We’ll introduce a common model framework for valuing and measuring risk for
options on pools of mortgages. In some market conditions this model does
not accurately match option market prices. Different ways of dealing with
this issue lead to different risk measurements. We’ll consider a “model
free” way of looking at risk through a local vol calculation, and use this
for comparison. As background we’ll introduce agency Mortgage Backed
Securities and some of their associated risk management issues.

Bio:

Without either car or money Michael Landrigan was compelled to bike all
the way from his home town in New Hampshire to study math at Irvine.

At UCI he got a solid training in logic, then in algebraic geometry,
before finally getting his PHD in mathematical physics, in 2001, that
earned a department's Kovalevsky outstanding PhD thesis award. In the
postdoctoral period his interests switched to financial math. Now he is
the head of risk and quantitative opportunities for Catalina Asset
Management, the investment arm for the non-life insurance consolidator
Catalina Holdings. Before Catalina Michael was a Director in Quantitative
Risk Control at UBS Investment Bank. He has also had positions in the
financial industry at MSCI, PIMCO and Rimrock Capital Management, and he
has had faculty positions at Idaho State University and UC Santa Barbara.
Prior to the UCI PhD he got a BA in mathematics at the University of
Chicago.

We will discuss recent results on dynamical localization
for a simple, disordered many-body system: the xy-spin chain.
For the model, with a disordered transversal magnetic field, we prove
dynamical localization. This is expressed in terms of a
zero-velocity Lieb-Robinson bound which holds on (disorder) average.
This is joint work with Gunter Stolz (from the University of Alabama at
Birmingham) and Eman Hamza (from Cairo University in Egypt).

Fluid-structure interaction problems appear in many areas. In the present lecture
we will concentrate on specific problems arising in hemodynamics. The aim will
be to study the resulting  nonlinear coupled system from analytical as well
as numerical point of view. We address theoretical questions of well-posedness and
present an efficient and robust numerical scheme in order to simulate blood flow in
compliant vessels. With respect to the numerical simulations we will in particular
discuss the questions of the added mass effect, stability and convergence order. We
will present results of numerical simulations and demonstrate the efficiency of new
kinematic splitting scheme.

We discuss certain inequalities for the Henneaux-Teitelboim total
energy-momentum for asymptotically anti-de Sitter initial data sets
which are asymptotic to arbitrary t-slice in anti-de Sitter spacetime. We
also give the relation between the determinant of the energy-momentum matrix
and the Casimir invariants. This is a joint work with Y. Wang and X. Zhang.