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By Patrick De LeenheerSIAM Review, Volume 62, Issue 3, Page 716-726, January 2020. We present an elementary proof of a generalization of Kirchhoff's matrix tree theorem to directed, weighted graphs. The proof...
By Lek-Heng LimSIAM Review, Volume 62, Issue 3, Page 685-715, January 2020. This is an elementary introduction to the Hodge Laplacian on a graph, a higher-order generalization of the graph Laplacian....
By Andrii Mironchenko and Christophe PrieurSIAM Review, Volume 62, Issue 3, Page 529-614, January 2020. In a pedagogical but exhaustive manner, this survey reviews the main results on input-to-state stability (ISS) for infinite-dimensional systems....
By Ernesto Estrada, Gissell Estrada-Rodriguez, and Heiko GimperleinSIAM Review, Volume 62, Issue 3, Page 617-645, January 2020. In a complex system, the interplay between the internal structure of its entities and their interconnection may play a...
By Jed A. Duersch and Ming GuSIAM Review, Volume 62, Issue 3, Page 661-682, January 2020. Rank-revealing matrix decompositions provide an essential tool in spectral analysis of matrices, including the Singular Value Decomposition (SVD) and...
By Vicky Chuqiao Yang, Daniel M. Abrams, Georgia Kernell, and Adilson E. MotterSIAM Review, Volume 62, Issue 3, Page 646-657, January 2020. Since the 1960s, Democrats and Republicans in the U.S. Congress have taken increasingly polarized positions, while the public's policy...
By Darinka DentchevaSIAM Review, Volume 62, Issue 3, Page 683-683, January 2020. This issue of SIAM Review contains two papers in the Education section. The first paper, “Hodge Laplacians on Graphs,”...
By Misha E. KilmerSIAM Review, Volume 62, Issue 3, Page 615-615, January 2020. In this issue, Research Spotlights features two exciting and topically diverse articles. The authors of the first article...
By J. M. Sanz-SernaSIAM Review, Volume 62, Issue 3, Page 527-527, January 2020. Andrii Mirochenko and Christophe Prieur are the authors of “Input-to-State Stability of Infinite-Dimensional Systems: Recent Results and Open Questions,”...
By Volker H. SchulzSIAM Review, Volume 62, Issue 3, Page 729-739, January 2020. These are difficult times, but some circumstances make the work in our Book Reviews section even more difficult. Due...
By The EditorsSIAM Review, Volume 62, Issue 3, Page 659-659, January 2020. The SIGEST article in this issue, “Randomized Projection for Rank-Revealing Matrix Factorizations and Low-Rank Approximations,” by Jed A. Duersch...
By Karel Janeček, Zheng Li, and Mihai SîrbuSIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 750-787, January 2020. We study an optimal investment and consumption problem on infinite horizon, under the assumption that one...
By Claudia Ceci, Katia Colaneri, Rüdiger Frey, and Verena KöckSIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 788-814, January 2020. Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that...
By Monique Jeanblanc and Libo LiSIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 720-749, January 2020. The first goal of this article is to identify, for different defaultable claims, the fundamental...
By Álvaro Cartea, Sebastian Jaimungal, and Tianyi JiaSIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 690-719, January 2020. We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a...
By Jaime A. London͂oSIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 659-689, January 2020. We define an intertemporal equilibrium where agents optimize a functional of utility on consumption and final...
By Jocelyne Bion-Nadal and Giulia Di NunnoSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 620-658, January 2020. The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criterion derived from...
By Christian Fries and Lorenzo TorricelliSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 566-592, January 2020. In this paper we propose a derivative valuation framework based on Lévy processes which takes into...
By Ka Ho Tsang and Hoi Ying WongSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 593-619, January 2020. This paper investigates a deep-learning solution to high-dimensional multiperiod portfolio optimization problems with bounding constraints on...
By Paolo Bartesaghi, Michele Benzi, Gian Paolo Clemente, Rosanna Grassi, and Ernesto EstradaSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 526-565, January 2020. Node centrality is one of the most important and widely used concepts in the study of...
By Sigrid KällbladSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 494-525, January 2020. We study an inverse investment problem proposed by Black and provide necessary and sufficient conditions for...
By Ling Guo, Akil Narayan, and Tao ZhouSIAM Review, Volume 62, Issue 2, Page 483-508, January 2020. Polynomial approximations constructed using a least-squares approach form a ubiquitous technique in numerical computation. One of the simplest ways...
By Lloyd N. TrefethenSIAM Review, Volume 62, Issue 2, Page 439-462, January 2020. Boundary-value problems involving the linear differential equation $\varepsilon y'' - x y' + y = 0$ have surprising properties...
By Yair Carmon and John C. DuchiSIAM Review, Volume 62, Issue 2, Page 395-436, January 2020. We consider minimization of indefinite quadratics with either trust-region (norm) constraints or cubic regularization. Despite the nonconvexity of these...
By Anne Greenbaum, Ren-Cang Li, and Michael L. OvertonSIAM Review, Volume 62, Issue 2, Page 463-482, January 2020. We present first-order perturbation analysis of a simple eigenvalue and the corresponding right and left eigenvectors of a general...
By Philipp Grohs, Sarah Koppensteiner, and Martin RathmairSIAM Review, Volume 62, Issue 2, Page 301-350, January 2020. The problem of phase retrieval, i.e., the problem of recovering a function from the magnitudes of its Fourier...
By Michael T. Schaub, Austin R. Benson, Paul Horn, Gabor Lippner, and Ali JadbabaieSIAM Review, Volume 62, Issue 2, Page 353-391, January 2020. Using graphs to model pairwise relationships between entities is a ubiquitous framework for studying complex systems and data. Simplicial...
By Volker H. SchulzSIAM Review, Volume 62, Issue 2, Page 511-526, January 2020. I am writing these lines in April 2020 while science is in lockdown mode globally. They will be published...
By The EditorsSIAM Review, Volume 62, Issue 2, Page 393-393, January 2020. The SIGEST article in this issue, “First-Order Methods for Nonconvex Quadratic Minimization,” by Yair Carmon and John C. Duchi,...
By Misha E. KilmerSIAM Review, Volume 62, Issue 2, Page 351-351, January 2020. The current issue of SIAM Review features the Research Spotlights article “Random Walks on Simplicial Complexes and the Normalized...
By Darinka DentchevaSIAM Review, Volume 62, Issue 2, Page 437-438, January 2020. The Education section of SIAM Review presents three papers in this issue. In the first paper Lloyd N. Trefethen...
By J. M. Sanz-SernaSIAM Review, Volume 62, Issue 2, Page 299-299, January 2020. In a previous issue of SIAM Review, I started my introduction to the Survey and Review section by saying...
By Jasdeep Kalsi, Terry Lyons, and Imanol Perez ArribasSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 470-493, January 2020. We present a method for obtaining approximate solutions to the problem of optimal execution, based on...
By Blanka Horvath, Antoine Jacquier, and Peter TankovSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 437-469, January 2020. We discuss the pricing and hedging of volatility options in some rough volatility models. First, we...
By Chonghu Guan, Xun Li, and Wenxin ZhouSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 411-436, January 2020. In this paper, we study a class of optimal investment problems with a nonsmooth and nonconcave...
By Junbeom Lee, Stephan Sturm, and Chao ZhouSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 385-410, January 2020. We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When...
By Peter A. ForsythSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 358-384, January 2020. We formulate the multiperiod, time consistent mean-CVAR (conditional value at risk) asset allocation problem in a...
By Luis Carlos Garcia del Molino, Iacopo Mastromatteo, Michael Benzaquen, and Jean-Philippe BouchaudSIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 327-357, January 2020. We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational...
By Josselin Garnier and Knut SølnaSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 274-325, January 2020. In a market with a rough or Markovian mean-reverting stochastic volatility there is no perfect hedge....
By Nicole Bäuerle and Sascha DesmettreSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 240-273, January 2020. We consider a fractional version of the Heston volatility model which is inspired by [H. Guennoun...
By David Farahany, Kenneth R. Jackson, and Sebastian JaimungalSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 201-239, January 2020. We develop a mixed least squares Monte Carlo--partial differential equation (LSMC-PDE) method for pricing Bermudan style...
By Tiantian Mao and Ruodu WangSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 169-200, January 2020. We incorporate a notion of risk aversion favoring prudent decisions from financial institutions into regulatory capital...
By Dorje Brody, Lane Hughston, and Bernhard MeisterSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 148-168, January 2020. A term structure model in which the short rate is zero is developed as a candidate...
By Beatrice Acciaio and Julien GuyonSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page SC1-SC13, January 2020. It has often been stated that, within the class of continuous stochastic volatility models calibrated to...
By Michał Barski and Jerzy ZabczykSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 131-147, January 2020. The paper is concerned with stochastic equations for the short rate process $R$, $dR(t)=F(R(t))dt+G(R(t-))dZ(t)$, in...
By Stéphane Crépey, Wissal Sabbagh, and Shiqi SongSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 99-130, January 2020. X-value adjustments (XVAs) refer to various financial derivative pricing adjustments accounting for counterparty risk and...
By Volker H. SchulzSIAM Review, Volume 62, Issue 1, Page 283-297, January 2020. The frame for the Book Reviews section this time is formed by the books of two very well known...
By The EditorsSIAM Review, Volume 62, Issue 1, Page 197-197, January 2020. The SIGEST article in this issue, “Asymptotically Compatible Schemes for Robust Discretization of Parametrized Problems with Applications to Nonlocal...
By Misha E. KilmerSIAM Review, Volume 62, Issue 1, Page 131-131, January 2020. Tensors, or multiway arrays, are often used for storage of high-dimensional data. In order to have compression, completion,...
By J. M. Sanz-SernaSIAM Review, Volume 62, Issue 1, Page 1-1, January 2020. Bernard Brogliato and Aneel Tanwani are the authors of “Dynamical Systems Coupled with Monotone Set-Valued Operators: Formalisms, Applications, Well-Posedness,...
By Darinka DentchevaSIAM Review, Volume 62, Issue 1, Page 229-230, January 2020. The Education section of SIAM Review presents three papers in this issue. In the first paper Robert M. Corless...
By Xiaochuan Tian and Qiang DuSIAM Review, Volume 62, Issue 1, Page 199-227, January 2020. Many problems in nature, being characterized by a parameter, are of interest both with a fixed parameter value...
By Bernard Brogliato and Aneel TanwaniSIAM Review, Volume 62, Issue 1, Page 3-129, January 2020. This survey article addresses the class of continuous-time systems where a system modeled by ordinary differential equations is...
By David Hong, Tamara G. Kolda, and Jed A. DuerschSIAM Review, Volume 62, Issue 1, Page 133-163, January 2020. Tensor decomposition is a fundamental unsupervised machine learning method in data science, with applications including network analysis and sensor...
By Tracy L. Stepien, Eric J. Kostelich, and Yang KuangSIAM Review, Volume 62, Issue 1, Page 244-263, January 2020. Most undergraduates have limited experience with mathematical modeling. In an effort to respond to various initiatives, such as the...
By Antônio Francisco NetoSIAM Review, Volume 62, Issue 1, Page 264-280, January 2020. In this work we introduce a new operator based approach to matrix analysis. Our main technical tool comprises an...
By Nawaf Bou-Rabee and Miranda C. Holmes-CerfonSIAM Review, Volume 62, Issue 1, Page 164-195, January 2020. Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the...
By Robert M. Corless and Leili Rafiee SevyeriSIAM Review, Volume 62, Issue 1, Page 231-243, January 2020. We look at two classical examples in the theory of numerical analysis, namely, the Runge example for interpolation and...
By Anna Aksamit, Zhaoxu Hou, and Jan ObłójSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 27-59, January 2020. We investigate asymmetry of information in the context of the robust approach to pricing and hedging...
By Hamed Amini, Damir Filipović, and Andreea MincaSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 60-98, January 2020. We examine the effects on a financial network of clearing all contracts though a central node...
By Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, and Chen YangSIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 1-26, January 2020. We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future...
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Update 7/14/20: Today, the Trump Administration rescinded these proposed rules on foreign students studying online, returning to the previous status quo. Thank you to all of the SIAM members who ...
We may not be able to meet in Toronto for this year’s Joint SIAM/CAIMS Annual Meeting (AN20) , but that doesn’t mean we can’t hold the meeting! SIAM and CAIMS are pivoting to virtual with a ...
Want to stay engaged with SIAM’s global network of financial mathematics researchers? If so, access the five most cited papers from SIAM Journal on Financial Mathematics ( SIFIN ) since 2015 ...
It's National Volunteer Week! This occasion is an opportunity to celebrate the dedicated individuals who offer their time in exchange for nothing more than making SIAM (and the world) a better ...
It is with great sadness that we announce that Mark H.A. Davis passed away in March 2020. He lost a difficult, nine-month-long battle with cancer, supported by his beloved wife Jessica. ...
Mathematics and statistics play a vital part in everyday life. Mathematical and statistical techniques are used to help solve real-world problems, focusing on topics such as disease spread, ...
This prize was created in 2013 to emphasize George Pólya’s legacy of communicating mathematics effectively. It joins two long-standing Pólya prizes SIAM has awarded in combinatorics and other fields beginning in 1969.
Established in 1998 in memory of Ralph E. Kleinman, the prize recognizes contributions that bridge the gap between high-level mathematics and engineering problems. The award is based on the quality and impact of the mathematics.
Established in 2010, the prize is awarded to an individual in their early career for research contributions to the mathematical modeling of financial markets, based on publications in peer-reviewed journals.
This joint prize was established in 2002 to honor Sonia Kovalevsky and her work on the theory of differential equations. It is awarded to anyone in the scientific or engineering community whose work highlights the achievements of women in applied and computational mathematics. Nominations can be submitted via the AWM website.
The prize recognizes outstanding research presented by students or postdocs at the SIAM Conference on Financial Mathematics and Engineering. Finalists are selected before the conference, and one or two winners are selected and awarded at the conference, based on the delivery of the paper.
The Pioneer Prize is awarded every four years at the International Council for Industrial and Applied Mathematics (ICIAM) Congress to one individual for pioneering work introducing applied mathematical methods and scientific computing techniques to an industrial problem area or a new scientific field of applications. Nominations can be submitted via the ICIAM website.
Through the generosity and inspiration of Gerald and Judith Porter, the Mathematical Association of America (MAA), American Mathematical Society (AMS), and SIAM offer this annual lecture at the Joint Mathematics Meetings. The lecture, first awarded in 2010, is given on a mathematical topic accessible to the broader community.
Named in honor of I. E. Block, a co-founder and the first managing director of SIAM, this lecture is open to the public at the SIAM Annual Meeting. It is intended to encourage public appreciation of applied mathematics and computational science by reaching out to the local community.
Established in 1959, the prize honors John von Neumann, a founder of modern computing. The prize is awarded annually for distinguished contributions to applied mathematics and for the effective communication of these ideas to the community.
The JPBM Communications Award is given annually to reward and encourage communicators who, on a sustained basis, bring mathematical ideas and information to non-mathematical audiences. The prize may be awarded in two categories: For Public Outreach and For Expository and Popular Books. Nominations can be submitted via the AMS website.
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The prize was established in 1986 in memory of Richard C. DiPrima, who served SIAM for many years and in 1979–1980 as SIAM President. It aims to recognize an early career researcher in applied mathematics and is based on the doctoral dissertation.
The prize recognizes students for outstanding solutions to real world math problems. It is awarded to two of the teams judged "Outstanding" in the Mathematical Contest in Modeling (MCM) administered annually by the Consortium for Mathematics and Its Applications (COMAP). Registration is accepted via the COMAP website.
The SIAM Outstanding Paper Prizes bring attention to papers published in SIAM journals. Three awards are made each year to the authors of papers deemed by SIAM journal editors-in-chief worthy of particular attention.
The prize, established in 1985 and originally intended to be awarded periodically, is now awarded annually for contributions to the advancement of applied mathematics on the national or international level.
The SIAM Student Paper Prize is awarded annually to the student author(s) of the most outstanding paper(s) accepted by SIAM journals within the three years preceding the nomination deadline. Starting with the 2018 award, the focus of the prize is to recognize outstanding scholarship by students in SIAM journals.
Looking for financial support to further your research? Fellowships often provide funding plus experiential learning opportunities to young researchers. Learn more about fellowship opportunities.
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Internships allow you to network and forge connections for future job possibilities, while also exploring possible areas of interest. Look at this list of companies who offer valuable opportunities.
Our community is founded on igniting groundbreaking developments in applied math and computational science. Take a deeper dive into your area of study with one of these opportunities.