*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…
[View More]*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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A v v i s o d i S e m i n a r i o
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Martedì 4 Aprile, ore 14,30
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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 …
[View More]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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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
…
[View More]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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