Virginia Tech in May 2011. She holds B.S. and M.S. degrees from Industrial Engineering Department at Bogazici University, Turkey, earned in 2003 and 2006, respectively. Title: Discrete and Continuous Nonconvex Optimization: Decision Trees, Valid Inequalities, and Reduced Basis Techniques Abstract: This talk addresses the modeling and analysis of a strategic risk management problem via a novel decision tree optimization approach, as well as the development of enhanced Reformulation-Linearization Technique (RLT)-based linear programming (LP) relaxations for solving nonconvex polynomial programming problems, through the generation of valid inequalities and reduced representations, along with the design and implementation of efficient algorithms. We first conduct a quantitative analysis for a strategic risk management problem involving the allocation of resources and selection of decision alternatives to minimize the risk in the event of a hazardous occurrence. Using a decision tree to represent the cascading sequences of events as controlled by decision and investment alternatives, the problem is modeled as a nonconvex mixed-integer 0-1 factorable program. A branch-and-bound algorithm is developed for which convergence and computational results are discussed. Next, we enhance RLT-based LP relaxations for polynomial programming problems by developing two classes of valid inequalities: v-semidefinite cuts and bound-grid-factor constraints. The first of these uses concepts derived from semidefinite programming by imposing positive semidefiniteness on (constraint-factor scaled) dyadic variable-product matrices. We explore various strategies for generating cuts, and exhibit their relative effectiveness for tightening relaxations and solving the underlying polynomial programs. As a second cutting plane strategy, we introduce a new class of bound-grid-factor constraints that can be judiciously used to augment the basic RLT relaxations in order to improve the quality of lower bounds and enhance the performance of global branch-and-bound algorithms. Certain theoretical properties are established that shed light on the effect of these valid inequalities in driving the discrepancies between the RLT variables and their associated nonlinear products to zero. The results indicate that certain classes of v-semidefinite cuts and bound-grid-factor constraints significantly improve the computational performance. Finally, we explore equivalent, reduced size RLT-based formulations for polynomial programs. Utilizing a basis partitioning scheme for an embedded linear equality subsystem, a strict subset of RLT equalities is shown to imply the remaining ones. Certain static and dynamic basis selection strategies are proposed to implement this procedure via an algorithm that assures convergence to a global optimum. Computational results are presented to demonstrate the improvement in overall effort.
Monday April 4th, 2011, Time 2:30pm - 3:30pm, Location AMS seminar room, Math Tower 1-122 Speaker: Prof. Andrzej Ruszczynski, Title: Dynamic Risk-Averse Optimization Abstract: Monday (March 14th) from 2:30-3:30pm at
Math Tower 1-122. Speaker: Huizhen (Janey) Yu Friday, March 4, 2011, 2:30-3:30pm, Math Tower 1-122. Speaker: Michael Fu Title: Stochastic Gradient Estimation: Tutorial Review and Recent Research Abstract: Bio
Computational Applied Math Feb 18, 2009 11:00am, AMS Seminar Room Most oil is produced by pumping water in some wells and recovering oil in others. The injected water often contains suspended particles that penetrate the rock and are retained in the pores. The rock becomes less permeable, and the well may become useless. This is deep bed filtration with formation damage. It is modeled by two conservation laws describing transport and retention of particles, and Darcy's law. The model contains an empirical "filtration function" of the deposited concentration, which cannot be measured directly. It must be recovered from experimental data by solving and ill-posed inverse problem, in the form of a functional equation. We present a robust method for solving this inverse problem mathematically, which gives rise to a robust numerical procedure. We show some numerical applications for real data. Wednesday, Feb. 9, 2011, 1:00 pm, AMS Seminar room 1-122A Title: A hybrid numerical method for fluid interfaces with soluble surfactant Abstract: We address a significant difficulty in the numerical computation Wednesday, March 11, 2009, 10:30am, AMS Seminar Room, Math Tower 1-122 Hierarchical reconstruction for spectral volume and RKDG methods for solving hyperbolic conservation laws
In this talk, I will dicuss the recent development of hierarchical reconstruction (HR) [Liu etal., Central discontinuous Galerkin methods on overlapping cells with a non-oscillatory hierarchical reconstruction. SIAM J. Numer. Anal., 45:2442-2467, 2007 and Xu et al., Hierarchical reconstruction for discontinuous Galerkin methods on unstructured grids with a WENO type linear reconstruction and partial neighboring cells. J.C.P. (in press)] for limiting solutions computed by spectral volume and RKDG methods for solving hyperbolic conservation laws. HR is applied to a piecewise quadratic polynomial on two-dimensional unstructured grids as a limiting procedure to prevent spurious oscillations in numerical solutions. The key features of this HR are that the reconstruction on each element only uses adjacent neighbors, which forms a compact stencil set, and there is no truncation of higher degree terms of the polynomial. We explore a WENO-type linear reconstruction on each hierarchical level for the reconstruction of high degree polynomials. We demonstrate that the hierarchical reconstruction can generate essentially non-oscillatory solutions while keeping the resolution and desired order of accuracy for smooth solutions. Wednesday, March 18, 2009, 12:00pm, AMS Seminar Room, Math Tower 1-122 The central scheme (Nessyahu and Tadmor '90) can be extended to staggered overlapping cells
on which the O(1/dt) dissipation error due to grid shifting can be removed while keeping
the benefit of using no flux function or Riemann solver. This strategy allows us Wednesday, April 1, 2009, 12:00pm, AMS Seminar Room, Math Tower 1-122 Updating meshes on deforming domains via the target-matrix paradigm Mesh quality can impact simulation accuracy and efficiency, as
well as determine the time needed to create a mesh. Mesh Wednesday, April 22, 2009, 12:00pm, AMS Seminar Room, Math Tower 1-122 Studying the physical and biological mechanisms of extracorporeal shock wave therapy (ESWT) requires modeling the propagation of strong shock waves through tissue and bone. Interfaces between different biological materials lead to reflections and focusing of shock waves and the creation of strong rarefaction zones and cavitation fields. I will discuss recent numerical work using high-resolution finite volume methods in which each grid cell is allowed to have distinct material properties. Sharp interfaces either occur at cell edges (if an appropriate geometry-conforming grid can be obtained) or are represented by averaging the material properties over grid cells on a Cartesian grid. In either case, logically rectangular grids with adaptive mesh refinement are used to efficiently deal with multiscale problems where the medium has heterogeneities at various length scales. Wednesday, June 24, 2009, 11:00am, AMS Seminar room, Math Tower 1-122 Title: Multi-scale simulations of multiphase flow and reactive transport in fractured and porous media. An SPH multiphase flow model was used to study the effects of pore-scale heterogeneity and anisotropy on infiltration/drainage cycles, entrapment and dissolution of non-wetting fluids and a pressure/saturation relationship. An SPH reactive transport model was used as a part of a multi-scale numerical and experimental study of mixing-induced reactions and mineral precipitation. In a laboratory experiment, solutions containing Na2CO3 and CaCl2 were each injected in different halves of a quasi two-dimensional flow cell filled with quartz sand. Pore-scale simulations were conducted to help understand the mechanism of precipitation layer formation. A meso-scale langevin model and a hybrid model were developed to bridge a gap between pore-scale and darcy-scale descriptions of transport processes. Wednesday, September 23, 2009, 10:30 am, AMS Seminar room, Math Tower 1-122 Title: The Common Component Architecture for Scalable Scientific Software Engineering Kostadin Damevski Abstract: In recent years, component technology has been a successful methodology for large-scale commercial software development. Component technology encapsulates a set of frequently used functions into a component and makes the implementation transparent to the users. Application developers typically use a group of components, connecting them to create an executable application. The Common Component Architecture (CCA) is a project whose goal is to use component technology in scientific computing to tame the software complexity required in coupling multiple disciplines, multiple scales, and/or multiple physical phenomena. The CCA is designed to fit the needs of the scientific computing community by imposing very low overhead, supporting parallel components, and enabling interoperability with legacy code. The CCA component model has already been used in several application domains, creating components for large simulations involving accelerator design, climate modeling, combustion, and accidental fires and explosions. These simulations are able to execute on sets of distributed memory machines spanning several computational and organizational domains. This talk will introduce the CCA and its associated tools and discuss some of the recent advancements made by this project. Wednesday, October 7, 2009, 10:30 am, AMS Seminar Room 1-122 Viktor Kilchyk Pressure-wave Amplification of Flame Area in Wave Rotor Channels Abstract Deformation of an interface between fluids with different densities following a shock passage is referred as Richtmyer-Meshkov instability. To characterize interface increase produced by the instability, perturbation amplitude growth is commonly studied. However, it is the area of the interface that is crucial to flame speed and burning rate predictions. Therefore, in our work we studied numerically the area increase of a flame following a shock or an expansion wave passage. Numerical solutions to the Navier-Stockes equations were obtained using an in-house second order CFD code. The code is specialized in handling ideal and real compressible fluids. An upwind finite-volume spatial discretization was used with an approximate Riemann solver adapted to the generalized form of the governing equations. It was found that the area of a sinusoidally perturbed flame increases almost linearly, for a time period significantly exceeding duration of growth of the perturbation amplitude. Opposite to the expected from the Richtmyer-Meshkov theory, for a given set of initial parameters, faster interface growth rates were observed in shock refractions where shock approached from the “hot” side of the interface (fast/slow refractions). More importantly, the computed interface growth rates produced by shocks and expansion waves showed nearly linear correlation with deposited circulation. Using an analytical solution for shock and expansion wave deposited circulation, contribution of the flame area increase to the overall burning rate variation was examined. The results showed that the flame area increase plays a dominant role in the burning rate change with relatively weak shocks and expansion waves. In the case of expansion waves, it was also shown that expansion wave-flame interaction may result in a burning rate increase temporarily; the negative chemical kinetic effect of expansion wave passage is offset by the flame area increase. Wednesday, October 21, 2009, 1:00 pm, AMS Seminar Room 1-122 Ravi Samtaney Title: Overcoming spatial and temporal stiffness in MHD simulations. Abstract: Magnetohydrodynamics (MHD) is arguably the most popular mathematical model for the macroscopic simulations of fusion plasmas. In this talk we will focus on the resistive single-fluid MHD equations, the solutions of which can exhibit near-singular layers (or even discontinuities in the absence of diffusion terms). We rely on locally adaptive structured mesh refinement (AMR) methods to mitigate the separation of spatial scales in MHD. We will present results from AMR simulations of MHD applications: (a) pellet injection, a proven method to refuel tokamaks; (b) magnetic reconnection which is a canonical problem in plasma physics involving thin current sheets; and (c) an example in MHD shock refraction where five or more For a tokamak fusion plasma, the presence of a large background field and toroidal geometry results in a large separation of temporal scales. Explicit time-stepping methods to simulatfusion plasmas become prohibitively expensive due to the CFL constraint on the time-step. To overcome the temporal stiffness associated with the fast compressive and Alfven waves in MHD, we have developed a nonlinearly implicit time stepping method using a Jacobian-Free Newton-Krylov approach (JFNK) and begun exploring nonlinear multigrid methods. At the heart of our JFNK method is a PDE-operator based preconditioner (exact for a 1D system of hyperbolic PDEs), to effectively solve the resulting large ill-conditioned linear system. Wednesday, October 28, 2009, 9:30 am, AMS Seminar Room 1-122 Speaker: Min Zhou Title: Petascale Adaptive Computational Fluid Dynamics Abstract: In this study, we identify and resolve several bottlenecks facing unstructured, adaptive, implicit finite element methods march toward petascale simulations. With those obstacles resolved, our method demonstrates its capabilities with strong scalability on large scale supercomputers and its ability to solve problems of interest requiring intensive numerical computations in a reasonable time frame. The performance of our implicit solver is improved by two algorithms developed in this work. The first algorithm, multiple compute-object partition improvement, incrementally improves the load balance, hence the scalability of both the equation formation and the equation solution of the finite element analysis (FEA). The second algorithm, data reordering, enables the effective usage of the memory subsystem by increasing the data locality, so as to accelerate the per-core performance of the FEA. We present excellent strong scaling for several applications performed on various supercomputers including IBM Blue Gene (BG/L and BG/P), Cray (XT3 and XT5) and Sun Constellation Cluster. The applications involve the flow simulations of a bifurcation pipe model with relatively small meshes and cardiovascular flow of an abdominal aorta aneurysm model with a much bigger mesh (more than 1 billion elements). The other application involves the blood flow in a ``whole'' body model composed of 78 arteries; from the neck to the toes. The effectiveness of our methodologies and the algorithms developed in this work are investigated in those applications. With the ability to solve real-world problems having complex geometry/physics in a realistic time, this work provides a reliable and efficient computation tool that can be used by researchers for design and development purpose. Wednesday, December 2, 2009, 10:30 - 12:00, Math Tower 1-122 Valmor de Almeida, Oak Ridge National Laboratory Title: Challenges for Modeling and Simulation of Solvent Extraction in Abstract: Friday, February 19, 2010, 1:30 - 2:30 pm, Math Tower 1-122 Dr. Tong Fang 3D Geometric Modeling for Direct Digital Manufacturing Direct Digital Manufacturing is one of hot topics in industry. It is a manufacturing process which manifests physical parts directly from 3D data using additive fabrication techniques, also called additive manufacturing, layered manufacturing, or 3D Printing. In this talk, a 3D geometric modeling application for hearing aids digital manufacturing Bio: Dr. Tong Fang, received the Ph.D. degree in the area of image processing from Rutgers University in 2000. He also received his Bachelor degree in E.E. from Hefei University of Technology, China in 1988 and three Master degrees in Management Science (1992), Industrial Engineering (1997), Computer Engineering (1999) from University of Science & Technology of China and Rutgers University, respectively. At Siemens Corporate Research, he currently leads Adaptive Techniques R&D Program, and Real Time Systems and Optimization Competence Group to conduct research and development in the fields of computer vision, industrial and medical image processing, pattern recognition, 3D geometric modeling and visualization. He has 11 US patents and 6 international patents awarded, 40+ papers published and 50+ patents pending. Friday, March 5, 2010, 1:30 - 2:30pm, Math Tower 1-122 Title : An adaptive version of Glimm's scheme Abstract : Friday, March 12, 2010, 1:30 - 2:30pm, Math Tower 1-122 Title: Computational studies for spatial dynamics of cell signaling with localized scaffold Abstract: The specificity of cellular responses to receptor stimulation is encoded by the spatial and temporal dynamics of downstream signaling networks. In many cases, spatially localized scaffold proteins that bind and organize multiple proteins into complexes have merged as essential factors in shaping the quantitative response behavior of a signaling pathway. Through studying various models of scaffold, I will show novel regulations induced by its spatial location and switch-like responses due to scaffold. To efficiently compute the models, I shall introduce a new class of fast numerical algorithms incorporated with adaptive mesh refinement techniques for solving the stiff systems with spatial dynamics in complex domains. Wednesday, March 17, 2010, 1:00 - 2:00pm, Math Tower 1-122 Title: The Overlapping Yee FDTD Method on Nonorthogonal Grids Abstract: We present an overlapping Yee (OY) method for solving time-domain Maxwell's equations on non-orthogonal grids. The OY method is a direct extension of the Finite-Difference Time-Domain (FDTD) method (Yee's scheme) to irregular grids, and it overcomes the late-time instability of the previous FDTD algorithms on non-orthogonal grids. When material interface is presented, the diagonal split-cell model is applied to achieve better accuracy. Numerical simulations on scattering problem and optical force computation will be presented. Friday, March 19, 2010, 1:30 - 2:30pm, Math Tower 1-122 Title: Theory and Computation of the Grad-Shafranov Equation Abstract: On the computation side, the most popular method to solve the GSh equation is to iteratively adjusting a Friday, March 26, 2010, 1:30 - 2:30pm, Math Tower 1-122 Title: computational method for simulating two-phase gel dynamics In this talk, I will present a parallel computational algorithm for simulating models of gel dynamics where the gel is described by two phases, a networked polymer and a fluid solvent. The models consist of transport equations for the two phases, two coupled momentum equations, and a volume-averaged incompressibility constraint. Multigrid with Vanka-type box relaxation scheme is used as preconditioner for the Krylov subspace solver (GMRES) to solve the momentum and incompressibility equations. Through numerical experiments of a model problem, the efficiency, robustness and scalability of the algorithm are illustrated. Wednesday, September 8, 2010, 1:00 pm, AMS Seminar Room (Math Tower 1-122A) Title: Sensitivity Analysis, Uncertainty Quantification and Multiscale Modeling of Complex Systems Dr. Guang Lin Abstract Experience suggests that uncertainties often play an important role in quantifying the performance of complex systems. Uncertainty-based optimization, in particular, allows for optimizing a large set of objectives that may be varying in time as the mission requirements of a specific design may be changing in time. Therefore, uncertainty needs to be treated as a core element in modeling, simulation and optimization of complex systems. In this talk, a new formulation for quantifying uncertainty in the context of aerodynamic problem will be discussed with extensions to other fields of mechanics and to dynamical systems. An integrated simulation framework will be presented that quantifies both numerical and modeling errors in an effort to establish "error bars" in CFD. In particular, a review of high-order methods (Spectral Elements, Discontinuous Galerkin, and WENO) will be presented for deterministic flow problems. Subsequently, stochastic formulations based on Galerkin and collocation versions of the generalized Polynomial Chaos (gPC), and some stochastic sensitivity analysis techniques will be discussed in some detail. Several specific examples on stochastic piston problem, lift enhancement due to random roughness and stochastic modeling of ion- electron two-fluid plasma flow will be presented to illustrate the main idea of our approach. In the catalytic reactor applications there is often a need to model accurately multiscale reactive transport across several orders of magnitude in space and time scales. Multiple scale model in both time and space can overcome this difficulty and provide a unified description of reactive transport in catalytic reactor from nanoscale to larger scales. We propose a new multiscale formalism based upon hybrid model, which combines kinetic Monte Carlo (KMC) with continuum model. Thermal diffusion and mass transport of different species are solved in the continuum model. A non-iterative coupling of different- scale models will be presented, which makes it more efficient than most of existing hybrids and amenable to applications to the complex problems. A simple one-dimensional example will be demonstrated. Thursday, September 23, 2010, 12:00 pm, Math Tower Room S-240 Dr. Xiaoye Li TITLE: ABSTRACT: Efficient solution of large-scale, ill-conditioned and highly-indefinite We present our recent work of using state-of-the-art sparse factorization Wednesday, Oct. 13, 2010, 1:30 pm, AMS Seminar room 1-122A Dr. Shengtai Li, Los Alamos National Laboratory Title: "Higher-Order Divergence-free methods for MHD flows on overlapping Abstract: Wednesday, Oct. 27, 2010, 1:00 pm, AMS Seminar room 1-122A Title: Phase-field models for multiphase complex fluids: modeling, numerical analysis and simulations Speaker: Jie Shen, Purdue University Abstract. I shall present an energetic variational phase field model for I shall present efficient and accurate numerical schemes for solving Wednesday, Dec. 1, 2010, 1:00 pm, AMS Seminar room 1-122A Dr. John Grove, Los Alamos National Laboratory Title: So You think you think you want to use a "real" equation of state Abstract: Tuesday, February 1, 2011, 1:00 pm, AMS Seminar Room 1-122A Title: The FLASH Code Architecture and Abstractions Dr. Anshu Dubey, Flash Center at University of Chicago FLASH is a publicly available high performance application code that has evolved into a modular, extensible software system from a collection of unconnected legacy codes. The current version, FLASH 3, consists of interoperable modules that can be combined to generate dierent applications. The FLASH architecture allows many multiple alternative implementations of its components to co-exist and interchange with each other, resulting in greater flexibility. Further, a simple and elegant mechanism exists for customization of code functionality without the need to modify the core implementation of the source. A built-in unit test framework providing veriability, combined with a rigorous software maintenance process, allow the code to operate simultaneously in the dual mode of production and development. This presentation will give an overall view of the code architecture and capabilities, and the abstractions that enable the extensibility. In addition, there will be a discussion of the interaction between the infrastructure and the solvers, highlighting the challenges of running on leadership class machines. Friday, March 27, 2pm, AMS Seminar Room, Math Tower 1-122 The primary aim of our research is to understand how gene regulation generates precise spatial patterns in embryonic development. However, the chemical reactions and transport processes underlying pattern formation are subject to numerous sources of variability and noise. Extrinsic sources include variability in temperature, size and maternally-supplied factors. Intrinsic noise arises from the low concentrations of many biological molecules and the random aspects of cell shape, orientation and movement. For development to reliably form complex body plans, gene network dynamics must be robust to these disruptive influences. We use one of the genetically best characterized model systems for embryonic patterning, anterior-posterior (AP) segmentation in Drosophila. We combine quantified data acquisition, statistical extraction of trends and noise components, and stochastic and evolutionary modeling of gene networks. Such an integrated approach is required to properly characterize the different aspects of developmental noise (within an embryo, e.g. nucleus-to-nucleus) and variability (embryo-to-embryo), and to understand how these are controlled. Our long-term goal is to provide a mathematically quantified understanding of the interactions which give the robust spatial patterning underlying the development of complex body plans. Studying how networks maintain robustness, and how they lose it, should have direct bearing on heritable human diseases, particularly birth defects, which display variable outcome. Monday, April 13, 2009 10:30 AM, AMS Seminar Room, Math Tower 1-122 P. Therese Lang Although proteins populate ensembles of structures in solution, X-ray diffraction data are traditionally interpreted using a single dominant model. To detect ensembles of side chain motions in x-ray electron density, we developed a new computational method called Ringer. Using this approach, we have identified structural fluctuations in protein active sites and explored their effects on the biophysical properties of ligand binding. Using experimental density, Ringer identified unmodeled alternate rotamers in 5-15% of side chains, supporting the idea that the newly detected conformations are widespread. With this new method, we are exploring X-ray structures of calmodulin (CaM), a calcium signaling protein that recognizes approximately 200 different peptide sequences, to test the idea that free receptors contain structural fluctuations required for bound conformations. We have identified several, previously unmodeled alternate side chain conformations in the active site of apo-CaM structure necessary for diverse binding. We have also seen a correlation with NMR experiments that detect changes in side chain rotamers. The identified alternate conformations support predictions about which residues within the binding site can influence recognition selectively by modulating the ensemble of side motions. These studies have the potential to provide new tools to explore the underpinnings of ligand specificity in CaM and other systems. Thursday, March 19, 2009, 11:30am, AMS Seminar Room, Math Tower 1-122 Monday, March 23, 2009, 4:00pm, AMS Seminar Room, Math Tower 1-122 Tuesday, May 5, 2009, 11:00 am, AMS Seminar Room, Math Tower 1-122 Evdokia Nikolova How do we get to the airport on time? Ideally we would like to take the shortest path, however in the presence of uncertain traffic what does that mean? Is that the path with smallest expected travel time, or should we minimize the path variance or some other metric? One natural objective is to choose the path which maximizes our probability of arriving on time. This turns out to be equivalent to a non-convex optimization problem, for which no efficient algorithms are available. We develop algorithms that bridge stochastic, nonconvex and combinatorial optimization. In fact, our algorithms extend to solve a much more general framework of stochastic optimization that incorporates risk, beyond shortest paths. In an alternative route planning model, we seek adaptive algorithms which tell us where to go at every node along the way, given the realized edge values so far and the edges adjacent to our current position. This problem, called the Canadian traveler problem, turns out very challenging even with simple linear objectives which aim to minimize the expected route length. We provide the optimal policies (adaptive algorithms) for a class of graphs based on Markov Decision Processes and conclude with intriguing open problems. Monday, November 23, 2009, 1:00-2:00, Math Tower 1-122 Mark Kelbert Abstract. The `bird eye's' view of actuarial ruin problem is captured by the so-called Cramer-Lundberg model which represents the current capital as a difference of incoming payments and the outgoing claims. The simplest model for the claim flow is the compound Poisson process. We are interested in an asymptotic expansion of the ruin probability on a big time interval when the initial capital tends to infinity and the ratio of the capital and the time tends to a constant.The results of standard saddle-point approximation fails on the Stokes lines. However, some refinements of this method provides uniform asymptotic expansions. This seminar is partially supported by the Grad School. Thursday, April 8th, 2010, 11:00 - 12:00 pm, AMS Seminar Room (Math Tower 1-122A) Mark E. Levis
Optimality of Trunk Reservation for an M/M/k/N Queue with Several Customer Types and Holding Costs
Wednesday, May 5, 2010, 11:30-12:30 pm, Computer Science 1211
Wednesday, December 22, 10:30-12:00, Math Tower 1-122 Konstantin Avrachenkov, INRIA - Sophia Antipolis, France Title: Monte Carlo Methods for Top-k Personalized PageRank Lists with Abstract: Tuesday, October 19, 2010, 2:30 pm, AMS Seminar Room 1-122A Speaker: Yuri Suhov Title: Service systems with limited selection of location Abstract: In a standard single-server queueing system In the talk I'll give a review and report some new results Title: Quantitative Challenges in Algorithmic Execution Professor Robert Almgren of NYU Courant Institute Thursday, March 19, 2009, 4pm, AMS Seminar Room, Math 1-122 After a brief review of the development of US mortgage market, a widely-used Mortgage Backed Securities (MBS) pricing procedure, consisting of Option Adjusted Spread (OAS) analysis and prepayment modeling, is introduced. Then we discuss some challenges in pricing MBS, including evaluation of prepayment risk, interest rate modeling, and analysis of loans with different characteristics. In the end, several key factors causing the current subprime mortgage credit crisis are examined and recommendations are provided to improve the pricing models for MBS. Tuesday, April 21, 2009 4:00pm, AMS Seminar Room, Math Tower 1-122 The Capital Asset Pricing Model (CAPM) was a fundamental contribution to the field of financial economics, relating the sensitivity of an asset's return to the stock market return. This sensitivity (or slope), referred to as beta, is ubiquitous in modern finance. An assumption of CAPM is that there is a linear relationship between asset returns and market returns, but this does not always hold in practice. We consider a continuous-time CAPM model where beta is not constant, but rather is piecewise constant. This allows us to introduce regime-switching dynamics while keeping things tractable. When the market level crosses below a given threshold, an additive term increases the slope, resulting in a higher sensitivity of asset returns to market returns. We develop the price of an equity option using this approach. Along the way, several interesting quantities appear, such as the occupation time of a Brownian motion in an interval, and Brownian local time. One of the future goals of this research will be to introduce a calibration technique for the slope in each regime based on estimated option price parameters of both the asset and the market index. Monday, May 4, 2009, 1:00pm, AMS Seminar Room, Math Tower 1-122 Monday, June 8, 2009, 11:30am, AMS Seminar room, Math Tower 1-122 American Options: Free-Boundary-Value Problems in Finance Qiang Zhang A vanilla option is a right to buy or sell an underlying security at a fixed price. Exotic options have more complicated payoff structures and depend on more state variables. It is well known that, in a simple setting, the prices of European options that can only be exercised on the maturity date are given by the Black-Scholes formulae. However, most of options traded in the market are American type that can be exercised any time before and on the maturity date. So far, except in a few special cases, no close-form expressions for American options have been found and numerical computation is the main method for pricing American options. The difficulty is due to the fact that the American options are free-boundary-value problems, namely at what critical price of the underlying one should exercise the options? In this talk we will discuss the theoretical properties of American options and analytical approximations for the solutions of American options and the free boundaries. We show that this approximation method is applicable to both American type vanilla and exotic options. We will also discuss free-boundary-value problems in other types of financial products. Wednesday, September 9, 2009, 2009, 3:50 pm, AMS Seminar Room, Math Tower 1-122 David Cru Abstract: Portfolio Selection as introduced by Harry Markowitz laid the foundation for Modern Portfolio Theory. However, the assumption that underlying asset returns follow a normal distribution and that investors are indifferent to skew and kurtosis are not practically suited for the hedge fund environment. Additionally, the Lockup and Notice provisions built into hedge fund contracts make portfolio rebalancing difficult and justify the need for dynamic allocation strategies. Market conditions are dynamic therefore rebalancing constraints in the face of changing market environments can have a severe impact on return generation. There is a need for sophisticated yet tractable solutions to the multi-period problem of hedge fund portfolio construction and rebalancing. We Generalize the hedge fund asset return distribution to a Multivariate K-mean Gaussian Mixture Distribution; cast the multi-period hedge fund allocation problem as a constrained optimization problem; and propose practical rebalancing strategies that represent a convergence of literature on Hedge Fund investing, Regime Switching and Dynamic Portfolio Optimization Wednesday, September 16, 2009, 3:50PM to 5PM, AMS Seminar Room, Math Tower 1-122 Andrew P. Mullhaupt, Ph.D. Dr. Mullhapt recently retired as Director of Research and Portfolio Manager at SAC Meridien Fund, a systematic hedge fund. Dr. Mullhaupt has worked at Renaissance Technologies as a Senior Research Analyst and at Morgan Stanley. He has held various academic posts at SUNY Buffalo, the University of New Mexico and the Courant Institute. Dr. Mullhaupt received his Ph.D. in Applied Mathematics from the Courant Institute and his B.S. from Stevens Institute of Technology. Wednesday, September 30, 2009, 3:50 - 5:10 pm, Math Common Room 4-125 Speaker: Michael Driscoll, Ph.D. Title: Challenges in Assessing Credit Risk in Today's Financial Crisis Abstract: In the current environment, the financial services industry and its regulators are concerned about exposure to credit risk. The distribution of financial losses due to changes in the credit quality of a counterparty to a financial agreement. Credit risk pervades virtually all financial transactions. The rise in the complexity and globalization of financial services has contributed to stronger linkages between counterparties. While higher connectivity facilitates economic growth through credit allocation and risk diversification, it also increases the potential for disruptions to spread throughout the system. Financial engineering further enabled risk transfers that were not fully accounted for by regulators or by the institutions themselves, thereby complicating the assessment of counterparty risk, risk management, and policy responses. The current crisis highlights how systemic linkages can arise not just from financial institutions’ solvency concerns but also from the lack of market liquidity and other stress events. At the center of the issue is the quantification of the probability of a default; an event resulting from a complex decision process. This process is affected by the intricate network of business relations between firms, and in turn, the default decision of a single firm affects the entire system. Corporate defaults aggregate and is induced by the correlation among firms. It is driven by individual firm sensitivity to common economic factors such as interest rates or inflation, but also from the feedback of an individual firm event to the entire system. -Forecasting of individual defaults, All facets of credit risk assessment face a wide range of challenges ranging from the availability of historical events to measure and calibrate models to the transparency of risk within the system and the uncertainty of available information. Michael Driscoll is a Managing Director at Cogent Partners, specializing in capital markets and risk management advisory services in Private Equity and Alternative Investments. Dr. Driscoll has been a Principal and Global Head of Risk Management for Allianz (ART Group) and a member of their Underwriting, Risk and Investment Management Committees. He began his career in the research division of AT&T Bell Laboratories and received his Ph.D, M.S. and B.S. degrees from SUNY Stony Brook where he was elected to Sigma Xi and Tau Beta Pi. Dr. Driscoll also serves a member of the Stony Brook Center for Quantitative Finance Advisory Board. Wednesday, October 7, 2009, 3:50pm - 5:10PM , AMS Seminar room 1-122 Speaker: Michael Driscoll, Ph.D. Title: Challenges in Assessing Credit Risk in Today's Financial Crisis Abstract: In the current environment, the financial services industry and its regulators are concerned about exposure to credit risk. The distribution of financial losses due to changes in the credit quality of a counterparty to a financial agreement. Credit risk pervades virtually all financial transactions. The rise in the complexity and globalization of financial services has contributed to stronger linkages between counterparties. While higher connectivity facilitates economic growth through credit allocation and risk diversification, it also increases the potential for disruptions to spread throughout the system. Financial engineering further enabled risk transfers that were not fully accounted for by regulators or by the institutions themselves, thereby complicating the assessment of counterparty risk, risk management, and policy responses. The current crisis highlights how systemic linkages can arise not just from financial institutions’ solvency concerns but also from the lack of market liquidity and other stress events. At the center of the issue is the quantification of the probability of a default; an event resulting from a complex decision process. This process is affected by the intricate network of business relations between firms, and in turn, the default decision of a single firm affects the entire system. Corporate defaults aggregate and is induced by the correlation among firms. It is driven by individual firm sensitivity to common economic factors such as interest rates or inflation, but also from the feedback of an individual firm event to the entire system. All facets of credit risk assessment face a wide range of challenges ranging from the availability of historical events to measure and calibrate models to the transparency of risk within the system and the uncertainty of available information. Michael Driscoll is a Managing Director at Cogent Partners, specializing in capital markets and risk management advisory services in Private Equity and Alternative Investments. Dr. Driscoll has been a Principal and Global Head of Risk Management for Allianz (ART Group) and a member of their Underwriting, Risk and Investment Management Committees. He began his career in the research division of AT&T Bell Laboratories and received his Ph.D, M.S. and B.S. degrees from SUNY Stony Brook where he was elected to Sigma Xi and Tau Beta Pi. Dr. Driscoll also serves a member of the Stony Brook Center for Quantitative Finance Advisory Board. Wednesday, October 14, 2009, 3:50PM - 5:10PM, AMS Seminar room, Math Tower 1-122 Speaker: Greg Van Inwegen, Ph.D. Title: "Risk Management in a Non Transparent and Non Linear World: Perspectives and Challenges from a Fund of Hedge Funds" Abstract: Multi-Factor Risk Modeling & Stress Testing Dr. Van Inwegen is a Managing Director and Chief Investment Risk Officer at Ivy Asset Management, where he has worked since 2004. He chairs the Investment Risk Management Committee at Ivy and leads the Risk Management and Quantitative Research team at this Hedge Fund of Funds. His professional career started at Syracuse University, where he taught Finance as an Assistant Professor before moving to Wall St. He has worked at Verizon, Paine Webber, Bankers Trust, Deutsche Bank, and a hedge fund start up. In addition to risk management, he as been involved in a number of elements of the asset management business, including stock selection models, asset allocation, enhanced indexing and high frequency statistical arbitrage models. Dr. Van Inwegen has degrees from the University of California at Berkeley, the Sloan School at MIT; and the Wharton School at the University of Pennsylvania. Wednesday, October 28, 2009, 3:50PM - 5:10PM, Physics Tower S-240 Speaker: Ann Tucker, Ph.D. Title: Momentum and the Financial Crisis Abstract: The momentum factor is a well documented market anomaly that continues to exhibit strength well after it was first documented in the academic literature. There is evidence that momentum exposure, or long exposure to assets with good recent performance and short exposure to assets with poor recent performance, is especially widespread within the hedge fund community. The extent of the exposure became painfully clear during the second half of 2008 when Lehman’s bankruptcy triggered a global unwinding of risk in almost every asset class. This talk explores the contribution of momentum-related strategies in equities, commodities, interest rates and foreign exchange to the buildup of risk in the global financial system and the chaos that ensued when the great reversal occurred. In addition, the roles played by the U.S. dollar and the Japanese yen as carry currencies of choice during this period are examined in the context of the momentum environment, possible intervention of the Chinese in the currency markets, and the unwinding of the aforementioned carry trades. Tuesday, March 23, 2010, 2:30 pm, AMS Seminar Room 1-122 Eugene Stern Title: Risk Management and Real Life Abstract: Monday, April 19, 2010, 2:15pm, AMS Seminar Room 1-122 Prof. Dr.Sci. Svetlozar Rachev Abstract: Wednesday, September 15, 2010, 3:00 pm, AMS Seminar Room 1-122A
Speaker: Robert Almgren
Title: Algorithmic Trading for Interest Rate Futures
Abstract: Interest rate futures markets present several novel microstructural features, not found in equities and foreign exchange markets. For algorithmic trading, these features must be fully understood and properly exploited. Three features are the most important. First is pro rata order matching, which has strong effects on the optimal order placement strategy. Second is implied quoting via calendar spread and butterfly contracts, which presents opportunities to find hidden liquidity and better order fills. Third is the highly coupled nature of contracts at different points on the yield curve, requiring an inherently multidimensional analysis even to trade a single contract. We shall provide an overview of all these aspects, and the quantitative tools that are used to model them. Speaker Bio: Robert Almgren, co-founder of Quantitative Brokers, providing agency algorithmic execution and cost measurement in fixed income markets. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program. Before that, he was an Assistant Professor of Mathematics at the University of Chicago and Associate Director of the Program on Financial Mathematics; he is currently a Fellow in the Mathematics in Finance Program at New York University. Dr. Almgren holds a B.S. in Physics and Mathematics from the Massachusetts Institute of Technology, an M.S. in Applied Mathematics from Harvard University and a Ph.D. in Applied and Computational Mathematics from Princeton University. He has an extensive research record in applied mathematics, including several papers on optimal securities trading, transaction cost measurement, and portfolio formation. Wednesday, Sept 29, 2010, 3:00pm, AMS Seminar Room 1-122 Speaker: Greg Frank Title: "Using Database Systems for Tick Data Mining" Abstract: As high frequency traders of instruments in various asset classes, we are faced with the challenge of analyzing the characteristics of vast quantities of data. Tools like Matlab and Quantlib are great for quickly investigating high order relationships in financial data. But how does one approach analysis when data sets run into terabytes? And what about when the data is streaming in real-time? Monday, May 7, 2012, 2:00 - 3:00PM, Math Tower, Seminar Room 1-122 Wednesday, April 25, 2012, 1:15 PM - 2:15 PM, Mathematics Tower, Room S-240 Title: Mapping the regulatory network of the genotype-phenotype map Wednesday, August 17th, 2011,
Time 11:30am - 12:30pm,
Location: AMS Seminar Room, Math Tower 1-122 The well-known Merton strategy is a power-utility-maximization Tuesday August 9th, 2011, Time from 11:30pm -12:30pm, Location: AMS 1-122 Speaker: Juanjuan Fan Title: Trees and Random Forests for Correlated Survival Data Abstract: We are interested in developing rules for assignment of tooth prognosis
Thursday, May 19th, 2011, Time 10:30am - 11:30am, Location: AMS Seminar Room, Math Tower 1-122 Speaker: Professor Angshuman Sarkar Title: Two-level and multi-level search designs under a tree structure Abstract: Search designs provide an indispensable tool under model uncertainty. After
the pioneering work of Srivastava (1975) many authors considered the problem
of constructing search designs for different situations. Considering the
hierarchy of factorial effects, Srivastava and Hveberg (1992) pointed out the
importance of a tree structure in the factorial effects while analyzing data
arises from behavioral sciences. That is, for a factorial experiment involving
factors F1, F2, F3 and F4, the non-negligibility of interactions F1F2 and
F3F4 may implies the non-negligibility of atleast one of F1F2F3 or F1F2F4
or F1F3F4 or F2F3F4. This article consider the problem of constructing a Wednesday April 6th, 2011, Time 1:00pm - 2:00pm, Location Simons Center Auditorium, Room 103 Speaker: Dr. Song Wu Title: Multiple-Marker Linkage Disequilibrium Mapping of Quantitative Traits Abstract: Single nucleotide polymorphisms (SNPs) comprise a major part of DNA variants that contribute to disease onset and progression. SNP microarrays provide a platform to survey SNPs on a genome-wide scale. In past years, many methodologies have been developed to analyze the SNP data, and most of them treated SNPs as independent markers and analyzed them separately. A single marker association test would be suitable for somatic SNPs that are acquired in non-productive cells and cannot be passed onto offspring, however, for a majority of inheritable germline SNPs, the single marker method may suffer by ignoring the linkage information contained in adjoining SNPs that are co-segregated with the quantitative trait loci (QTL). In this study, we propose a more powerful framework for linkage disequilibrium (LD) mapping of quantitative traits by using multiple SNP markers. It can be shown theoretically that the four disequilibria parameters involved in a trigenic model can be used to test the association between QTL and its two flanking SNPs. Simulation studies demonstrate that our new method significantly improves the power and robustness of mapping disease genes when the QTL is in linkage with its neighboring SNP markers. Additionally, when the QTL is at the exact location of a SNP, our method maintains a comparable power with the single marker method. A real data example has been analyzed to illustrate the utility of the method. In addition to the SNP array data, I will also discuss how other high-throughput genomic data may contribute to biological discoveries by using examples from The Cancer Genome Atlas (TCGA) project.
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