今後の予定

過去の記録 ~08/03本日 08/04 | 今後の予定 08/05~

2015年08月07日(金)

統計数学セミナー

14:40-15:50   数理科学研究科棟(駒場) 052号室
生方雅人 氏 (釧路公立大学)
Effectiveness of time-varying minimum value at risk and expected shortfall hedging
[ 講演概要 ]
This paper assesses the incremental value of time-varying minimum value at risk (VaR) and expected shortfall (ES) hedging strategies over unconditional hedging strategy. The conditional futures hedge ratios are calculated through estimation of multivariate volatility models under a skewed and leptokurtic distribution and Monte Carlo simulation for conditional skewness and kurtosis of hedged portfolio returns. We examine DCC-GJR models with or without encompassing realized covariance measure (RCM) from high-frequency data under a multivariate skewed Student's t-distribution. In the out-of-sample analysis with a daily rebalancing approach, the empirical results show that the conditional minimum VaR and ES hedging strategies outperform the unconditional hedging strategy. We find that the use of RCM improves the futures hedging performance for a short hedge, although the degree of improvement is small relative to that when switching from unconditional to conditional.

統計数学セミナー

13:20-14:30   数理科学研究科棟(駒場) 052号室
Yoann Potiron 氏 (University of Chicago)
ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES
[ 講演概要 ]
When estimating integrated covariation between two assets based on high-frequency data,simple assumptions are usually imposed on the relationship between the price processes and the observation times. In this paper, we introduce an endogenous 2-dimensional model and show that it is more general than the existing endogenous models of the literature. In addition, we establish a central limit theorem for the Hayashi-Yoshida estimator in this general endogenous model in the case where prices follow pure-diffusion processes.

2015年08月31日(月)

博士論文発表会

16:30-17:45   数理科学研究科棟(駒場) 128号室
藤城 謙一 氏 (東京大学大学院数理科学研究科)
Approximate Controllability, Non-homogeneous Boundary Value Problems and Inverse Source Problems for Fractional Diffusion Equations(非整数階拡散方程式に対する近似可制御性、非斉次境界値問題およびソース項決定逆問題) (JAPANESE)

2015年09月02日(水)

FMSPレクチャーズ

17:00-18:30   数理科学研究科棟(駒場) 126号室
Alexander Voronov 氏 (Univ. of Minnesota)
Operads and their applications to Mathematical Physics (ENGLISH)
[ 講演参考URL ]
http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

2015年09月08日(火)

諸分野のための数学研究会

10:30-11:30   数理科学研究科棟(駒場) 056号室
Monika Muszkieta 氏 (Wroclaw University of Technology)
Duality based approaches to total variation-like flows with applications to image processing (English)
[ 講演概要 ]
During the last years, total variation models have became very popular in image processing and analysis. They have been used to solve such problems as image restoration, image deblurring or image inpainting. Their interesting and successful applications became the motivation for many authors to rigorous analysis of properties of solutions to the corresponding total variation flows. The main difficulty in numerical approximation of solutions to these flows is caused by the lack of di fferentiability of the total variation term, and the commonly used approach to overcome this difficulty consists in considering of the dual formulation. In the talk, we consider two total variation flow models. The first one is the anisotropic total variation flow on $L^2$ with additional regularization, and the second one, is the total variation flow on $H^{-s}$. We introduce duality based numerical schemes for approximate solutions to corresponding equations and present some applications to image processing.
This talk is based on joint work with Y. Giga, P. Mucha and P. Rybka.

2015年09月10日(木)

FMSPレクチャーズ

17:00-18:30   数理科学研究科棟(駒場) 126号室
Alexander Voronov 氏 (Univ. of Minnesota)
Operads and their applications to Mathematical Physics (ENGLISH)
[ 講演参考URL ]
http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

2015年09月11日(金)

FMSPレクチャーズ

17:00-18:30   数理科学研究科棟(駒場) 126号室
Alexander Voronov 氏 (Univ. of Minnesota)
Operads and their applications to Mathematical Physics (ENGLISH)
[ 講演参考URL ]
http://fmsp.ms.u-tokyo.ac.jp/FMSPLectures_Voronov.pdf

2015年09月25日(金)

談話会・数理科学講演会

16:50-17:50   数理科学研究科棟(駒場) 056号室
Gerhard Huisken 氏 (The Mathematisches Forschungsinstitut Oberwolfach )
Mean curvature flow with surgery
[ 講演概要 ]
We study the motion of hypersurfaces in a Riemannian manifold
with normal velocity equal to the mean curvature of the
evolving hypersurface. In general this quasilinear, parabolic
evolution system may have complicated singularities in finite time.
However, under natural assumptions such as embeddedness of the surface
and positivity of the mean curvature (case of 2-dimensional surfaces)
all singularities can be classified and developing "necks" can be
removed by a surgery procedure similar to techniques employed
by Hamilton and Perelman in the Ricci-flow of Riemannian metrics.
The lecture describes results and techniques for mean curvature flow
with surgery developed in joint work with C. Sinestrari and S. Brendle.
[ 講演参考URL ]
http://www.mfo.de/about-the-institute/staff/prof.-dr.-gerhard-huisken

2015年09月28日(月)

複素解析幾何セミナー

10:30-12:00   数理科学研究科棟(駒場) 126号室
後藤 竜司 氏 (大阪大学)

2015年10月19日(月)

複素解析幾何セミナー

10:30-12:00   数理科学研究科棟(駒場) 126号室
森脇 淳 氏 (京都大学)

2015年10月26日(月)

代数幾何学セミナー

15:30-17:00   数理科学研究科棟(駒場) 122号室
Lawrence Ein 氏 (University of Illinois at Chicago)
TBA (English)

2015年11月02日(月)

複素解析幾何セミナー

10:30-12:00   数理科学研究科棟(駒場) 126号室
下部 博一 氏

2015年11月16日(月)

複素解析幾何セミナー

10:30-12:00   数理科学研究科棟(駒場) 126号室
宮地 秀樹 氏 (大阪大学)