A tutti gli interessati segnalo che presso il Politecnico di Torino e'
stata indetta la procedura di selezione per la copertura di una posizione
da Ricercatore Universitario a tempo determinato di tipo A, nell'SSD
Mat/06, riservata a candidati che abbiano conseguito il Dottorato di
Ricerca in data non antecedente al 01/01/2013.
Il termine di scadenza per la presentazione delle domande alla predetta
procedura di selezione è fissato per il giorno Giovedì 1° febbraio 2018.
Il testo del bando e' …
[View More]reperibile al link
https://www.swas.polito.it/services/concorsi/240.asp?id_documento_padre=147…
Cordiali saluti,
Franco Pellerey
Dipartimento di Scienze Matematiche
Politecnico di Torino
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On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture
David Hobson
University of Warwick
TITLE: Optimal stopping, time inconsistency and naive agents
ABSTRACT:
Many problems from finance and economics can be cast
as optimal stopping problems. In the classical framework when we
model agents as maximisers of expected utility the optimal stopping
rule is a threshold rule. But what happens if we move beyond …
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standard setting?
We discuss some examples from cautious stochastic utility and
prospect theory. Then the problems become time-inconsistent and
we must discuss how agents respond to time inconsistency.
LOCATION:
The seminar will be held on Wednesday, Januar 17, 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. Simone Cerreia-Voglio (Univ. Bocconi)
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. 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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Con preghiera di diffusione a tutti gli interessati
Si segnala l'uscita di un bando per un posto di RTD-B nel settore
MAT/06 in Sapienza Università di Roma, presso il Dipartimento SBAI.
Il bando ha scadenza 05/02/2018 ed è disponibile alla pagina
https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/93601
Cordiali saluti
Barbara Vantaggi
10th World Congress of the Bachelier Finance Society
Dublin, July 16-20, 2018
Every two years, the World Congress of the Bachelier Finance Society
brings together academics and practitioners in the Mathematical and
Quantitative Finance community to exchange ideas, discuss the latest
trends, and find new collaborations and employment opportunities.
Submissions of papers and abstracts are open through January 15, 2018 at
http://bacheliercongress2018.com/
Registration fees and accommodation …
[View More]options will be announced in the
coming weeks on the website.
Bachelier Finance Society Junior Scholar Award - sponsored by SIG
At SIG, Quantitative Researchers explore the latest concepts in
Financial Mathematics to solve problems found in the markets. Sponsored
by SIG, this new award will honour the most outstanding contribution by
a PhD student or postdoc with EUR 5000 (conditions apply). The award has
been created to recognise scholars who share SIG’s passion for
cutting-edge research. Conference participants will also have the
opportunity to submit their CVs and potentially interview with our sponsors.
For details on the Bachelier Finance Society Junior Scholar Award, see
http://www.bachelierfinance.org/awards/junior-scholar-award.html
Plenary Speakers
René Aïd (Paris Dauphine),
Hansjoerg Albrecher (HEC Lausanne),
Bruno Bouchard (Paris Dauphine),
J. Doyne Farmer (Oxford),
Masaaki Fukasawa (Osaka),
Xin Guo (Berkeley),
Monique Jeanblanc (Evry),
Charles-Albert Lehalle (Capital Market Fund),
Walter Schachermayer (University of Vienna),
José A. Scheinkman (Columbia),
Mete Soner (ETH Zurich),
Jianfeng Zhang (USC).
Scientific Committee
Pauline Barrieu (LSE),
Erhan Bayraktar (University of Michigan),
Michel Crouhy (Natixis),
Jean-Pierre Fouque (Santa Barbara),
Paolo Guasoni (Dublin City University),
Takaki Hayashi (Keio),
Vicky Henderson (Warwick),
Alexander Lipton (Stronghold Labs),
Andrew Lo (MIT),
Jin Ma (USC),
Huyên Pham (Paris VII),
Jean-Charles Rochet (University of Zurich),
Mathieu Rosenbaum (Ecole Polytechnique),
Alexander Schied (Waterloo),
Wim Schoutens (KU Leuven).
--
*Séanadh Ríomhphoist/Email DisclaimerTá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://www4.dcu.ie/iss/seanadh-riomhphoist.shtml>This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://www4.dcu.ie/iss/email-disclaimer.shtml>*
--
<https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni>
<https://www.linkedin.com/company/dublin-city-university>
<https://www.instagram.com/dublincityuniversity/?hl=en>
<https://www.youtube.com/user/DublinCityUniversity>
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Dear Colleagues,
on 15-16-17-18-19-22 January 2018 from 14:00 to 17:00 and on 23 January
2018 from 10:00 to 13:00 (Aula 18, Department of Business Studies-Roma Tre
University, Via Silvio D'Amico, 77 -00145, Roma ), Prof. Mustafa Pinar of
Bilkent University in Ankara will hold an intensive course on "Optimization
in Economics and Finance".
The attendance of the course is free, but for organizational reasons it is
necessary to register by sending an email to francesco.cesarone(a)uniroma3.it
with …
[View More]the following subjects:
Name Surname - course on Optimization.
PROGRAM
Optimization: theory and algorithms
- Static optimization
- Equality and inequality constraints. Lagrange multipliers, KKT conditions
- The role of convexity and its generalizations in optimization
- Lagrangian duality
- Applications in Economics and Finance
- Univariate uncostrained optimization
- Multivariate unconstrained optimization (gradient-based methods, Newton's
method and its variants)
- Constrained optimization (penalty and barrier methods, augmented
lagrangian method, sequential quadratic programming)
- Optimization Software
References
- Optimization: Insights and Applications, J. Brinkhuis and V. Tikhomirov
- Convex Optimization, S. Boyd and L. Vandenberghe
- Convex Analysis and Optimization, Lecture Notes by A. Nemirovski
We look forward to meeting you in Roma Tre!
Best regards,
Francesco Cesarone
--
http://disa.uniroma3.it/qfw2018/
--
Francesco Cesarone - Ph.D.
Ricercatore - Assistant Professor
Facoltà di Economia
Dipartimento di Studi Aziendali
Università Roma Tre
Via Silvio D'Amico, 77
00145 - Roma
tel: +39 06 57335744
Skype: francesco.cesarone
email: francesco.cesarone(a)uniroma3.it
Studio n. 20 piano V
WWW: http://host.uniroma3.it/docenti/cesarone/
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Vi segnalo che sono stati pubblicati in G.U. il 5 gennaio 2018
2 bandi (Ricercatore lett. a), settori SECS-S/06 e SECS-P/11).
In particolare si segnala il bando seguente e si
invitano tutti gli interessati a presentare domanda.
13/D4 - Metodi matematici dell'economia e delle
scienze attuariali e finanziarie
Pubblicato sulla Gazzetta Ufficiale in data 5 gennaio 2018
Settore scientifico-disciplinare SECS-S/06 -
Metodi matematici dell'economia e delle scienze
attuariali e finanziarie …
[View More]presso il Dipartimento
di Economia e Finanza della LUISS Libera
Università Internazionale degli Studi Sociali Guido Carli.
Ricercatore art. 24, comma 3, lett. a)
Codice concorso DEF-RIC-03/2018
Scadenza: 19 febbraio 2018
*
<http://www.luiss.it/sites/www.luiss.it/files/BANDO_DEF-RIC-03-2018.pdf>Bando
DEF-RIC-03/2018
Fausto Gozzi
Fausto Gozzi
Dipartimento di Economia e Finanza
LUISS - Guido Carli
Viale Romania, 32
00197 Roma
Italy
tel 06.85225723 (office)
FAX 06.86506513
e-mail: fgozzi(a)luiss.it
webpage: http://docenti.luiss.it/gozzi/
old address, sometimes still used:
Fausto Gozzi
Dipartimento di Matematica
Universita' di Pisa
Largo Bruno Pontecorvo n.5
56127 Pisa
Italy
tel 050/2213270
e-mail: gozzi(a)dm.unipi.it
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Giovedì 11 gennaio 2018 alle ore 15:30
Niccolò Torri (Université Paris 6 - Pierre et Marie Curie)
terrà un seminario dal titolo
"Scaling limit of the prudent random walk"
Aula 3014, Dipartimento di Matematica e Applicazioni
(edificio U5, terzo piano, via Cozzi 55, Milano)
Università di Milano-Bicocca
Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare.
Francesco Caravenna
%%%%%%%%%%%%%%%%%%%%%%%%%%
The self-interacting self-avoiding random walk (ISAW) is a …
[View More]mathematical model introduced for studying the behavior of a polymer dipped in a repulsive solvent. In this model the possible spatial configurations of the polymer are provided by self-avoiding walk trajectories. However, self avoiding walks, especially in dimension 2 and 3, are complicated objects. This is the reason why, in the mathematical literature, the ISAW model was studied for sub-families of self-avoiding walks, as for instance the partially directed self-avoiding walk. A natural generalization of the partially directed self-avoiding walk is given by the so called "prudent random walk". A prudent path a non-directed self-avoiding path which cannot take a step towards a previously visited lattice site.
The prudent self-avoiding walk has attracted the attention of the combinatorial and probabilistic community over recent years and already the 2-dimensional case presents challenging issues. In this talk we consider two of such issues, concerning the scaling limit as well as exponential growth rate of the set of prudent paths, making a link with the general context of the ISAW model.
Joint work with N. Pétrélis and R. Sun
%%%%%%%%%%%%%%%%%%%%%%%%%%
_________________________________________
Francesco Caravenna
Dipartimento di Matematica e Applicazioni
Università degli Studi di Milano-Bicocca
Via Cozzi 55, 20125 Milano, Italy
http://www.matapp.unimib.it/~fcaraven/
_________________________________________
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(sorry for possible cross-postings)
Dear all,
the Interdepartmental Centre "Giorgio Levi Cases" for Energy, Economics
and Technology (University of Padova) issues a research grant on the topic
"Capacity markets and the definition of the value of Reliability Options"
to be performed at the Department of Mathematics under the supervision of Prof.
Tiziano Vargiolu (as the scientific responsible), in cooperation with Prof.
Fulvio Fontini, of the Department of Economics and Management.
- …
[View More]duration: 27 month;
- deadline: January 18, 2017
- topic:
In energy markets, it is of particular interest the problem of a fair
evaluation of Reliability Options (RO), namely, physical call options derived
on electricity, issued by generators and acquired by a subject to hedge
adequacy risk of power generation. The aim of this grant is to define a fair
pricing of RO, which requires techniques which go beyond those classically used
in financial markets to price and hedge derivative assets.
- call for grant:
http://www.math.unipd.it/it/news/?id=2152
The English version is at the bottom (2 downloadable files).
The successful candidate will not have teaching duties (however, there
is in principle the possibility to teach, if wanted) and will have access to
the Department's fundings for travel.
For further information, feel free to contact me
(vargiolu(a)math.unipd.it).
Please circulate
--------------------------------------------------------------------------
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
--------------------------------------------------------------------------
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Dear All,
I am glad to announce that the School of Mathematics at the University of Leeds is advertising one post for a Professor of Mathematics or Statistics.
Please follow the link for details
https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1074
Closing date: 31st January 2018.
I would be most grateful if you could please forward this announcement to suitable candidates.
Best wishes,
Elena
Dr Elena Issoglio
Lecturer in Financial Mathematics
Office 11.02, School of Mathematics
…
[View More]School of Mathematics, University of Leeds, Leeds, LS2 9JT
E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk>
T: 0113 34 3 4660
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