Applied Probability and Risk Seminar

The Applied Probability and Risk Seminar (APR) is the joint seminar between IEOR, theStatistics Department and the Center for Applied Probability (CAP).

Fall 2018 Seminars

Tze Lai (Stanford) | 9/13/18 | 4:10pm to 5:00pm

Speaker: Tze Lai (Stanford)
Date: Thursday, September 13, 2018
Time: 4:10pm to 5:00pm
Location: 903 SSW

Title: MCMC with Sequential State Substitutions: Theory and Applications

Abstract:
 
Motivated by applications to adaptive filtering that involves joint parameter and state estimation in  hidden Markov models, we describe a new approach to MCMC, which uses sequential state substitutions for its Metropolis-Hastings-type transitions. The basic idea is to approximate the target distribution by the empirical distribution of N representative atoms, chosen sequentially by an MCMC scheme so that the empirical distribution converges weakly to the target distribution as the number K of  iterations approaches infinity. Making use of coupling arguments and bounds on the total variation norm of the signed measure defined by the difference between the target distribution and the empirical measure induced by  the sample paths of the MCMC scheme, we develop its asymptotic theory. In particular, we prove the asymptotic normality (as both K and N become infinite) of the  estimates of functionals of the target distribution using the new MCMC method, provide consistent estimates of their standard errors, and derive oracle properties that prove their asymptotic optimality. Implementation details and applications, particularly to adaptive particle filtering with consistent standard error estimates, are also given.

Zachary Feinstein (Washington U in St. Louis) | 9/20/2018 | 1:10pm to 2:00p

Speaker: Zachary Feinstein (Washington U in St. Louis)
Date: Thursday, September 20, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303
Title: Pricing debt in an Eisenberg-Noe network under comonotonic endowments

Abstact:
In this talk we present formulas for the pricing of debt and equity of firms in a financial network under comonotonic endowments.  We demonstrate that the comonotonic setting provides a lower bound to the price of debt under Eisenberg-Noe financial networks with consistent marginal endowments.   Such financial networks encode the interconnection of firms through debt claims.  The proposed pricing formulas consider the realized, endogenous, recovery rate on debt claims.  Special consideration will be given to the setting in which firms only invest in a risk-free bond and a common risky asset following a geometric Brownian motion.

 

Yuval Peres (Microsoft Research) | 9/27/18 | 1:10pm to 2:00pm

Speaker: Yuval Peres (Microsoft Research)
Date: Thursday, September 27, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303

TBD | 10/4/2018 | 1:10pm to 2:00pm

Speaker: TBD
Date: Thursday, October 4, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303

Nicolas Garcia Trillos (U Wisconsin)| 10/18/2018 | 1:10pm to 2:00pm

Speaker: Nicolas Garcia Trillos (U Wisconsin)
Date: Thursday, October 18, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303

Philip Ernst (Rice) | 10/25/2018 | 1:10pm to 2:00pm

TBD | 11/1/2018 | 1:10pm to 2:00pm

Speaker: TBD
Date: Thursday, November 1, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303

Subhabrata Sen (MIT) | 11/8/2018 | 1:10pm to 2:00pm

Speaker: Subhabrata Sen (MIT) 
Date: Thursday, November 8, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303

Sebastian Engelke (U Geneva) | 11/29/2018 | 1:10pm to 2:00pm

Speaker: Sebastian Engelke (U Geneva)
Date: Thursday, November 29, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303

Eunhye Song (Penn State) | 12/6/2018 | 1:10pm to 2:00pm

Speaker: Eunhye Song (Penn State)
Date: Thursday, December 6, 2018
Time: 1:10pm to 2:00pm
Location: MUDD 303