Random November 2014

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22 participants
33 discussions

Seminario MICHAEL HINZ
by Federico Polito 16 Nov '14

16 Nov '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Venerdì 28 Novembre 2014 alle ore 14:30 in Aula S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. MICHAEL HINZ (Department of Mathematics, Bielefeld University) terrà un seminario dal titolo CALCULUS, … [View More]

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Bicocca Winter School on SINGULAR STOCHASTIC PDEs
by Francesco Caravenna 14 Nov '14

14 Nov '14

RECENT BREAKTHROUGHS IN SINGULAR STOCHASTIC PDEs Bicocca Winter School (2-6 February 2015) The aim of this school is to present some recent breakthroughs in the theory of non-linear stochastic PDEs, that allow to give a rigorous meaning to some important singular equations for which classical methods fail, due to the irregularity of the noise. Examples include the Kardar-Parisi-Zhang (KPZ) equation in 1d, the equation of stochastic quantization in 3d, the parabolic Anderson model in 2d. The … [View More]

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Seminario Giovanni Jona Lasinio a Roma Tre 18 Novembre
by Pietro Caputo 14 Nov '14

14 Nov '14

Giovanni Jona-Lasinio Universita' La Sapienza Titolo: Macroscopic fluctuation theory: an introduction and some applications Martedi' 18 Novembre 2014 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Abstract: The macroscopic fluctuation theory, proposed in collaboration with L. Bertini. A. De Sole, D. Gabrielli and C. Landim to study diffusive systems out of equilibrium, developed over the last decade into a powerful tool to solve concrete … [View More]

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Assegno di ricerca - Università Ca' Foscari di Venezia
by Carlo Gaetan 13 Nov '14

13 Nov '14

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Lucian Maticiuc - seminar at Computer Science Department Verona [ 20/11/14 ]
by Luca di persio 13 Nov '14

13 Nov '14

This is to inform you about the seminar that will be given by Lucian Maticiuic [Department of Mathematics "Gheorghe Asachi" Technical University] next 20/11, in Verona - Department of Computer Science. Details: http://www.di.univr.it/?ent=seminario&id=3220&lang=en Abstract We will present a self contained introduction to path dependent partial differential equation in stochastic framework, also considering memory effects and aiming at exploiting related results in financial … [View More]

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de Finetti risk seminar - november 2014
by Emanuela Rosazza 12 Nov '14

12 Nov '14

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lectures at 16:30: Conditional systemic risk measures Thilo Meyer-Brandis (LMU Munich) ABSTRACT The financial crisis has demonstrated that systemic risk due to the interconnectedness of financial-market participants - such as financial institutions, insurers, governments and, even, regulators themselves - can dramatically amplify the consequences of isolated … [View More]shocks to financial systems and pose a serious threat to prosperity and social stability.The traditional approach to risk control in financial mathematics is to apply risk measures to single institutions. However, this strategy fails to capture systemic risk because it treats institutions as if they were in isolation, and recent literature in financial mathematics has started to develop various approaches to rectify this deficiency. In this presentation we will axiomatically introduce and characterize risk-consistent conditional systemic risk measures. This class of conditional systemic risk measures is defined on multidimensional risks and consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies are based on the axiomatic characterization in [Chen et al., 2013] of a similar class of systemic risk measures in a finite state and unconditional framework. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Moreover, we allow for very general aggregation rules, a less restrictive axiomatic setting, and thus a more flexible structure which covers many prominent examples of systemic risk measures from the literature and used in practice. Further, we will see how this type of systemic risk measures naturally arises when considering families of consistent conditional systemic risk measures and discuss some examples. at 18:00: Mathematical models for the formation of financial bubbles Francesca Biagini (LMU Munich) ABSTRACT The notion of an asset price bubble has two ingredients. One is the observed market price of a given financial asset, the other is the asset's intrinsic value, and the bubble is defined as the difference between the two. The intrinsic value, also called the fundamental value of the asset, is usually defined as the expected sum of future discounted dividends. In the first part of the talk we study a flow in the space of equivalent martingale measures and focus on the corresponding shifting perception of the fundamental value of a given asset in an incomplete financial marketmodel. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale which then turns into a supermartingale before it falls back to its initial value zero. In the second part of the talk we examine the impact of overconfidence on bubbles formation in the framework of reduced-form models for credit risk. We assume that the wealth associated to a defaultable asset may be strongly affected by the trading activity of overconfident investors, who believe the asset to be safe and provoke an alteration of its estimated value. Since the value process changes under this influence, the underlying pricing measure has also to readapt determining a switch in the space of the equivalent martingale measures. In this way we provide a constructive approach to explain bubbles formation as well as motivate a dynamics in the space of equivalent martingale measures at micro-economic level. LOCATION: The seminar will be held on Wednesday, November 19, starting from 16.30, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it ***************************************************** [View Less]

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Avviso di seminario :: Fattorini@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 12 Nov '14

12 Nov '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 20 Novembre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma LORENZO FATTORINI (Dipartimento di Economia e Statistica Università degli Studi di Siena) terrà un seminario dal titolo … [View More]

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seminario di Alessandro Gnoatto presso Prometeia - Bologna
by Giacomo Scandolo 12 Nov '14

12 Nov '14

Il giorno Martedì 18 Novembre 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Alessandro Gnoatto (Ludwig-Maximilians Universität München) terrà un seminario dal titolo "Interest rate modelling after the financial crisis" Abstract In the first part of the talk we proceed to review the main changes in the interbank interest rate market after the financial crisis. We present the most relevant empirical evidences: divergence between … [View More]

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[ccfz] Postdoctoral fellowship at Imperial College London
by Tiziano Vargiolu 10 Nov '14

10 Nov '14

----- Forwarded message from r.cont(a)imperial.ac.uk ----- Date: Mon, 10 Nov 2014 09:57:20 +0000 From: "Cont, Rama" <r.cont(a)imperial.ac.uk> Reply-To: "Cont, Rama" <r.cont(a)imperial.ac.uk> Subject: [ccfz] Postdoctoral fellowship at Imperial College London To: "ccfz(a)lists.math.ethz.ch" <ccfz(a)lists.math.ethz.ch> The Department of Mathematics, Imperial College London is recruiting 3 Chapman postdoctoral fellows in Mathematics, starting 1 October 2015 for a … [View More]duration of 2 years. The Mathematical Finance Section http://www3.imperial.ac.uk/mathfin will support a candidate with research interests focused on MATHEMATICAL FINANCE, STOCHASTIC ANALYSIS OR APPLIED PROBABILITY. The full announcement is below. The deadline for applications is NOVEMBER 27, 2014. --------------------------- DEPARTMENT OF MATHEMATICS, IMPERIAL COLLEGE LONDON CALL FOR APPLICATIONS FOR 3 CHAPMAN FELLOWSHIPS IN MATHEMATICS SALARY RANGE: ?33,410 - ?42,380 PER ANNUM Fixed Term: 24 months, commencing 1 October 2015 Applications are invited for three Chapman Fellowships in Mathematics, tenable for two years, starting 1 October 2015. These posts provide an excellent opportunity for those seeking to pursue an academic career in mathematics. Candidates for a Chapman Fellowship are expected to have proven research ability in mathematics. Candidates will demonstrate the potential for strong leadership qualities in the subject, as illustrated, for example, through showing initiative on research projects. As well as holding a good honours degree and a PhD (or equivalent) in mathematics or a closely related subject, candidates will also be expected to demonstrate exceptional ability in their chosen research areas. They will have an outstanding research record commensurate with their level of experience, as demonstrated, for example, through an outstanding thesis, publications and conference presentations, etc. Candidates will be able to contribute significantly to the research environment of the Department of Mathematics, and have a proven track record of successful research interaction. In addition to pursuing research, Fellows will be expected to undertake a limited range of teaching duties in the Department of Mathematics. The ability to teach mathematics at undergraduate and postgraduate level is essential, as demonstrated by excellent written and verbal communication skills with the ability to give effective presentations. Further particulars, together with information about Imperial College London, the Department of Mathematics can be found at http://www.ma.imperial.ac.uk/[1]. The preferred method of application is online via our website http://www.imperial.ac.uk/employment (please select ?Job Search? then enter the job title or vacancy reference number into ?Keywords? ? vacancy ref: NS2014200AM ). Please complete and upload an application form stating which area you are applying to, (Applied Mathematics, Pure Mathematics, Mathematical Finance, Statistics), also providing a CV, list of publications and Research Plan. If you are unable to apply online or have any queries about the application process please contact Ms Claudia Cannon, Academic Support Administrator (c.cannon(a)imperial.ac.uk) quoting the reference number NS2014200AM to request an application form. CLOSING DATE: 27 NOVEMBER 2014 Interviews for the posts will be held January 2015 FOR FURTHER INFORMATION: https://www4.ad.ic.ac.uk/OA_HTML/OA.jsp?page=/oracle/apps/irc/candidateSelf….. >> Links: ------ [1] http://www.ma.imperial.ac.uk/ ----- End forwarded message ----- [View Less]

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Seminario MULAS (RGS & Matematica Applicata)
by Giacomo Aletti 10 Nov '14

10 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 17 Novembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Spike count and spike time coding of flashed images in macaque primary visual cortex" Marcello MULAS, … [View More]

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Random November 2014