Department of Mathematics

The Florida State University

This Week in Mathematics

29 January - 4 February 2000

Saturday: 29 January 2000

Financial Mathematics Short Course, 10:00 a.m., 200 Love Building

Edward Qian, Vice-President, Putnam Investments

Lecture and Assignments

Monday: 31 January 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Edward Qian, Vice-President, Putnam Investments

On Conditional Distribution and Portfolio Optimization

Diversification is one of the central themes in modern portfolio theory. Yet, mean-variance optimization, which plays a fundamental role in the theory, often gives rise to portfolios that are overwhelmingly concentrated in just a few assets. The reason for this is that mean-variance optimization is notoriously sensitive to its inputs, which are expected returns and covariance matrix.
      The Black-Litterman method was developed to alleviate the input sensitivity problem. It combines the market equilibrium expected returns, which are obtained by solving an inverse problem, with conditional distribution theory, which adjusts the mean vector to reflect an investor's personal forecast of a few expected returns. In this talk, we outline the background and approach behind their method. We then present a new unified method that extends the results by Black-Litterman. The motivation for the method is to obtain conditional mean vector as well as conditional covariance matrix given an investor's view, which embraces forecasts not only of expected returns but also of volatilities and correlations. Our method is based on a simple application of conditional distribution but it does not requires a Bayesian approach as in the Black-Litterman method. Finally, we discuss its application to asset allocation problems and certain risk management issues.

Tuesday: 1 February 2000

Structural Biology/Biochemistry Seminar (Joint with MARTECH), 11:15 a.m., 555 IMB

Rudolf Oldenbourg, Marine Biological Laboratory

Architectural Dynamics of Living Cells Revealed by Electro-Optically Modulated Polarized Light Microscopy

Moduli Spaces Seminar, 2:00 p.m., 104 Love Building

Paolo Aluffi, Florida State University

Hilbert Schemes, II

Mathematics of Protein Structure & NMR Seminar, 3:00 p.m., A336 NHMFL

Jack Quine, Florida State University

The Chemical Shift Tensor as Input to X-plor

Applied Topology Seminar, 3:35 p.m., 104 Love Building

De Witt Sumners, Florida State University

Equilibrium Distributions of Topological States in Circular DNA: Supercoiling and Knotting

Financial Mathematics Short Course, 3:40 p.m., 200 Love Building

Edward Qian, Vice-President, Putnam Investments

[ topic to be announced ]

Wednesday: 2 February 2000

No Graduate Student Seminar, 11:15 a.m., 204B Love Building

(Real) Analysis Seminar, 1:25 p.m., 204B Love Building

Denise Szecsei, Florida State University

A Convolution Property of Fractal Measures

Complex/Symbolic Seminar, 3:35 p.m., 102 Love Building

Mika Seppälä, Florida State University

From Schottky to Fuchsian Uniformization

Thursday: 3 February 2000

Algebra Seminar, 2:00 p.m., 104 Love Building

Paolo Aluffi, Florida State University

Sneak preview of Faber's colloquium

QUANTUM! Seminar, 3:35 p.m., 104 Love Building

Phil Bowers, Florida State University

Classical Mechanics Recovered: Ehrenfest's Theorem

Financial Mathematics Short Course, 3:40 p.m., 200 Love Building

Edward Qian, Vice-President, Putnam Investments

[ topic to be announced ]

Actuarial Seminar, 5:00 p.m., 204 Love Building

Chris Neal, Towers Perrin

[ topic to be announced ]

Friday: 4 February 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Carel Faber, KTH, Stockholm and OSU

Intersection Theory on the Moduli Space of Curves

In the last few years, the moduli space of algebraic curves has become one of the central objects of study in algebraic geometry, especially since the work of Witten, Kontsevich and many others has unearthed unexpected connections with string theory and quantum gravity. These connections are encoded in the intersection numbers of suitable classes on the moduli space: it has therefore become very important to study the intersection theory of these spaces. In this talk we will review the definition and some basic properties of the moduli space of curves, and present our (as yet conjectural) description of an important part of its intersection ring. We will also report on recent joint work with R. Pandharipande at Caltech, that points toward a possible proof of the conjecture.

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

Christopher Tam, Florida State University

Gap Tones: A Component of Airframe Noise

Actuarial Seminar, 5:00 p.m., 204 Love Building

Chris Neal, Towers Perrin

Interviews with Towers Perrin

Seminars and colloquia at "that other" university [a.k.a. the University of Florida]

Coming Attractions

Structural Biology/Biochemistry Seminar (Joint with MARTECH), 11:15 a.m., 555 IMB

Carlo Montemagno, Cornell University

[ topic to be announced ]

Applied Topology Seminar, 3:35 p.m., 104 Love Building

Javier Arsuaga, Florida State University

Equilibrium Distributions of Topological States in Circular DNA: Supercoiling and Knotting

Wednesday: 9 February 2000

Graduate Student Seminar, 11:15 a.m., 204B Love Building

Robert Todd, Florida State University

[ topic to be announced ]

(Real) Analysis Seminar, 1:25 p.m., 204B Love Building

Denise Szecsei, Florida State University

A Convolution Property of Fractal Measures

Complex/Symbolic Seminar, 3:35 p.m., 102 Love Building

Craig Nolder, Florida State University

Quasiconformal Mappings

Friday: 11 February 2000

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

Jorge Vinals, Chemical Engineering and SCRI, Florida State University

Mesoscopic Hydrodynamics: Formation and Reorientation of Lamellar Structures in Diblock Copolymers

Tuesday: 15 February 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Hank W. Bass, Florida State University

Ribosome-Interactivating Proteins (RIPs), an Ancient Class of Translational Inhibitors From Plants

Wednesday: 16 February 2000

No Graduate Student Seminar, 11:15 a.m., 204B Love Building

Complex/Symbolic Seminar, 3:35 p.m., 102 Love Building

Craig Nolder, Florida State University

Quasiconformal Mappings

Thursday: 17 February 2000

Actuarial Seminar, 5:00 p.m., 204 Love Building

Amy Hayes, AFLAC

[ topic to be announced ]

Friday: 18 February 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Dan Stanescu, Concordia University, Canada

[ topic to be announced ]

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

[ Join the Departmental Colloquium ]

Actuarial Seminar, 5:00 p.m., 204 Love Building

Amy Hayes, AFLAC

Interviews with AFLAC

Tuesday: 22 February 2000

Structural Biology/Biochemistry Seminar (Joint with Organic Division), 9:00 a.m., 555 IMB

Eric Kool, University of Rochester

Mimicking The Structures and Functions of DNA

Financial Mathematics Seminar, 3:40 p.m., 200 Love Building

Paul Beaumont, Economics, Florida State University

Stripping the Yield Curve I

Wednesday: 23 February 2000

Graduate Student Seminar, 11:15 a.m., 204B Love Building

Victoria Sapko, Florida State University

[ topic to be announced ]

Complex/Symbolic Seminar, 3:35 p.m., 102 Love Building

Mika Seppälä, Florida State University

Quadratic Differentials and the Associated Foliations

Thursday: 24 February 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Promod Mehndiratta, Florida State University

[ topic to be announced ]

Special Guest Lecture, 3:35 p.m., 200 Love Building

Scott Mixon, Warburg Dillon Read

Factors Explaining Movements in the Implied Volatility Surface

This talk explores the relationship of changes in the index implied volatility surface to economic state variables. Three latent variables are sufficient to explain 90% of the variation in the surface, but observable variables have explanatory ability confined largely to options with less than 1 year to expiration. Index returns, both domestic and foreign, significantly affect option volatility at all maturities, as do changes in short rates. Changes in the slope of the yield curve affect options with less than 1 year to maturity.

Friday: 25 February 2000

Financial Mathematics Festival, 3:30 p.m., 4th Floor Dirac

Larry R. Abele, Deutch Asset Management

How Indexing Affects Active Portfolio Management

A revolution is taking place in money management with the creation of index funds and the benchmarking of active managers. I will look at the implications to the industry and speculate that manager skill (the ability to add value to a benchmark) will become a traded derivative.

Financial Mathematics Festival, 4:00 p.m., 4th Floor Dirac

Reception

Financial Mathematics Festival, 4:30 p.m., 4th Floor Dirac

Robert F. Almgren, University of Chicago

Modeling Liquidity Risk

In carrying out a large portfolio transaction, a trader must balance the liquidity premium he must pay to trade rapidly, against the uncertainty of future prices to which he is exposed by trading slowly. Using a simple model for how trading moves prices, and using a simple utility function formulation for balancing risk against known costs, we apply the calculus of variations to determine an optimal trading strategy in terms of a few market parameters. We argue that these solutions are a realistic mathematical formulation of traders' intuition about optimal trading. We examine actual US stock market data to estimate the parameters in our model, and show that the time scales characterizing optimal liquidation strategies vary by several orders of magnitude across the market. Copies of the working paper are available on our Web page at http://finmath.uchicago.edu/~almgren/optliq/

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

[ Join Financial Mathematics Festival ]

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

Pedro Arce, Chemical Engineering and GFDI, Florida State University

Microhemodynamics of Arterial Stenosis Domains: An Analysis Based on Approximate and Scaling Models of the Hemodynamics

After introducing the subject of "microhemodynamics" and its relation to arterial stenosis, the talk will be centered on the description of convective-diffusive transport of small particles (or cluster of particles) inside the stenosis domain.Two approaches will be discussed. The first one is based on lubrication approximation methods of the hemodynamics coupled with the area-averaging methodology for the species continuity equation. The second one is based on hemodynamics models obtained by scaling arguments of the hemodynamics coupled with the particle trajectory methodology. Needs for further research will be also addressed.

Saturday: 26 February 2000

Financial Mathematics Festival, time tba, 4th Floor Dirac

Scott Mixon, Warburg Dillon Read

Quantitative Jobs in Finance

Advice to job searchers from a relatively recent job searcher. The discussion covers the various types of jobs available and strategies for learning about job opportunities in the private sector. Emphasis is placed on details that quantitative job searchers often overlook.

Financial Mathematics Festival, time tba, 4th Floor Dirac

Panel Discussion (Abele, Almgren, Mixon)

Jobs!

Tuesday: 29 February 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Paul Selvin, University of Illinois at Urbana

Conformational Changes in Ion Channels and Actomyosin Measured by Advanced Fluorescence Methods

Financial Mathematics Seminar, 3:40 p.m., 200 Love Building

Paul Beaumont, Economics, Florida State University

Stripping the Yield Curve II

Wednesday: 1 March 2000

No Graduate Student Seminar, 11:15 a.m., 204B Love Building

Complex/Symbolic Seminar, 3:35 p.m., 102 Love Building

Mika Seppälä, Economics, Florida State University

Teichmueller Extremal Mapping Theorem

Friday: 3 March 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Helen Yee, NASA Ames Research Center

[ topic to be announced ]

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

[ Join the Departmental Colloquium ]

Monday-Friday: 6 - 10 March 2000 SPRING BREAK [no classes]

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Wayne Bolen, University of Texas

The Osmophobic Effect: A Fundamental Thermodynamic Force in Protein Folding

Wednesday: 15 March 2000

Graduate Student Seminar, 11:15 a.m., 204B Love Building

Jennifer Mann, Florida State University

[ topic to be announced ]

Complex/Symbolic Seminar, 3:35 p.m., 102 Love Building

Mika Seppälä, Economics, Florida State University

Riemann Surfaces as Algebraic Plane Curves

Thursday: 16 March 2000

Structural Biology/Biochemistry Seminar (Division & Department Speaker), 11:15 a.m., 555 IMB

Brian Matthews, University of Oregon

Proteins On, Off, and Around DNA

Friday: 17 March 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Yaacov Kopeliovich, Unigraphics Solutions

[ topic to be announced ]

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

Mike Mesterton-Gibbons, Florida State University

[ topic to be announced ]

Tuesday: 21 March 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Pam Twigg/Adrew Korostelev, Florida State University

[ topic to be announced ]

Friday: 24 March 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Larry Greller, Smith Kline Beecham
Miguel R. Visbal, Air Force Research Laboratory

[ topic to be announced ]

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

[ Join the Departmental Colloquium ]

Tuesday: 28 March 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

John Caban/Elena Falkovskaia, Florida State University

[ topic to be announced ]

Financial Mathematics Seminar, 3:40 p.m., 200 Love Building

Pamela Coats, Finance, Florida State University

[ topic to be announced ]

Wednesday: 29 March 2000

Graduate Student Seminar, 11:15 a.m., 204B Love Building

Steve Pennington, Florida State University

[ topic to be announced ]

Friday: 31 March 2000

Joint Applied Mathematics & Scientific Computing Seminar, 4:30 p.m., 200 Love Building

Chris Homescu, Florida State University

Optimal Control of Karman Vortex Street

Wednesday: 5 April 2000

No Graduate Student Seminar, 11:15 a.m., 204B Love Building

Thursday: 6 April 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Harry Noller, University of California at Santa Cruz

[ topic to be announced ]

Friday: 7 April 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Fred Gehring, University of Michigan

[ topic to be announced ]

Tuesday: 11 April 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Wayne Hubbell, University of California at Los Angeles

[ topic to be announced ]

Wednesday: 12 April 2000

Graduate Student Seminar, 11:15 a.m., 204B Love Building

[ speaker to be announced ]

[ topic to be announced ]

Friday: 14 April 2000

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Slava Matveev

[ topic to be announced ]

Tuesday: 18 April 2000

Structural Biology/Biochemistry Seminar, 11:15 a.m., 555 IMB

Dan Adamak/Alex Soares, Florida State University

[ topic to be announced ]

Colloquium Coffee, 3:00 p.m., 204 Love Building
Colloquium, 3:30 p.m., 101 Love Building

Markus Rost, Institute for Advanced Study

[ topic to be announced ]

April 2000, [ day to be announced ]: [ date to be announced ]

Financial Mathematics Seminar, 3:40 p.m., 200 Love Building

Paul Beaumont, Economics, Florida State University

Option Pricing with GARCH Models

April 2000, [ day to be announced ]: [ date to be announced ]

Financial Mathematics Seminar, 3:40 p.m., 200 Love Building

Patrick F. Maroney, Risk Management & Insurance, Florida State University

(A discussion of professional standards and ethics.)

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