On December 09, 2025 (Tuesday) at 14:15 in room 503 of IMI-BAS and online via Zoom Dr. Sebastian Tapia Garcia, research unit Variational Analysis, Dynamics and Operations Research, Vienna University of Technology will give a talk at the Operations Research, Probability and Statistics Seminar on: Differentiable functions with surjective generalized Jacobians. Abstract: In this talk we start with a brief discussion about the possible values that the limiting and Clarke Jacobians can take in the class of differentiable locally Lipschitz functions (defined on finite dimensional spaces). Then, we construct a differentiable locally Lipschitz function f:R^n\to R^m such that, for any nonempty compact connected C \subset R^{n х m} , we can find a point x in R^n such that C coincides [...]

On March 18 (Tuesday) at 2:00 p.m. in Room 503 of IMI, a meeting of the Seminar of the ORPS Department will be held. A talk on: Numerical inverse modelling of volatility identification from option quotes will be delivered by Slavi Georgiev, IMI-BAS. Abstract. The volatility is one of the most important parameters as well as it not directly observable on the market. In this talk we present some approaches to identify the time-dependent volatility, when some information about the option premium is known. We employ an average linearization in time of the diffusion terms of the initial-boundary problems. Then, we decompose the approximate solution with respect to the volatility in order to proceed to the new time layer in the discrete problem. These approaches [...]