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Probability Seminar, Department of Mathematics & Statistics
Probability Seminar, Department of Mathematics & Statistics
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Contact Me

Michael Grabchak

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Probability Seminar

Wed April 24, 2024 at 5:15PM in Fretwell 379 (Math Conference Room)

April 20, 2024 by Michael Grabchak
Categories: Probability Seminar

Isaac Sonin, UNC Charlotte

Title: Water Puzzle and Marginal Utility Optimization

Abstract. There are two cups of tea on a table, each with a two-unit capacity. Cup 1 has one unit of tea at 80% concentration, and cup 2 has one unit with 25% concentration. You have one unit of hot water in your own cup, which you should distribute between these two cups, say volume  x into cup 1 and the rest, i.e., 1-x, into cup 2. After that, the volume x is returned to you from cup 1, and the volume 1-x from cup 2, i.e., you get back one unit in total. Now you are ready to drink your tea. The question is, what should be the value of x such that your tea is as strong as possible? Is x=1 or x<1? Strangely enough, this simple problem leads to the maximization problem with a transparent socio-economic interpretation, related to so-called marginal utility, one of the fundamental concepts in Economics. Calculus 1 is the only prerequisite for this talk.

Wed April 17, 2024 at 5:30PM in Fret 402

April 15, 2024 by Michael Grabchak
Categories: Probability Seminar

Sébastien Bossu, UNC Charlotte

Title: Spanning multi-asset option payoffs with ReLUs: A distributional & a neural network approach

Wed April 10, 2024 at 5:30PM in Fret 202

April 15, 2024 by Michael Grabchak
Categories: Probability Seminar

Sébastien Bossu, UNC Charlotte

Title: Integral regularization & theory of distributions: A gentle introduction

Friday April 5, 2024 at 2:00pm in Fret 210

April 08, 2024 by Michael Grabchak
Categories: Probability Seminar

Andrew Papanicolaou, Carolina State University

Title: Principal Eigenportfolios and Primary Factors

Abstract: Multiple financial assets’ time-series data is stored in a matrix upon which we perform principal component analysis to find predominant factors in the market. Random matrix theory helps us to identify the number of factors present in the data, with the top eigenvalue-eigenvector pair bearing a strong resemblance to the market’s capitalization-weighted portfolio. This resemblance is consistent with fundamental concepts from portfolio theory, and can be extended to tensors of implied volatilities for which factors can be constructed using open interest as the analogue for capitalization. In our analyses we initially rely on the support of the Marchenko-Pastur distribution to serve as a cutoff for identification of outlying eigenvalues, but improved criteria can be developed using free probability.

Wed Mar 27, 2024 at 5:30PM in Fret 315

March 24, 2024 by Michael Grabchak
Categories: Probability Seminar

Madhumita Paul, UNC Charlotte

Title: Erdos-Renyi model on spider-like quantum graphs

Wed Mar 20, 2024 at 5:30PM in Fret 315

March 20, 2024 by Michael Grabchak
Categories: Probability Seminar

Xingnan Zhang, UNC Charlotte

Title: The Multivariate Dickman Distribution and Its Applications

Wed Feb 21, 2024 at 5:30PM in Denny 103

February 23, 2024 by Michael Grabchak
Categories: Probability Seminar

Madhumita Paul, UNC Charlotte

Title: Brownian motion on spider type quantum graphs

Wed Feb 7, 2024 at 5:30PM in Fretwell 379 (Math Conference Room)

February 05, 2024 by Michael Grabchak
Categories: Probability Seminar

Vlad Mărgărint, UNC Charlotte

Title: The Riemann Zeta Function, Cramer’s Model, and Dirichlet series

Wed Jan 31, 2024 at 5:30PM in Fretwell 315

January 29, 2024 by Michael Grabchak
Categories: Probability Seminar

Stanislav Molchanov, UNC Charlotte

Title: Products of random matrices, Furstenberg Theorem, and the Dynamo problem

Wed Jan 24, 2024 at 5:30PM in Fretwell 315

January 17, 2024 by Michael Grabchak
Categories: Probability Seminar

Stanislav Molchanov, UNC Charlotte

Title: Brownian motion on the periodic quantum graphs and related spectral problems

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