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Seminar information archive
Seminar information archive ～08/19｜Today's seminar 08/20 | Future seminars 08/21～
Infinite Analysis Seminar Tokyo
15:00-16:00 Room #117 (Graduate School of Math. Sci. Bldg.)
小森 靖 (名古屋大学) (名古屋大学多元数理)
ルート系に付随した多重ゼータ関数とベルヌーイ多項式
小森 靖 (名古屋大学) (名古屋大学多元数理)
ルート系に付随した多重ゼータ関数とベルヌーイ多項式
[ Abstract ]
ルート系に付随した多重ゼータ関数とは E. Witten によって導入された半単純リー代数の既約表現に関するゼータ関数を松本氏が多変数化したものである. この視点から見るとリーマンゼータ関数は A_1 型であり, Euler-Zagier 多重ゼータ関数は A_n 型で適当な変数を 0 にしたものであるといえる.
講演では, 特殊値とその間の関係式, 関数関係式, 母関数および付随するベルヌーイ多項式の性質を紹介する予定である.
(松本耕二氏, 津村博文氏との共同研究)
ルート系に付随した多重ゼータ関数とは E. Witten によって導入された半単純リー代数の既約表現に関するゼータ関数を松本氏が多変数化したものである. この視点から見るとリーマンゼータ関数は A_1 型であり, Euler-Zagier 多重ゼータ関数は A_n 型で適当な変数を 0 にしたものであるといえる.
講演では, 特殊値とその間の関係式, 関数関係式, 母関数および付随するベルヌーイ多項式の性質を紹介する予定である.
(松本耕二氏, 津村博文氏との共同研究)
2006/10/20
Colloquium
16:30-17:30 Room #123 (Graduate School of Math. Sci. Bldg.)
新井 仁之 (東大・数理)
視覚科学における数学的方法
http://faculty.ms.u-tokyo.ac.jp/~seminar/colloquium.html
新井 仁之 (東大・数理)
視覚科学における数学的方法
[ Abstract ]
眼球から入った視覚情報は,網膜から始まり LGN,そして脳内で処理が行われる.この講演で扱うのはこのうち網膜から主として大脳皮質の V1 野で加えられる視覚情報処理である.研究のキーワードは「錯視」.錯視は視覚の解明のための一つの重要な鍵と考えられており,100年以上前からさまざまな方法で研究されてきた.しかし未だ不明な点が多い.本講演では,視覚情報処理の離散ウェーブレットを用いた新しい非線形数理モデルを作り,それを用いて行った色や明暗の錯視発生のメカニズムに関する研究結果を述べる.
[ Reference URL ]眼球から入った視覚情報は,網膜から始まり LGN,そして脳内で処理が行われる.この講演で扱うのはこのうち網膜から主として大脳皮質の V1 野で加えられる視覚情報処理である.研究のキーワードは「錯視」.錯視は視覚の解明のための一つの重要な鍵と考えられており,100年以上前からさまざまな方法で研究されてきた.しかし未だ不明な点が多い.本講演では,視覚情報処理の離散ウェーブレットを用いた新しい非線形数理モデルを作り,それを用いて行った色や明暗の錯視発生のメカニズムに関する研究結果を述べる.
http://faculty.ms.u-tokyo.ac.jp/~seminar/colloquium.html
Infinite Analysis Seminar Tokyo
16:30-17:30 Room #118 (Graduate School of Math. Sci. Bldg.)
Petr Kulish (Steklov Math. Inst.)
Spin systems related to Temperley - Lieb algebra
Petr Kulish (Steklov Math. Inst.)
Spin systems related to Temperley - Lieb algebra
2006/10/19
Operator Algebra Seminars
16:30-18:00 Room #126 (Graduate School of Math. Sci. Bldg.)
酒匂宏樹 (東大数理)
A unique decomposition result for HT factors with torsion free core (Popa の論文の紹介)
酒匂宏樹 (東大数理)
A unique decomposition result for HT factors with torsion free core (Popa の論文の紹介)
2006/10/18
Number Theory Seminar
16:30-18:45 Room #117 (Graduate School of Math. Sci. Bldg.)
Fabrice Orgogozo (東大数理・Ecole Polytechnique de Paris) 16:30-17:30
p-dimension of henselian fields: an application of Ofer Gabber's algebraization technique
Kim Minhyong (Purdue大学・京大数理研) 17:45-18:45
Fundamental groups and Diophantine geometry
Fabrice Orgogozo (東大数理・Ecole Polytechnique de Paris) 16:30-17:30
p-dimension of henselian fields: an application of Ofer Gabber's algebraization technique
Kim Minhyong (Purdue大学・京大数理研) 17:45-18:45
Fundamental groups and Diophantine geometry
Seminar on Probability and Statistics
16:20-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
松田 安昌 (東北大学大学院経済学研究科)
Fourier analysis of irregularly spaced data on R^d
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/11.html
松田 安昌 (東北大学大学院経済学研究科)
Fourier analysis of irregularly spaced data on R^d
[ Abstract ]
1970年代にはじまった時系列解析の研究は、1変量時系列からはじまり、多変量時系列、空間系列、時空間系列へと対象が拡張されてきている。近年の空間系列、時空間系列の文献を調べてみれば、時系列と同じく等間隔に観測されたデータ(regularly spaced data) を前提としている場合が多い。しかし時系列とは異なり、空間系列ではランダムに散らばった地点で観測されたデータ (irregularly spaced data)を仮定する方が、応用範囲がひろい。そこで本発表では、irregularly spaced dataによる空間相関の推定問題を扱う。具体的にはデータを周波数領域に変換してスペクトルを推定する方法を提案し、推定量が一致性、漸近正規性を持つための条件を示す。本方法による東京地価データ分析例も紹介する。本研究は、矢島美寛教授(東京大学大学院経済学研究科)との共同研究です。
[ Reference URL ]1970年代にはじまった時系列解析の研究は、1変量時系列からはじまり、多変量時系列、空間系列、時空間系列へと対象が拡張されてきている。近年の空間系列、時空間系列の文献を調べてみれば、時系列と同じく等間隔に観測されたデータ(regularly spaced data) を前提としている場合が多い。しかし時系列とは異なり、空間系列ではランダムに散らばった地点で観測されたデータ (irregularly spaced data)を仮定する方が、応用範囲がひろい。そこで本発表では、irregularly spaced dataによる空間相関の推定問題を扱う。具体的にはデータを周波数領域に変換してスペクトルを推定する方法を提案し、推定量が一致性、漸近正規性を持つための条件を示す。本方法による東京地価データ分析例も紹介する。本研究は、矢島美寛教授(東京大学大学院経済学研究科)との共同研究です。
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/11.html
Algebraic Geometry Seminar
16:00-18:15 Room #122 (Graduate School of Math. Sci. Bldg.)
E. Esteves (IMPA) 16:00-17:00
Jets of singular foliations and applications
to curves and their moduli spaces
F. Zak (Independent Univ. of Moscow) 17:15-18:15
Dual varieties, ramification, and Betti numbers
of projective varieties
E. Esteves (IMPA) 16:00-17:00
Jets of singular foliations and applications
to curves and their moduli spaces
F. Zak (Independent Univ. of Moscow) 17:15-18:15
Dual varieties, ramification, and Betti numbers
of projective varieties
2006/10/17
Tuesday Seminar on Topology
16:30-18:00 Room #056 (Graduate School of Math. Sci. Bldg.)
Arnaud Deruelle (University of Tokyo)
Networking Seifert Fibered Surgeries on Knots (joint work with Katura Miyazaki and Kimihiko Motegi)
Arnaud Deruelle (University of Tokyo)
Networking Seifert Fibered Surgeries on Knots (joint work with Katura Miyazaki and Kimihiko Motegi)
[ Abstract ]
We define a Seifert Surgery Network which consists of integral Dehn surgeries on knots yielding Seifert fiber spaces;here we allow Seifert fiber space with a fiber of index zero as degenerate cases. Then we establish some fundamental properties of the network. Using the notion of the network, we will clarify relationships among known Seifert surgeries. In particular, we demonstrate that many Seifert surgeries are closely connected to those on torus knots in Seifert Surgery Network. Our study suggests that the network enables us to make a global picture of Seifert surgeries.
We define a Seifert Surgery Network which consists of integral Dehn surgeries on knots yielding Seifert fiber spaces;here we allow Seifert fiber space with a fiber of index zero as degenerate cases. Then we establish some fundamental properties of the network. Using the notion of the network, we will clarify relationships among known Seifert surgeries. In particular, we demonstrate that many Seifert surgeries are closely connected to those on torus knots in Seifert Surgery Network. Our study suggests that the network enables us to make a global picture of Seifert surgeries.
2006/10/16
Seminar on Geometric Complex Analysis
10:30-12:00 Room #128 (Graduate School of Math. Sci. Bldg.)
Sebastien Boucksom (東大数理 JSPS研究員)
Differentiability of the volume of divisors and Khovanskii-Teissier inequalities
Sebastien Boucksom (東大数理 JSPS研究員)
Differentiability of the volume of divisors and Khovanskii-Teissier inequalities
2006/10/12
Operator Algebra Seminars
16:30-18:00 Room #126 (Graduate School of Math. Sci. Bldg.)
酒匂宏樹 (東大数理)
保測同値関係の Haagerup property
酒匂宏樹 (東大数理)
保測同値関係の Haagerup property
2006/10/11
Seminar on Probability and Statistics
16:20-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
石川保志 (愛媛大学)
Optimal stopping problem associated with jump-diffusion processes
石川保志 (愛媛大学)
Optimal stopping problem associated with jump-diffusion processes
[ Abstract ]
We study an optimal stopping problem of some performance function with respect to a jump-diffusion process.
We study an optimal stopping problem of some performance function with respect to a jump-diffusion process.
2006/10/10
Tuesday Seminar on Topology
16:30-18:00 Room #056 (Graduate School of Math. Sci. Bldg.)
Elmar Vogt (Frie Universitat Berlin)
Estimating Lusternik-Schnirelmann Category for Foliations:A Survey of Available Techniques
Elmar Vogt (Frie Universitat Berlin)
Estimating Lusternik-Schnirelmann Category for Foliations:A Survey of Available Techniques
[ Abstract ]
The Lusternik-Schnirelmann category of a space $X$ is the smallest number $r$ such that $X$ can be covered by $r + 1$ open sets which are contractible in $X$.For foliated manifolds there are several notions generalizing this concept, all of them due
to Helen Colman. We are mostly concerned with the concept of tangential Lusternik-Schnirelmann category (tangential LS-category). Here one requires a covering by open sets $U$ with the following property. There is a leafwise homotopy starting with the inclusion of $U$ and ending in a map that throws for each leaf $F$ of the foliation each component of $U \\cap F$ onto a single point. A leafwise homotopy is a homotopy moving points only inside leaves. Rather than presenting the still very few results obtained about the LS category of foliations, we survey techniques, mostly quite elementary, to estimate the tangential LS-category from below and above.
The Lusternik-Schnirelmann category of a space $X$ is the smallest number $r$ such that $X$ can be covered by $r + 1$ open sets which are contractible in $X$.For foliated manifolds there are several notions generalizing this concept, all of them due
to Helen Colman. We are mostly concerned with the concept of tangential Lusternik-Schnirelmann category (tangential LS-category). Here one requires a covering by open sets $U$ with the following property. There is a leafwise homotopy starting with the inclusion of $U$ and ending in a map that throws for each leaf $F$ of the foliation each component of $U \\cap F$ onto a single point. A leafwise homotopy is a homotopy moving points only inside leaves. Rather than presenting the still very few results obtained about the LS category of foliations, we survey techniques, mostly quite elementary, to estimate the tangential LS-category from below and above.
2006/10/06
Mathematical Biology Seminar
16:30-17:30 Room #123 (Graduate School of Math. Sci. Bldg.)
石井 太 (国立社会保障・人口問題研究所)
人口指標の精度について
石井 太 (国立社会保障・人口問題研究所)
人口指標の精度について
[ Abstract ]
近年の急速な少子化の進行に伴い、出生率の動向への関心が高まっている。しかしながら、その指標が注目され、様々に論じられる中に、指標の持つ精度を度外視した議論なども見受けられる。人口統計は人口分析の中心となるデータソースであり、人口指標の精度は重要な問題であるが、わが国においてはこれまで比較的精度の高い人口統計が取得されてきたこともあり、それほど重視せず、確定的なものと捉えがちな傾向があったように思われる。一方では、近年、統計調査環境の悪化などもあり、各々の人口指標についてどこまで詳細な議論が可能なのか、指標の精度について理論的・実務的な観点からより深い認識を持つことが必要となってきている。
本報告では、出生率での具体例を中心に、さまざまな誤差の発生要因に応じた人口指標の評価について提示することとしたい。
近年の急速な少子化の進行に伴い、出生率の動向への関心が高まっている。しかしながら、その指標が注目され、様々に論じられる中に、指標の持つ精度を度外視した議論なども見受けられる。人口統計は人口分析の中心となるデータソースであり、人口指標の精度は重要な問題であるが、わが国においてはこれまで比較的精度の高い人口統計が取得されてきたこともあり、それほど重視せず、確定的なものと捉えがちな傾向があったように思われる。一方では、近年、統計調査環境の悪化などもあり、各々の人口指標についてどこまで詳細な議論が可能なのか、指標の精度について理論的・実務的な観点からより深い認識を持つことが必要となってきている。
本報告では、出生率での具体例を中心に、さまざまな誤差の発生要因に応じた人口指標の評価について提示することとしたい。
2006/10/05
Seminar on Mathematics for various disciplines
16:30-17:30 Room #123 (Graduate School of Math. Sci. Bldg.)
成田誠 (Department of Mathematics, National Taiwan University)
Global existence and asymptotic behavior of Gowdy symmetric spacetimes with nonlinear scalar field
http://coe.math.sci.hokudai.ac.jp/sympo/various/index.html
成田誠 (Department of Mathematics, National Taiwan University)
Global existence and asymptotic behavior of Gowdy symmetric spacetimes with nonlinear scalar field
[ Abstract ]
We study global properties of Gowdy symmetric (the existence of a symmetry group with two-dimensional spacelike orbits) spacetimes with nonlinear scalar field, which naturally arises in modern cosmology based on superstring theory.
The system of the Einstein and scalar field equations becomes a system consisting of wave map and nonlinear wave equations in one space dimension. We prove a global existence theorem for this system. Also, asymptotic energy decay will be discussed.
[ Reference URL ]We study global properties of Gowdy symmetric (the existence of a symmetry group with two-dimensional spacelike orbits) spacetimes with nonlinear scalar field, which naturally arises in modern cosmology based on superstring theory.
The system of the Einstein and scalar field equations becomes a system consisting of wave map and nonlinear wave equations in one space dimension. We prove a global existence theorem for this system. Also, asymptotic energy decay will be discussed.
http://coe.math.sci.hokudai.ac.jp/sympo/various/index.html
2006/09/27
PDE Real Analysis Seminar
10:30-11:30 Room #056 (Graduate School of Math. Sci. Bldg.)
Professor Vakhtang Kokilashvili (A. Razmadze Mathematical Institute, Georgian Academy of Science)
Integral operators in the weighted Lebesgue spaces with a variable exponent
http://coe.math.sci.hokudai.ac.jp/sympo/pde_ra/index.html
Professor Vakhtang Kokilashvili (A. Razmadze Mathematical Institute, Georgian Academy of Science)
Integral operators in the weighted Lebesgue spaces with a variable exponent
[ Abstract ]
We present a boundedness criteria of the maximal functions and the singular integral operators defined on Carleson curves in the weighted Lebesgue spaces with a variable exponent. There are also given the weighted estimates for the generalized singular integrals raised in the theory of generalized analytic functions of I.N.Vekua and the weighted Sobolev theorems for potentials on Carleson curves. The weight functions may be of power function type as well as oscillating type. The certain version of a Muckenhoupt-type condition for a variable exponent will be considered.
We also expect to treat two-weight problems for the classical integral operators in the variable Lebesgue spaces and to give some applications of the obtained results to the summability problems of Fourier series in two-weighted setting.
[ Reference URL ]We present a boundedness criteria of the maximal functions and the singular integral operators defined on Carleson curves in the weighted Lebesgue spaces with a variable exponent. There are also given the weighted estimates for the generalized singular integrals raised in the theory of generalized analytic functions of I.N.Vekua and the weighted Sobolev theorems for potentials on Carleson curves. The weight functions may be of power function type as well as oscillating type. The certain version of a Muckenhoupt-type condition for a variable exponent will be considered.
We also expect to treat two-weight problems for the classical integral operators in the variable Lebesgue spaces and to give some applications of the obtained results to the summability problems of Fourier series in two-weighted setting.
http://coe.math.sci.hokudai.ac.jp/sympo/pde_ra/index.html
Mathematical Biology Seminar
16:30-17:30 Room #123 (Graduate School of Math. Sci. Bldg.)
中丸麻由子 (東京工業大学)
The coevolution of altruism and punishment:role of the selfish punisher
中丸麻由子 (東京工業大学)
The coevolution of altruism and punishment:role of the selfish punisher
[ Abstract ]
Punishment is an important mechanism promoting the evolution of altruism among nonrelatives. We investigate the coevolution of altruism and punitive behavior, considering four strategies: a cooperator who punishes defectors (AP), a pure cooperator (AN), a defector who punishes defectors (selfish punisher or SP), and a pure defector (SN). We especially focus on the effects of SP on the coevolution of altruism and punishment, studying both the score-dependent viability model (whereby the game's score affects survivorship only) and the score-dependent fertility model (whereby the score affects fertility only). In the viability model of a completely mixed population, SP helps cooperators to evolve, but SP does not in the fertility model. In both models of a lattice-structured population, SP promotes the spread of AP, but AN discourages it. These results indicate that punishment is a form of spite behavior and that different models give different magnitude of advantage to spite behavior.
Punishment is an important mechanism promoting the evolution of altruism among nonrelatives. We investigate the coevolution of altruism and punitive behavior, considering four strategies: a cooperator who punishes defectors (AP), a pure cooperator (AN), a defector who punishes defectors (selfish punisher or SP), and a pure defector (SN). We especially focus on the effects of SP on the coevolution of altruism and punishment, studying both the score-dependent viability model (whereby the game's score affects survivorship only) and the score-dependent fertility model (whereby the score affects fertility only). In the viability model of a completely mixed population, SP helps cooperators to evolve, but SP does not in the fertility model. In both models of a lattice-structured population, SP promotes the spread of AP, but AN discourages it. These results indicate that punishment is a form of spite behavior and that different models give different magnitude of advantage to spite behavior.
2006/09/25
Seminar on Probability and Statistics
13:00-14:10 Room #128 (Graduate School of Math. Sci. Bldg.)
西山 陽一 (統計数理研究所)
Nonparametric testing time-homogeneity for L'evy processes
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/09.html
西山 陽一 (統計数理研究所)
Nonparametric testing time-homogeneity for L'evy processes
[ Abstract ]
First, a review about uniform central limit theorems for martingales is given. The main part of the talk is concerned with a change point problem for L'evy processes. The null hypothesis is that the L'evy process is time-homogeneous, and the alternative is that the L'evy measure changes at a certain time point of the observation period. We propose an empirical process type statistics, and derive its asymptotic behaviour under the null and the alternative hypotheses. The limiting distribution under the null hypothesis is a functional of the standard Brownian motion.
[ Reference URL ]First, a review about uniform central limit theorems for martingales is given. The main part of the talk is concerned with a change point problem for L'evy processes. The null hypothesis is that the L'evy process is time-homogeneous, and the alternative is that the L'evy measure changes at a certain time point of the observation period. We propose an empirical process type statistics, and derive its asymptotic behaviour under the null and the alternative hypotheses. The limiting distribution under the null hypothesis is a functional of the standard Brownian motion.
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/09.html
2006/09/13
Functional Analysis Seminar
13:00-16:45 Room #123 (Graduate School of Math. Sci. Bldg.)
Andre' Martinez (Bologna University) 13:00-14:00
On the determination of non-analytic resonances
(joint work with T.Ramond and J. Sjostrand)
Nicolas Burq (Université de Paris Sud) 14:15-15:15
Global existence for energy critical waves in 3-d domains
(joint work with G. Lebeau and F. Planchon)
On the Born-Oppenheimer approximation of wave-operators
Andre' Martinez (Bologna University) 13:00-14:00
On the determination of non-analytic resonances
(joint work with T.Ramond and J. Sjostrand)
Nicolas Burq (Université de Paris Sud) 14:15-15:15
Global existence for energy critical waves in 3-d domains
(joint work with G. Lebeau and F. Planchon)
[ Abstract ]
I will present some recent results obtained recently with G. Lebeau and F. Planchon. We prove that the energy critical (quintic) non linear wave equation in 3-d domains with Dirichlet boundary conditions is globally well posed for any initial data (with finite energy). I will give some hints about the proof of this result which is based on some recent results by Smith and Sogge on $L^p$ estimates for spectral projectors and a carefull study of the boundary value problem.
Vania Sordoni (Bologna University) 15:45-16:45I will present some recent results obtained recently with G. Lebeau and F. Planchon. We prove that the energy critical (quintic) non linear wave equation in 3-d domains with Dirichlet boundary conditions is globally well posed for any initial data (with finite energy). I will give some hints about the proof of this result which is based on some recent results by Smith and Sogge on $L^p$ estimates for spectral projectors and a carefull study of the boundary value problem.
On the Born-Oppenheimer approximation of wave-operators
2006/09/11
Operator Algebra Seminars
16:30-18:00 Room #128 (Graduate School of Math. Sci. Bldg.)
Claude-Alain Pillet (Univ. de Toulon et du Var)
Operator-algebraic techniques in nonequilibrium statistical mechanics
Claude-Alain Pillet (Univ. de Toulon et du Var)
Operator-algebraic techniques in nonequilibrium statistical mechanics
2006/09/06
Number Theory Seminar
16:30-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
Bas Edixhoven (Univ. of Leiden)
Computation of the mod l Galois representations associated to Delta
Bas Edixhoven (Univ. of Leiden)
Computation of the mod l Galois representations associated to Delta
2006/09/04
Mathematical Finance
17:00-18:30 Room #117 (Graduate School of Math. Sci. Bldg.)
Freddy Delbaen (ETH)
Dynamic Risk Measures and Backward Stochastic Differential Equation
Freddy Delbaen (ETH)
Dynamic Risk Measures and Backward Stochastic Differential Equation
Mathematical Finance
15:45-16:45 Room #117 (Graduate School of Math. Sci. Bldg.)
楠岡成雄氏・梅澤祐二 (東京大)
リスク尺度入門及び概説
楠岡成雄氏・梅澤祐二 (東京大)
リスク尺度入門及び概説
2006/08/25
Number Theory Seminar
16:30-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
A. Marmora (パリ北大・東大/学振)
p-adic local constants
A. Marmora (パリ北大・東大/学振)
p-adic local constants
2006/08/22
Seminar on Probability and Statistics
15:30-16:40 Room #128 (Graduate School of Math. Sci. Bldg.)
Jeannette H.C. WOERNER (University of Gottingen)
A unifying approach to inference in semimartingale and long-memory models
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/07.html
Jeannette H.C. WOERNER (University of Gottingen)
A unifying approach to inference in semimartingale and long-memory models
[ Abstract ]
Over the recent years classical stochastic volatility models based on Brownian motion have been generalized in different ways, either replacing the Brownian motion by a pure jump Levy process, which leads to a pure jump model, or by a fractional Brownian motion, which makes it possible to model both long memory or turbulent behaviour. We consider robust and easily computable estimators for the inte- grated volatility, providing insight in the level of volatility, as needed for risk measurement and pricing of variance and volatility swaps. We discuss consistency and distributional results for the power and multi- power variation estimates based on high frequency data. Furthermore, we consider robustness against additive components and compare the results for the different classes of semimartingale and fractional Brow- nian motion models.
[ Reference URL ]Over the recent years classical stochastic volatility models based on Brownian motion have been generalized in different ways, either replacing the Brownian motion by a pure jump Levy process, which leads to a pure jump model, or by a fractional Brownian motion, which makes it possible to model both long memory or turbulent behaviour. We consider robust and easily computable estimators for the inte- grated volatility, providing insight in the level of volatility, as needed for risk measurement and pricing of variance and volatility swaps. We discuss consistency and distributional results for the power and multi- power variation estimates based on high frequency data. Furthermore, we consider robustness against additive components and compare the results for the different classes of semimartingale and fractional Brow- nian motion models.
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/07.html
Seminar on Probability and Statistics
16:50-18:00 Room #128 (Graduate School of Math. Sci. Bldg.)
Delphine DAVID (Departement de Mathematiques, Universite de La Rochelle)
A computation of Theta in a jump diffusion model by integration by parts
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/08.html
Delphine DAVID (Departement de Mathematiques, Universite de La Rochelle)
A computation of Theta in a jump diffusion model by integration by parts
[ Abstract ]
Using Malliavin weights in a jump-diffusion model we obtain an expression for Theta (the sensitivity of an option price with respect to the time remaining until exercise), with application to non-smooth payoff functions. Optimal weights are computed by minimization of variance and numerical simulations are presented for digital and European options. Some results are also presented for Asian options. Our representation formula for Theta differs in general from the one obtained from the Black-Scholes PDE in terms of Delta and Gamma.
[ Reference URL ]Using Malliavin weights in a jump-diffusion model we obtain an expression for Theta (the sensitivity of an option price with respect to the time remaining until exercise), with application to non-smooth payoff functions. Optimal weights are computed by minimization of variance and numerical simulations are presented for digital and European options. Some results are also presented for Asian options. Our representation formula for Theta differs in general from the one obtained from the Black-Scholes PDE in terms of Delta and Gamma.
http://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/08.html
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