NIU Department of Mathematical Sciences

Upcoming Colloquia and Seminars

Math Department Colloquium

Friday, Nov. 20, 4:00-5:00 p.m. in DU 348
Speaker: Indranil Sengupta, North Dakota State Univ.
Title:   Analysis of volatility, variance, and covariance swaps in Levy driven financial markets

Abstract: The objective of this presentation is to study the arbitrage free pricing of the variance, volatility, and covariance swap for Barndorff-Nielsen and Shephard type Levy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is to obtain an accurate pricing expression which can be used with good computational accuracy. In this presentation we demonstrate closed form expressions for the pricing of volatility, variance or covariance swap.


Complex Analysis Seminar:   Tuesday, Nov. 17, 12:00-12:50 p.m. in DuSable 302
Speaker: Alastair Fletcher
Topic: Infinitesimal Spaces
Abstract: We will give an introduction to generalized derivatives and infinitesimal spaces. These ideas replace the notion of differentiability for functions which may not be differentiable. In particular, these objects always exist for quasiconformal and quasiregular mappings.