This laboratory has as its goal the use of mathematical tools in the study and solution of real world problems coming from the applied sciences. In particular, we have studied problems coming from biophysical and financial applications. In the biophysical sciences we can cite applications to image reconstruction & tomography, structured populations, and virus dynamics. In the financial applications we can mention the study of risk management, commodity modelling, volatility estimation, and project evaluation under uncertainty.

Special Talks Monday - May 22nd - room 347

15:30h - Nonparametric first - order analysis of spatial and spatio -temporal point processes. Application to wildfire patterns

17:00h - How to estimate the mean of a random vector?

19:00h - Variable selection in Functional Additive Regressio

LAMCA participates at the CEMRACS 2017 at the CIRM in Luminy, France.

See Talk: "Project Evaluation under Uncertainty" by J.P. Zubelli

**Paper published in Physical Review B:**

"Theory and measurements of harmonic generation in semiconductor superlattices with applications in the 100 GHz to 1 THz range"

by M. F. Pereira, J. P. Zubelli, D. Winge, et al.

**Manuscript accepted in the SIAM** **Journal on Numerical Analysis:**

"A non-intrusive stratified resampler for regression Monte Carlo:

application to solving non-linear equations"

by E. Gobet, G. Liu, and J.P. Zubelli

**Paper published (online first)
Data driven recovery of local volatility surfaces **

on

by V. Albani, U. Ascher, Xu. Yang, and J.P. Zubelli.

Discussion group on the Statistical PlanAb for the OTIM-PBR project.

March 13-15, 2017

Project Evaluation under Uncertainty: The Hedged Monte Carlo Approach.

Jorge P. Zubelli - IMPA

24/04/2017, 19:00 - room 232

Abstract : Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options. The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. This is joint work with E.Brigatti (UFRJ), F.Macias (BTG Chile) and M.O.Souza (UFF).