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Entries for this week: 6
Wednesday April 26, 2017

Departmental Tea Time
C is for cookie, and shorthand for C[0,1] w/the sup norm
Time: 3: Room: 204 LOV

Special Mathematics Colloquium [url]
Zeta and L-functions in Number Theory
    - Daniel Vallieres, California State University at Chico
Time: 3:35 pm Room: 101 LOV
More Information

Thursday April 27, 2017

Financial Mathematics Seminar
The Measurement of Tail Risk
    - Kurtulus Kidik,
Time: 3:35pm Room: 201 Lov
Abstract/Desc: In January 2016, the Basel Committee on Banking Supervision (BCBS) shifted from the Value-at-Risk (VaR) to an Expected Shortfall (ES) measure of risk under stress. The reason of this change is a more adequate measure of tail risk is expected with the use of ES in the given long-tailed nature of financial time-series data. Although, the argument sounds reasonable, the ES is not the only risk measure that captures the tail risk. Another alternative risk measure, which is proposed by Kou and Peng, 2014, captures the tail risk is the Median Shortfall (MS) that is elicitable and robust while the ES is neither elicitable nor robust.

Algebra and its applications [url]
Numerical evidence for higher order Stark-type conjectures
    - Daniel Vallieres, California State University at Chico
Time: 3:35 pm Room: 104 LOV
Abstract/Desc: Stark’s main conjecture has been refined by various authors especially in the abelian setting. Stark himself gave a more precise conjecture “over Z” for imprimitive L-functions having precisely order of vanishing one at s=0. Ever since this more refined conjecture was formulated, several authors provided numerical evidence in various different settings. A higher rank conjecture “over Z” was formulated by Rubin in 1996 and Popescu gave another formulation in 2002 that is closely related to Rubin’s original conjecture, but very little numerical evidence has been provided for them. The goal of this talk will be to explain how one can verify numerically higher order Stark-type conjectures. This is joint work with Kevin McGown (California State University - Chico) and Jonathan Sands (University of Vermont).

Friday April 28, 2017

Colloquium Tea
Time: 3:00 pm Room: 204 LOV

Mathematics Colloquium [url]
Pricing and Optimal Exercise of Swing Options Under Alternative Stochastic Price Models
    - Shijie Deng, Georgia Institute of Technology
Time: 3:35 pm Room: 101 LOV
More Information


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