March 2015 - Random - Mailing list — Dipartimento di Matematica, UniPI

COST Info-Day – 19 marzo 2015
by Giulia Rotundo 13 Mar '15

13 Mar '15

COST Info-Day – 19 marzo 2015 Il 19 marzo 2015, alle ore 14 si terrà presso la sede centrale del CNR, Piazzale Aldo Moro n. 7, Roma, il primo Info-Day del programma COST. L’evento sarà l’occasione, per tutti i ricercatori interessati, di conoscere e approfondire il programma COST. Sono previsti interventi da parte Coordinatore Nazionale del COST e dei funzionari del COST Office di Bruxelles. Il programma definitivo verrà pubblicato quanto prima su www.ricercainternazionale.miur.it . Nel frattempo, chiunque sia interessato a partecipare deve confermare la propria presenza scrivendo al seguente indirizzo: attivitaeuropee(a)cnr.it Ulteriori informazioni sull’evento, sul programma e sul collegamento streaming che sarà garantito durante l’Info-Day verranno pubblicate sul sito internet www.attivitaeuropee.cnr.it http://www.attivitaeuropee.cnr.it/cost-info-day-%E2%80%93-19-marzo-2015

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Avviso di seminario :: Puccetti@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 13 Mar '15

13 Mar '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 20 Marzo, ore 14:30am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma GIOVANNI PUCCETTI (Università degli Studi di Firenze) terrà un seminario dal titolo IL MINIMO VALORE ATTESO DEL PRODOTTO DI TRE VARIABILI UNIFORMI: UN PROBLEMA (FINALMENTE) RISOLTO. 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 --- ABSTRACT Verranno illustrati due differenti metodi di risoluzione del problema in oggetto, che è rimasto aperto per più di trenta anni. Tali soluzioni hanno ispirato nuove tecniche ed applicazioni in probabilità applicata, statistica, matematica finanziaria e scienze attuariali.

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Annuncio Seminario - Mirko D'Ovidio a Roma Tor Vergata
by Claudio Durastanti 13 Mar '15

13 Mar '15

Ciclo di Seminari - Progetto ERC grant PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Mercoledì 18 Marzo - ore 14.30 Aula D'Antoni 1101 Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Mirko D'Ovidio - Università di Roma La Sapienza Title: Coordinates change and random fields Abstract:The time change of one parameter processes is a powerful tool well investigated so far. We present in this talk some theoretical aspects concerning the coordinates change of multiparameter processes and some applications to the analysis of the cosmic microwave background radiation. We consider fractional powers of positive definite operators such as the (time) fractional derivative or the fractional Laplacean. Cordiali saluti Claudio Durastanti

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Sapienza/Roma Tre joint workshop on probabilistic methods, March 19th
by Pietro Caputo 12 Mar '15

12 Mar '15

Kolmogorov meets Turing: workshop on probabilistic methods for the analysis of stochastic processes and randomized algorithms. March 19th, 2015 Program: 9.30 - 10.15. Artur Czumaj (University of Warwick): Testing Cluster Structure of Graphs 10.15 - 10.45. Fabio Martinelli (University Roma Tre): Reversible Markov chains with kinetic constraints 10.45 - 11.15: Coffee break 11.15 - 11.45. Andrea Clementi (University of Rome ``Tor Vergata''): Information spreading in dynamic graphs 11.45 - 12.15. Pietro Caputo (University Roma Tre): Empirical neighborhood distribution in sparse random graphs: some large deviations estimate 12.15 - 13.45: Lunch break 14.00 - 14.45. Alexandre Stauffer (University of Bath): Rumor spreading on dynamic graphs 14.45 - 15.15. Luca Becchetti (Sapienza University of Rome): Plurality Consensus in the Gossip Model 15.15 - 15.45: Coffee break 15.45 - 16.15. Fabio Toninelli (CNRS, University of Lyon 1): Random tilings and Glauber dynamics 16.15 - 16.45. Marek Adamczyk (Sapienza University of Rome): Stochastic probing Organizers: Luca Becchetti (Sapienza University of Rome): becchetti(a)dis.uniroma1.it Pietro Caputo (University Roma Tre): caputo(a)mat.uniroma3.it Stefano Leonardi (Sapienza University of Rome): leonardi(a)dis.uniroma1.it For the talk abstracts see *http://www.matfis.uniroma3.it/Attivita/attivita.php <http://www.matfis.uniroma3.it/Attivita/attivita.php>*

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Seminario all'IAC
by Giovanni Luca Torrisi 11 Mar '15

11 Mar '15

*Venerdi' 20 Marzo 2015*, *ore 14:00* Consiglio Nazionale delle Ricerche, Istituto per le Applicazioni del Calcolo "Mauro Picone", Via dei Taurini 19, 00185 Roma Aula Riunioni (VI piano) *ALESSANDRO DE GREGORIO * (Universita' di Roma "Sapienza") terra' un seminario dal titolo *Isotropic transport processes: a survey of results* ABSTRACT: The motion of a particle whose velocity undergoes jumps of random size at random times constitutes the prototype of a transport process (also called random flight or random evolution). In this talk the probabilistic construction of the isotropic transport processes is outlined. In particular, we assume that the joint probability distribution of the lengths of the displacements is a Dirichlet law. Several results in this context are discussed. We also introduce reflecting transport processes by means of a geometric approach. These processes are often applied in statistical physics and biology. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Giovanni Luca Torrisi.

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No Free Lunch Seminar by Prof. Roberto Renò, Friday March 20 1:00 PM Aula Bianchi @ SNS
by Giacomo Bormetti 11 Mar '15

11 Mar '15

Friday March 20 2015, 1:00 PM in Aula Bianchi, Scuola Normale Superiore Pisa Roberto Renò Dipartimento di Economia Politica e Statistica, Università di Siena will deliver the seminar “Multi-jumps” Abstract: The simultaneous occurrence of jumps in several stocks (multi-jumps) can be associated to major nancial news, is correlated with sudden spikes of the variance risk premium, and determines an increase in the stock variances and correlations which signicantly deteriorates the diversication potential of asset allocation. The latter evidence implies a reduction in the demand of stocks by an aware risk-averse investor. These facts can be easily overlooked by the usage of standard univariate jump statistics, which just lack su cient power. They are instead revealed in a clearly cut way by using a novel test based on smoothed estimators of the integrated variance of individual stocks. Joint work with Massimiliano Caporin and Aleksey Kolokolov. All interested people are kindly invited. Best, Giacomo -- Giacomo Bormetti Assistant Professor of Financial Mathematics -------------------------- Faculty of Sciences Scuola Normale Superiore Pisa Piazza dei Cavalieri, 7 56126 Pisa - Italy email: giacomo.bormetti(a)sns.it http://mathfinance.sns.it/index.php/people/41-group-members/51-giacomo-borm… phone: +39 050 509248

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Industrial Mathematics Workshop - 1st edition [ 10 Aprile - Dip.Informatica - UniVr ]
by Luca di persio 10 Mar '15

10 Mar '15

Industrial Mathematics Workshop - 1st edition 10 Aprile 2015 Dip.Informatica - UniVr - Inizio dei lavori fissato alle 14:30, presso la *Sala Verde* -- Ca' Vignal -- Strada le Grazie 15 - *Dipartimento di Informatica*, Università di Verona - Sono previsti *6 interventi da 30'*, suddivisi in due gruppi di 3 seminari, intervallati da un coffee break ed organizzati secondo la seguente scaletta - Alessandra Micheletti [Dip. Matematica -- Università degli Studi di Milano] - Sergio Sorrentino [Banco Popolare] - Fabrizio Lillo [Scuola Normale Superiore di Pisa] - coffee break [ circa 15' ] - Beniamino Paoletti [AMC2 S.r.l. Data Management S.p.A.] - Manolo Venturin [EnginSoft S.p.A.] - Pierluigi Riva [ORS Group] - Il termine dei lavori è previsto per le 18:15. L'obiettivo del Workshop è quello di fornire casi di studio e suggestioni nell'alveo delle applicazioni della Matematica. La platea sarà eterogenea e composta da operatori del settore finanziario/industriale, accademici e studenti. *L'iscrizione al workshop è libera* previa manifestazione d'interessa da inviare *entro il 31 Marzo* , al seguente indirizzo mail: immacolata.oliva(a)univr.it specificando nell'oggetto: Workshop IM1 e possibilmente riportando gli *estremi della propria affiliazione*. I partecipanti appariranno nella pagina dedicata al workshop: http://www.di.univr.it/?ent=iniziativa&convegno=1&id=5905 Per maggiori informazioni (locandina dell'evento, titolo ed abstract degli interventi, lista dei partecipanti) si può fare riferimento alla pagina http://www.di.univr.it/?ent=iniziativa&convegno=1&id=5905 Cordialmente, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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de Finetti risk seminar - march 2015
by Emanuela Rosazza 10 Mar '15

10 Mar '15

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Monetary Utility Functions with the CxLS (convex level sets) property Freddy Delbaen ETH Zurich, Switzerland ABSTRACT Monetary utility functions are -- except for the expected value -- not of von Neumann-Morgenstern type. In case the utility function has convex level sets in the set of probability measures on the real line, we can give some characterisation that comes close to the vN-M form. For coherent utility functions this was solved by Ziegel. The general concave case under the extra assumptions of weak compactness, was solved by Stephan Weber. In the general case the utility functions are only semi continuous. Using the fact that law determined utility functions are monotone with respect to convex ordering, we can overcome most of the technical problems. The characterisation is similar to Weber's theorem except that we need vN_M utility functions that take the value $-\infty$. Having convex level sets can be seen as a weakened form of the independence axiom in the vN-M theorem. This is joint work with Bellini, Bignozzi and Ziegel. LOCATION: The seminar will be held on Wednesday, March 18, at 18.00, 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 *****************************************************

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Seminario BAUD-BOVY (RGS & Matematica Applicata)
by Giacomo Aletti 09 Mar '15

09 Mar '15

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 16 Marzo 2015, a partire dalle ore 14.30, in Aula C (secondo piano) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Psychophysical models of haptic processes " Gabriel Baud-Bovy, Istituto Italiano di Tecnologia, Robotics, Brain and Cognitive Sciences, Genoa ABSTRACT: Psychophysics is discipline that offers theoretical framework to develop models of perceptual and decisional processes and experimental methods to measure sensation and perception. It was created at the end of the 19th century to bring Psychology into the realm of science. In this talk, I will illustrate this approach by presenting some examples taken on my work on haptic perception. These examples will address the question of various haptic cues might be integrated during haptic exploration and how orientations might be represented internally. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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Avviso di seminario :: Sun@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 09 Mar '15

09 Mar '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 13 Marzo, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma SUN LEI (Department of Statistical Sciences, University of Toronto) terrà un seminario dal titolo INCORPORATING PRIOR INFORMATION INTO MULTIPLE HYPOTHESIS TESTING WITH APPLICATIONS TO LARGE-SCALE GENETIC STUDIES 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 --- ABSTRACT A central issue in high-dimensional genetic studies is how to assess statistical significance taking into account the inherent large-scale multiple hypothesis testing. To improve power, a number of studies have investigated the benefits of utilizing available genomic and biological information, however, the relative merits of different methods remain unclear. We focus on the stratified FDR control (Sun et al., 2006, Genetic Epidemiology 30:519-530) and weighted p-value method (Genovese et al., 2006, Biometrika 93:509-524). The two approaches model the prior info distinctively. Weighted p-value approach converts the available prior information to test-specific weighting factor and adjusts the p-values accordingly. In contrast, stratified FDR divides tests into several disjoint strata based on the prior information and applies the FDR control separately in each stratum. We formulate the two approaches in one framework and show the trade-off between power and robustness by theoretical, simulation, and application studies. Robustness is consequential in applications, safeguarding against potential uninformative or even misleading prior information. To demonstrate the practical relevance of these methods, I discuss two recent genome-wide association studies of Cystic Fibrosis modifier genes, in which over 500,000 genetic markers are investigated for association with lung functions in individuals with CF and the available prior is of quantitative nature (Wright et al. 2011, Nature Genetics 43:539-548), and for association with meconium ileus and the prior is of categorical nature (Sun et al. 2012, Nature Genetics 44:562-569). If time allows, I will briefly discuss additional interesting analytical challenges in these studies.

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Assegno di Ricerca a Roma La Sapienza
by Faggionato, Alessandra 06 Mar '15

06 Mar '15

In dato 24 Marzo scade il bando per un assegno di ricerca “Metodi variazionali per lo studio di sistemi in equilibrio e delle loro fluttuazioni” presso il Dipartimento di Matematica della Sapienza, Università di Roma. Lo stipendio dovrebbe essere di 1750 euro netti al mese. Il bando (in italiano e in inglese) si trova al seguente link: http://www2.mat.uniroma1.it/node/5820 Per informazioni: pisante(a)mat.uniroma1.it (A. Pisante) faggiona(a)mat.uniroma1.it (A. Faggionato) -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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Seminari MALAGO' e ZWIERNIK
by Matteo Ruggiero 06 Mar '15

06 Mar '15

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi' 13 Marzo 2015, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: h. 11.00 Luigi MALAGO' (Shinshu University, Japan) INFORMATION GEOMETRY OF THE GAUSSIAN DISTRIBUTION IN VIEW OF STOCHASTIC OPTIMIZATION: FIRST AND SECOND ORDER GEOMETRY h. 12.00 Piotr ZWIERNIK (University of Genova) MAXIMUM LIKELIHOOD ESTIMATION FOR LINEAR GAUSSIAN COVARIANCE MODELS Gli abstracts dei seminari possono essere consultati alla pagina http://www.carloalberto.org/events/seminars/statistics/ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Ciclo Seminari Probabilita` e Statistica - PASCAL - 9 marzo
by Valentina Cammarota 05 Mar '15

05 Mar '15

Ciclo di Seminari - Progetto ERC grant PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Lunedi` 9 Marzo - ore 14.00 Aula D'Antoni 1101 Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Elena Villa - Università degli Studi di Milano, Dipartimento di Matematica Title: MINKOWSKI CONTENT AND MEAN DENSITY OF RANDOM CLOSED SETS: some theoretical results and statistical applications Abstract: In this talk we deal with random closed sets in R^d with integer Hausdorff dimension n<d; a problem of interest in many real applications is the study of the so-called mean density of the involved set. Namely, given a random closed set Theta with Hausdorff dimension n, it may well happen that its "induced mean measure" mu(B):=E[H^n(\Theta\cap B] (where H^n denotes the n-dimensional Hausdorff measure) is absolutely continuous with respect to the d-dimensional Lebesgue measure; in such a case, the corresponding density is named the "mean density of Theta". We will give here an overview of some recent results both on its theoretical value and on its estimation in the non-stationary setting; to this aim a stochastic version of the Minkowski content notion will play a fundamental role. Tutti gli interessati sono invitati a partecipare. ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

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Seminario Cretarola
by Sabrina Mulinacci 05 Mar '15

05 Mar '15

Cari colleghi, Giovedì 12 marzo 2015 ore 12 in aula IV Via Belle Arti 41, Bologna Alessandra Cretarola dell'Università di Perugia terrà un seminario dal titolo: “Risk-minimizing hedging strategies for unit-linked life insurance contracts under partial information” Abstract: We study the problem of hedging unit-linked life insurance contracts in incomplete markets when there are restrictions on the available information by using the local risk-minimization approach. This type of insurance contract is closely related to the financial market since benefits depend on the development of a certain stock price. Then, it makes sense to consider the combined model given by the underlying semimartingale model of financial market and the insurance portfolio. Firstly, we refer to the case of complete information on the insurance portfolio and a limitative knowledge on the financial market. More precisely, we assume that, at any time, the insurance company has access to the information about the number of policy-holders who are still alive but it has a partial information about the stock prices. We characterize the risk-minimizing hedging strategy for pure endowment contracts when the underlying price process is expressed in units of the numéraire portfolio and the mortality hazard rate is a deterministic function, and then we compute it explicitly in a Markovian jump-diffusion driven market model. Next, we consider the case where there are restrictions on the information concerning the insurance portfolio. In particular we assume that, at any time, the insurance company has a complete knowledge of the financial market and may observe the number of deaths from a specific portfolio of insured individuals but not the mortality hazard rate, which may depend on unobservable exogenous stochastic factors. We characterize the locally risk-minimizing hedging strategy for pure endowment and term insurance contracts in terms of the projection of the survival process on the information flow. Finally, we see that in a Markovian framework, this leads to a filtering problem with point process observations. The talk is based on joint works with Claudia Ceci and Katia Colaneri. Un caro saluto a tutti Sabrina Mulinacci

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Politecnico di Milano - Seminario J. J. Egozcue and V. Pawlowsky-Glahn
by Laura M. Sangalli 04 Mar '15

04 Mar '15

Si avvisa che in data 31-03-2015, alle ore 11:00 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: Relatori: J. J. Egozcue, Dept. Matematica Aplicada III, U. Politecnica de Catalunya, Barcelona, Spain e V. Pawlowsky-Glahn, Dept. Informatica, Matematica Aplicada i Estadistica, U. de Girona, Spain Titolo: Understanding Bayes spaces Abstract: Bayes spaces contain equivalence classes of sigma-additive measures. Two measures are equivalent when they are proportional. These measures are represented by densities and vector space operations are defined. Probability measures and density functions are included in these spaces. When the densities are log-square-integrable, they are in a Hilbert space called B^2. Bayes spaces and associated Hilbert spaces B^2 have been developed in a theoretical way, but there is still a long way to understand the implications of the theory, as well as to develop potential applications. The talk is aimed at reviewing the theory and giving some examples of distributions for which the B^2 distance can be easily obtained. These examples show the variety of distribution supports that can be dealt with the theory. An application to grain size distribution is presented. The goal is to decide whether different populations have different mean distribution. 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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Last call for papers: 2015 AMMCS-CAIMS (Waterloo, ON, Canada, June 7-12, 2015)
by Enrico Scalas 04 Mar '15

04 Mar '15

Car* collegh*, c'e' ancora qualche giorno (scadenza estesa al 13 marzo 2015) per inviare un abstract all'AMMCS-CAIMS: http://www.ammcs-caims2015.wlu.ca/submit-abstracts/ e due sessioni che organizzo sono di interesse per chi si occupa di probabilita': http://www.ammcs-caims2015.wlu.ca/special-sessions/fcp/ (Fractional Calculus and Probability) http://www.ammcs-caims2015.wlu.ca/special-sessions/wdsee/ (Wealth Distribution and Statistical Equilibrium in Economics) Cordiali saluti, Enrico Scalas

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Workshop on "Elicitability, Propriety and Related Topics", University of Bern, May 28 - 29, 2015
by Fabio Bellini 04 Mar '15

04 Mar '15

Cari colleghi, inoltro da parte di Johanna Ziegel e del suo gruppo l'annuncio di questo interessante workshop: >Workshop for young scientists on "Elicitability, Propriety and >Related Topics" at the University of Bern, May 28 - 29, 2015. > >One of the classical questions in statistical analysis is to make >probabilistic or point forecasts about some unknown quantity. The >notions of elicitability of a statistical functional, consistency of >a scoring function or propriety of a scoring rule are of central >importance in statistical decision theory and have gained more and >more attention in the recent statistical literature. > >We invite young scientists - especially PhD and postdoctoral >students - from the heart of Europe to present their results in the >field of "Elicitability, Propriety and Related Topics". The >scientific and social program of the workshop as well as Bern as a >World Heritage Site provide an inspiring atmosphere to get in touch >with motivated colleagues, to discuss open problems and to find >potential future collaborators. > >Further information available at ><http://www.imsv.unibe.ch/content/talks/workshop_on_elicitability_propriety_…>http://www.imsv.unibe.ch/content/talks/workshop_on_elicitability_propriety_… > > >Best regards, >Johanna Ziegel, Christoph Strahl and Tobias Fissler > >_________________________________ >University of Bern >Department of Mathematics and Statistics >Institute of Mathematical Statistics and Actuarial Science > >Tobias Fissler >PhD-Student > >Sidlerstrasse 5 >CH-3012 Bern, Schweiz >Tel.: +41 (0) 31 631 88 06 ><mailto:tobias.fissler@stat.unibe.ch>tobias.fissler(a)stat.unibe.ch >http://www.stat.unibe.ch

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avviso di seminario
by Brunero Liseo 04 Mar '15

04 Mar '15

Mi scuso per eventuali ricezioni multiple Avviso di seminario Relatore: Radu Craiu Department of Statistical Sciences University of Toronto Titolo: Bayesian Inference for Conditional Copula models with Continuous and Binary Responses Dove e Quando: mercoledì 11 marzo ore 11.30 Aula Fanfani (quinto piano, edificio Economia) Viale del Castro Laurenziano 9, Roma Abstract: The conditional copula device allows the use of copula models in the study of dependence between response variables in regression settings. We consider situations in which the dependence structure varies with covariates and we introduce a Bayesian model that allows for joint estimation of the marginal and joint models. The dependence between the copula parameter and the covariates is modeled via polynomial splines. Extensions to multiple covariates are implemented via additive models. We discuss the computation algorithm required for inference and demonstrate the performance of model selection techniques on simulated and real data. Tutti gli interessati sono invitati a partecipare -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *http://www.memotef.uniroma1.it/users/liseo-brunero <http://www.memotef.uniroma1.it/users/liseo-brunero>* =============================================

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Interdisciplinary WK on Quantitative Finance (fwd)
by Tiziano Vargiolu 02 Mar '15

02 Mar '15

----- Forwarded message from crmdifusions(a)crm.cat ----- Date: Tue, 24 Feb 2015 11:22:23 +0100 From: B?stia CRM Difusions <crmdifusions(a)crm.cat> Subject: Reminder Interdisciplinary WK on Quantitative Finance we want to remind you the upcoming Interdisciplinary Workshop on Quantitative Finance which will be held at the Centre de Recerca Matem?tica, Bellaterra, Barcelona from June 25 and 26, 2015. In this workshop we aim to bring together academic researchers and professionals from financial institutions interested in quantitative finance, to interact and to discuss. We wish to focus on the underlying mathematical models as well as in advanced numerical solution techniques used for pricing financial contracts and risk measurement. Quantitative finance concerns the application of mathematical methods to solve problems in finance. The tools and techniques to tackle these problems cover a wide spectrum of fields, like stochastic analysis, numerical analysis, partial differential equations, statistics and econometrics. ?Deadline for registration: May 31, 2015 More information in: http://www.crm.cat/en/Activities/Curs_2014-2015/Pages/Quantitative-Finance.… We hope that this information is of your interest and we hope to see you soon in Barcelona, Elisa Al?s (Universitat Pompeu i Fabra) Joan del Castillo (Universitat Aut?noma de Barcelona) Jos? Manuel Corcuera (Universitat de Barcelona) Luis Ortiz-Gracia (Centre de Recerca Matem?tica) Josep Vives (Universitat de Barcelona) (Scientific Coordinators) Administration Centre de Recerca Matem?tica Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Spain Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 http://www.crm.cat<http://www.crm.cat/>

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