Triangle Seminars
Tuesday, 17 Oct 2006
Statistical Physics Approach to Models of Risk
Reimer Kuehn
(KCL)
Abstract:
We look at the problem of estimating risk (Operational Risk, Credit Risk and Market Risk) and argue that risk elements, such as processes in an organization, credits in a loan-portfolio or share prices in an investment portfolio cannot be regarded as independent. This naturally leads to formulating risk models as dynamical models of interacting degrees of freedom (particles). The operational risk and
credit risk problems can be cast into a language describing heterogeneous lattice gasses, in which interaction parameters and non-uniform chemical potentials have an interpretation in terms of unconditional and conditional failure probabilities. For the market risk problem, a minimal interacting generalization of the classical Geometric Brownian Motion model leads to a formulation of market
dynamics that is formally similar to the dynamics of graded response neurons. We describe elements of the statistical mechanical analysis of these models to reveal their macroscopic properties.
We look at the problem of estimating risk (Operational Risk, Credit Risk and Market Risk) and argue that risk elements, such as processes in an organization, credits in a loan-portfolio or share prices in an investment portfolio cannot be regarded as independent. This naturally leads to formulating risk models as dynamical models of interacting degrees of freedom (particles). The operational risk and
credit risk problems can be cast into a language describing heterogeneous lattice gasses, in which interaction parameters and non-uniform chemical potentials have an interpretation in terms of unconditional and conditional failure probabilities. For the market risk problem, a minimal interacting generalization of the classical Geometric Brownian Motion model leads to a formulation of market
dynamics that is formally similar to the dynamics of graded response neurons. We describe elements of the statistical mechanical analysis of these models to reveal their macroscopic properties.
Posted by: brunel
Wednesday, 18 Oct 2006
IIB brane actions and SL(2,R)
📍 London
Fabio Riccioni
(King's College London)
Abstract:
Ten-dimensional IIB supergravity is invariant under the symmetry group
SL(2.R). We give a classification of all the forms that are present in the
IIB supersymmetry algebra as representations of SL(2,R),
and we show under
which conditions these forms are associated to branes
whose effective actions are kappa symmetric. We use these results to give a simple universal
SL(2,R)-invariant expression for all IIB brane actions.
Ten-dimensional IIB supergravity is invariant under the symmetry group
SL(2.R). We give a classification of all the forms that are present in the
IIB supersymmetry algebra as representations of SL(2,R),
and we show under
which conditions these forms are associated to branes
whose effective actions are kappa symmetric. We use these results to give a simple universal
SL(2,R)-invariant expression for all IIB brane actions.
Posted by: KCL
Phase Structure of N=4 SYM and Gravity in Anti-de Sitter Space
Asad Naqvi
(Swansea)
Schensted correspondence and Littelmann paths
Karin Erdmann
(Oxford University)
Abstract:
This is joint work with J.A. Green and M. Schocker. We study the Littelmann path model for the case gln. In this case, Littelmann's paths become words, and we work with the combinatorics of words. This leads to the representation theory of the Littelmann algebra which is a close analogue of the Schur algebra.
This is joint work with J.A. Green and M. Schocker. We study the Littelmann path model for the case gln. In this case, Littelmann's paths become words, and we work with the combinatorics of words. This leads to the representation theory of the Littelmann algebra which is a close analogue of the Schur algebra.
Posted by: CityU