Department of

Mathematics


Seminar Calendar
for events the day of Thursday, April 10, 2014.

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Thursday, April 10, 2014

12:30 pm in Altgeld Hall,Thursday, April 10, 2014

Hot Attractors

Vishnu Jejjala (University of the Witwatersrand Physics)

Abstract: Non-extremal black holes, which emit thermal Hawking radiation, have two horizons: the event horizon or outer horizon and the Cauchy horizon or inner horizon. Surprisingly, for a broad class of solutions to the Einstein equations, the product of the areas of the inner and outer horizons is the square of the area of the horizon of the zero temperature black hole obtained from taking the smooth extremal limit. We use the attractor mechanism in supergravity to motivate this result.

4:00 pm in 245 Altgeld Hall,Thursday, April 10, 2014

Reference Asset Invariant Price Processes

Jan Vecer (Frankfurt School of Finance & Management)

Abstract: In this talk we explore the symmetry of the price evolutions and its consequences to pricing contingent claims. A natural condition for the price symmetry is that the price of an asset $X$ in terms of an asset $Y$ has the same distribution as the price of an asset $Y$ in terms of an asset $X$ under the corresponding numeraire measures. The condition of the symmetry of the price and its reciprocal leads directly to the fact that certain contingent claims must have the same price. By applying this principle, one can efficiently price contracts that depend on the arithmetic or harmonic average known as Asian options.