Prof. Francesca Biagini (LMU Munich) will give a virtual talk at our Department seminar.
Date: 13 October 12:00 CEST.
Title: "Reduced-form setting under model uncertainty with non-linear affine intensities"
If you would like to attend via Zoom, please register at the following link, we will send you the details:
https://docs.google.com/forms/d/e/1FAIpQLSe6_5W5PbKr9R3fufAahV1D4js4-6AAcEn…
Abstract:
In this talk we present a market model including financial assets and
life insurance liabilities within a reduced-form framework under model
uncertainty by following [1]. In particular
we extend this framework to include mortality intensities following an
affine process under parameter uncertainty, as defined in [2].
This allows both to introduce the definition of a longevity bond under
model uncertainty in a consistent way with the classical case under one
prior, as well as to compute it by explicit
formulas or by numerical methods. We also study conditions to guarantee
the existence of a càdlàg modification for the longevity bond’s value
process. Furthermore, we show how the resulting
market model extended with the longevity bond is arbitrage-free and study
arbitrage-free pricing of contingent claims or life insurance liabilities
in this setting.
This talk is based on:
[1] Francesca Biagini and Yinglin Zhang. Reduced-form framework under
model uncertainty. The Annals of Applied Probability, 29(4):2481–2522,
2019.
[2] Francesca Biagini and Katharina Oberpriller. Reduced-form framework
under model uncertainty. accepted on Probability, Uncertainty and
Quantitative Risk, 2021.
[3] Tolulope Fadina, Ariel Neufeld, and Thorsten Schmidt. Affine
processes under parameter uncertainty. Probability, Uncertainty and
Quantitative Risk [link.springer.com] volume 4 (5),
2019.
--
Prof Alessandro Gnoatto, PhD
Dipartimento di Scienze Economiche
Università degli Studi di Verona
Via Cantarane 24
37129, Verona, Italy
Room 1.05
Tel: +39 045 802 8537
Homepage: www.alessandrognoatto.com
E-mail: alessandro.gnoatto(a)univr.it
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View my research on my SSRN Author page:
http://ssrn.com/author=1615989
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*3rd One-Day International Remote Workshop on*
*MACHINE LEARNING FOR FINANCE*
It is open the *call for contributions* for the *3rd One-Day International
Remote Workshop on MACHINE LEARNING FOR FINANCE*
*Workshop*
- Date: December 17th, 2021
- Mode: Streaming via the Zoom platform offered by the Department of
Economics of the Ca’ Foscari University of Venice
- Attendance free of charge
*Topics*
Artificial Intelligence, Machine Learning and Soft Computing for Finance,
Insurance and Actuarial Disciplines
*Submission*
- Proposal: Title, author(s) and abstract of about 200 words
- Deadline: December 10th, 2021
- Send to: corazza(a)unive.it
*Publications*
Facultative submission of papers to the international journal *Mathematical
Methods in Economics and Finance* (https://unive.it/m2ef), included in
the MathSciNet list of journals and in the Italian National Agency for the
Evaluation of Universities and Research Institutes one
*Past editions*
- One-Day International Remote Workshop on MACHINE LEARNING FOR FINANCE -
October 3rd, 2019: https://www.unive.it/data/agenda/3/32112
- 2nd One-Day International Remote Workshop on
MACHINE LEARNING FOR FINANCE - December 18th, 2020:
https://www.unive.it/data/agenda/3/45054
Best regards,
Marco Corazza
P.S. - We apologize for possible multiple copies of this email.
--
Marco Corazza, Ph.D.
Department of Economics - Ca' Foscari University of Venice
San Giobbe, Cannaregio 873 - 30121 Venezia, Italy
Mobile: (+39) 366 602-9134
Phone: (+39) 041 234-6921
Fax: (+39) 041 234-7444
E-mail: corazza(a)unive.it
Editor-in-Chief: Mathematical Methods in Economics and Finance -
www.unive.it/m2ef
Dear colleagues,
We are happy to announce the following online talk:
Speaker: Carlo Bellingeri (TU Berlin)
Title: Signatures and non commutative probability.
Abstract: Given a smooth path X, the signature of a path is the infinite sequence of the iterated integral of X with itself. If X is a stochastic process with an integration structure (e.g. semimartingale), the corresponding signature is the key-object to understand the "lack of continuity" between the solution of a SDE driven by X and the process itself. In this talk, we will review the main properties of the signature and introduce the new notion of "non-commutative signature", which we tailored to study a new class of rough/stochastic differential equations arising in the context of non-commutative probability. Joint paper with Nicolas Gilliers (Université de Toulouse) and Yannick Vargas (Postdam Universität)
Date and time: Monday October 11, 17:30-18:30 (Rome time zone)
Zoom link: https://us02web.zoom.us/j/5772228296 <https://us02web.zoom.us/j/5772228296>
This talk is the second of the
(PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics
organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale.
Participation is free and welcome! (though limited to 100 participants for technical reasons)
Best regards
The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)
Dear all,
A call for a 12 month research contract is open at the Scuola Normale
Superiore, Pisa (Italy). The topic of the research is
*“**Mean Field Games aspects of training deep neural networks and the use
of deep neural networks for solving Mean Field Games”*
and it is part of the project *“**Mean Field Games aspects of training
residual networks”**.*
In particular, the research will be focused on the study of the training of
deep neural network via the Mean Field Games approach and/or on the use of
deep neural network to solve Mean Fields Games problems. A special emphasis
will be put on the mathematical aspects of the two approaches. The research
will be developed under the direction of the scientific director Dr. Giulia
Livieri. Duration of the contract: 1 year (estimated starting: November
2021) Annual gross remuneration, inclusive of all taxes: € 29,000
The details of the call (in Italian and English) are available at
https://amministrazionetrasparente.sns.it/sites/default/files/bandi/assegni…
The deadline is November 5, 2021. In case you need more information, please
contact Giulia Livieri (giulia.livieri(a)sns.it)
Thanks and all the best,
Giulia Livieri
Cari colleghi,
vi segnaliamo che è appena uscito il bando per un posto di ricercatore a
tempo determinato di tipo A nel settore MAT/06, per lo svolgimento di
attività di ricerca vincolata su tematiche green e innovazione - DM 10
agosto 2021 n. 1062 presso il Dipartimento di Matematica Federigo
Enriques, Università degli Studi di Milano
*Scadenza della domanda: *19 Ottobre 2021, ore 12:00
Tutte le informazioni sono reperibili alla seguente pagina:
Ricercatore Tipo A – DM 1062-21 - s.c.01/A3, ssd MAT/06 (Codice 4872)
<https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele…>
Vi preghiamo di dare ampia diffusione tra i vostri collaboratori
interessati, considerata la scadenza a breve.
Grazie
Cordiali saluti
Daniela Morale e Stefania Ugolini
___________________________________________________________
Daniela Morale
Dept. Mathematics
University of Milano
Via C. Saldini, 50
20133 MILANO, Italy
phone: +39 02 5031 6081 fax: +39 0250316090
email: Daniela.Morale(a)unimi.it
URL: http://www.mat.unimi.it/users/morale/
________________________________________________________
* "*Even if you are a minority of one, the truth is the truth
*"Gandhi*
"Everything should be made as simple as possible, but not simpler."
*A. Einstein*
Ricevo ed inoltro.
Alessandra Cipriani
==============
3-year PhD position at Aarhus University
==============
The Department of Mathematics at Aarhus University invites applications for a 3-year PhD position in spatial random networks and topological data analysis starting in February 2022. The closing date of the vacancy is November 1, 2021.
More details can be found in the official vacancy text:
https://phd.nat.au.dk/for-applicants/open-calls/november-2021/spatial-rando…<https://urldefense.proofpoint.com/v2/url?u=https-3A__phd.nat.au.dk_for-2Dap…>
For further inquiries about the position please contact Assoc. Prof. Christian Hirsch: c.p.hirsch(a)rug.nl<mailto:c.p.hirsch@rug.nl>
Best regards,
Christian Hirsch
Dear all,
A call for a 15 month research contract is open at the Scuola Normale
Superiore, Pisa (Italy). The topic of the research is
“Algorithmic trading in energy markets with market microstructure methods”
and it is part of a collaboration between A2A and Scuola Normale.
The project will concern the development of quantitative methods for the
analysis and modeling of the high frequency dynamics of price and of limit
order book in energy markets. Specifically, the research will focus on:
time series analysis and modeling in energy markets, short-term scenario
generation of market evolution and development of market making and optimal
execution strategies. The research activity will be done in close
collaboration with the A2A quantitative team in Milan.
The details of the call (in Italian and English) are available at
https://amministrazionetrasparente.sns.it/bando/algorithmic-trading-nei-mer…
The deadline is October 21. I would be grateful if you could forward this
message to any potentially interested candidate. In case you need more
information, please contact Fabrizio Lillo (fabrizio.lillo(a)sns.it)
Thanks and all the best,
Fabrizio Lillo
----------------------------------------
Fabrizio Lillo
Dipartimento di Matematica, Università di Bologna
Scuola Normale Superiore, Pisa
ITALY
Personal website: fabriziolillo.wordpress.com
University website: www.unibo.it/sitoweb/fabrizio.lillo
<http://fabriziolillo.wordpress.com/>
phone: +39 050509159