Workshop
MODEL UNCERTAINTY AND ROBUST FINANCE
https://sites.google.com/site/2016murf/
<https://sites.google.com/site/2016murf/home>
University of Milan, 10-11 November 2016
INVITED SPEAKERS:
Giorgio DALL'AGLIO (Special historical talk)
David HOBSON (University of Warwick)
Jan OBLOJ (University of Oxford)
Bernt ØKSENDAL (University of Oslo)
Halil Mete SONER (ETH Zurich)
Steven VANDUFFEL (VRIJE Brussels)
DEADLINE FOR ABSTRACT SUBMISSION: September 30
ALL ACCEPTED CONTRIBUTED SPEAKERS
…
[View More]WILL HAVE REGISTRATION FEE WAIVED.
--
Marco Maggis,
Ricercatore TD, Secs-S/06
Dipartimento di Matematica F. Enriques,
Via Cesare Saldini 50, 20133, Milano
Telefono: 0250316120
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Ricevo e inoltro.
> ---------- Forwarded message ----------
> From: CRM <crm(a)sns.it>
> Date: 2016-05-11 20:08 GMT+02:00
> Subject: Probability -- SNS CALL FOR EXPRESSIONS OF INTEREST
> To: CRM <crm(a)sns.it>
>
>
> Dear Colleagues,
>
> the Scuola Normale Superiore decided to open an expression of interest in Probability, at the full professor level.
> Please feel free to spread this information to anyone potentially interested.
> Expressions …
[View More]of interest shall be addressed to:
>
> Prof. Vincenzo Barone
> Preside della Classe di Scienze Matematiche e Naturali
> Scuola Normale Superiore
> Piazza dei Cavalieri, 7
> PISA – Italy
>
> and can be sent by email to the following address : classi(a)sns.it, writing EOI/PROB in the subject field.
>
> Here is the link for a detailed information:
>
> http://en.sns.it/bando/professorship-probability-theory-scuola-normale-supe…
>
> The deadline for submission is May 31st.
>
> Thank you for your collaboration.
>
> With best wishes,
>
> Stefano Marmi
> Director
>
> Centro di Ricerca Matematica
> Ennio De Giorgi
> Palazzo Puteano
> Piazza dei Cavalieri 3
> 56100 PISA
> crm(a)sns.it
>
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A v v i s o d i S e m i n a r i o
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Giovedì 12 Maggio, ore 11
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Stanza 34
Dipartimento di Scienze Statistiche
"Sapienza" Università di Roma
Prof. A.Olenko (La Trobe University, Melbourne, Australia)
*Titolo:*
Some asymptotic properties of geometric functionals …
[View More]of strongly dependent
random fields
*Sintesi:*
Limit theorems for the volumes of excursion sets of strongly dependent
heavy-tailed random fields will be presented. Special attention is paid to
Student and Fisher random fields. We also discuss the rate of convergence
to the Rosenblatt-type distributions in non-central limit theorems. In
contrast to approaches based on the Malliavin calculus and Stein's method
we use direct probability methods. Some examples and simulation results are
shown.
The presentation is based on the papers:
N. Leonenko, A. Olenko, Sojourn measures of Student and Fisher-Snedecor
random fields, Bernoulli, 20(3) (2014) 1454--1483.
Vo Anh, N. Leonenko, A.Olenko. On the rate of convergence to
Rosenblatt-type distribution, Journal of Mathematical Analysis and
Applications, 425(1) (2015) 111-132.
Tutti gli interessati sono invitati a partecipare.
Cordiali saluti
Alessandro De Gregorio
--
___________________________________________
INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ:
*DONA IL 5 PER MILLE ALLA SAPIENZA*
CODICE FISCALE *80209930587*
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Si comunica che all’interno del Dottorato di Ricerca “Modelli per
l’Economa e la Finanza” (Dipartimento MEMOTEF) la Dottoressa Valeria
Bignozzi svolgera’ il ciclo di lezioni “An Introduction to Risk Measures”
secondo il seguente calendario
13 maggio ore 18-20
17 maggio ore 16.30-18
18 maggio ore 11.30-13
Le lezioni si svolgeranno presso l’aula Maramma VI piano Economia, Via del
Castro Laurenziano 9, 00161 Sapienza Universita’ di Roma.
Gli interessati possono contattarmi via mail all'indirizzo
…
[View More]lea.petrella(a)uniroma1.it
Segue il programma del corso ed i riferimenti bibliografici
An Introduction to Risk Measures:
1. Definition of a risk measure (rm) and its applications in finance and
insurance;
2. Classical examples of rm: Value-at-Risk (VaR), Expected Shortfall (ES),
Expectiles;
3. Computing risk measures for discrete and continuous distributions;
4. Properties: Monotonicity, Translation Invariance, Positive homogeneity,
subadditivity, convexity, comonotonicity, law-invariance; Convex and
coherent rm;
5. Non subadditivity of VaR and its consequences on portfolio
diversification;
6. Estimation of rm (Historical estimation, generalised quantile
regression, maximum likelihood methods, bayesian approach);
7.Risk measurement for an aggregate position.
References:
1. Embrechts, P., F. Rudiger., and A. McNeil. "Quantitative risk
management." *Princeton Series in Finance, Princeton* 10 (2005).
2. Föllmer, H., and A. Schied. *Stochastic finance: an introduction in
discrete time*. Walter de Gruyter, 2011.
3. Jorion, P.. *Value at risk: the new benchmark for managing financial
risk*. Vol. 3. New York: McGraw-Hill, 2007.
--
****************************************************
Prof. Lea Petrella
Memotef Department
Sapienza University of Rome
http://www.memotef.uniroma1.it/users/petrella-lea
*****************************************************
--
___________________________________________
INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ:
*DONA IL 5 PER MILLE ALLA SAPIENZA*
CODICE FISCALE *80209930587*
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Presso il Dipartimento di Matematica del Politecnico di Milano sono disponibili 10 borse di dottorato in Modelli e Metodi Matematici per l'Ingegneria. Nell'ambito di questo programma di Dottorato è possibile sviluppare un progetto di ricerca in Statistica.
La scadenza per effettuare l’iscrizione è*venerdì 27 maggio 2016 ore 14.00*
Al linkhttp://www.dottorato.polimi.it/entra-al-dottorato/concorso-di-ammissione-e-borse-di-studio/bandi/bando-xxxii-ciclo-dei-corsi-di-dottorato-20162017/
sono …
[View More]contenute tutte le informazioni relative al bando, alle borse e ai corsi di dottorato.
Vi preghiamo di dare diffusione di questo avviso ai vostri Studenti potenzialmente interessati.
Cordialmente,
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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Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli.
Cordialmente,
Giacomo Aletti
===============
Nell'ambito del Seminario di Matematica Applicata, in collaborazione col centro ADAMSS e il CIMAB, il giorno giovedì 12 Maggio 2016, alle ore 14.30, nella Sala di Rappresentanza (piano terra) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano,
"Image segmentation, graph clustering and Hough transform methods …
[View More]for object detection and measurement in images"
Luca CALATRONI
Dipartimento di Matematica
Universita' di Genova
Abstract: In this talk we consider the problem of image segmentation through the minimisation of a Ginzburg-Landau-type functional defined on graphs (i.e. the pixel images). Such approach has first been considered by A. Bertozzi and A. Flenner and provides a binary segmentation of the image via the extraction and the comparison of features (RGB, texture,...) with a dictionary in terms of an appropriate similarity measure. From a mathematical point of view, the segmentation is obtained by exploiting the spectral properties of the differential operators appearing when taking the $\ell^2$ gradient flow of the functional. In order to overcome the numerical difficulties due to the large size of the images considered, Nyström matrix completion techniques and convex splitting methods are employed. We apply such method to the problem of scale detection in images where a fuzzy region of interest is present together with a measurement tool (e.g. a ruler). In particular, by means of a Hough transform based algorithm, we apply our combined method to several measurement tasks arising in real-world applications such as zoology, medicine and archaeology.
--
-------------------------------
Giacomo Aletti, Associate Professor
ADAMSS Centre (ex MIRIAM)
Advanced Applied Mathematical and Statistical Sciences
Department of Mathematics (www.mat.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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Cari colleghi,
invio questa nota circa la Summer School che stiamo organizzando a Roma, che può essere di interesse per chi si occupa di matematica applicata alla finanza.
Un caro saluto e a presto
Roy
%%%
Caro collega,
dal 6 all' 11 giugno 2016, a Roma, si terrà l'XI edizione l'International Summer School on Risk Measurement and Control in cui verranno trattati tre temi di fondamentale importanza:
* Session 1 - New Frontiers in Risk Management;
* Session 2 - Energy Risk Management;
*…
[View More] Session 3 - The EURO project: shadows and lights.
Ulteriori informazioni di dettaglio sono reperibili sul sito. <http://www.risksummerschool.eu/>
Ti chiederei gentilmente, di far circolare la notizia dell'evento quanto più possibile tra i tuoi contatti e all'interno della tua istituzione di afferenza. Siamo convinti che questo evento, che vanta un parterre di docenti internazionali di assoluta rilevanza, possa essere di interesse per molti studiosi.
In attesa di un cortese riscontro, ti mando i miei più cari saluti
Roy Cerqueti (Comitato Organizzatore)
--
___________________________________________
INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ:
*DONA IL 5 PER MILLE ALLA SAPIENZA*
CODICE FISCALE *80209930587*
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----- Forwarded message from Robert Stelzer <robert.stelzer(a)uni-ulm.de> -----
Date: Tue, 3 May 2016 15:33:10 +0200
From: Robert Stelzer <robert.stelzer(a)uni-ulm.de>
Subject: Open Position as a Scientific Employee at Ulm University
To: Robert Stelzer <robert.stelzer(a)uni-ulm.de>
Dear Colleagues and Friends,
please find below and attached the announcement for an open position as a
scientific
employee (Postdoc or PhD level) at the Institute of Mathematical …
[View More]Finance
at Ulm University.
It would be very kind if you would bring it to the attention of possible
candidates.
Best Regards,
Robert (Stelzer)
The Institute of Mathematical Finance at the Faculty of Mathematics and
Economics of Ulm University invites applications for one non-permanent position
as a
Scientific Employee (E13 TV-L)
starting October 1st, 2016, according to the rules of the German law for
non-permanent scientific positions (Wissenschaftszeitvertragsgesetz).
Prerequisite is a very good master degree in a mathematical field of study or a
comparable degree, and interest in future research in at least one of the areas
Financial Mathematics, Financial Econometrics, Statistics of Stochastic
Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic
Processes or Time Series Analysis. The opportunity for further scientific
qualification (Habilitation/PhD) is given.
The duties include contributing to the teaching activities of the institute.
For a full position the teaching duty is four hours per week during the
teaching period. The language of the courses is usually English. Thus no
knowledge of German is initially necessary. Candidates with a completed PhD are
going to be employed on a full position, otherwise candidates will be employed
on a partial position according to individual agreement. The contract duration
will be in accordance with the qualificaion aim.
The Ulm University is committed to increase the share of women in research and
teaching positions and therefore explicitly encourages female candidates to
apply.
Please send your application with the usual documents until May 31st, 2016,
preferably in electronic form to
Ulm University
Prof. Dr. Robert Stelzer
Institute of Mathematical Finance
Helmholtzstra?e 18
89081 Ulm, Germany
E-Mail: robert.stelzer(a)uni-ulm.de
Please indicate the index number 51 on the envelope or in the reference line of
the email.
Job sharing is always possible for full time positions.
Physically disabled applicants receive favourable consideration when equally
qualified.
The appointment is made by the central university administration.
--
+++++++++++++++++++++++++++++++++++++++++
Prof. Dr. Robert Stelzer
Institute of Mathematical Finance
Ulm University
Helmholtzstra?e 18
89081 Ulm
Germany
Phone: +49 731 50 23520
Fax: +49 731 50 31096
Email: robert.stelzer(a)uni-ulm.de
http://www.uni-ulm.de/mawi/finmath/people/stelzer.html
----- End forwarded message -----
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