Scusandomi per il breve preavviso, comunico che il seminario di Marco
Scarsini previsto per
oggi 23 aprile in Sapienza è *annullato* per motivi di salute dello speaker.
Cordialmente
--P
(sorry for possible cross-posting)
We have the pleasure to announce the following two seminars, in
University of Padova, Italy
Department of Mathematics, via Trieste 63
room 1BC/45, 1st floor
Friday, April 24
9.00 Zorana GRBAC: "Discrete-tenor interest rate models based on polynomial
preserving processes"
ABSTRACT:
Based on the class of polynomial preserving Markov processes, we construct
families of positive martingales, which are monotone with respect to some
parameter. Such martingales are particularly suitable for modeling of
discretely compounded forward interest rates via additive constructions. This
includes Libor-type models, as well as extensions to the multiple-curve term
structure. The main advantage of this model class is the possibility to obtain
semi-analytic pricing formulas for both caplets and swaptions that do not
require any approximations. Moreover, additive constructions allow to easily
ensure, if desired, properties such as positivity of interest rates and spreads
and monotonicity of spreads with respect to the tenor - in view of the current
market situation a model in which the reference OIS interest rates can become
negative and the spreads still remain positive is of particular interest.
Examples of tractable and flexible model specifications that we study include
quadratic OU-Gaussian and OU-L?vy processes, as well as linear models. We
discuss the efficient option pricing via Fourier methods and develop the
necessary exponential transform formulas for polynomial preserving processes.
This is joint work with K. Glau and M. Keller-Ressel.
10.00 Antonis PAPAPANTOLEON: "An equilibrium model for spot and forward
prices of commodities"
ABSTRACT
The aim of this project is to determine the forward price of a consumption
commodity via the interaction of agents in the spot and forward commodity
market. We consider a market model that consists of three agents:
producers of the commodity, consumers and financial investors (sometimes
also called speculators). Producers produce a fixed amount of the
commodity at each time point, but can choose how much they offer in the
spot market and store the rest for selling at the next time period. They
also have a position in forward contracts in order to hedge the commodity
price uncertainty. Consumers are setting the spot price of the commodity
at each time point by their demand. Finally, investors are investing in
the financial markets and, in order to diversify their portfolios, also in
the forward commodity market. The equilibrium prices for the commodity are
the ones that clear out the spot and forward markets. We assume that
producers and investors are utility maximizers and have exponential
preferences, while the consumers' demand function is linear. Moreover, the
exogenously priced financial market and the demand function are driven by
L?vy processes. We solve the maximization problem for each agent and prove
the existence of an equilibrium. This setting allows to derive explicit
solutions for the equilibrium prices and to analyze the dependence of
prices on the model parameters and the agent's risk aversion.
This is joint work with Michail Anthropelos and Michael Kupper.
After the two seminars, the defenses of a PhD thesis will take
place:
11.00 Giulio MIGLIETTA: "Topics in interest rate modeling" (supervisor: Martino
Grasselli)
See you all in Padova!
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
--------------------------------------------------------------------------
Il giorno venerdì 24 aprile alle ore 14.00 presso
la aula seminari del Dipartimento di Statistica e
Metodi Quantitativi della Università di
Milano-Bicocca (edificio U7, IV piano), la
dott.ssa Valeria Bignozzi della Università di Firenze terrà un seminario su:
Reducing model risk using positive and negative dependence assumptions
Abstract
We give analytical bounds on the Value-at-Risk
and on convex risk measures for a portfolio of
random variables with fixed marginal
distributions under an additional positive
dependence structure. We show that assuming
positive dependence information in our model
leads to reduced dependence uncertainty spreads
compared to the case where only marginals
information is known. In more detail, we show
that in our model the assumption of a positive
dependence structure improves the best-possible
lower estimate of a risk measure, while leaving
unchanged its worst-possible upper risk bounds.
In a similar way, we derive for convex risk
measures that the assumption of a negative
dependence structure leads to improved upper
bounds for the risk while it does not help to
increase the lower risk bounds in an essential
way. As a result we find that additional
assumptions on the dependence structure may
result in essentially improved risk bounds (joint
work with G. Puccetti and L. Ruschendorf).
Tutti gli interessati sono invitati a partecipare.
Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellinihttp://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it
-------- Forwarded Message --------
Subject: URGENT: lecturer sought
Date: Sun, 19 Apr 2015 16:33:40 +0000
From: Andreas Kyprianou <A.Kyprianou(a)bath.ac.uk>
To: prob-sem(a)lists.maths.bath.ac.uk <prob-sem(a)lists.maths.bath.ac.uk>,
APPLIEDPROB(a)JISCMAIL.AC.UK <APPLIEDPROB(a)JISCMAIL.AC.UK>
CC: world(a)alea-research.eu <world(a)alea-research.eu>
Dear friends and colleagues,
here is a request like one you have never heard of before:
The National University of Mongolia is currently looking in haste for an
available and ambitious volunteer who would like to go out to Mongolia
at short notice, funded by the International Mathematical Union, to
teach a 3-4 week masters-level course in probability theory *this MAY*.
Details of the programme are here:
http://www.mathunion.org/cdc/volunteer-lecturer-program/information-for-lec…
Please see here for the requirements (PhD minimum) and the support that
is on offer:
http://www.mathunion.org/cdc/volunteer-lecturer-program/information-for-lec…
This course comes in preparation of a 2-week research school in
stochastic processes, held at the National University of Mongolia, Ulan
Bator, in associated with CIMAT, DAAD, IMU and the Bernoulli society.
http://smcs.num.edu.mn/saam2015/
At the moment, The People's Republic of Mongolia
(http://en.wikipedia.org/wiki/Mongolia) is experimenting with a
significant programme of visa waivers, meaning that many countries do
not need a visa at the moment.
This is an exceptional opportunity to be part of a significant
mathematical initiative in Mongolia in the field of Stochastics. As time
is of the essence, I would be grateful if you could circulate this email
amongst colleagues and encourage any interested parties (even if it is
just a tentative query) to contact me ASAP (a.kyprianou(a)bath.ac.uk
<mailto:a.kyprianou@bath.ac.uk>) copying the email to Prof. Tsogzolmaa
Saizmaa (tsogzolmaa(a)num.edu.mn <mailto:tsogzolmaa@num.edu.mn>).
sincerely,
Andreas Kyprianou
Mini course announcement
Prof. Viorel Barbu [ Romanian Academy and University Al.I.Cuza ] will give
a mini course on SDEs, SPDEs and applications, at the Department of
Computer Science, University of Verona, with the following calendar of
lessons
Monday: 20/4 - 27/4 - 4/5
Wednesday: 22/4 - 29/4
All the lessons will start at 14:30 with a forecasted duration of 3 hours
each.
Possible additional lessons will be decided during the course.
The tentative programme is the following:
1) STOCHASTIC DIFFERENTIAL EQUATIONS
Existence theory, examples to stock prices, Langevin equation,
Ornstein-Uhlenbeck processes,Feynman-Kac formula
2) APPLICATIONS TO CONTROL PROBLEMS
Stochastic HJB and stochastic control problems
3) STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
Infinite dimensional stochastic integral, Stochastic linear diffusion
equation, stochastic reaction diffusion equation,stochastic porous media
equation
All the lessons will be given here
https://goo.gl/maps/Yx2JU
Strada le Grazie, 15 - 37134 Verona VR
Ca' Vignal 2, first floor , Room M.
Do not hesitate to contact me for further details: luca.dipersio(a)univr.it
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
Nell'ambito del Corso di Laurea Magistrale in Finance and Risk
Management (FiRM) dell'Università di Firenze
i Proff Klaus SCHREDELSEKER (University of Innsbruck) e Eckhard PLATEN
(University of Technology, Sydney)
terranno i seguenti seminari presso il
Dipartimento di Scienze per l'Economia e l'Impresa
Edificio D6, via delle Pandette, 32, Firenze
Tutti gli interessati sono invitati a partecipare
Gli abstract degli interventi sono riportati in basso.
=============================================================
Prof Klaus SCHREDELSEKER
Martedì 5 Maggio, 14.00-16.00, aula D6/007
''Financial Analysis and Efficient Markets ''
Mercoledì 6 Maggio, 12.00-13.30 e 14.30-16.00, aula D6/102
"Information Economics applied to Financial Markets "
=============================================================
Prof Eckhard PLATEN
Giovedì 7 Maggio, 10.00-12.00, aula D6/105
''Numerical Solutions of Stochastic Differential Equations with Jumps in
Finance ''
Venerdì 8 Maggio, 10.00-12.00, aula D6/013
"A Benchmark Approach to Finance "
=============================================================
Abstract.
''Financial Analysis and Efficient Markets '' (Schredelseker)
Financial Analysis is the basic of any type of financial reasoning
(portfolio theory,
capital market theory, derivatives). How it has to be done depends
primarily upon
the properties of the market: If it is assumed to be informationally
efficient, financial
analysis is redundant, but if this is the case, the market cannot be
efficient. If,
however, the market is assumed to be somewhat inefficient, there will be
systematic
winners and losers: Being a complex adaptive system, the financial
market will exhibit
nonlinearities in information.
"Information Economics applied to Financial Markets " (Schredelseker)
In natural sciences the value of information is always bound from zero:
it can never
be negative. This does not hold in multiperson-settings like a financial
market: Getting better
informed may result in a better or in a lower decision quality! A highly
skilled and experienced
financial analyst is assumed to expect a lower performance in the market
as a lousy analyst.
Methodology: Game theory, Agent-based modelling, Simulations, Genetic
programming.
''Numerical Solutions of Stochastic Differential Equations with Jumps in
Finance '' (Platen)
In financial and actuarial modelling and other areas of application,
stochastic differential
equations with jumps have been employed to describe the dynamics of
various state variables.
The numerical solution of such equations is more complex than that of
those only driven by
Brownian motions. The aim of this lecture is to present various
numerical methods used in
quantitative finance for models involving stochastic differential
equations with jumps.
It emphasises mathematical concepts, techniques and intuition crucial
for modern numerical
methods in derivative pricing and risk management. Questions of
numerical stability and
convergence will be discussed. Several recent results will be presented
on higher-order methods
for scenario and Monte Carlo simulation, including implicit, predictor
corrector and
extrapolation methods.
"A Benchmark Approach to Finance " (Platen)
This lecture introduces into the benchmark approach, which provides a
generalized framework
for financial market modelling. It allows for a unified treatment of
derivative pricing,
portfolio optimization and risk management. It extends beyond the
classical asset pricing theories,
with significant differences emerging for extreme maturity contracts and
risk measures relevant
to pensions and insurance. The Law of the Minimal Price will be
presented for derivative pricing.
A Naïve Diversification Theorem allows forming a proxy for the numeraire
portfolio. The richer
modelling framework of the benchmark approach leads to the derivation of
tractable, realistic
models under the real world probability measure. It will be explained
how the approach differs
from the classical risk neutral approach. Examples on long term and
extreme maturity derivatives
demonstrate the important fact that a range of contracts can be less
expensively priced and
hedged than suggested by classical theory.
---
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Il giorno Giovedì 23 Aprile 2015, alle ore 14:30
presso la sede di Prometeia (sala grande, primo piano)
via G.Marconi 43, Bologna
Valeria BIGNOZZI
(Università di Firenze)
terrà un seminario dal titolo
"How superadditive can a risk measure be?"
Abstract
Risk measures that are not subadditive may penalize the aggregation of
risk, by inducing portfolio requirements that are larger than those of
undiversified positions. This happens for instance for Value-at-Risk
(VaR), as well as convex shortfall risk measures. In this paper we
characterize the potential for superadditivity that any risk measure may
exhibit, considering both dependence uncertainty as well as the effect
of portfolio size. It is shown that for the wide majority of risk
measures of use or interest this corresponds to calculating the smallest
dominating coherent risk measure (SDCRM). We show that this risk measure
often exists and is identified with the notion of extreme-aggregation
risk measure introduced in this paper. Explicit results are provided for
the class of distortion risk measures, where the SDCRM is again a
distortion risk measure and for the class of shortfall risk measures,
where the SDCRM is given by an expectile.
---
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http://www.avast.com
Car* collegh*,
all'Universita' della Northumbria (Newcastle upon Tyne, UK) e' in corso un
reclutamento nel settore della statistica. Qui sotto trovate i link. La
scadenza e' imminente, ma resta ancora un po' di tempo per fare domanda.
Segnalate quest'opportunita' alle persone potenzialmente interessate.
Cordiali saluti,
Enrico Scalas
---------------------------------------------------------------------------------------------------------------------------------
· Professor in Statistics
http://work4.northumbria.ac.uk/hrvacs/eae1431
Closing date: 21 April 2015
· Reader in Statistics
http://work4.northumbria.ac.uk/hrvacs/eae1430
Closing date: 21 April 2015
· Senior Lecturer/ Lecturer in Statistics (Two Posts)
http://work4.northumbria.ac.uk/hrvacs/eae1432
Closing date: 23 April 2015
Tue April 21 2015, 1:00 PM in Aula Mancini, Scuola Normale Superiore Pisa
Andrea Sillari
Unicredit Bank - Milano
will deliver the seminar
"Risk Models - Operation, Maintenance, Upgrade"
All interested people are kindly invited.
Best,
Giacomo
--
Giacomo Bormetti
Assistant Professor of Financial Mathematics
--------------------------
Faculty of Mathematical and Natural 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