Econometrics

Over the Counter Markets

Author: 
Darrell Duffie
Date: 
Thu, Jul 17, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

This lecture is part of a series on "Risk Sharing in Over-the-Counter Markets"

Financial System Architecture

Author: 
Darrell Duffie
Date: 
Wed, Jul 16, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lecture notes are part of a series on "Risk Sharing in Over-the-Counter Markets"

Mathematics and the Planet Earth: a Long Life Together II

Speaker: 
Ivar Ekeland
Date: 
Wed, Jul 17, 2013
Location: 
PIMS, University of British Columbia
Conference: 
Mathematics of Planet Earth 2013
Abstract: 

When Colombus left Spain in 1492, sailing West, he knew that the Earth was round and was expecting to land in Japan. Seventeen centuries earlier, around 200 BC, Eratosthenes had shown that its circumference was 40,000 km, just by a smart use of mathematics, without leaving his home town of Alexandria. Since then, we have learned much more about Earth: it is a planet, it has an inner structure, it carries life , and at every step mathematics have been a crucial tool of discovery and understanding. Nowadays, concerns about the human footprint and climate change force us to bring all this knowledge to bear on the global problems facing us. This is the last challenge for mathematics: can we control change?
This is a two-part lecture, investigating how our idea of the world has influenced the development of mathematics. In the first lecture on July 15, I will describe the situation up to the twentieth century, in the second one on July 17 I will follow up to the present time and the global challenges humanity and the planet are facing today.
 

Mathematics and the Planet Earth: a Long Life Together I

Speaker: 
Ivar Ekeland
Date: 
Mon, Jul 15, 2013
Location: 
PIMS, University of British Columbia
Conference: 
Mathematics of Planet Earth 2013
Abstract: 
When Colombus left Spain in 1492, sailing West, he knew that the Earth was round and was expecting to land in Japan. Seventeen centuries earlier, around 200 BC, Eratosthenes had shown that its circumference was 40,000 km, just by a smart use of mathematics, without leaving his home town of Alexandria. Since then, we have learned much more about Earth: it is a planet, it has an inner structure, it carries life , and at every step mathematics have been a crucial tool of discovery and understanding. Nowadays, concerns about the human footprint and climate change force us to bring all this knowledge to bear on the global problems facing us. This is the last challenge for mathematics: can we control change?
This is a two-part lecture, investigating how our idea of the world has influenced the development of mathematics. In the first lecture (July 15), I will describe the situation up to the twentieth century, in the second one (July 17) I will follow up to the present time and the global challenges humanity and the planet are facing today.

Multisector matching with cognitive and social skills: a stylized model for education, work and marriage

Speaker: 
Robert McCann
Date: 
Mon, Sep 24, 2012
Location: 
PIMS, University of British Columbia
Conference: 
PIMS/UBC Distinguished Lecture Series
Abstract: 
Economists are interested in studying who matches with whom (and why) in the educational, labour, and marriage sectors. With Aloysius Siow, Xianwen Shi, and Ronald Wolthoff, we propose a toy model for this process, which is based on the assumption that production in any sector requires completion of two complementary tasks. Individuals are assumed to have both social and cognitive skills, which can be modified through education, and which determine what they choose to specialize in and with whom they choose to partner. Our model predicts variable, endogenous, many-to-one matching. Given a fixed initial distribution of characteristics, the steady state equilibrium of this model is the solution to an (infinite dimensional) linear program, for which we develop a duality theory which exhibits a phase transition depending on the number of students who can be mentored. If this number is two or more, then a continuous distributions of skills leads to formation of a pyramid in the education market with a few gurus having unbounded wage gradients. One preprint is on the arXiv; a sequel is in progress.

Optimal Investment for an Insurance Company

Speaker: 
Alexandru Badescu
Date: 
Tue, May 10, 2011
Location: 
Calgary Place Tower (Shell)
Location: 
University of Calgary, Calgary, Canada
Conference: 
Shell Lunchbox Lectures
Abstract: 
Optimal investment is a key problem in asset-liability management of an insurance company. Rather than allocating wealth optimally so as to maximize the overall investment return, an insurance company is interested in assessing the risk exposure where both assets and liabilities are included and minimizing the risk of mismatches between them. Different approaches for solving optimization problems by minimizing standard risk measures such as the value at risk (VaR) or the conditional value at risk (CVaR) have been proposed in the literature. In this paper we focus on some Solvency II applications by investigating several novel problems for jointly quantifying the optimal initial capital requirement and the optimal portfolio investment under various constraints. Discussions on the convexity of these problems are also provided. Using a Monte Carlo simulation and a semi-parametric approach based on different assumptions for the loss distribution, we compute the insurer optimal capital needed to be efficiently invested in a portfolio formed by two or more assets. Finally, a detailed numerical experiment is conducted to assess the robustness and sensitivity of our optimal solutions relative to the model factors. This paper was written in collaboration with Alexandru V. Asimit (Cass Business School, City University, UK), Tak Kuen Siu (Faculty of Business and Economics, Macquarie University, Australia)and Yuriy Zinchenko (Department of Mathematics and Statistics, University of Calgary).

Perturbation Methods

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Perturbation Methods

Numerical Dynamic Programming

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Numerical Dynamic Programming.

Projection Methods for Dynamic Models

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Projection Methods for Dynamic Models.

Variational Inequalities and Economic Equilibrium

Author: 
Alejandro Jofré
Ralph Tyrrell Rockafellar
Roger J-B Wets
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Variational Inequalities and Economic Equilibrium
Syndicate content