October 20-26, 2003

Monday, October 20, 2003

**3:30 PM   COLLOQUIUM     459 MSc**
             Dr. Juergen KLUENER, University of Kassel, Germany
             "On Polynomial Factorization"

ABSTRACT:  It is well known that the factorization of polynomials
over the integers is in polynomial time. Unfortunately this
algorithm was not useful in practice. Recently Mark van Hoeij
found a new factorization algorithm which works very well in
practice. We present the ideas of his algorithm and extend this
algorithm to an algorithm for factoring polynomials in F[t][x],
where F is a finite field. Surprisingly the algorithm is much
simpler and more efficient in this setting.

3:30 PM     Lukacs Lecture/Statistics Seminar   445 MSc
             Dr. Eugene SENETA, Visiting Lukacs Professor
             "The Variance-Gamma (V.G.) Model for Financial Data"

ABSTRACT:  The (symmetric) v.g. distribution for log-increment
of price was introduced by D.B. Madan and E.Seneta,
Journal of Business, 63(1990)511-524, and has since found use
on Wall Street. The underlying v.g. model over continuous time
for price movement is an example of subordinated geometric
Brownian motion (GBM), where the increment in the intrinsic
time process has gamma distribution. In the earlier t- process
model of Praetz (1972), to which the v.g. model was introduced
as direct competitor, the increment in the intrinsic time process
has inverse gamma distribution. (Gamma and inverse gamma are
clearly extreme cases of the GIG distribution, and  "dual" to
each other.)  The work of C.C. Heyde (J.Appl. Prob., 36(1999)
1234-1239) and his students on financial mathematics, exposited
by him in Lukacs Lectures earlier this year, proposed several
new directions for subordinated  GBM models. One related to
statistical dependence of log-price increments while retaining
their stationarity. The work of Madan, Carr and Chang (1998)
allowed for skewness in a generalized v.g. distribution (while
retaining the entire iid increment structure).  This talk has as
its main themes presentation of the subordinated GBM model, and
fitting from data of the v.g. distribution. Lecture 3 will focus
more on  distribution theory aspects of the v.g.process and
t-process.

4:30 PM     Lukacs Lecture Discussion   447 MSc


Tuesday, October 21, 2003


Wednesday, October 22, 2003

12:00 PM    Advisory Committee Meeting   458 MSc

3:30 PM     Undergraduate Committee Meeting     400 MSc


Thursday, October 23, 2003

9:30 AM      Probability Seminar   447 MSc
              Michael SARVER, BGSU
              "Heuristic approaches to estimating the
              Hurst exponent"

2:30 PM     Algebra Seminar     459 MSc


Friday, October 24, 2003

12:00 PM   Calendar Information due to Cyndi
          for inclusion in next week's calendar listing

12:30 PM    Calculus Seminar   459 MSc

**3:30 PM   COLLOQUIUM     459 MSc**
             Dr. Fred HOPPE, McMaster University, Canada
             "Estimation of Similarity Indices for Student Responses
             On Multiple Choice Exams"

A list of mathematics seminars by subject and other seminars at BGSU is available  here.

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