Archives for CORE
December 13, 2016
Seminar: Robert M. Gower
Randomized Quasi-Newton Updates are Linearly Convergent Matrix Inversion Algorithms
Robert M. GOWER, School of Mathematics, University of Edinburgh
(Joint with Peter RICHTÁRIK)
We develop and analyze a broad family of stochastic/randomized algorithms for inverting a matrix. We also...
Click to know more From 12 to 14/12/2016
Winter School on Networks in Economics and Finance
During the past decade, both academics and policymakers have recognised the importance of studying interconnectedness and complexity. The objective of our winter school and the associated events over this full week of events is to assess recent progress made in the application of networks for...
Click to know more December 09, 2016
Seminar: Damiano Brigo
Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps
Damiano BRIGO, Imperial College
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the...
Click to know more December 08, 2016
Seminar: John Earle
Does Higher Productivity Dispersion Imply Greater Misallocation? A Theoretical and Empirical Analysis
John Earle (Central European University)
(Joint paper with J.David Brown and Emin Dinlersoz)
Recent research maintains that the observed variation in productivity within industries...
Click to know more December 06, 2016
Seminar: Hamza Fawzi
Semidefinite Approximations of Matrix Logarithm
Hamza FAWZI, Massachusetts Institute of Technology
(Joint work with James Saunderson (Monash University) and Pablo Parrilo (MIT))
We propose a new way to treat the exponential/relative entropy cone using symmetric cone solvers. Our...
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