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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.

 


Minicourse Announcement:

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 " Computational methods in applied inverse
problems " which will be taught by LAMCA's collaborator Prof. Uri
Ascher (UBC) on October 2017. For more information
follow this link.

 

 

News

 

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 Inverse Problems and Imaging.
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).