MAM Seminars Autumn term 2012
Higher seminar in Mathematics/Applied Mathematics, Autumn term 2012.
School of Education, Culture and Communication (UKK), Mälardalen University.
Speaker: Betuel Canhanga, Division of Applied Mathematics, UKK, Malardalen University, Sweden and Eduardo Mondlane University, Maputo, Mozambique
Time: Wednesday, 28 november, 15.15-16.00
Place: U2-036, U-building, Mälardalen University, Västerås
Title: Four different approaches to the Black-Scholes Option Pricing Model (BSOPM) and Black-Scholes differential equation.
One of the well-known mathematical models in financial markets is the Black-Scholes model, it is used to determine the fair price for options. Aware of the fact that options prices follow random processes depending on the underlying assets price and lifetime of the option, some mathematical tools and financial markets assumptions can be used to transform the stochastic differential equation assigned to option pricing processes in to a partial differential equation that motivates the Black-Scholes Option Pricing Model (BSOPM). I will talk about the relation between Black-Scholes differential equation and heat transfer equation, also, I will use Feynman-Kac theorem to derive the BSOPM.
Speaker: Gyan Bahadur Thapa,
Tribhuvan University, Kathmandu, Nepal
and Division of Applied Mathematics, UKK, Mälardalen University
Time: Wednesday, October 3, 15.30-16.30.
Place: U3-083, Hilbert rum, UKK, U-building, Västerås, Mälardalen University
Title: Just-in-Time Sequencing Problem: Characterized via Apportionment and Supply Chain
Just-in-time sequencing problem (JITSP) in mixed-model assembly line is a discrete optimization problem. There are two types of JITSP: Product rate variation problem (PRVP), the single-level case and Output rate variation problem (ORVP), the multi-level case. Both the problems have two types of objective functions to be minimized, namely bottleneck and total deviations. We have improved the upper bound for the bottleneck PRVP reducing time complexity of bisection search. Discrete apportionment approach has been performed for total PRVP. Two mean-based divisor methods are devised providing an equitably efficient frontier. The local and global deviations are dealt simultaneously with a stronger bound for total PRVP too. The ORVP is NP-hard. However, we have interlinked it with supply chain logistics (SCL) problem. We have modelled the SCL with cross-docking approach as truck sequencing problem (TRSP). The ORVP and TRSP are NP-hard problems.
Speaker: Johan Richter, Centre for Mathematical Sciences, Division of Mathematics and Numerical Analysis, Faculty of Engineering (LTH), Lund University
Time: Wednesday, 26 september, 15.30-16.20.
Place: R2-202, R-building, MDH, Västerås
Title: Ore Extensions, their Maximal Commutative Subrings and Algebraic Dependence