2019

Optimal Order Placement in FX Markets

Sebastian Jaimungal

16/01/2019 , 18:00 | Room 232

Due to latency in the time it takes for a trader to see market information, make a trading decision, place a trade, and for that trading action to arrive at an exchange, venues often allow traders to submit a discretionary price along with a trade. This is akin to a limit on the price they are willing to trade at and protects them in case the market moves away from their intended price. In this talk, we develop a novel approach to optimize how a trader places their discretion level to react to the market environment and their future expected trading actions. The problem leads to a new class of random-measure FBSDEs and we prove their uniqueness and existence. Finally, we develop a numerical scheme for obtaining the optimal discretion and provide some numerical illustrations.

[ joint work with Álvaro Cartea and LeandroSanchez Betancourt, U.Oxford]


Minicourse about PDE Models Applied to Biology by Nicolas Vauchelet starts on Friday, January 11th at 10AM at room 232.

This is a short course where the audience will be introduced to important models in Biology that can be described by partial differential equations(PDEs).
Among these models we emphasize drift-diffusion equations for invading species, which has an important application in the case of trying to control dengue mosquitos by means of the Wolbachia bacteria. Another example concerns structured population equations. The area is quite rich of relevant applications and challenging problems. The level of the course will be adjusted according to the audience but in principle one expects a certain familiarity with basic concepts of Analysis and PDEs such as the Fourier transform, Sobolev spaces and the heat equation.

For the slides of the first lecture click here.

For the slides of the second lecture click here.


"Controllable GHz-THz Nonlinear Optics in Superlattices"
Friday, January 11th at 15:30, room 236.
M. F. Pereira

Department of Condensed Matter Theory Institute of Physics, Academy of Sciences of Czech Republic.


2018

CURSOS NO IMPA:

 

 

Minicurso: "Breve introdução à Teoria Evolutiva de Jogos"

Prof. Fabio Chalub Universidade Nova de Lisboa

Dezembro 2017 - Sala 232, de 13:00 as 14:30

07/12 - Aula: Introdução informal à Teoria de Jogos. Jogos de duas estratégias e dois jogadores. Definição rigorosa de “Jogo”. Definição de comportamento racional e de Equilíbrio de Nash (EN).

08/12 - Aula: Demonstração da existência de EN em jogos com um número finito de jogadores e número finito de estratégias. Alguns exemplos.

11/12 - Aula. Teoria evolutiva de jogos. As estratégias evolutivamente estáveis (ESS). A dinâmica do replicador. Relação dos ESS com os equilíbrios do replicador e com os equilíbrios de Nash.

12/12 - Aula. Exemplos, muitos exemplos. Jogos em populações finitas. Se houver tempo: jogos com conjunto contínuo de estratégias: caso compacto e caso não compacto.

References:

1. Evolutionary Games and Population Dynamics. J. Hofbauer & K. Sigmund. Cambridge University Press, 1998.
2. Nowak, Martin (October 2006). “Evolutionary Dynamics: Exploring the Equations of Life”. Belknap Press. ISBN 0-674-02338-2.


As part of the 2017 activities of the Thematic Program: "New Trends in Parameter Identification for Mathematical Models" we are happy to announce the short-course: (watch all the videos here)

Uri Ascher (British Columbia, Canada)
"Computational methods in applied inverse problems" (abstract)
From 16/Oct to 27/Oct (2 weeks) (click here for the video)

Bernd Hofmann (TU Chemnitz, Germany)
"Regularization methods in Banach spaces" (abstract)
From 16/Oct to 27/Oct (2 weeks) (click here for the video)

Samuli Siltanen (University of Helsinki, Finland)
"Reconstruction methods for sparse-data X-ray tomography" (abstract)
From 23/Oct to 27/Oct (1 week) (click here for the video)

Ville Kolehmainen (University of Eastern Finland)
"Solution of Inverse Problems within the Bayesian Framework of Statistics" (abstract)
From 06/Nov to 10/Nov (1 week)

Philippe Le-Masson (Bretagne-Sud Univ., France)
"Thermal Characterization of Materials at High-Temperatures: Design of Experiment and Multiphysics Inverse Analysis (abstract)
06/Nov - 10/Nov (1 week)


Wellington Betencurte and Julio Dutra (Federal Univ. Espirito Santo, Brazil) and Henrique Fonseca and Cesar Pacheco (Federal Univ. Rio de Janeiro, Brazil)
"Kalman Particle Filters" (abstract)
06/Nov - 10/Nov (1 week)


Diego Estumano (Federal Univ. Para, Brazil)
"ABC - Approximate Bayesian Computation" (abstractvideo)
06/Nov - 10/Nov (1 week)


Métodos Matemáticos em Finanças - 2017

 Fórum de discussão:  Bloco estatístico PlanAb Estocástico - Mar 13,15 e 17 , 2017 ( Projeto OTIM )


 An Introduction to the R Programming Language with Applications in Finance and Econometrics - 2013.