Submitted by jlongwor on Tue, 02/07/2012 - 8:47am.
Feb 9 2012 - 4:00pm
Feb 9 2012 - 4:50pm
Speaker:
Zheng Yuan (Icy)
Location:
MS 365
This talk will give general audience a brief introduction to biography of Thomas Bayes, Bayes Theorem and Bayesian Inference. Detailed illustration using examples is provided with emphasis on data analysis.
Submitted by rmmoffat on Mon, 02/06/2012 - 10:50am.
Feb 9 2012 - 2:00pm
Feb 9 2012 - 2:50pm
Speaker:
Alexander Brudnyi
Location:
MS431
We study Banach-valued holomorphic functions defined on open subsets of the maximal ideal space of the Banach algebra H of bounded holomorphic functions on the unit disk D ⊂ C with pointwise multiplication and supremum norm.
Submitted by jlongwor on Fri, 02/03/2012 - 4:27pm.
Feb 9 2012 - 12:00pm
Feb 9 2012 - 12:50pm
Speaker:
Nelson Vadori
Location:
MS 431
Using change of time method, we derive a closed-form formula for the volatility swap in an adjusted version of the Heston model with stochastic volatility with delay. The numerical result is presented for underlying EURUSD on September 30th 2011. The novelty of the result is two-fold: application of change of time method to the delayed Heston model and calculation of the volatility swap for this model.
