Submitted by jlongwor on Mon, 05/14/2012 - 1:25pm.
May 17 2012 - 12:00pm
May 17 2012 - 12:50pm
Speaker:
Prof. Nikolaos Limnios, Laboratory of Applied Mathematics, University of Technology Compiegne, Compiegne, France
Location:
MS 431
This talk introduces discrete-time semi-Markov random evolutions (DTSMRE) and studies asymptotic properties, namely, averaging, diffusion approximation and diffusion approximation with equilibrium by martingale weak convergence method.
Submitted by jlongwor on Mon, 04/02/2012 - 10:32am.
Apr 5 2012 - 12:00pm
Apr 5 2012 - 12:50pm
Speaker:
Akbar Shahmoradi
Location:
MS 431
Since deregulation of electricity markets around the world, academia, and market participants have been trying to develop apt models to explain the behavior of the electricity markets. I will be discussing a general framework of how to model a typical power market.
Submitted by rmmoffat on Fri, 03/16/2012 - 3:06pm.
Mar 22 2012 - 12:00pm
Mar 22 2012 - 1:00pm
Speaker:
Swishchuk, Anatoliy
(Department of Mathematics & Statistics, University of Calgary)
Location:
MS 431
We give an overview on stochastic processes with independent increments that are now becoming a very popular models in energy and related markets, such as electricity, natural gas, temperature markets, etc.
Submitted by jlongwor on Thu, 03/08/2012 - 3:12pm.
Mar 15 2012 - 12:00pm
Mar 15 2012 - 12:50pm
Speaker:
Giovanni Salvi, Intern. Ph.D. Student, University of Rome 'La Sapienza'
Location:
MS 431
We start from the work of Ching et al. on the multivariate Markov chain and we generalize it by allowing any kind of sojourn time distribution, or in other term we introduce a multivariate semi- Markov process. We derive an explicit expression for the transition probability of this multivariate semi-Markov process in the discrete time case. We apply this multivariate model to the study of the counterparty credit risk, with regard to correlation in a CDS contract.
