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European Mathematical Society
CONTENTS EDITORIAL TEAM EUROPEAN MATHEMATICAL SOCIETY EDITOR-IN-CHIEF MARTIN RAUSSEN Department of Mathematical Sciences, Aalborg University Fredrik Bajers Vej 7G DK-9220 Aalborg, Denmark e-mail: [email protected] ASSOCIATE EDITORS VASILE BERINDE Department of Mathematics, University of Baia Mare, Romania NEWSLETTER No. 52 e-mail: [email protected] KRZYSZTOF CIESIELSKI Mathematics Institute June 2004 Jagiellonian University Reymonta 4, 30-059 Kraków, Poland EMS Agenda ........................................................................................................... 2 e-mail: [email protected] STEEN MARKVORSEN Editorial by Ari Laptev ........................................................................................... 3 Department of Mathematics, Technical University of Denmark, Building 303 EMS Summer Schools.............................................................................................. 6 DK-2800 Kgs. Lyngby, Denmark EC Meeting in Helsinki ........................................................................................... 6 e-mail: [email protected] ROBIN WILSON On powers of 2 by Pawel Strzelecki ........................................................................ 7 Department of Pure Mathematics The Open University A forgotten mathematician by Robert Fokkink ..................................................... 9 Milton Keynes MK7 6AA, UK e-mail: [email protected] Quantum Cryptography by Nuno Crato ............................................................ 15 COPY EDITOR: KELLY -
NN-OPT: Neural Network for Option Pricing Using Multinomial Tree
NN-OPT: Neural Network for Option Pricing Using Multinomial Tree Hung-Ching (Justin) Chen and Malik Magdon-Ismail Rensselaer Polytechnic Institute, Dept. of Computer Science, Troy, NY 12180, USA {chenh3, magdon}@cs.rpi.edu Abstract. We provide a framework for learning to price complex op- tions by learning risk-neutral measures (Martingale measures). In a sim- ple geometric Brownian motion model, the price volatility, fixed interest rate and a no-arbitrage condition suffice to determine a unique risk- neutral measure. On the other hand, in our framework, we relax some of these assumptions to obtain a class of allowable risk-neutral measures. We then propose a framework for learning the appropriate risk-neural measure. In particular, we provide an efficient algorithm for backpropa- gating gradients through multinomial pricing trees. Since the risk-neutral measure prices all options simultaneously, we can use all the option con- tracts on a particular stock for learning. We demonstrate the performance of these models on historical data. Finally, we illustrate the power of such a framework by developing a real time trading system based upon these pricing methods. 1 Introduction In 1973, Black and Scholes published their pioneering paper [1] which introduced the first option pricing formula and also developed a general framework for derivative pricing. Since then, derivative pricing has become a popular research topic. A modern, popular approach to pricing has been though the Martingale measure (see, for example, [2]). The origin of the fundamental theorems on the Martingale measure can be traced to Cox and Ross’ paper [3] describing the method of risk neutral valuation. -
Notices of the American Mathematical Society
June 18 and 19)- Page 341 Vl 0 ~ Mathematical Society Calendar of AMS Meetings THIS CALENDAR lists all meetings which have been approved by the Council prior to the date this issue of the Notices was sent to press. The summer and annual meetings are joint meetings of the Mathematical Association of America and the Ameri· can Mathematical Society. The meeting dates which fall rather far in the future are subject to change; this is particularly true of meetings to which no numbers have yet been assigned. Programs of the meetings will appear in the issues indicated below. First and second announcements of the meetings will have appeared in earlier issues. ABSTRACTS OF PAPERS presented at a meeting of the Society are published in the journal Abstracts of papers presented to the American Mathematical Society in the issue corresponding to that of the Notices which contains the program of the meet ing. Abstracts should be submitted on special forms which are available in many departments of mathematics and from the office of the Society in Providence. Abstracts of papers to be presented at the meeting must be received at the headquarters of the Society in Providence, Rhode Island, on or before the deadline given below for the meeting. Note that the deadline for ab· stracts submitted for consideration for presentation at special sessions is usually three weeks earlier than that specified below. For additional information consult the meeting announcement and the list of organizers of special sessions. MEETING ABSTRACT NUMBER DATE PLACE DEADLINE -
HPM Newsletter 56 July 2004
ICME-10 Satellite meeting of HPM, to be No. 56 July 2004 held in Uppsala (authors: Florence Fasanelli HPM Advisory Board: and John Fauvel, 2004). Fulvia Furinghetti, Chair Dipartimento di Matematica, Università di Genova, via Dodecaneso 35, 16146 Genova, Italy Peter Ransom, Editor ([email protected]), The Mountbatten School and Language College, The interest for the use of history in Romsey, SO51 5SY, UK mathematics education has remote roots in the Masami Isoda, Webmaster work of famous historians such as Florian ([email protected]), Institute of Cajori, David Eugene Smith, Gino Loria and Education, University of Tsukuba, 305-8572 JAPAN Hieronymus Georg Zeuthen. In recent times the ideas outlined in a theoretical way by Jan van Maanen, The Netherlands, (former chair); those important historians of the past had Florence Fasanelli, USA, (former chair); Ubiratan D’Ambrosio, Brazil, (former chair) interesting applications in the classroom. Evelyne Barbin, France Teaching experiments are discussed in Luis Radford, Canada specific studies and doctoral dissertations are Gert Schubring, Germany written all over the world. All that assists in making the links of history and mathematics Report by HPM: The International education more rigorous and fruitful. Study Group on the Relations between the History and At the end of my four years (2000-2004) as Pedagogy of Mathematics the chairperson of HPM, I browse through my memories and the HPM Newsletter issues to pick up information on the activities of HPM HPM Activities 2000-2004 and, more generally, on relevant events related to the links between history and Together with the PME group (International pedagogy in mathematics. -
Who Is Lennart Carleson?
The Abel Prize for 2006 has been awarded Lennart Carleson, The Royal Institute of Technology, Stockholm, Sweden Professor Lennart Carleson will accept the Abel Prize for 2006 from His Majesty King Harald in a ceremony at the University of Oslo Aula, at 2:00 p.m. on Tuesday, 23 May 2006. In this background paper, we shall give a description of Carleson and his work. This description includes precise discussions of his most important results and attempts at popular presentations of those same results. In addition, we present the committee's reasons for choosing the winner and Carleson's personal curriculum vitae. This paper has been written by the Abel Prize's mathematics spokesman, Arne B. Sletsjøe, and is based on the Abel Committee's deliberations and prior discussion, relevant technical literature and discussions with members of the Abel Committee. All of this material is available for use by the media, either directly or in an adapted version. Oslo, Norway, 23 March 2006 Contents Introduction .................................................................................................................... 2 Who is Lennart Carleson? ............................................................................................... 3 Why has he been awarded the Abel Prize for 2006? ........................................................ 4 Popular presentations of Carleson's results ...................................................................... 6 Convergence of Fourier series.................................................................................... -
2010 Mathematics Newsletter
AUTUMN 2010 NEWSLETTER OF THE DEPARTMENT OF MATHEMATICS AT THE UNIVERSITY OF WASHINGTON Mathematics NEWS 1 DEPARTMENT OF MATHEMATICS NEWS MESSAGE FROM THE CHAIR The 2009–10 academic year, which now followed by an RTG grant, both from the NSF, started with the tragic loss of our and from a number of new endowments established by colleague Paul Tseng, was trans- the Department’s friends and alumni. formed into a most exciting one Despite the tight job market, our PhD graduates con- by our students and faculty. High- tinue to place into excellent positions. During the past lights you will read about in this three years alone, they have received postdoctoral newsletter include the Putnam Fel- appointments at Penn, Columbia, Princeton, Stanford, lowship won by Will Johnson, the Northwestern, MIT, UC Davis, UBC and Warwick, and UW Sophomore and Junior Medals jobs at Chevron, Microsoft and Google. awarded to Mark Bun and Will Johnson, the selection of the team of Mark Bun, Jerry Li, and Ian Zemke as As students, teaching assistants and researchers, our one of the nine Outstanding Winners among the 2,254 graduate students make critical contributions to every teams that participated in the Mathematical Contest aspect of the Department’s mission. The Department in Modeling, the Dean’s Medal and a National Science has worked very hard during the past dozen years Foundation (NSF) Graduate Fellowship won by Nate to build a vigorous graduate program of nearly 90 Bottman, an equally prestigious Department of Energy students. I am very pleased to see that we have main- Graduate Fellowship awarded to Genia Vogman, NSF tained the size, quality and morale of the program Postdoctoral Fellowships awarded to Jim Gill and our even as we go through the worst economic crisis of PhD graduate Catherine Williams, the election of Gun- our lifetimes. -
Annual Report for the Fiscal Year Julyl, 1984 -June 30, 1985
The Institute for Advanced Study Annual Report 1984/85 The Institute for Advanced Study Annual Report for the Fiscal Year Julyl, 1984 -June 30, 1985 HISTtffilCAl STUDIES- SOCIAL SCIENCE UBRARY THE INSTITUTE FOR ADVANCED STUDY PRINCETON. NEW JERSEY 08540 The Institute for Advanced Study Olden Lane Princeton, New Jersey 08540 U.S.A. Printed by Princeton University Press Originally designed by Bruce Campbell 9^^ It is fundamental to our purpose, and our Extract from the letter addressed by the express desire, that in the appointments to the Founders to the Institute's Trustees, staff and faculty, as well as in the admission dated June 6, 1930, Newark, New Jersey. of workers and students, no account shall he taken, directly or indirectly, of race, religion or sex. We feel strongly that the spirit characteristic of America at its noblest, above all, the pursuit of higher learning, cannot admit of any conditions as to personnel other than those designed to promote the objects for which this institution is established, and particularly with no regard wliatever to accidents of race, creed or sex. 9^'^Z^ Table of Contents Trustees and Officers 9 Administration 10 The Institute for Advanced Study: Background and Purpose 11 Report of the Chairman 13 Report of the Director 15 Reports of the Schools 21 School of Historical Studies 23 School of Mathematics 35 School of Natural Sciences 45 School of Social Science 59 Record of Events, 1984-85 67 Report of the Treasurer 91 Donors 102 Founders Caroline Bamberger Fuld Louis Bamberger Board of Trustees John F. Akers Ralph E. -
Language Choice in Scientific Writing: the Case of Mathematics At
Normat. Nordisk matematisk tidskrift 61:2–4, 111–132 Published in March 2019 Language choice in scientific writing: The case of mathematics at Uppsala University and a Nordic journal Christer Oscar Kiselman Abstract. For several centuries following its founding in 1477, all lectures and dissertations at Uppsala University were in Latin. Then, during one century, from 1852 to 1953, several languages came into use: there was a transition from Latin to Swedish, and then to French, German, and English. In the paper this transition is illustrated by language choice in doctoral theses in mathematics and in a Nordic journal. 1. Introduction The purpose of this note is to show how language choice in mathematical disser- tations presented at Uppsala University changed during one century, from 1852 to 1953—a rapid change in comparison with the more stable situation during the cen- turies 1477–1852. We shall also take a look at languages chosen by mathematicians in Sweden in the journal Acta Mathematica from its start in 1882 and up to 1958. This study was presented at the Nitobe Symposium in Reykjav´ık(2013 July 18– 20) entitled Languages and Internationalization in Higher Education: Ideologies, Practices, Alternatives, organized by the Center for Research and Documentation on World Language Problems (CED). 2. A beginning in the vernacular of the learned In a bull dated 1477 February 27, Pope Sixtus IV granted permission to the Arch- bishop of Uppsala, Jakob Ulvsson, to establish a university there.1 The Archbishop was appointed Chancellor of the new university, which was the first in northern Europe and remained the northernmost for 163 years, until the founding in 1640 of Sweden’s third university in Abo˚ (now Turku in Finland). -
CHAPTER 3 Pricing Models for One-Asset European Options
CHAPTER 3 Pricing Models for One-Asset European Options The revolution on trading and pricing derivative securities in financial mar- kets and academic communities began in early 1970’s. In 1973, the Chicago Board of Options Exchange started the trading of options in exchanges, though options had been regularly traded by financial institutions in the over-the-counter markets in earlier years. In the same year, Black and Sc- holes (1973) and Merton (1973) published their seminal papers on the theory of option pricing. Since then the growth of the field of financial engineering has been phenomenal. The Black-Scholes-Merton risk neutrality formulation of the option pricing theory is attractive since valuation formula of a deriva- tive deduced from their model is a function of directly observable parameters (except one, which is the volatility parameter). The derivative can be priced as if the market price of risk of the underlying asset is zero. When judged by its ability to explain the empirical data, the option pricing theory is widely acclaimed to be the most successful theory not only in finance, but in all areas of economics. In recognition of their pioneering and fundamental con- tributions to the pricing theory of derivatives, Scholes and Merton received the 1997 Nobel Award in Economics. In the next section, we first show how Black and Scholes applied the riskless hedging principle to derive the differential equation that governs the price of a derivative security. We also discuss Merton’s approach of dynami- cally replicating an option by a portfolio of the riskless asset in the form of money market account and the risky underlying asset. -
Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation
Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation Roger W. Lee¤ November 22, 2002 Forthcoming in Recent Advances in Applied Probability Abstract Given the price of a call or put option, the Black-Scholes implied volatility is the unique volatility parameter for which the Bulack-Scholes formula recovers the option price. This article surveys research activity relating to three theoretical questions: First, does implied volatility ad- mit a probabilistic interpretation? Second, how does implied volatility behave as a function of strike and expiry? Here one seeks to characterize the shapes of the implied volatility skew (or smile) and term structure, which together constitute what can be termed the statics of the implied volatility surface. Third, how does implied volatility evolve as time rolls forward? Here one seeks to characterize the dynamics of implied volatility. 1 Introduction 1.1 Implied volatility Assuming that an underlying asset in a frictionless market follows geometric Brownian motion, which has constant volatility, the Black-Scholes formula gives the no-arbitrage price of an option on that underlying. Inverting this formula, take as given the price of a call or put option. The Black-Scholes implied volatil- ity is the unique volatility parameter for which the Black-Scholes formula re- covers the price of that option. This article surveys research activity in the theory of implied volatility. In light of the compelling empirical evidence that volatility is not constant, it is natural to question why the inversion of option prices in an \incorrect" formula should deserve such attention. To answer this, it is helpful to regard the Black-Scholes implied volatility as a language in which to express an option price. -
2006 Lennart Carleson
2006 Lennart Carleson Reflections on My Life as a Mathematician Lennart Carleson My ancestors are all from the Swedish bourgeois society. Among them are rather prominent civil servants and officers in the army. My father was originally a civil engineer and he became executive director of a large steel mill. My adolescence was very privileged and as a Swede I was fortunate to escape from the sufferings of the Second World War. There was no academic tradition in my family but I grew up in an intellectually stimulating environment where political matters were the main topics. I went to the local schools and skipped one grade, so that I finished high school barely 17 years old. I had then started to read mathematics textbooks, for the first undergraduate level, but I was in no way determined to become a mathematician. Most of my reading during the three last years of high school was classical literature, and when I now think back to that period I am amazed at how much I managed to read. This was actually the only period of my life that I could find time for a general education. I graduated from high school in 1945 and started that year my mathematics stud- ies at the university of Uppsala. That I should study mathematics was very clear to me, even if I had no thoughts on doing research. The subject seemed fascinating, I was intrigued by the strange equalities for infinite series, the mysterious imaginary numbers and by the problem solving. I would say to-day that my interests were very superficial and a little romantic. -
Notices of the American Mathematical Society ABCD Springer.Com
ISSN 0002-9920 Notices of the American Mathematical Society ABCD springer.com More Math Number Theory NEW Into LaTeX An Intro duc tion to NEW G. Grätzer , Mathematics University of W. A. Coppel , Australia of the American Mathematical Society Numerical Manitoba, National University, Canberra, Australia Models for Winnipeg, MB, Number Theory is more than a May 2009 Volume 56, Number 5 Diff erential Canada comprehensive treatment of the Problems For close to two subject. It is an introduction to topics in higher level mathematics, and unique A. M. Quarte roni , Politecnico di Milano, decades, Math into Latex, has been the in its scope; topics from analysis, Italia standard introduction and complete modern algebra, and discrete reference for writing articles and books In this text, we introduce the basic containing mathematical formulas. In mathematics are all included. concepts for the numerical modelling of this fourth edition, the reader is A modern introduction to number partial diff erential equations. We provided with important updates on theory, emphasizing its connections consider the classical elliptic, parabolic articles and books. An important new with other branches of mathematics, Climate Change and and hyperbolic linear equations, but topic is discussed: transparencies including algebra, analysis, and discrete also the diff usion, transport, and Navier- the Mathematics of (computer projections). math Suitable for fi rst-year under- Stokes equations, as well as equations graduates through more advanced math Transport in Sea Ice representing conservation laws, saddle- 2007. XXXIV, 619 p. 44 illus. Softcover students; prerequisites are elements of point problems and optimal control ISBN 978-0-387-32289-6 $49.95 linear algebra only A self-contained page 562 problems.