Random June 2014

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24 participants
32 discussions

Seminar and mini-course by Luca Capriotti, June 19 - 20, SNS Pisa
by Giacomo Bormetti 13 Jun '14

13 Jun '14

Luca Capriotti (EMEA head of Quantitative Strategies Global Credit Products, Credit Suisse) will give a seminar at the Scuola Normale Superiore, Pisa on Thursday 19 June 2014, 13:00 Aula Bianchi. The title and abstract are Ulisse Dini, Adjoint Algorithmic Differentiation and the Efficient Risk Management of Credit Portfolios Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this talk I will show how AAD can be used to risk manage in real time credit products, both exotic and vanilla, whether valued with Monte Carlo or with semi-analytical methods. I will show how by combining adjoint ideas with the implicit function (Dini's) theorem one can avoid repeating multiple times the calibration of the hazard rate curves which, especially for flow products, often represent the bottle neck in the computation of spread and interest rate risk. This typically results in orders of magnitudes savings in computation time with respect to standard methods. The adjoint of the calibration step can be naturally combined with the adjoint of the pricing step. This allows one to compute the risk of portfolios of credit products faster than computing the portfolio value alone, thus making risk management in real time possible. Moreover on Friday 20 June 2014 he will give a mini-course on Real Time Risk Management with Adjoint Algorithmic Differentiaton The agenda is attached below. Interested people are invited to participate. For more information, contact Stefano Marmi (stefano.marmi(a)sns.it), Fabrizio Lillo (fabrizio.lillo(a)sns.it), or Giacomo Bormetti (giacomo.bormetti(a)sns.it). &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&& Friday June 20, Aula Bianchi, 11.00-12.30 Friday June 20, Aula Bianchi, 14.00-15.30 Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this minicourse I will introduce AAD and show how it can be used to implement the calculation of price sensitivities in complete generality and with minimal analytical effort. The focus will be the application to Monte Carlo methods - generally the most challenging from the computational point of view. With several examples I will illustrate the workings of AAD and demonstrate how it can be straightforwardly implemented to reduce the computation time of the risk of any portfolio by order of magnitudes. 1. Pathwise Derivative Method 2. Algebraic Adjoint Approaches  3. Adjoint Algorithmic Differentiation (AAD)  4. AAD as a Design Paradigm  5. AAD and the Pathwise Derivative Method 6. First Applications 7. Case Study: Adjoint Greeks for the Libor Market Model 8. Correlation Risk and Binning Techniques 9. Case Study: Correlation Greeks for Basket Default Contracts

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Fwd: post-doctoral position
by Faggionato, Alessandra 13 Jun '14

13 Jun '14

Applications are invited for a post-doctoral position in Probability at Marseille (Aix-Marseille Université). The position can start October 1st 2014. It is a two-years position, funded by the Fondation Universitaire AMIDEX d'Aix-Marseille, with a stipend of 1960 euros (and 2300 if more than 3 years experience after the thesis). Applicants should write BEFORE JULY 10th to Amine Asselah at amine.asselah(a)u-pec.fr attaching -CV -Research Projects -Letter of Recommendation. For information on the probability group members and activities at marseille please go to http://www.i2m.univ-amu.fr/Annuaire-de-l-equipe-240 Best Regards, Amine Asselah

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Fwd: avviso seminario del 19 giugno
by Gustavo Posta 13 Jun '14

13 Jun '14

Begin forwarded message: > From: "Bertini, Lorenzo" <bertini(a)mat.uniroma1.it> > Date: 12 giugno 2014 20.07.41 GMT+02.00 > Subject: avviso seminario del 19 giugno > > > Avviso di Seminario (con preghiera di diffusione) > > Giovedi' 19 giugno alle ore 14:30 > > In Aula C del Dipartimento di Matematica, Universita' di Roma La Sapienza > > Alessandra Bianchi (Univ. di Padova) > > terra' un seminario dal titlo > > A random walk in a Levy random environment > > > Saluti, > > Lorenzo Bertini > > Dipartimento di Matematica | Fax: +39 - 06 4470 1007 > Universita' di Roma La Sapienza | Tel: +39 - 06 4991 4974 > P.le A. Moro 2, 00185 Roma | E-mail: bertini(a)mat.uniroma1.it > Italy > > Home page: http://www.mat.uniroma1.it/people/bertini/ama/

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Forensic statistics: PhD@Losanna
by Giacomo Aletti 11 Jun '14

11 Jun '14

Chiedo scusa per invii multilpli, mi è stato segnalato che sono aperte posizioni PhD all'Ecole des sciences criminelles, UNIL https://applicationsinter.unil.ch/inter/noauth/php/Po/pooffres.php?poid=330… Scadenza bando a fine mese, laurea richiesta scienze forensi, statistica o matematica. Giacomo Aletti --

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PhD studentships in Statistics - University of Padova, Italy - Deadline 10 July, 2014
by Patrizia Piacentini - PhD 11 Jun '14

11 Jun '14

PhD Studentships in Statistics Department of Statistical Sciences University of Padova, Italy Seven PhD studentships are available at University of Padova for candidates interested in the area of Statistical Sciences Eligibility ----------- The studentship competition is open to applicants of any age or citizenship, holding a 2nd cycle degree or a single cycle degree from an Italian university or an equivalent qualification from other countries of at least four years' duration. Admission is decided on the basis of qualifications only and does not require an entry examination. Award --------- The award will be for three years, subject to satisfactory progress, at the following rate: annual grant of euros 13.638,47 with a start date of 1 November 2014. How to apply ------------------ The call is published at the page http://www.unipd.it/en/research/doctoral-degrees-phd-programmes (see Calls and Admissions) deadline 10th July 2014 Application has to be made following carefully the instructions therein. Further information ---------------------------- See http://www.stat.unipd.it/fare-ricerca/ammissione or contact phd(a)stat.unipd.it Kindest regards, Monica Chiogna PhD Course Coordinator

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seminario Zhuang Jiancang a Milano
by Elisa Varini 11 Jun '14

11 Jun '14

ANNUNCIO DI SEMINARIO venerdì 13 giugno 2014, ore 14:30 Sala Bassini, Piano Rialzato CNR – IMATI, Via Bassini 15, Milano RELATORE Dr ZHUANG Jiancang Institute of Statistical Mathematics, Tokyo TITOLO Testing significance of earthquake precursors against earthquake clustering models instead of against complete randomness ABSTRACT During the last 30 years, a number of algorithms have been developed that search for seismic anomalies in order to predict strong earthquakes. Examples of such algorithms are M8, RTP, RTL, PI, and LURR. In these algorithms, behaviour is usually deemed to be anomalous if seismicity rates change from the background activity, which is usually assumed stationary or, more strongly, a Poisson process. On the other hand, it is well known that seismicity is clustered and can be well described by the Epidemic-Type Aftershock Sequence (ETAS) model. Such anomalies detected in these conventional ways may be caused by earthquake clusters or improper declustering algorithms. This presentation illustrates, through examples, how to modify these algorithms for the testing of seismic anomalies against a clustering model (e.g., the ETAS model). -- ------------------------------------------------------------------- Elisa Varini CNR - Consiglio Nazionale delle Ricerche IMATI - Istituto di Matematica Applicata e Tecnologie Informatiche via Bassini 15 - 20133 Milano (Italy) Tel +39 02 23699 527 Fax +39 02 23699 538 Email elisa(a)mi.imati.cnr.it -------------------------------------------------------------------

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New journal "Market Microstructure and Liquidity"
by Fabrizio Lillo 09 Jun '14

09 Jun '14

Dear contributor to the field of market microstructure, This is just a short message to inform you that we are launching a new journal called "Market Microstructure and Liquidity". The website of the journal is http://www.worldscientific.com/worldscinet/mml and information can be found in the pdf file enclosed in this message. We hope you will be interested in reading it and contributing by sending your papers to this new journal ! Best regards, Fabrizio Lillo PS: Apologies for possible multiple sendings. any remark or comment is welcome ------------------------------------------------------------ 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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Politecnico di Milano - Seminario J. S. Marron
by Laura M. Sangalli 09 Jun '14

09 Jun '14

Si avvisa che in data 17-06-2014, alle ore 15:00 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: J. S. Marron Dept. of Statistics and Operations Research University of North Carolina Titolo: OODA of TreeStructured Data Objects Using Persistent Homology Abstract: The field of Object Oriented Data Analysis has made a lot of progress on the statistical analysis of the variation in populations of complex objects. A particularly challenging example of this type is populations of tree-structured objects. Deep challenges arise, whose solutions involve a marriage of ideas from statistics, geometry, and numerical analysis, because the space of trees is strongly non-Euclidean in nature. Here these challenges are addressed using the approach of persistent homologies from topological data analysis. The benefits of this data object representation are illustrated using a real data set, where each data point is the tree of blood arteries in one person's brain. Persistent homologies give much better results than those obtained in previous studies. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- 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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seminario di Luca Regis presso Prometeia - Bologna
by Giacomo Scandolo 09 Jun '14

09 Jun '14

Il giorno Giovedì 29 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Luca REGIS (IMT Lucca) terrà un seminario dal titolo "Longevity risk modelling and hedging via continuous-time cohort models" Abstract Longevity risk, i.e. the risk of unexpected changes in the survivorship of policyholders, is perceived as one of the major threats to the long-run solvency of annuity providers, such as pension funds. Continuous-time models represent a useful tool in the modelling of stochastic mortality. Non-mean reverting affine cohort processes (Luciano and Vigna, 2008) provide a parsimonious but accurate description of mortality tables. They are particularly suited to pricing and hedging purposes, due to their analytical tractability. I present applications of such models to the management of insurance portfolios. I focus on longevity risk hedging techniques, such as natural hedging, and reinsurance strategies. I will discuss the implementation and the effectiveness of such strategies, as well as the effects of different risk sources (interest-rate risk, investment risk) - along with longevity risk - on the solvency of insurers.

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seminario prof Zhuang Jiancang (ISM, Tokyo)
by Elisa Varini 05 Jun '14

05 Jun '14

ANNUNCIO DI SEMINARIO venerdì 13 giugno 2014, ore 14:30 Sala Bassini (piano terra) CNR – IMATI, Via Bassini 15, Milano RELATORE Dr ZHUANG Jiancang Institute of Statistical Mathematics, Tokyo TITOLO Testing significance of earthquake precursors against earthquake clustering models instead of against complete randomness ABSTRACT During the last 30 years, a number of algorithms have been developed that search for seismic anomalies in order to predict strong earthquakes. Examples of such algorithms are M8, RTP, RTL, PI, and LURR. In these algorithms, behaviour is usually deemed to be anomalous if seismicity rates change from the background activity, which is usually assumed stationary or, more strongly, a Poisson process. On the other hand, it is well known that seismicity is clustered and can be well described by the Epidemic-Type Aftershock Sequence (ETAS) model. Such anomalies detected in these conventional ways may be caused by earthquake clusters or improper declustering algorithms. This presentation illustrates, through examples, how to modify these algorithms for the testing of seismic anomalies against a clustering model (e.g., the ETAS model). -- ------------------------------------------------------------------- Elisa Varini CNR - Consiglio Nazionale delle Ricerche IMATI - Istituto di Matematica Applicata e Tecnologie Informatiche via Bassini 15 - 20133 Milano (Italy) Tel +39 02 23699 527 Fax +39 02 23699 538 Email elisa(a)mi.imati.cnr.it -------------------------------------------------------------------

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