Random June 2014

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24 participants
32 discussions

Seminario Politecnico di Torino - 20 giugno
by Bertrand Lods 18 Jun '14

18 Jun '14

Dear Colleagues, this is a reminder for the two seminars on applications of Information Geometry that Luigi Malagò and Giovanni Pistone will give on coming Friday 20 June at DISMA Politecnico di Torino at 12 and 14:30 resp. Please find the abstracts at http://calvino.polito.it/~probstat/seminars/seminars14.html

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Seminario a Padova - Giovedì 26 giugno ore 16
by Marco Ferrante 18 Jun '14

18 Jun '14

Annuncio di seminario: Giovedì 26 giugno alle ore 16.00 in Aula 2AB40 del Dipartimento di Matematica dell'Università di Padova il Prof. Carles Rovira dell'Universitat de Barcelona terrà il seminario Titolo: Stochastic differential equations with non-negativity constraints driven by fractional Brownian Abstract: In this talk, we deal with existence and uniqueness result of solution for stochastic differential driven by a fractional Brownian motion with Hurst parameter $H$ and with reflection. The cases $H >\frac12$ and $H \in (\frac13,\frac12)$ must be considered separately. When $H>\1/2$, we first study an ordinary integral equation where the integral is defined in the Young sense and then we apply this result pathwise to solve the stochastic problem. On the other hand, when H $\in (\frac13,\frac12)$, we consider an existence and uniqueness result of solution for multidimensional delay differential equations with normal reflection and driven by a H\"older continuous function of order $\beta \in (\frac13,\frac12)$. Marco Ferrante

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Seminario N. Leonenko - Mercoledì 2 luglio ore 12 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '14

---------- Forwarded message ---------- Date: Tue, 17 Jun 2014 09:42:41 +0200 From: Marco Ferrante <ferrante(a)math.unipd.it> Subject: Seminario N. Leonenko - Mercoled? 2 luglio ore 12 Cari colleghi, il giorno Mercoledi 2 Luglio alle ore 12.00 in Aula 2BC30 il Prof. Nikolai Leonenko dell'Universita di Cardiff terra un seminario dal titolo: Fractional Pearson Diffusions (allego l'abstract). Grazie Marco -- Prof. Marco Ferrante Dipartimento di Matematica Universita' degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

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Statistics for Omics - Politecnico di Milano
by Laura M. Sangalli 17 Jun '14

17 Jun '14

Cari colleghi, abbiamo il piacere di invitarvi alla mattinata di seminari "Statistics for Omics" il 3 Luglio presso l'aula seminari "F. Saleri" del Dipartimento di Matematica, Politecnico di Milano. La mattinata si svolgerà secondo il seguente programma 09:00. Francesca Chiaromonte, The Pennsylvania State University, /Exploiting structure to reduce and integrate high dimensional, under sampled "omics" data/ 09:50. Giorgio Melloni, Istituto Italiano di Tecnologia, /DOTS-Finder: a comprehensive tool for assessing driver genes in cancer genomes/ 10:40. Break 11:10. Marzia Cremona e Alice Parodi, Politecnico di Milano, /Peak shape cluster analysis reveals novel biological insights/ 12:00. Kateryna Makova, The Pennsylvania State University, /Maternal Age Effect and Severe Germline Bottleneck in the Inheritance of Human Mitochondrial DNA/ 12.50. Marco Masseroli e Stefano Ceri, Politecnico di Milano, /Genometric query system as research enabler to discover genome properties/ Tutti gli interessati sono cordialmente invitati a partecipare. Piercesare Secchi -- Piercesare Secchi MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci, 32 20133 Milano - Italy tel. +39 02 2399 4592 fax. +39 02 2399 4568 e.mail: piercesare.secchi(a)polimi.it -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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XVI Workshop on Quantitative Finance - Parma January 29-30, 2015 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '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 -------------------------------------------------------------------------- XVI WORKSHOP on QUANTITATIVE FINANCE January 29-30, 2015 Venue: Department of Economics University of Parma Via J.F. Kennedy, 6 43125 Parma Italy The Workshop is the sixteenth edition of a successful initiative whose aim is to set a common forum of ideas and discussions among researchers and practitioners interested in Finance. It provides an excellent platform to present and discuss recent advances in mathematical modelling and numerical methods for quantitative finance. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management, Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous editions of the Workshop, we wish to particularly encourage an international participation of young researchers; both theoretical and applied contributions are welcome. There are no registration fees. Contacts: Marzia De Donno (xviwqf(a)gmail.com), Phone: +39-0521-03-2481, Fax +39-0521-03-2385 Scientific Committee: Fabio Bellini (University of Milano Bicocca) - Andrea Consiglio (University of Palermo) - Gianluca Fusai (University of Piemonte Orientale) - Friedrich Hubalek (Vienna University of Technology) - Elisa Luciano (University of Torino) - Maria Elvira Mancino (University of Firenze) - Paola Modesti (University of Parma) - Massimo Morini (Banca IMI) - Mustafa Pinar (Bilkent University) - Simona Sanfelici (University of Parma) - Sergio Scarlatti (University of Roma Tor Vergata) - Carlo Sgarra (Polytechnic of Milano) - Peter Tankov (University Paris-Diderot) - Josef Teichmann (ETH Zurich) - Tiziano Vargiolu (University of Padova) Local Committee: Marzia De Donno, Fabio Della Marra, Gino Favero, Paola Modesti, Annamaria Olivieri, Simona Sanfelici, Federica Trani Deadline for paper submission: November 9th, 2014. Deadline for registration: January 6th, 2015. For more information, visit the Workshop website: www.qfinancexvi.altervista.org We are looking forward to meeting you in Parma! On behalf of the Local Committee, Simona Sanfelici

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Seminario Dott. Bourguin - Roma Tor Vergata
by Claudio Durastanti 17 Jun '14

17 Jun '14

Giovedí 19 Giugno, alle ore 14.00 presso l'aula D'Antoni, Dipartimento di Matematica di Tor Vergata, il dottor Solesne Bourguin, Carnegie Mellon University - Pittsburgh, presenterá il seguente talk: Portmanteau inequalities on the Poisson space Abstract: The main object of this talk is to provide an introduction on how to combine Stein's method and Malliavin calculus on the Poisson space in order to obtain general quantitative limit theorems for functionals of a Poisson random measure. As an application, the case of the random disk graph isomorphism problem in stochastic geometry will be discussed. Based on joint work with Giovanni Peccati. Cordiali saluti Claudio Durastanti

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SINGULAR STOCHASTIC PDEs, summer school in Pisa
by Marco Romito 17 Jun '14

17 Jun '14

SINGULAR STOCHASTIC PDEs September 22-24, 2014 Centro di Ricerca Matematica Ennio De Giorgi, Pisa, Italy http://www.crm.sns.it/event/333/ The purpose of the School is to introduce and discuss recent development in the analysis of singular stochastic PDEs arising in Physics, such as the Kardar-Parisi-Zhang equation. In this class of problems the irregularity introduced by the driving noise does not allow to use classical methods from the theory of partial differential equations. The school is aimed at student and young researchers in the field of stochastic PDEs, as well as scholars coming from the fields of the theory of PDE and theoretical physics. The school consists in a series of lectures by Massimiliano Gubinelli, additional invited lectures by Harald Oberhauser, Hendrik Weber, Lorenzo Zambotti and short presentations by participants. REGISTRATION: http://www.crm.sns.it/event/333/registration.html In a few cases funding for local expenses for young participants might be available, but funds are limited. SCIENTIFIC & ORGANIZING COMMITTEE Lisa Beck (Augsburg) Dirk Blomker (Augsburg) Franco Flandoli (Pisa) Marco Romito (Pisa)

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bando per un corso di recupero
by Gabriele Stabile 14 Jun '14

14 Jun '14

Segnalo la pubblicazione di un bando *con scadenza 30 giugno *per n. 1 incarico individuale, con contratto di lavoro autonomo di natura occasionale, per lo svolgimento di un corso di recupero e sostegno (da tenersi a settembre) che fornisca i prerequisiti di Matematica, Statistica e Calcolo delle Probabilità agli iscritti 2014/15 alla Magistrale in Finanza e Assicurazioni, Sapienza Università di Roma Il bando è disponibile al link http://www.memotef.uniroma1.it/node/6575 <http://www.memotef.uniroma1.it/node/6575.>

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Avviso di seminario - Prof. G. Peskir
by Cristina Zucca 13 Jun '14

13 Jun '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedi' 16 giugno 2014 alle ore 16.00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Prof. Goran Peskir (University of Manchester) terrà un seminario dal titolo "Optimal Mean-Variance Portfolio Selection"* Abstract: I will present a dynamic formulation of the mean-variance portfolio selection problem and discuss possible ways of solving it. *Joint work with J. L. Pedersen (Copenhagen)

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seminario di Fabio Bellini presso Prometeia - Bologna
by Giacomo Scandolo 13 Jun '14

13 Jun '14

Il giorno Giovedi 19 Giugno 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Fabio BELLINI (Università di Milano-Bicocca) terra un seminario dal titolo "Risk management with expectiles" Abstract We discuss the main properties of the expectiles, a one parameter family of coherent risk measures introduced in the statistical literature by Newey and Powell (1987). Expectiles are the only coherent risk measures that are also elicitable, in the sense that they can be equivalently defined as the minimizers of an expected loss; this property provides a natural methodology to perform a consistent backtesting. In this talk we explore the potential applicability of expectiles in a capital regulation framework, as an alternative to VaR and CVaR.

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