Random January 2014

random@lists.dm.unipi.it

18 participants
31 discussions

Seminario di Fabio Gobbi a Bologna
by giacomo.scandolo＠univr.it 27 Jan '14

27 Jan '14

Il giorno Giovedì 30 Gennaio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna si terrà il Seminario del Dott. Fabio Gobbi Dipartimento di Scienze Statistiche, Università di Bologna Titolo: C-CONVOLUTION AND ITS APPLICATION TO FINANCE Abstract In ﬁnancial applications is interesting to determine the distribution function of the sum of two random variables X and Y in the case where they are dependent. We address the problem using the convolution operator which recovers the distribution of X+Y when a copula function C describes the dependence structure and the marginal distributions of the two r.vs. are given. Nevertheless, almost all the ﬁnancial data are generated by stochastic processes. Our C-convolution approach allows to build dependent increments processes since setting X = X(t-1) − and Y = DX, their sum is X_t . In this framework we model the dependence structure between the level of the process and its next increment. From an empirical point of view, ﬁnancial data are time series and the econometric analysis is provided by the concept of conditional copula introduced by Patton (2006) which allows us to deﬁne the conditional 𝐶-convolution as a data generating process. We estimate such a model by a three-stage maximum likelihood method and we provide some asymptotic results of this estimator. An immediate ﬁnancial application of such a method is given by a copula-based model to recover the distribution of actively managed funds. The analysis is based on a general representation of the Henriksson Merton (1981) model, in which the forecasting ability of the asset manager is modeled with a copula function (linking the forecasts of the asset manager and actual market movements). This is a convolution-based copula yielding at the same time the marginal distribution of the return on the managed fund and the dependence structure between the managed fund and the market. The model is very well suited to estimate and simulate the conditional distribution of managed funds.

1 0

Avviso di seminario :: Ventura@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 27 Jan '14

27 Jan '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 31 Gennaio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma LAURA VENTURA (Dip. di Scienze Statistiche, Università degli Studi di Padova) terrà un seminario dal titolo PSEUDO-LIKELIHOODS FOR BAYESIAN INFERENCE tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary In the presence of models with complicated dependence structures, of multidimensional nuisance parameters, or of model miss-specifications, both frequentist and Bayesian inference may encounter some theoretical and computational difficulties, since the ordinary likelihood may be too difficult or even impractical to compute. In order to take into proper account such difficulties, it is possible to consider surrogates of the original likelihood, which produce the wide class of the so-called pseudo-likelihoods. In this talk we review the properties and applications of the so-called pseudo-posterior distributions, i.e. posterior distributions derived from the combination of a pseudo-likelihood function with suitable prior information. Some examples are illustrated.

1 0

Fwd: [stoch-ned-l] Workshop Population Dynamics and Statistical Physics in Synergy
by Cristian Giardina 25 Jan '14

25 Jan '14

---------- Forwarded message ---------- From: Koorn, P.M. <Koorn(a)eurandom.tue.nl> Date: Fri, Jan 24, 2014 at 3:26 PM Subject: [stoch-ned-l] Workshop Population Dynamics and Statistical Physics in Synergy To: "stoch-ned-l(a)science.uu.nl" <stoch-ned-l(a)science.uu.nl> We would like to announce the upcoming workshop on Population Dynamics and Statistical Physics in Synergy To be held at Eurandom, Eindhoven, the Netherlands Date: August 25-29, 2014 More information on http://www.eurandom.nl/events/workshops/2014/Population_Dynamics/Population… On behalf of the organizers, Patty Koorn Eurandom P.O.Box 513 (MF 4.081) 5600 MB EINDHOVEN The Netherlands tel. +31 40 247 81 00 e-mail koorn(a)eurandom.tue.nl www.eurandom.tue.nl (mon+wed 8.30-16.30; thu+fri 8.30-15.00) _______________________________________________ stoch-ned-l mailing list SMS-VvS+OR/ Section Mathematical Statistics of The Netherlands Society for Statistics and Operations Research. stoch-ned-l(a)science.uu.nl http://mailman.science.uu.nl/mailman/listinfo/stoch-ned-l

1 0

mini workshop on risk measures in Bicocca
by Fabio Bellini 25 Jan '14

25 Jan '14

Il giorno martedì 28 gennaio dalle ore 14.30 alle ore 17.30, presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano Bicocca, al quarto piano dell'edificio U7, si terrà un mini-workshop su "New trends in risk measures". Programma dettagliato: 14.30 - 15.30 Johanna Ziegel, Università di Berna "Coherence and elicitability" http://arxiv.org/pdf/1303.1690.pdf 15.30 - 16.30 Valeria Bignozzi, ETH Zurich "How superadditive can a risk measure be?" http://www.math.uwaterloo.ca/~wang/papers/2014WBT.pdf 16.30 - 17.30 Elisa Mastrogiacomo, DISMEQ "Portfolio optimization with quasiconvex risk measures" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2282472 Tutti gli interessati sono invitati a partecipare. Saluti Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini

1 0

Re: [Random] Announcement for a spring school: CREMMA (fwd)
by Tiziano Vargiolu 22 Jan '14

22 Jan '14

Apologies for cross-postings. Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu -------------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Wed, 22 Jan 2014 11:48:26 +0000 (GMT) From: anis lasmar <anis_lasmar(a)yahoo.fr> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Re: Announcement for a spring school: CREMMA Dear Sir The University of Maine, The faculty of Science of Tunis and Laboratory of Mathematical Modeling and Numeric in Engineering Sciences "LAMSIN" organize the fourth spring school of the Euro-Mediterranean Research Center for Mathematics and its Applications. The lectures are devoted to Recent Advances in Math Financial and Insurance. The school will take place in the National Engineering School of Tunis ( ENIT), from March the 17th to the 28th. For registration and more information please visit the following link: http://www.lamsin.tn/CREMMA/Fourth-School.html Agenda March 17th-21st, 2014 - NizarTOUZI (EcolePolytechniquede Paris, France) Viscosity solutions for path dependent PDEs and application to Finance. - Xiaolu TAN (University of Paris-Dauphine, France ) The optimal transport and application to Finance. March 22, 2014: day of lectures. March 24th-28th, 2014 - Nicole EL KAROUI (University of Pierre et Marie Curie, Paris, France): Applications to the longevity and population dynamics. - Monique JEANBLANC (Universit?d'Evry Val d'Essonne ): Applications to problems of default and credit. - Alexandre BOUMEZOUEDD (University of Pierre et Marie Curie, Paris): The Poisson process, its simulation, random measures and point processes. Thank you for disseminating the information. Best regards, Mohamed Anis BEN LASMAR Enseignant/Chercheur Laboratoire de Mod?lisation Math?matique et Num?rique pour les Sciences de l'Ing?nieur Ecole Nationale d'Ing?nieurs de Tunis Universit? de Tunis El Manar BP 37, 1002 Tunis Le Belv?d?re, Tunisie E-mail: anis_lasmar(a)yahoo.fr mohamedanis.benlasmar(a)lamsin.rnu.tn

1 0

Avviso di mini-corso :: Iacus@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 20 Jan '14

20 Jan '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 27 Gennaio, ore 14:00 - 18:00 Martedì, 28 Gennaio, ore 9:00 - 13:00 ----------------------------------------------------------------------------- Aula VII (piano terra) Dipartimento di Scienze Statistiche Sapienza Università di Roma STEFANO IACUS (Dep. of Economics, Management and Quantitative Methods, University of Milan & R Core Team) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo SIMULATION AND INFERENCE FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN R WITH APPLICATIONS TO FINANCE Il corso è gratuito ma, dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form on line: http://goo.gl/RrCdVm Entro Giovedì 23/1 verrà inviata conferma dell'effettiva disponibilità del posto richiesto all’indirizzo email fornito. Ovviamente “first come, first served”, con possibile piccolo bias in favore di studenti di dottorato. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Alessandro De Gregorio, Pierpaolo Brutti, Fulvio De Santis --- Syllabus del corso The course plan to cover the following topics: > Simulation of solutions of stochastic differential equations. > Quasi–maximum likelihood estimation. > Model selection. > Analysis of financial time series. > Clustering of financial time series. > Change point analysis for the volatility in stochastic differential equations. Students are required to have basic knowledge of the R statistical package and come with a pre–installed version of the software and of the Yuima package on their machines. Preliminary notions on SDEs are welcome. Lectures will be based on the following books: > Iacus, S.M. (2011). Option Pricing and Estimation of Financial Models with R. John Wiley & Sons. > Iacus, S.M. (2008). Simulation and Inference for Stochastic Differential Equations: with R examples. Springer. but extract of the parts relevant to the course, will be distributed during the lectures along with exercise sheets.

1 0

Incontro su SDE con memoria e argomenti correlati
by Giovanni Zanco 19 Jan '14

19 Jan '14

Segnalo che martedì 21 e mercoledì 22 gennaio si terrà presso il dipartimento di Matematica dell'Università di Pisa (aula seminari) un incontro informale su equazioni differenziali stocastiche con memoria e argomenti correlati, durante il quale verranno presentati risultati recenti su SDE path-dependent, SDE con ritardo e calcolo stocastico via regolarizzazione in spazi di Banach. Sono previsti i seguenti seminari: *Martedì 21 gennaio:* *15.00* - B. Goldys - *Convergence of ARMA and GARCH processes to stochastic differential equations with memory;* *15.35* - M. Rosestolato - TBA; *16.10* - S. Federico - *Directional regularity and verification theorems for optimal control problems with delay;* *17.15* - F. Masiero - *Some results on HJB equations related to problems with delay;* *17.50* - G. Zanco - *An infinite dimensional approach to path-dependent Kolmogorov's equations.* *Mercoledì 22 gennaio:* *09.30* - C. Di Girolami - *Basis Banach space valued calculus via regularization and Fukushima-Dirichlet decomposition for window processes;* *10.05* - F. Russo - *On Kolmogorov type equations associated with frames of diffusion processes in relation with calculus via regularization;* *11.25* - A. Cosso - *Strong-viscosity solutions to path-dependent PDEs.* -- Giovanni Zanco Dipartimento di Matematica Università di Pisa Largo Bruno Pontecorvo 5, 56127 Pisa Room 302 +39 050 2213 237 zanco(a)mail.dm.unipi.it giovanni.zanco(a)gmail.com

1 0

[Recall] Nicola Bruti-Liberati Prize [2013] (fwd)
by Tiziano Vargiolu 18 Jan '14

18 Jan '14

Apologies for cross-postings. Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu -------------------------------------------------------------------------- -------- Messaggio originale -------- Oggetto: [Recall] Nicola Bruti-Liberati Prize [2013] Data: Fri, 17 Jan 2014 18:28:42 +0100 Mittente: qfinlab(a)polimi.it A: undisclosed-recipients:; The Bachelier Finance Society and the Department of Mathematics of the Politecnico di Milano, in cooperation with Springer, are proud to announce the 2013 Nicola Bruti Liberati Prize (III edition) which is to be awarded annually for a doctoral thesis in all subjects of Mathematical Finance, such as, but not limited to: Derivative Pricing, Computational Finance, Econometrics and Statistical Methods applied to Finance, Risk Analysis, Portfolio Optimization, Probability Methods in Finance, and Numerical Methods in Finance. Nicola obtained an undergraduate degree from Bocconi University (2001) in Mathematical Finance. He died in 2007 in a traffic accident in Sydney, while he was completing his PhD thesis at the University of Technology. At that time, he was also cooperating with the Quantitative Finance group of the Department of Mathematics of the Politecnico di Milano. In order to commemorate Nicola, his family and the Department of Mathematics of the Politecnico di Milano offer an annual prize of E3.000 for the best doctoral thesis to be selected by a Committee appointed by the Bachelier Finance Society. Theses defended in 2011, 2012 or 2013 must be submitted no later than January 31st, 2014. The call for scholarship can be downloaded from the QFinLab web-site (www1.mate.polimi.it/qfinlab) ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

1 0

Seminario di Probabilità - Università di Padova
by alessandra bianchi 17 Jan '14

17 Jan '14

Ho il piacere di invitarvi al seguente seminario che si terrà venerdì 31 gennaio, alle ore 14:30, nell'aula 2AB45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. Speaker: Dott. Tal Orenshtein Affiliation: Department of Mathematics, University of Munich Title: Excitements in one dimension Abstract: Excited random walk (also called Cookie walk) is a self interacting discrete time stochastic process on graphs so that the transition probability is given not only by the location, but also by the number of past visits to that location. We shall discuss some old and new results on the one-dimensional lattice case, which has a special structure. Joint with Gideon Amir and Noam Berger. -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

1 0

seminario del Prof. Ivan Gentil a Pavia - messaggio corretto
by Carbone Raffaella 17 Jan '14

17 Jan '14

Cari colleghi, il giorno martedì 21 gennaio 2014, alle ore 15, presso la sala conferenze dell'IMATI-CNR di Pavia, il Prof. Ivan Gentil (University of Lyon 1) terrà il seminario dal titolo *Contraction in Wasserstein distance for Markov diffusion semigroups * nell'ambito del Seminario di Matematica Applicata (IMATI-CNR e Dipartimento di Matematica, Pavia). Abstract : Under curvature condition the Wasserstein distance has some contraction properties between two solutions of the heat equation (on a manifold for instance). We investigate how the dimension appears in the contraction inequality. (Mi scuso per il doppio messaggio) -- Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

1 0

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random January 2014