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Previous Focus on Student Research
Buy? Sell? What are
the Options?
Jennifer Geis is a senior Mathematics and Actuarial Science major at Augsburg
College who recently researched questions in financial mathematics.
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| Jennifer
Geis presents her research poster at the AMS/MAA Joint meetings
in San Antonio, Texas, January 2006. |
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Over the
past summer, she had the opportunity to go to North Carolina State
University for a Research Experience for Undergraduates (REU). There
she learned about financial mathematics and about correctly pricing
stock options. Options are the right, but not the obligation, to
buy or sell a stock for a certain price at a certain time in the
future. Her research consisted of improving upon a least-squares
Monte Carlo simulation technique for pricing American put options
by implementing and testing different control variates.
In November 2005 Jennifer presented her work "Option Pricing Made
Cents" at Augsburg's Mathematics Colloquium. In January, Jenn took
her work on the road a the Joint Mathematics Meetings in San Antonio,
Texas on January 14, 2006. At the meetings she presented a poster
“Optimization Least Squares Approach for Valuation of American Put
Options”. See some of Jennifer's work by viewing her Powerpoint
presentation from the mathematics colloquium. To view her powerpoint
presentation click here.
Jennifer is currently working under the supervision of Dr.
Tracy Bibelnieks on researching data-mining techniques in conjunction
with a local business. |
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Tim Bancroft presents his
research poster at the AMS/MAA Joint meetings in Phoenix, Arizona, January 2004.
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Bulgarian exchange: where does it end?
That’s the question Tim Bancroft, a senior mathematics major at Augsburg, has studied under the
direction of research advisor Prof. Su Dorée. Tim grew up in the Twin Cities and came to Augsburg
because his older brother and sister had. After graduating from Augsburg Tim plans to work on his
master’s in statistics at Iowa State.
"One of the most exciting parts of my research
project was being able to travel and present my work," Tim explains. Through funding from Augsburg,
Tim traveled with Professor Dorée to a national mathematics conference in Phoenix in January.
In addition to enjoying the warm, sunny weather, Tim presented a poster on his work and attended
numerous talks about mathematics. "There were a lot of talks," Tim explains, "but the
sessions on ‘Mathematics and Sports’ were my favorite."
Tim’s research project grew out of a puzzle from Discrete Mathematical Structures class (MAT 271).
In his two–player version you and a friend each begin with coins arranged in piles. At each
turn you trade coins according to rule: remove the top coin from each pile, possibly eliminating piles,
and give that collected pile of coins to the other player. The game continues until you begin to
repeat previously encountered arrangements.
Which arrangements are reached again? How long are the ultimate cycles of arrangements?
Do all starting arrangements end in the same cycle? What does the state graph look like?
The single player version, called Bulgarian solitaire, was made popular in 1983 by Martin Gardner
in his Scientific American column and is a somewhat distant relative of the two-player African pebble
games Mancala. The study of such games generally falls under what’s known as Recreational Mathematics but,
more specifically, it lies within Combinatorics, the study of the arrangements of objects.
Although the rules are easy to describe, the mathematical structures of the game are intricate.
In 1985 Akin and Davis published an article in The American Mathematical Monthly that characterized the
cycle structure and cyclic elements of the solitaire version. Tim’s work generalizes their results to
the new, two-player version.
Mathematics students at
Augsburg have many opportunities to participate in research projects.
In addition to independent study, mathematics majors have the opportunity
to propose Departmental Honors projects, and even to work as research
assistants on longer-term faculty research projects.
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Dan
(l) and Kailash (r) had the opportunity to work with Augsburg's
new 6-CPU beowulf cluster. This small cluster of three computers,
each with two processors, can perform moderate to large scale
numerical simulations very quickly. Dan and Kailash spent
time learning how to design algorithms for parallel computation,
and wrote computer software to do numerical modeling of waves
using the cluster.
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Dan Wolf and
Kailash Thapa, both Mathematics and Computer Science double majors,
spent summer 2003 working on a research project in collaboration
with Dr. Nick Coult. The research was conducted as part of a three
year NSF-funded project to study mathematical
models of waves.
Dan hails from
Lacrosse, WI, and said he greatly enjoys doing research of this
kind. "It's very challenging, because you don't always know
whether you're on the right path, but it's very exciting too to
be learning so much and to be working on the cutting edge,"
he said of his summer work.
Kailash comes from farther afield - Kathmandu, Nepal, to be exact.
Like Dan, he enjoys the challenge of the work and the close interaction
with faculty. "We're working with Dr. Coult on a daily basis,
identifying issues, solving problems, running numerical experiments...with
the computer resources we have available, we can do quite a lot,
but we also use a lot of mathematics. I think it's great,"
said Kailash.
Mathematics students at
Augsburg have many opportunities to participate in research projects.
In addition to independent study, mathematics majors have the opportunity
to propose Departmental Honors projects, and even to work as research
assistants on longer-term faculty research projects.
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| Kailash
and Dan made extensive use of calculus, differential equations,
linear algebra, numerical anaylsis, and a variety of computer
programming languages -- all of which they learned through courses
at Augsburg. |
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Kevin Sanft,
Mathematics and Computer Science double major, spent the 2001-2002
academic year working on a research project in collaboration with
Dr. Nick Coult.
Kevin wrote:
"My project is primarily a numerical analysis problem. I am
studying the wave equation and how numerical solutions to this equation
can be used in computer simulations. I am also looking at the error
involved in my model and exploring the relationship between the
accuracy of the model and the computation time required."
When he wasn't
working on numerical wave modeling, Kevin hit the links with the
Augsburg golf team. He also likes spending time outdoors and fishing.
He graduated in May 2002 and is now working for as a data analyst
for the Mayo Clinic in Rochester, MN.
Mathematics
students at Augsburg have many opportunities to participate in research
projects. In addition to independent study, mathematics majors have
the opportunity to propose Graduation With Distinction Honors projects,
and even to work as research assistants on longer-term faculty research
projects.
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Kevin
works at one of Augsburg's Sun Ultrasparc workstations.
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Snapshot
of a two-dimensional circular wave propagating through an inhomogeneity.
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In addition to computer modeling and simulation, Kevin has to do
some old-fashioned chalk-board work.
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