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Mini course in Verona - Luciano Campi: Optimal stopping with applications to finance.
by Luca di persio 04 Apr '17

04 Apr '17

*Mini course announcement* Prof. Luciano Campi [ LSE, London School of Economics, London ] will give a mini course on *Optimal stopping with applications to finance*, according with the following time table: 10th of April (2017) : 1730-1930 - Room M 11th of April (2017) : 1430 -1730 - Room M 12th of April (2017) : 1430-1730 - Room M all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course*Optimal stopping problems are very common in economics and finance (as well as in other fields such as sequential statistics), think for instance of choosing the best time to sell some good (e.g. a house) or to exercise a given option. The aim of this course is explaining in detail the main solution methods and how they can be applied to some concrete examples coming from economics and finance. A good knowledge of probability theory and martingales in discrete time is a very welcomed prerequisite. The list of topics will be: 1. Optimal stopping problem (OSP): motivation and examples. 2. Solution to OSP via Snell envelop and backward induction. 3. Zero-sum stopping games (aka Dynkin games). 4. Applications to finance and economics. *References*: • Neveu, J. (1975). Discrete-parameter martingales (Vol. 10). Elsevier. • Peskir, G., and Shiryaev, A. (2006). Optimal stopping and free-boundary problems (pp. 123-142). Birkhäuser Basel. • Ghemawat, P., and Nalebuff, B. (1985). Exit. The RAND Journal of Economics, 184-194. • Solan, E., and Vieille, N. (2005). Stopping games: recent results. In Advances in Dynamic Games (pp. 235-245). Birkhäuser Boston. ___________ 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

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Seminario Prof. Fonden Sapienza Roma
by Alessandro Degregorio 03 Apr '17

03 Apr '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Martedì 4 Aprile, ore 14,30 ------------------------------------------------------------ ----------------- Aula 1B1 Dipartimento di Scienze di Base e Applicate per l'Ingegneria (SBAI) "Sapienza" Università di Roma Prof. Mohammud Fonden (University of Glasgow) *Titolo:* Some properties of space-time fractional stochastic partial differential equations *Abstract:* The main point of this talk is to show how the presence of the non-locality affects the behaviour of solutions to the stochastic heat equation. We will look at equations with fractional Laplacian as well as equations with time fractional derivatives. The properties discussed are closely related to the concept of ‘intermittency’ which roughly speaking, means that the solution develop high peaks. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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Due assegni di ricerca biennali nell'area 01
by Federico Polito 03 Apr '17

03 Apr '17

Con preghiera di diffusione a tutti gli interessati. Si segnala l'uscita di un bando per due assegni di ricerca biennali nell'area 01. La ricerca si propone lo studio di nuove problematiche attuali della Matematica, con particolare riferimento a quelle elencate nel progetto scientifico del Dipartimento di Matematica dell'Università di Torino: http://www.dipmatematica.unito.it/do/home.pl/View?doc=dip_prog_scien.html I settori scientifico-disciplinari interessati sono tutti quelli dell'Area 01. Le tematiche di ricerca attive per il SSD MAT/06 sono reperibili al seguente link: http://www.dipmatematica.unito.it/do/gruppi.pl/Show?_id=2oge&tab=2 Le domande di ammissione alla selezione devono essere presentate utilizzando esclusivamente l'apposita procedura online al link https://pica.cineca.it/unito/ dove è anche possibile scaricare il testo completo del bando. La presentazione della domanda di partecipazione dovrà essere perfezionata e conclusa entro le ore 12 (ora di Roma) del 26 Aprile 2017. Un saluto. Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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