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University Calendar
Events for February
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Mon, Feb 01, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 1:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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Morgan Stanley Recruiting Team Presentation
Tue, Feb 02, 2010 @ 11:30 AM - 02:00 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
This is a two-and-a-half hour event, organized by the Math Finance Association. There will not be an interview session on that day. However, students are strongly encouraged to prepare an updated resume in accordance with the job description below, and submit it in person to the recruiting team if interested. The recruiting team will contact students they are interested in to set up an interview at a later date. Tuesday, February 2, 2010, KAP 41411:30-12:00 Light lunch in the Math department Common Room (KAP 410)on a first come and first serve basis.12:00-1:00 Presentation (A. Edeland, Morgan Stanley) (see http://www-rcf.usc.edu/~jinma/colloquium.html for details)1:00-2:00 Q&A Attendees should send a brief message to Daniel Lawrence (dlawrenc@usc.edu. This will help us better prepare for the event. Morgan Stanley Quantitative Finance ProgramMorgan Stanley Innovative Data, Environments, Analytics & Systems (IDEAS), is an integrated quantitative and technology organization formed to create a sustainable, commercial advantage for Morgan Stanley by reshaping the Firm's businesses around innovative people, processes and systems. IDEAS includes revenue-generating, business unit-embedded desk strategist teams, and platform and technology teams with a broad range of expertise across those data sources, applications, systems and technologies used by the Firm's sales and trading, banking and investment management businesses.Desk Strategists are key participants, together with traders and sales people, in the revenue generating activities of our Sales and Trading Division. Desk Strategists sit on the trading desk, are the primary modelers for new products, and team with the traders on delivering innovative trade ideas using models to analyze risks and opportunities in trading books for complex derivatives.Responsibilities include creating models and strategies the desk will use to drive trading decisions, analyzing and managing the risk of the positions currently on the books, creating pricing and marking models and creating trader efficiency tools.Quantitative Modelers develop and implement the mathematical market models that are the foundation of the trading strategy, valuation and risk management models. Our quantitative modelers, utilizing large, and often incomplete and asynchronous financial time series data, perform empirical research, on market dynamics. The firm relies upon the theoretical correctness and computational efficiency of this research and these models for identifying revenue generating opportunities and for managing large risk positions.A fast-paced and intense environment requires an aptitude for analyzing and interpreting often complex information in a timely manner.
Candidates will participate in initial training to educate them on financial concepts. In addition, the Firm's flat organizational structure and open trading floor provide IDEAS candidates the opportunity to collaborate with more experienced colleagues and learn from senior professionals. Below are the groups within IDEAS and a brief description of their products and approaches:Equities Strategists work with our Trading, Structuring and Sales teams to create, develop, execute and risk manage trades. This draws on a wide range of skills from pure mathematics to applied technology supported by our in-house training program. Covering a broad spectrum of products from vanilla single asset equity options to hybrid transactions involving multiple equity, FX, inflation, credit and volatility assets, we develop pricing models and use these to advise Traders on the optimal hedging strategies. With Sales and Structuring we focus on tuning our products to fit client requirements and to the firm's ability to price and make money.Strategists are also heavily involved in designing the technology infrastructure within which models are implemented and within which price, risk and analysis is presented.FX focuses on Foreign exchange options and products through Analytical and numerical solution of PDEs, numerical simulation. Black-Scholes, stochastic volatility, local volatility and jump diffusion models.
Successful desk strategists work on new pricing tools, product models and risk management tool and excel at correlation swaps for both the model and market.IRC strategists are closely involved in the valuation and risk management of all IR and related hybrid products. Products investigated range from government bonds and swaps to exotic IR options and multi-asset hybrid (IR-FX, IR-equity, etc.) derivatives. These products are analyzed using cutting edge calculations involving Monte-Carlo simulations, Black-Scholes, HJM, stochastic volatility, local volatility and jump diffusion models. Desk strategists work with the trading desks to investigate and model new payoffs and to improve and enhance implemented analytics. They also regularly work with and risk managers on pricing and risk suitability and accuracy.Market Modeling Market modelers develop and implement mathematical models of the joint dynamics of market factors. These models are at the heart of our valuation and risk reporting models as well as key components of many our trading strategies. Market modelers apply sophisticated mathematical techniques to solve complex mathematical finance problems in the development of our models and in the analytics required for their calibration. Tasks confronting the market modelers include defining the accurate representation of market dynamics, finding the correct representation of the resulting pricing equations, implementing efficient solution methods (PDE, Monte Carlo...), and solving and implementing the inverse solution for calibration purposes. SPG uses a combination of financial engineering, mathematical modeling, and computer science to analyze securitized products that depend on joint behavior of various asset types, such as residential and commercial housing, credit card receivables, auto loans, etc..
Responsibilities include rapid analysis of emerging trading opportunities, risk analysis, loan modeling, and developing trading infrastructure. Quantitative analysis of securitized products relies on techniques from statistics and probability theory, partial differential equations, and operations research.Requirements* Quantitative Skills: MFE, PhD or equivalent degree in Mathematics, Applied Mathematics, Physics, Statistics, Econometrics, Computer Science, Electrical Engineering, Computer Engineering and related quantitative finance fields.
* Programming Skills: Knowledge of efficient coding and good code structure (C++ programming and statistical packages such as SAS or Matlab).
* Financial Expertise: A good background in asset pricing theory, economics, econometrics, or statistics is desirable.
* Communication Skills. A strong desire to participate in a collaborative environment.
* You have an active interest in the financial markets and how they are influenced by external markets.
* Your communication skills enable you to explain complex propositions in a simple and compelling manner.
* You are a team player who puts results ahead of individual recognition.
* You are able to create profitable trading opportunities for both Morgan Stanley and our clients.All candidates who would like to be considered for the role must submit their resume by applying for the Quantitative Finance Program through our website www.morganstanley.com/careers or email a resume and cover letter to phd.recruiting@morganstanley.com.Location: Kaprielian Hall (KAP) - 414
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Wed, Feb 03, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 1:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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Dynamic Vehicle Routing for Robotic Networks
Thu, Feb 04, 2010 @ 03:30 PM - 05:00 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Speaker: Marco PavoneHost: Prof. Gaurav SukhatmeDate/Time: THURSDAY, FEBRUARY 4, 2010, 3:30-5:00 PMLocation: SEAVER SCIENCE LIBRARY (SSL) 150Abstract: In the recent past considerable efforts have been devoted to the problem of routing robotic vehicles through spatially-localized service requests. In most of the literature on this problem the model is static in the sense that all of the relevant information is assumed to be known by a planner before the routing process begins. However, this assumption is too restrictive in many applications of interest.In this talk, we discuss dynamic routing problems in which new information becomes available sequentially over time. Specifically, we analyze a prototypical dynamic routing problem where a network of robotic vehicles must fulfill service requests whose time of arrival and location are stochastic, and whose service must begin before a deadline. The aim is to find a routing policy which ensures, with the minimum possible number of vehicles, that the probability of a request being successfully serviced before its deadline is larger than a desired value. By leveraging tools from control theory and queueing theory, we find optimal policies for the case in which requests are generated rarely, and we devise provably-correct and computationally-efficient policies for all other cases.In the last part of the talk we turn our attention to the distributed implementation of dynamic routing policies. The key idea we pursue is that of partitioning policies whereby the workspace is partitioned into a number of subregions equal to the number of vehicles, one vehicle is assigned to each subregion, and each vehicle executes a single-vehicle policy within its own subregion. First, we show that proper partitioning policies are indeed optimal. Then, we obtain distributed routing policies by designing provably correct, spatially-distributed algorithms for environment partitioning.Bio: Marco Pavone is a Ph.D. candidate in the Laboratory for Information and Decision Systems within the Department of Aeronautics and Astronautics at the Massachusetts Institute of Technology. He received a Laurea degree in Electrical Engineering from the University of Catania, Italy, in 2004, and received a Diploma in Computer Engineering from Scuola Superiore di Catania, Italy, in 2005. Prior to joining MIT, he worked as an Analyst for Accenture Consulting. His research interests include algorithmic and computational approaches to the design and development of decision and control architectures for complex networked and autonomous systems.
Location: Seaver Science Library (SSL) - 150
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Fri, Feb 05, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 12:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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One Week to E-Week!
Sun, Feb 07, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Celebrate E-week with Viterbi students from 2/16 - 2/19! For many of you, this will be your first Viterbi E-week so take five minutes to let us know what you think! Send in your ideas with this survey and registration by February 14th and you'll entered into a drawing for prizes! Check out the E-week Website for more information: http://viterbistudents.usc.edu/eweek/
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Mon, Feb 08, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 1:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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One Week to E-Week! - Carnival Kick-Off
Tue, Feb 09, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Celebrate the start of E-week with a wacky Tuesday (2/16) afternoon of fun and food! Join in with friends, classmates, and faculty in events like Concrete Bowling, Wii gaming, and the ever popular Professor Pie Toss! This is a great time to meet new friends, check out engineering organizations, interact with faculty, and best of all, celebrate engineering!Nominate a professor for the Pie Toss!
http://viterbistudents.usc.edu/eweek/feature-events/e-week-carnival-kickoff.htmAudiences: Everyone Is Invited
Contact: E-WEEK 2010
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EE Distinguished Lecturer Series
Tue, Feb 09, 2010 @ 04:00 PM - 05:00 PM
Ming Hsieh Department of Electrical and Computer Engineering
University Calendar
"Energy-Efficient Computing: From the Handheld to the Data Center"Speaker:
Professor Margaret Martonosi,
Dept. of Electrical Engineering,
Princeton UniversityAbstract:
Over recent decades, power and energy issues have emerged
as a fundamental challenge to computer systems design at
all scales. In mobile computing, achieving high performance
capabilities at low energy for long battery lifetimes is a central
goal. At the data center level, power and thermal constraints
are fundamental limiters in the scale, operating cost, and environmental
impact of internet services and the data centers they run on.
This talk will touch on my group's research in power-aware computing
across these scales, including both hardware and software techniques
for managing power-performance tradeoffs.Biography:
Margaret Martonosi is currently Professor of Electrical Engineering at Princeton University, where she has been on the faculty since 1994. She also holds an affiliated faculty appointment in Princeton CS. Martonosi's research interests are in computer architecture and the hardware/software
interface, with particular focus on power-efficient systems and mobile computing.In the field of processor architecture, she has done extensive work on power modeling and management and on memory hierarchy performance and energy. This has included the development of the Wattch power modeling tool, the first architecture level power modeling infrastructure for superscalar processors. In the field of mobile computing and sensor networks, Martonosi led the Princeton ZebraNet project, which included two real-world deployments of tracking collars on Zebras in Central Kenya. In addition to numerous publications, she has co-authored a technical reference book on Power-Aware Computing and five granted US patents. Martonosi is a fellow of both IEEE and ACM.Host: Massoud Pedram, pedram@usc.eduLecture: 4:00 - 5:00pm
Reception: 5:00 - 6:00pmLocation: Henry Salvatori Computer Science Center (SAL) - 101
Audiences: Everyone Is Invited
Contact: Mayumi Thrasher
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One Week to E-Week! - Engineering Spirit Day
Wed, Feb 10, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Challenge your peers to a little friendly competition!This year, E-week will be sponsoring Dodgeball and Tug-of-War challenges between engineering groups and students on Wednesday, 2/17. For two hours, the E-quad will be reserved for the sole purpose of a little friendly competition. Participants will then receive meal tickets for a delicious BBQ lunch sponsored by the E-week Planning Committee.Reserve a time slot now! http://viterbistudents.usc.edu/eweek/feature-events/engineering-spirit-day.htm
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Wed, Feb 10, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 1:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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One Week to E-Week! - Engineering Date Auction
Thu, Feb 11, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Get ready for the 6th Annual Engineering Date Auction! This year, seventeen stunning and talented engineers, along with their limited V-ball tickets, will being auctioned on Thursday, 2/18, to raise money for Aviva*. With Viterbi Ball & Banquet tickets SOLD OUT, be prepared (with your checkbooks ready) for a crazily entertaining night. Auctionee profiles can be found online at http://www-scf.usc.edu/~sweusc/auction/auctionees.htm
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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One Week to E-Week - DiscoverE!
Fri, Feb 12, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Inspire the next generation of engineers by giving local middle school students a feel... or taste! .. of what we do! 120 students from the local community will be brought to USC on Friday, February 19th, to spend the afternoon participating in engaging engineering activities sponsored by Viterbi student organizations. Check out more information at http://viterbistudents.usc.edu/eweek/feature-events/discovere.htm !
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Fri, Feb 12, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs at 9:00 a.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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IEEE/Xplore
Fri, Feb 12, 2010 @ 10:30 AM - 11:30 AM
Ming Hsieh Department of Electrical and Computer Engineering
University Calendar
IEEE Xplorer is launching a new Interface on February 12, 2010.
It is important that you learn the new search strategies from the IEEE rep, Mr. George Plosker. He will be at USC on Friday, Feb. 12th at 10:30am, and will give an orientation session in EEB 248.Audiences: Everyone Is Invited
Contact: Mayumi Thrasher
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Presidents Day Holiday
Mon, Feb 15, 2010
Viterbi School of Engineering Career Connections
University Calendar
Viterbi Career Services will be closed for the President's Day Holiday.
Audiences: All Viterbi Students
Contact: RTH 218 Viterbi Career Services
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E-Week!
Mon, Feb 15, 2010
Viterbi School of Engineering Student Organizations
University Calendar
With a theme like Capture the Moment how could we not have a Photograph Competition!
Submit your best engineering photos to enter into one of the following five categories:
- Engineering Spirit
- Captured Engineering Moment
- Contrived Engineering Moment
- Best E-Week Moment
- Best Photo with a Faculty MemberPhotos must be submitted online by midnight, February 18th, 2010. Check out our website for more details: http://viterbistudents.usc.edu/eweek/photo.htmAudiences: Everyone Is Invited
Contact: E-WEEK 2010
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E-Week Carnival Kick-Off
Tue, Feb 16, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Celebrate the start of E-week with a wacky Tuesday afternoon of fun and food! Join in with friends, classmates, and faculty in events like Concrete Bowling, Wii gaming, and the ever popular Professor Pie Toss! This is a great time to meet new friends, check out engineering organizations, interact with faculty, and best of all, celebrate engineering!
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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Engineering Spirit Day
Wed, Feb 17, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Challenge your peers to a little friendly competition!This year, E-week will be sponsoring Dodgeball and Tug-of-War challenges between engineering groups and students on Wednesday, 2/17. For two hours, the E-quad will be reserved for the sole purpose of a little friendly competition. Participants will then receive meal tickets for a delicious BBQ lunch sponsored by the E-week Planning Committee. Learn more at http://viterbistudents.usc.edu/eweek/feature-events/engineering-spirit-day.htm
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Wed, Feb 17, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 1:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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E-Week DiscoverE!
Fri, Feb 19, 2010
Viterbi School of Engineering Student Organizations
University Calendar
Inspire the next generation of engineers by giving local middle school students a feel... or taste! .. of what we do! 120 students from the local community will be brought to USC on Friday, February 19th, to spend the afternoon participating in engaging engineering activities sponsored by Viterbi student organizations. Find out more information at http://viterbistudents.usc.edu/eweek/feature-events/discovere.htm !
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Fri, Feb 19, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 12:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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Viterbi Ball & Banquet
Fri, Feb 19, 2010
Viterbi School of Engineering Student Organizations
University Calendar
This year, we will be ending E-week in style with the Viterbi Ball and Banquet! Join us as we celebrate the achievements of Viterbi Engineering students, experience an entertaining and social evening out in L.A., and conclude the events of National Engineering Week. The location is secret, but it's sure to be nice!Tickets are SOLD OUT and are now available ONLY at the Engineering Date Auction on February 18th!
Audiences: Everyone Is Invited
Contact: E-WEEK 2010
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Meet USC: Admission Presentation, Campus Tour, & Engineering Talk
Wed, Feb 24, 2010
Viterbi School of Engineering Undergraduate Admission
University Calendar
This half day program is designed for prospective freshmen and family members. Meet USC includes an information session on the University and the Admission process; a student led walking tour of campus and a meeting with us in the Viterbi School. Meet USC is designed to answer all of your questions about USC, the application process and financial aid.Reservations are required for Meet USC. This program occurs twice, once at 9:00 a.m. and again at 1:00 p.m. Please visit http://www.usc.edu/admission/undergraduate/visit/meet_usc.html to check availability and make an appointment. Be sure to list an Engineering major as your "intended major" on the webform!
Location: USC Admission Center
Audiences: Prospective Freshmen and Family Members - RESERVATIONS REQUIRED
Contact: Admission Intern
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Ports 101: How the Port Operates and Its Relationship to the Regional, National ...
Wed, Feb 24, 2010 @ 02:00 PM - 03:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
SONNY ASTANI DEPARTMENT OF CIVIL AND ENVIRONMENTAL ENGINEERING SEMINAR*Title: "Port's 101: How the Port Operates and Its Relationship to the Regional, National and International Economy"Speaker: Robert Kanter, Ph.D., Managing Director of Environmental Affairs & Planning Port of Long Beach, California Date/Time/Location: Wednesday, February 24, 2010, 2:00 PM, KAP 209 (Kaprielian Hall) Abstract: The Port of Long Beach is the second largest Port in North America. Combined with its neighbor, Los Angeles, the San Pedro Bay Port complex is the fifth largest Port complex in the world. The value of commodities passing through the Long Beach Port is in excess of $140 billion. The Port supports over 300 thousand jobs in the greater five County region including Los Angeles. The presentation will cover the governance structure of the Port, land use planning, and operational features, as well as environmental initiatives. *3620 South Vermont Avenue Los Angeles, CA 90089 Tel: (213) 740-0603
Location: Kaprielian Hall (KAP) - 209
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Andrew J. Viterbi Distinguished Lecture in Communication
Thu, Feb 25, 2010 @ 04:00 PM - 05:30 PM
Ming Hsieh Department of Electrical and Computer Engineering
University Calendar
"From Radiative Transfer Theory to Fast Algorithms for Cell Phones"Speaker:
Dr. Thomas Kailath, Stanford UniversityAbstract:
We first describe how noticing analogies between studies of the Wiener-Hopf equation in the statistical theories of prediction and filtering and in the earlier researches of V. Ambartzumian and S. Chandrasekhar in radiative transfer theory led to fast implementations of the Kalman filter for constant parameter state space systems. Further exploration led to the concept of Displacement Structure and the development of fast algorithms (and efficient integrated circuit implementations thereof) for a host of problems in several fields, including communications, control, signal processing, linear algebra and operator theory. Biography:
After his studies at the Massachusetts Institute of Technology (Sc.D., 1961), Thomas Kailath was invited by S. Golomb to join the Communications Research Group at the Jet Propulsion Laboratory in Pasadena, CA, in a section led by A. Viterbi. He also held a visiting appointment at Caltech, which perhaps had a role in his move in 1963 to Stanford University, where he is now Hitachi America Professor of Engineering, Emeritus. Over the years, aided by a stellar array of over a hundred doctoral and postdoctoral scholars, his research has ranged over several fields, including information theory, linear systems, estimation and control, signal processing, semiconductor manufacturing, probability and statistics, and matrix and operator theory. Major honors include the IEEE Education and Signal Processing Medals and the IEEE Medal of Honor in 2007. He has also held Guggenheim and Churchill Fellowships, received several honorary degrees, co-founded companies with his students, and been elected to the U.S. National Academy of Engineering, the U.S. National Academy of Sciences, the American Academy of Arts and Sciences, the Silicon Valley Engineering Hall of Fame and several foreign academies. In 2009, he received a Padma Bhushan national award from the President of India, the Blaise Pascal Medal from the European Academy of Sciences, and was elected as a Foreign Member of the Royal Society of London.Reception: 3-4pm, RTH Lobby
Lecture: 4-5:30pm, GER AuditoriumLocation: Ethel Percy Andrus Gerontology Center (GER) - 124
Audiences: Everyone Is Invited
Contact: Mayumi Thrasher
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Does the Derivatives Market Still Look Backward to Move Forward
Fri, Feb 26, 2010 @ 03:30 PM - 05:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
USC Mathematical Finance Colloquium Special Lecture SeriesTitle: "Does the Derivatives Market Still "Look Backward to Move Forward?" Speaker: Nicole El Karoui, Université de Paris VI and Ecole Polytechnique, France Date/Time/Location: Friday, February 26, 2010, Lecture 3:30-4:30, Ethel Percy Andrus Gerontology Center (GER), Leonard Davis AuditoriumReception: 4:30-5:30 PM Outside GER AuditoriumAbstract: In the Black-Scholes theory of 1973, the message was that the derivatives market "looks backward to move forward". More precisely, the theory indicates that to price and hedge option contracts, one looks backward from the maturity and the pay-off of the contract for very short time periods, and then calculate from dates to dates the best hedge to the residual risk exposure. The minimal investment to implement the hedging strategy is then the market price of the derivative. The theory of Backward Stochastic Differential Equations was introduced by E. Pardoux and S. Peng in1990 originally without links with finance. It has, in particular the associated Monte Carlo methods, become a ubiquitous mathematical tool in finance exactly for such thinking. During the past two decades, with the increasing market liquidity, large classes of derivatives, such as vanilla options on stocks or currency or interest rates have been used as hedging instruments. Since the seminal paper of Heath, Jarrow, Morton (1987) on the forward dynamics of yields curve, the desire to understand the forward dynamics of some derivatives has grown significantly. The problems become increasingly complex, from the dynamics of the yields curve, to that of the implied volatility surface, and now to that of the implied volatility cubes. While the calibration issues seem to be the main reasons for this evolution, the asymptotic problems are particularly challenging both in theory and practice. In this talk I will present some of the problems in this new development.Bio: Nicole El Karoui is Professor of Applied Mathematics at both University of Paris VI and Ecole Polytechnique, France. She is well known for her many contributions on probabilistic aspects of stochastic control and their applications to partially observable optimization problems. In 1989, after a sabbatical semester in a bank, she started working on various mathematical problems in finance. She has been the leader in many fields of mathematical finance and related stochastic analysis. In 1990, with H. Geman, she founded one of the first graduate programs in quantitative finance at University of Paris VI, co-accredited with the Ecole Polytechnique. The program has been highly successful, and was widely reported in the French and US media (e.g., Le Monde and Wall Street Journal in 2006), which has greatly increased the visibility of French Quants in the world. There will be a reception after Prof. El Karuoi's talk, outside the Ethel Percy Andrus Gerontology Center (GER).
Location: Ethel Percy Andrus Gerontology Center (GER) - Auditorium
Audiences: Everyone Is Invited
Contact: Georgia Lum
