立命館大学数理科学科 » 2012年度

Math-Fi seminar on 28 Mar.

horie — Mon, 25 Mar 2013 06:31:56 +0000

horie — Mon, 18 Mar 2013 06:37:28 +0000

Date: 21 Mar. ( Thu )
Place: W.W. 7th-floor, 2nd lab.
Time: 16:30 — 18:00
Speaker: TRAN Ngoc Khue
Title: Introduction to local asymptotic normality (LAN) and local asymptotic mixed normality (LAN) properties

Abstract: In this talk, we introduce a fundamental concept in asymptotic theory which is called local asymptotic normality (LAN) property, established by Le Cam (1960) and extended by Jeganathan (1982) to local asymptotic mixed normality (LAMN) property. These concepts allow to define an asymptotically efficient estimator in the sense of Hajék-Le Cam. From this, we will present a result concerning the asymptotic efficiency of a maximum likelihood estimator.

horie — Thu, 28 Feb 2013 06:43:28 +0000

Date: 5 Mar. ( Tue )
Place: W.W. 7th-floor, 2nd lab.
Time: 16:30 — 18:00
Speaker: Shigeki Aida
Title: Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces

horie — Fri, 22 Feb 2013 06:50:00 +0000

Date: 27 Feb. ( Wed )
Place: W.W. 7th-floor
Time: 16:30 — 18:00
Speaker: Libo Li
Title: Introduction to enlargement of filtration and a new decomposition formula

Abstract: I will give a brief introduction to the study of enlargement of filtration and speak a little about my current research.

horie — Fri, 15 Feb 2013 06:55:11 +0000

horie — Thu, 14 Feb 2013 06:58:34 +0000

horie — Thu, 07 Feb 2013 07:07:02 +0000

Date: 14 Feb. ( Thu )
Place: W.W. 7th-floor
Time: 16:30 — 18:00
Speaker: Ngo Hoang Long
Title: Approximations of non-smooth integral type functionals of one dimensional diffusion processes

horie — Wed, 23 Jan 2013 07:11:32 +0000

horie — Tue, 15 Jan 2013 07:15:39 +0000

This seminar is co-hosted with the Analysis Seminar.

This presentation reviews a closed-form approximation approach to numerical problems for pricing derivatives.

We derive tractable pricing formulas in stochastic volatility models and show the validity of our method through numerical examples.

horie — Mon, 07 Jan 2013 07:26:07 +0000

16:30 — 17:30:
Speaker: Yasushi Ota
Title: New mathematical approach for an inverse problem in financial markets
Abstract: When we apply the Black-Scholes model to financial derivatives, one of most interesting problems is reconciling the deviation between the expected and observed values. In this seminar, we present the extension of the Black-Scholes model and recover a real drift from market prices. First, we explain our new mathematical approach for an inverse problem in financial markets. Then, for space-dependent a real drift, we obtain stable linearization and an integral equation. Next we find that using market prices with different strike prices enables us to identify the term structure of the real drift. Finally, by using microlocal exponential estimation, we prove the uniqueness of our new mathematical model in financial markets.

17:45 — 18:45:
Speaker: Atsushi Takeuchi
Title: Asymptotic behavor of densities for stochastic functional differential equations