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Shibi Feng - Department of Applied Mathematics, Illinois Institute of Technology
Mar 1, 2018 - 10:00am to 11:00am
Department of Applied Mathematics - Seminar - Perlstein Hall, Room 108
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk-sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian structure model of joint credit migrations, our... read more
Thu.
3/1/18
David Gerard - Department of Statistics, University of Chicago
Feb 23, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Robert A. Pritzker Science Center, Room 152
Modern genomics has revolutionized how we answer questions about evolution, population dynamics, medicine, and plant and animal breeding. To answer these questions, we must first be able to detect and quantify (or "genotype") differences in individual genomes. Many scientists have used next... read more
Fri.
2/23/18
Yicong Huang - Department of Applied Mathematics, Illinois Institute of Technology
Feb 22, 2018 - 10:00am to 11:00am
Department of Applied Mathematics - Seminar - Perlstein Hall, Room 108
We consider a parameter estimation problem  for one dimensional stochastic heat equations, when data is sampled discretely in time or spatial component. We establish some general results on derivation of consistent and asymptotically normal estimators based on computation of the \(p\)-... read more
Thu.
2/22/18

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