Random February 2014

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26 participants
32 discussions

Seminario di Giovanni Puccetti presso Prometeia - Bologna
by Giacomo Scandolo 10 Feb '14

10 Feb '14

Il giorno Giovedì 13 Febbraio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Giovanni PUCCETTI (Università di Firenze) terrà un seminario su: RISK AGGREGATION AND MODEL UNCERTAINTY: SOME MESSAGES FROM THE METHODOLOGICAL FRONT Abstract. We review some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement. Specific issues that will be handled: - How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position?

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seminario Stefano Iacus Roma Tre
by Julia Mortera 10 Feb '14

10 Feb '14

Il 19 febbario alle ore 14:30 presso l'aula seminari (III piano) Dipartimento di Economia, Universit? Roma Tre, Via Silvio D'Amico 77 il Prof. Stefano Iacus Dipartimento di Economia, Management e Metodi Quantitativi Universit? degli Studi di Milano terr? il seminario: ***Statistics over Big Data: How to Analyze 80 Millions of Tweets*** Abstract: There are several ways to analyze data coming from digitized texts and there are even more ways to analysis big amount of these data. Analyzing the sentiment expressed on social networks is both about big data and digitized text. But sentiment analysis is not just text mining, i.e. usual data mining applied to text data, because what matters is to capture the meaning of sentences in a corpora of texts whose language evolves in time and space or according to the age, the background of the writers, etc. We will discuss the most recent techniques of sentiment analysis available in the literature along with some new ideas and present some applications to the analysis of 80 millions of italian tweets to happyness and economics.

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Seminar and Mini-course of Emmanuel Bacry at the Scuola Normale Superiore di Pisa
by Fabrizio Lillo 07 Feb '14

07 Feb '14

Emmanuel Bacry (CMAP, Ecole Polytechnique, France) will give a seminar at the Scuola Normale di Pisa on Thursday February 27 in Aula Bianchi at 1 pm The title and abstract are Hawkes process and applications Hawkes processes are point self-exciting point processes particularly well suited for applications. Introduced in the 70s, that have been used in very various domaines such as high-frequency financial time-series modeling or viral diffusion in social networks. After describing how they are defined and their main properties, we shall discuss some problems linked to parametric estimations (in high dimensions) as well as non parametric estimations. We will present several applications. Moreover he will give a mini-course on Modeling and analysis of high frequency financial time-series The agenda is attached below. Interested people are invited to participate. For more information, contact Fabrizio Lillo (fabrizio.lillo(a)sns.it) &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&& Tuesday February 25, Aula Fermi, 9.00-11.00 1- Introduction to different market and asset types - Which financial time-series for statistical analysis ? Thursday February 27, Aula Bianchi, 14.00-16.00 2- Orderbooks dynamics - Qualitative description - Some statistical elements of order books - Transaction costs - Price impact - Response function Wednesday March 5, Aula Bianchi, 14.00-16.00 3- Tick-by tick financial time-series - trading time versus physical time - ACD models - Microstructure noise Thursday March 6, Aula Bianchi, 14.00-16.00 4- Hawkes processes based tick-by-tick modeling - Microstructure noise modeling - Trading flow modeling - Response and Impact modeling ------------------------------------------------------------ Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159 web: https://sites.google.com/site/fabriziolillo9670/home

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I: postdoc position available
by Massimo Campanino 07 Feb '14

07 Feb '14

________________________________________ Da: Aernout van enter [avanenter(a)gmail.com] Inviato: giovedì 6 febbraio 2014 18.24 A: aldo(a)mat.ufmg.br; Vladas Sidoravicius; gentz(a)math.uni-bielefeld.de; gantert(a)ma.tum.de; maspm(a)bath.ac.uk; spohn(a)ma.tum.de; Massimo Campanino; Jacek Miekisz; Charles Newman; Gordon Slade Oggetto: Re: postdoc position available [https://mail.google.com/mail/u/0/images/cleardot.gif] Announcement: postdoc position Groningen A one - year postdoc position is available, funded by NWO, to work on the topic of ``hidden symmetries, new and dual models of interacting particle systems.'' The project has a targeted starting date of 1 september 2014. The postdoc will work at Rijksuniversiteit Groningen and will work with the main investigators investigators A.C.D. van Enter and F. Redig (Delft University). Besides he will have the opportunity to collaborate within an international network related to this and comparable projects, situated in Modena ( C. Giardina, G. Carinci) and Warwick ( S. Grosskinsky). More information and details about the project and the position can be obtained from F. Redig (http://dutiosb.twi.tudelft.nl/~redig<http://dutiosb.twi.tudelft.nl/%7Eredig>)and A.C.D. van Enter (http://www.math.rug.nl/dsmp/People/AernoutvanEnter). Interested candidates are asked to send a letter of motivation and CV to F. Redig (f.h.j.redig(a)tudelft.nl<mailto:f.h.j.redig@tudelft.nl>) and A.C.D. van Enter (avanenter(a)gmail.com<mailto:avanenter@gmail.com>) ___________________ Prof.dr A.C.D. van Enter University of Groningen Department of Mathematics P.O. Box 800 9700 AV Groningen The Netherlands Telephone: +31 50 3633939<tel:%2B31%2050%203633939> (secretary) +31 50 3634967<tel:%2B31%2050%203634967> (extension) +31 50 3633800<tel:%2B31%2050%203633800> (telefax) +31 50 5266329<tel:%2B31%2050%205266329> (home) Email: aenter(a)phys.rug.nl<mailto:aenter@phys.rug.nl> URL: http://www.math.rug.nl/~aente<http://www.math.rug.nl/%7Eaenter>

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Workshop MathStatNeuro 2-4 July Copenhagen
by Massimiliano Tamborrino 05 Feb '14

05 Feb '14

Dear all, Rune Berg, Susanne Ditlevsen and I organize a 3-days workshop in Copenhagen, 2nd-4th of July, "Mathematical Modeling and Statistical Analysis in Neuroscience", funded by the Dynamical Systems Interdisciplinary Network, University of Copenhagen, www.dsin.ku.dk. The idea is to bring together theoretical, experimental and computational researchers who are working on various topics in neuroscience. There is no conference fee and we hope to offer free lunch for all registered participants. Conference website homepage is: http://www.math.ku.dk/english/research/conferences/mathstatneuro2014 If you would like to attend, please register within the 15th May 2014 at: http://www.math.ku.dk/english/research/conferences/mathstatneuro2014/regist… We hope to welcome you in Copenhagen! Best wishes, Susanne, Rune and Massimiliano -- --------------------------------- Dr. Massimiliano Tamborrino Postdoctoral fellow Department of Mathematical Sciences University of Copenhagen email: mt(a)math.ku.dk URL: http://www.math.ku.dk/~mt/ Universitetsparken 5 DK-2100 Kobenhavn Ø, Denmark -----------------------------------------

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Seminario Cristina Di Girolami a Milano-Bicocca - cambio aula
by federica.masiero＠unimib.it 05 Feb '14

05 Feb '14

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seminari di O. Aryasova e E. Orsingher a Pisa
by Marco Romito 04 Feb '14

04 Feb '14

Il giorno 11 febbraio 2014, presso l'aula seminari del Dipartimento di Matematica dell'Università di Pisa, si terranno i seguenti seminari: 10:30 Olga Aryasova (Institute of Geophysics, National Academy of Sciences of Ukraine): A representation for the derivative with respect to the initial data of the solution of an SDE with non-regular drift 11:30 E. Orsingher (Roma Sapienza): Random flights Tutti gli interessati sono invitati a partecipare. m. _______________________________________________ abstract Aryasova We consider a multidimensional SDE with an identity diffusion matrix and a drift vector being a bounded measurable vector field. According to [Ver81] there exists a unique strong solution to such an equation. Recently the Sobolev differentiability of the solution with respect to the initial data was proved under rather weak assumptions on the drift (c.f. [Fed13,Moh12]). If the drift coefficient is smooth the derivative can be represent as a solution of an integral equation. For non-regular drift in dimension one such a representation was obtained using the local time of the initial process (see [Ary12,Att10]). It is well known that the solution does not have a local time at a point in multidimensional situation. We obtained the representation of the derivative using the theory of continuous additive functionals developed by Dynkin [Dyn63]. This method can be considered as a generalization of the local time approach to the multidimensional case. [Ary12] O. V. Aryasova and A. Yu. Pilipenko, On properties of a flow generated by an SDE with discontinuous drift, Electron. J. Probab. 17:no. 106, 1--20, 2012. [Att10] S. Attanasio, Stochastic flows of diffeomorphisms for one-dimensional {SDE} with discontinuous drift, Electron. Commun. Probab. 15:no. 20, 213--226, 2010. [Dyn63] E. B. Dynkin, Markov Processes, Fizmatlit, Moscow, 1963. [Translated from the Russian to the English by J. Fabius, V. Greenberg, A. Maitra, and G. Majone. Academic Press, New York; Springer, Berlin, 1965. vol. 1, xii + 365 pp.; vol. 2, viii + 274 pp.]. [Fed13] E. Fedrizzi and F. Flandoli, Hölder flow and differentiability for {SDE}s with nonregular drift, Stochastic Analysis and Applications, 31(4):708--736, 2013. [Moh12] S. E. A. Mohammed, T. Nilssen, and F. Proske, Sobolev differentiable stochastic flows of SDE's with measurable drift and applications, arXiv:1204.3867. [Ver81] A. Y. Veretennikov, On strong solutions and explicit formulas for solutions of stochastic integral equations, Math. USSR Sborn, 39(3):387--403, 1981. _______________________________________________ abstract Orsingher In this talk we present different types of random flights and examine their dynamics, probability laws and governing equations. We first consider the telegraph process (a random flight on the line), discuss its distribution, the connections with the telegraph equations, the first-passage time and the limiting case. We consider also the asymmetric telegraph process and its reduction to the symmetric one by means of relativistic transformations. Planar motions with a finite number of directions (in particular, four orthogonal directions) and an infinite number of directions, chosen at Poisson times with uniform law, are examined and several explicit distributions derived. A particular attention is devoted to the second model, where conditional and unconditional distributions are presented and the related equation of damped planar vibrations probabilistically derived. Random flights in R^d are subsequently considered and characteristic functions of the position of moving particles performing the random flights, obtained. The cases d = 2, d = 4, are investigated in detail. We present random flights in R^d with Dirichlet joint distribution for displacements, hyper-spherical uniform law for the orientation of steps and with a fractional Poisson number of changes of direction. Two types of fractional extensions of the above material are presented. The first one is obtained by considering Dzerbayshan-Caputo types of time- fractional derivatives. The second fractional extension is obtained by considering fractionalisation of Klein-Gordon equations and by applying the McBride approach to fractional powers of Bessel-type operators.

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Mini corso "Interest Rates Modelling", SNS Pisa
by Giacomo Bormetti 04 Feb '14

04 Feb '14

Il giorno venerdì 21 Febbraio presso la Scuola Normale Superiore, Andrea Pallavicini (Banca IMI, Imperial College) terrà un mini-corso dal titolo "Interest-Rates Modelling in Collateralized Markets with Multiple Yield Curves". Segue il programma: Aula Fermi (Palazzo della Carovana), 10:00 – 12:00 The Money Market: central bank and interbank market reference rates The Credit Crunch and the Raising of the Basis Aula Dini (Palazzo Castelletto), 14:00 – 16:00 Pricing in Collateralized Markets: discounting and forwarding curves The HJM Framework: single-curve and multiple-curve modeling Tutti gli interessati sono invitati a partecipare. Saluti, Giacomo

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risk and stochastics conference 2014, LSE (fwd)
by Tiziano Vargiolu 04 Feb '14

04 Feb '14

---------- Forwarded message ---------- Date: Mon, 3 Feb 2014 21:12:10 +0000 From: L.Campi(a)lse.ac.uk To: vargiolu(a)math.unipd.it Subject: risk and stochastics conference 2014, LSE Dear All On behalf of the organising committee, I invite you to the LSE Risk and Stochastics Conference 2014. The conference will take place on Thursday 24 and Friday 25 April 2014 in lecture theatre EAS.E171 in the East Building. This year?s speakers are: Beatrice Acciaio (LSE) Mathias Beiglb?ck (University of Vienna) Bruno Bouchard (University Paris Dauphine) Jaksa Cvitanic (Caltech) Chrsistoph Czichowsky (LSE) Stefano De Marco (?cole Polytechnique) Vladimir Kaishev (Cass Business School) Goran Peskir (University of Manchester) Philip Protter (Columbia University) Halil Mete Soner (ETH Z?rich) Conference website homepage: http://www.lse.ac.uk/statistics/events/SpecialEventsandConferences/Risk-and… Conference website programme and abstracts: http://www.lse.ac.uk/statistics/events/SpecialEventsandConferences/Risk-and… If you would like to attend, please register at: http://eshop.lse.ac.uk/browse/extra_info.asp?compid=1&modid=2&deptid=221&ca… The event is free for everyone, but registration is essential. Registration via LSE eShop is preferred, but I will accept bookings from LSE students by email if it is more convenient. With kindest regards Luciano Campi Associate Professor Department of Statistics, LSE Please access the attached hyperlink for an important electronic communications disclaimer: http://lse.ac.uk/emailDisclaimer

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Fwd: Fwd: A new professorship on Insurance Mathematics at the University of Ulm (fwd)
by Tiziano Vargiolu 03 Feb '14

03 Feb '14

-------- Messaggio originale -------- Oggetto: A new professorship on Insurance Mathematics at the University of U lm Da: An Chen <an.chen(a)uni-ulm.de> A: An Chen <an.chen(a)uni-ulm.de> CC: Dear colleague, first of all, a late happy new year! I wish all of you a very successful and joyful 2014! Our faculty will post a new permanent professorship (W3) on "Insurance Mathematics". Enclosed please find the detailed descriptions about the position. If you know some one who might be interested in such a positon, please spread the news for me. Many thanks! Best regards, An -- Prof. Dr. An Chen Institute of Insurance Science Faculty of Mathematics and Economics University of Ulm Helmholtzstrasse 20 89069 Ulm Germany Tel: 0049-731-5031183 Fax: 0049-731-5031188 Website: http://www.uni-ulm.de/mawi/ivw/team/

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Random February 2014