Modeling Credit Risk with Distance-to-Default

Speaker: 

Professor Jingyi Zhu

Institution: 

University of Utah

Time: 

Monday, May 8, 2006 - 4:00pm

Location: 

MSTB 254

Modeling and understanding the dynamics of credit risk are
critical for credit derivative markets from both pricing and
investment properties. We consider the approach of using
the distance-to-default to measure the credit quality of
a firm, and model its random behavior in time by a Levy process.
We use the model to investigate two closely related issues: the
default term structure implied from the market, and credit
rating transitions estimated from historical data. The first
is based on a risk-neutral probability measure and the
second is based on the real world probability measure, and our
model serves as a bridge to connect these two aspects.
The Fokker-Planck equation for the survival probability
density function provides a powerful tool to study the
properties of the Markov chain, and to describe
the evolution of quantities such as credit spread and default
probability. The model calibration is achieved through solving
the partial integro-differential equation (PIDE) in regions
separated by barriers, with rating transitions and defaults
represented by barrier crossings. Using finite difference
approximations, we are able to match exactly the default
probabilities for all ratings, and through
numerical optimization, generate transition matrices quite close
to those estimated from historical data. Our results show that
the processes in different regions are characterized by drifts
and volatilities that can be interpreted and connected with
realistic economic considerations.

Exceptional covers at their nonexceptional loci

Speaker: 

Prof. M. Fried

Institution: 

UC Irvine

Time: 

Wednesday, November 5, 2003 - 2:00pm

Location: 

MSTB 254

Denote the finite field of order q by F_q. By an
exceptional cover f: X -> Y over F_q we mean one where
f: X(F_{ q^t}) -> Y(F_{ q^t}) is one-one and onto for infinitely many t.
A Galois characterization of exceptionality produces a canonical tower of exceptional covers. Cryptology applications benefit from using subtowers of this tower. The literature has considered the values of t for which an exceptional cover is not exceptional. We give an example of where that appeared in a paper of Katz in 1981, and another in a paper of mine that calls for a charactization of median value curves. This talk is a complement to that I'm giving at Cal Tech on Thursday

Wiener's lemma for twisted convolution

Speaker: 

Prof. Bernie Russo

Institution: 

UC Irvine

Time: 

Tuesday, October 28, 2003 - 3:00pm

Location: 

MSTB 254

A famous theorem of Wiener states that if a periodic function has an absolutely convergent Fourier series and never vanishes, then its reciprocal also has an absolutely convergent Fourier series. In a forthcoming paper by K. Grochenig and M. Leinert (Journal of the American Mathematical Society), this is generalized, using the techniques of abstract harmonic analysis to a noncommutative setting, and then applied to the theory of Gabor frames in time-frequency analysis. In this talk,
I'll present their proof of the generalization. Future talks will be devoted to the applications mentioned above.

The Fibonacci trace map as a complex dynamical system

Speaker: 

David Damanik

Institution: 

Caltech

Time: 

Thursday, January 20, 2005 - 2:00pm

Location: 

MSTB 254

We discuss the trace map associated with the Fibonacci
quasicrystal. While the associated dynamical system has been studied heavily as a real dynamical system, it may also be regarded as a complex dynamical system. We study the stable set and give explicit bounds for the complex approximants. Quantum dynamical consequences of these results will be
explained. This is joint work with Serguei Tcheremchantsev.

Speaker: 

Time: 

Saturday, February 21, 2004 - 12:00pm

Location: 

MSTB 254

The XI-th Southern California Geometric Analysis Seminar

The semiclassical focusing nonlinear Schroedinger equation

Speaker: 

Prof. S. Venakides

Institution: 

Duke

Time: 

Thursday, October 16, 2003 - 4:00pm

Location: 

MSTB 254

The NLS equation describes solitonic transmission in
fiber optic communication and is generically encountered in propagation through nonlinear media. One of its most important aspects is its modulational instability: regular wavetrains are unstable to modulation and break up to more complicated structures.

The IVP for the NLS equation is solvable by the method of inverse scattering. The initial spectral data of the Zakharov Shabhat (ZS) operator, a particular linear operator having the solution to NLS as the potential, are calculated from the initial data of the NLS; they evolve in a simple way as a result of the integrability of the problem, and produce the solution through the inverse spectral transformation.

In collaboration with A. Tovbis, we have developed
a one parameter family of initial data for which the derivation of the spectral data is explicit. Then, in collaboration with A. Tovbis and X. Zhou, we have obtained the following results:

1) We prove the existence and basic properties of the
first breaking curve (curve in space-time above which the character
of the solution changes by the emergence of a new
oscillatory phase) and show that for pure radiation
no further breaks occur.

2) We construct the solution beyond the first break-time.

3) We derive a rigorous estimate of the error.

4) We derive rigorous asymptotics for the large
time behavior of the system in the pure radiation case.

Geometry of the Lagrangian Grassmannian Sp(3)/U(3) with applications to Brill-Noether loci I

Speaker: 

Prof. K. Ranestad

Institution: 

University of Oslo

Time: 

Tuesday, October 7, 2003 - 2:00pm

Location: 

MSTB 254

The geometry of Sp(3)/U(3) as a subvariety of Gr(3,6) will be explored to explain several examples given by Mukai of non-abelian Brill-Noether loci, and to give some new examples. These examples identify Brill-Noether loci of vector bundles on linear sections of the Lagrangian Grassmannian Sp(3)/U(3) with orthogonal linear sections of the dual variety and vice versa. We will show that any nodal hyperplane section of the Lagrangian Grassmannian projected from the node is a linear section of the Grassmannian Gr(2,6).

Geometry of the Lagrangian Grassmannian Sp(3)/U(3) with applications to Brill-Noether loci II

Speaker: 

Prof. K. Ranestad

Institution: 

University of Oslo

Time: 

Wednesday, October 8, 2003 - 2:00pm

Location: 

MSTB 254

The geometry of Sp(3)/U(3) as a subvariety of Gr(3,6) will be explored to explain several examples given by Mukai of non-abelian Brill-Noether loci, and to give some new examples. These examples identify Brill-Noether loci of vector bundles on linear sections of the Lagrangian Grassmannian Sp(3)/U(3) with orthogonal linear sections of the dual variety and vice versa. We will show that any nodal hyperplane section of the Lagrangian Grassmannian projected from the node is a linear section of the Grassmannian Gr(2,6).

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