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Bando per "Risk Assessment & Management" [SECS P09 e affini], Laurea Magistrale "Economics & Finance", LM-16, Scadenza 22.1.2015
by stefano iacus 07 Jan '15

07 Jan '15

Cari tutti, vi pregherei di far circolare anche presso i colleghi Economisti di area Aziendale [SECS P09 e affini] la notizia di bando qui sotto. E' stato bandito un corso di "Risk Assessment and Management", Secs P09, per il corso di Laurea Magistrale in Economics & Finance (LM-16, http://www.mef.unimi.it) More details on the course: TITLE: Risk Assessment and Management LANGUAGE: English CONTENT: The course (40h) to be held on the third trimester 2015 should focus on risk management in the context of portfolios of stocks and fixed income securities along these lines: * fixed income securities: pricing, term structure relationships, interest-rate risk management; * equity securities: valuation models, financial statement analysis, price risk management; * options, futures and other derivatives: valuation and risk management. DEADLINE: 22.1.2105 HOW TO APPLY: http://www.unimi.it/cataloghi/affidamenti_bandi/DR_16962_BANDO_CONTRATTI.doc REFERENCE AND FURTHER INFOS: mef(a)unimi.if ----------------------------------- Stefano M. Iacus Director of MEF - Master in Economics & Finance http://www.mef.unimi.it Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en Master in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further informations at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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seminari all'IMATI
by Antonella Bodini 07 Jan '15

07 Jan '15

Scusandomi per l'errore e la conseguente pioggia di mail, correggo il link dei seminari di Hedibert Lopes (INSPER, Sao Paulo, Brazil), Sonia Petrone (Bocconi University), Nick Polson (University of Chicago, USA) e Refik Soyer (George Washington University, Washington, USA) http://www.mi.imati.cnr.it/seminari/seminari2.html Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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seminari all'IMATI
by Antonella Bodini 07 Jan '15

07 Jan '15

Mercoledi' 14 gennaio a partire dalle 14.30, presso la sede di Milano dell'IMATI, Hedibert Lopes (INSPER, Sao Paulo, Brazil), Sonia Petrone (Bocconi University), Nick Polson (University of Chicago, USA) e Refik Soyer (George Washington University, Washington, USA) presenteranno alcuni risultati recenti delle loro ricerche. Il programma provvisorio è disponibile all'indirizzo web: http://www.mi.imati.cnr.it/seminari/seminari2.html Tutti gli interessati sono invitati a partecipare. La partecipazione e' gratuita ma, per ragioni organizzative, e' richiesta l'iscrizione tramite mail a questo indirizzo email. Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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seminari all'IMATI - Progetto Bandiera Fabbrica del Futuro
by Antonella Bodini 07 Jan '15

07 Jan '15

Nella mattinata di mercoledi' 14 gennaio presso la sede di Milano dell'IMATI verranno presentati alcuni risultati ottenuti nel corso del Progetto Bandiera Fabbrica del Futuro. Il programma è disponibile all'indirizzo web: http://www.mi.imati.cnr.it/seminari/index.html Tutti gli interessati sono invitati a partecipare. La partecipazione e' gratuita ma, per ragioni organizzative, e' richiesta l'iscrizione (si veda sul sito). Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Stochastic Analysis and Applications Mongolia 2015 - Ulan Bator, July 27 – August 7, 2015
by Carina Geldhauser 05 Jan '15

05 Jan '15

Cari tutti, vi invio un nostro cordiale invito alla nostra scuola d'estate in analisi stochastica. Tenete in conto che dal'anno scorso non c'e piu bisogno di un visto per entrare la Mongolia per un periodo di meno di 30 giorni. Vi prego di inoltrare l'invito sopratutto ai vostri colleghi residente in paesi di sviluppo, per cui ci sono anche borse per viaggio e alloggio. Purtroppo i nostri fondi non ci permettono di dare le borse per il viaggio ai partecipanti italiani! Grazie, Carina FIRST ANNOUNCEMENT ----------------------------------- Stochastic Analysis and Applications Mongolia 2015 July 27 – August 7, 2015 The two-week research school aims to will take place at the National University of Mongolia in the capital city Ulan Bator. Invited mini-courses and special topic lecturers include: • E. Baurdoux (London) • L. Beck (Augsburg) • J. Bertoin (Zurich) • G. Borot (Bonn) • M. Caballero (UNAM, Mexico) • L. Doering (Mannheim) • E. Eberlein (Freiburg) • C. Goldschmidt (Oxford) • A. Lambert (Paris) • B. Oksendal (Oslo) • C. Pardo (CIMAT, Mexico) • L. Popovic (Montreal) Additional conference talks will also be given by attendees. There is no registration fee. Limited funding is available to (partially) cover travel expenses and/or accomodation costs. Preference is given to participants from Mongolia and developing countries. Please register (whether in need of funding or not) at our CIMPA page: www.students.cimpa.info/login <http://www.students.cimpa.info/login> Please contact the organisers if you are interested in presenting at the meeting. For more information, please visit our website: http://smcs.num.edu.mn/saam2015/ Organizing committee: J. Bertoin C. Geldhauser A. Kyprianou T. Saizmaa -- Carina Geldhauser Institute for Applied Mathematics Bonn University Endenicher Allee 60, 53115 Bonn phone: +49 (0) 228 73 3190 web: http://wt.iam.uni-bonn.de/geldhauser

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Conference at TUM (March 30 -- April 01, 2015): Challenges in Derivatives Markets: Fixed income modeling, valuation adjustments, risk management, and regulation (fwd)
by Tiziano Vargiolu 02 Jan '15

02 Jan '15

---------- Forwarded message ---------- Date: Fri, 2 Jan 2015 10:17:57 -0300 From: Zorana Grbac <zorana.grbac(a)googlemail.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Conference at TUM (March 30 -- April 01, 2015): Challenges in Derivatives Markets: Fixed income modeling, valuation adjustments, risk management, and regulation Conference at TUM (March 30 -- April 01, 2015): Challenges in Derivatives Markets: Fixed income modeling, valuation adjustments, risk management, and regulation ================================ Dear colleagues, it is our pleasure to announce the conference ?Challenges in Derivatives Markets: Fixed income modeling, valuation adjustments, risk management, and regulation?, for which we would like to invite you as contributed speaker or visitor. The conference will take place at Technische Universit?t M?nchen, March 30 ? April 01, 2015. Thanks to our generous sponsor KPMG, the registration fee for the 3-day event is only 155 Euro. We are especially proud having ? Damiano Brigo, ? St?phane Cr?pey, ? Ernst Eberlein, ? John Hull, ? Wolfgang Runggaldier, ? Luis Seco, ? Thorsten Schmidt, and ? Wim Schoutens among the confirmed speakers. So we are looking forward to an extraordinary scientific event to which we hope you will contribute with your presentation/attendance. The aim of the conference is to provide a venue for practitioners and academics working with derivatives to present state-of-the-art research, exchange ideas, and share visions on future developments in the field. The first focal point of the conference will be on recent developments in interest-rate modeling and derivatives pricing. Various types of multi-curve term structure models and especially post-crisis extensions of the Libor market model will be discussed. The second focus will be put on counterparty and liquidity risk in a global derivatives market. Derivative valuation and risk management in the presence of collateral and liquidity issues will be the central topics with special regard to valuation adjustments such as CVA (credit valuation adjustment), DVA (debt valuation adjustment), FVA (funding valuation adjustment), and other XVAs as well as their interplay. Emphasis will be put on modeling and pricing, as well as risk management and regulatory aspects. More information is given on the website http://www.mathfinance.ma.tum.de/kpmgce/conference-challenges-in-derivative… To facilitate the organization of the event, your registration by January 20, 2015 is highly appreciated. If you are interested in providing a contributed talk (these will most likely take place on Wednesday, April 01, 2015), please provide us an abstract/paper of your presentation. Best regards from the scientific committee, Kathrin Glau, Zorana Grbac, Matthias Scherer, and Rudi Zagst

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Bando per assegno di ricerca biennale nel settore SECS-S/06
by Antonella Basso 28 Dec '14

28 Dec '14

Si informa che alla pagina web http://www.unive.it/nqcontent.cfm?a_id=1538 è stato pubblicato il bando per un *assegno di ricerca biennale nel settore SECS-S/06 (13/D4)* con scadenza il 16/02/2015. Si tratta di un assegno d'area della durata di 24 mesi per lo svolgimento di attività di collaborazione alla ricerca nel settore scientifico disciplinare SECS-S/06 (13/D4) presso il Dipartimento di Economia dell'Università Ca' Foscari Venezia. Si richiede la presentazione da parte del candidato di un progetto di ricerca. In particolare si sollecita la presentazione di progetti sui modelli e metodi per la valutazione, che potranno essere relativi alla valutazione della ricerca scientifica, alla valutazione di strumenti finanziari, alla valutazione di strutture della pubblica amministrazione ecc. Si invitano tutti gli interessati a presentare domanda. Cordiali saluti Antonella Basso -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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Supporto per la Risk Transparency
by Antonella Basso 26 Dec '14

26 Dec '14

Cari Amici e Colleghi, dopo circa tre anni è ripartita l'iniziativa per la Risk Transparency da parte della Comunita' Europea. L'intento principale e' quello di utilizzare metodologie adeguate per misurare il grado di rischio dei diversi strumenti finanziari. E' molto importante che ci sia una larga partecipazione di persone competenti. Per sostenere il "Movement for Risk Transparency" e' sufficiente riempi re il form http://risktransparency.altervista.org/adhere-new-movement-risk-transparenc… ( semplicemente nome, cognome, affiliation e indirizzo mail) Di seguito una breve sintesi di tale iniziativa: Nel corso degli anni passati il “Movement for Risk Transparency” ha condotto importanti iniziative di promozione e supporto di un’efficace normativa di trasparenza informativa presso la Commissione Europea, l’ESMA e lo IOSCO. Nel novembre 2014, un’iniziativa congiunta di ESMA, EBA ed EIOPA (European Insurance and Occupational Authorities) riunite all’interno della Joint Commitee of European Supervisory Authorities (JCESA) ha prodotto un importante documento di consultazione sul tema chiave rappresentato dal Key Investor Document (KID) per i PRIIPS. Il documento tecnico è pubblicamente visionabile al link: http://www.esma.europa.eu/system/files/jc_dp_2014_02_-_priips_discussion_pa… In questo report la JCESA rimette in discussione l’approccio what-if precedentemente regolamentato nel caso dei fondi armonizzati (UCITS), facendo proprie gran parte delle critiche mosse a suo tempo dal “Movement for Risk Transparency”. Allo stesso tempo, viene richiesta un’esplicita valutazione di possibili implementazioni degli scenari di performance, anche attraverso l’indicazione delle probabilità. Non mancano domande dettagliate su temi centrali su cui “Movement for Risk Transparency” ha già preso in passato un’aperta posizione, come la rappresentazione dei costi – anche impliciti – del prodotto attraverso il calcolo del fair value o la determinazione di un opportuno orizzonte temporale. La pubblicazione di questo documento è un grande risultato, frutto dell’azione coordinata e coerente che il “Movement for RiskTransparency” ha tenuto nel corso degli anni. Ma deve essere un punto di partenza, non uno di arrivo: infatti, sulla base delle risposte alla consultazione la JCESA predisporrà le bozze dei c.d. Regulatory Technical Standards (RTS) snodo fondamentale per arrivare ad una regolamentazione europea pienamente trasparente. A tal fine, “Movement for Risk Transparency” ha predisposto un documento tecnico di risposta alla consultazione pubblica che alleghiamo alla presente lettera: nel documento si ripropongono i temi più importanti già affrontati ed ampiamente condivisi nelle precedenti iniziative, contestualizzati nell’ambito di intervento relativo ai PRIIPS. Ti invitiamo a prendere visione del documento di risposta e, se lo ritieni opportuno, di aderire all'iniziativa. È sufficiente riempire il form ed indicare la qualifica che vuoi appaia sulla lettera. Il termine per rispondere alla pubblica consultazione della JCESA è il 17 febbraio 2015; pertanto per esigenze organizzative ti preghiamo di inviare la tua adesione preferibilmente entro il 31 gennaio 2015. Grazie ancora per il supporto e sinceri Auguri di Buon Anno Rita D'Ecclesia -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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Fwd: PhD in probability in Bristol UK
by Faggionato, Alessandra 26 Dec '14

26 Dec '14

---------- Forwarded message ---------- From: Balint Toth <Balint.Toth(a)bristol.ac.uk> Date: 2014-12-24 16:01 GMT+01:00 Subject: PhD in probability in Bristol UK To: Balint Toth <Balint.Toth(a)bristol.ac.uk> Dear Colleagues and Friends, We are keen to attract strong applicants to our graduate (PhD) programme in Bristol and I'd be very grateful if you could circulate the information below and the attached flyer to your final year undergraduate and Master's students. Applications from students with experience in analysis and probability would be especially welcome. Funding is available, but competitive. We will make an initial round of assessment of applications at the end of January. Those wishing to start a PhD in September 2015 are advised to apply soon. The probability group at the School of Mathematics, University of Bristol consists of *Marton Balazs <http://www.maths.bris.ac.uk/~mb13434/>* (interacting particle systems, scaling limits) *Sean Collins <http://www.maths.bris.ac.uk/~maejc/>* (game theory, Markov decision processes, reinforcement learning) *Ayalvadi Ganesh <http://www.maths.bris.ac.uk/~maajg/>* (random networks, queuing, stochastic algorithms, complexity) *Oliver Johnson <http://www.maths.bris.ac.uk/~maotj/>* (information theory, limit theorems of probability, entropy and its use) *John McNamara, FRS <http://www.maths.bris.ac.uk/~majmm/>* (mathematical aspects of behavioural ecology and evolutionary biology) *Balint Toth <http://www.maths.bris.ac.uk/~mabat/>* (random walks, statistical physics, interacting particles, scaling limits) *Feng Yu <http://www.maths.bris.ac.uk/~maxfy/>*(mathematical biology and genetics, bioinformatics) We have strong links and collaborations with research groups in analysis, combinatorics, dynamical systems and ergodic theory, random matrix theory, mathematical physics and statistics in the department and with researchers in various other fields of science and engineering in other schools of the university. Thanks for your cooperation. With best wishes, Balint --------------------------------- Prof. Balint Toth School of Mathematics University of Bristol http://www.maths.bris.ac.uk/~mabat/ -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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Bando professore di II fascia
by Marco Scarsini 23 Dec '14

23 Dec '14

Bando per il conferimento di numero un posto di professore di ruolo di II fascia per il settore concorsuale 13/D4 – Metodi matematici dell'economia e delle scienze attuariali e finanziarie, settore scientifico-disciplinare SECS-S/06 – Metodi matematici dell'economia e delle scienze attuariali e finanziarie, presso il Dipartimento Economia e Finanza della LUISS Libera Università Internazionale degli Studi Sociali Guido Carli codice concorso: DEF-ASSOC-33-2014 Scadenza: lunedì 19 gennaio 2015 http://www.luiss.it/ateneo/opportunita-di-lavoro/reclutamento-docenti-di-ru… ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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[Fwd: 3 GSSI Post Doc positions] (fwd)
by Tiziano Vargiolu 23 Dec '14

23 Dec '14

Tiziano -------------------------------------------------------------------------- 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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Pubblicazione bandi chiamata professori II fascia ai sensi dell’art. 18 comma 1 della L. n. 240/2010 - nota informativa (fwd)
by Tiziano Vargiolu 23 Dec '14

23 Dec '14

-------- Messaggio Inoltrato -------- Oggetto: Fwd: [DOCENTI] Pubblicazione bandi chiamata professori II fascia ai sensi dell?art. 18 comma 1 della L. n. 240/2010 - nota informativa Data: Tue, 23 Dec 2014 13:32:35 +0100 Mittente: Marco LiCalzi <mlicalzi(a)gmail.com> Gentili consoci, vi informo che ? stato pubblicato nella Gazzetta Ufficiale n. 100 del 23 dicembre 2014, l'avviso di indizione delle procedure selettive per la copertura di n. 1 posto di professore universitario di seconda fascia, Settore Concorsuale 13/D4, presso il Dipartimento di Management dell?Universit? Ca? Foscari Venezia, da coprire mediante chiamata ai sensi dell'art. 18, comma 1, L. 240/2010. Il termine di scadenza per la presentazione delle domande ? il 22 gennaio 2015. Il bando ? consultabile alla pagina http://intra.unive.it/plapps/bandi/common/showbando?id=24455 del sito d?ateneo, nonch? su: http://bandi.miur.it/ http://ec.europa.eu/euraxess/index.cfm/jobs/index Con i migliori auguri, marco licalzi. __________________________________ Marco Li Calzi Department of Management Universit? Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://virgo.unive.it/licalzi -- Antonella Basso Dipartimento di Economia Universit? Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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Brabazon: Seminar at the Dept. of Economics, Ca' Foscari University of venice
by Marco Corazza 23 Dec '14

23 Dec '14

Dear All, the Department of Economics, Ca' Foscari University of Venice, invite you to the seminar: ********************************************** Speaker: Anthony Brabazon (University College Dublin, IR) ********************************************** Title: Natural Computing ********************************************** Abstract: The field of Natural Computing has been the focus of a substantial research effort in recent decades. One particular strand of this research concerns the development of computational algorithms using metaphorical inspiration from systems and phenomena that occur in the natural world. These naturally inspired computing algorithms have proven to be successful problem solvers across domains as diverse as management science, bioinformatics, finance, marketing, engineering, architecture and design, to name but a few. In this seminar a concise overview of Natural Computing is provided focussing on the sub domain of social computing. ********************************************** Where/When: Room E, Dept. of Economics, San Giobe 873/b, Venice January 12/2015, 2.00pm Apologies for cross posting Season greatings and kind regards -- Marco Corazza 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 -- <<The discovery of high-temperature superconductors, the determination of DNA's double-helix structure, the first observations that the expansion of the Universe is accelerating -- all of these breakthroughs won Nobel prizes and international acclaim. Yet none of the papers that announced them comes anywhere close to ranking among the 100 most highly cited papers of all time.>> http://www.nature.com/top100

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 22 Dec '14

22 Dec '14

14th INTERNATIONAL CONFERENCE C R E D I T 2015 *Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk* Venice, Italy 1 - 2 October 2015 *GRETA Associati *(Venice, Italy), *Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt* (Frankfurt, Germany), the *University of Zurich* (Zurich, Switzerland) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on October 1-2, 2015. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *fourteenth* of a series dedicated to various aspects of credit risk. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * *Wealth inequality, firm financing and credit risk* o Is local wealth inequality affecting the quality of institutions and the choice over market versus bank finance, and thereby determining corporate finance and credit risk outcomes? * *Home ownership and credit risk* o Are measures promoting home ownership or financial innovations responding to an increase in ownership demand, for example, resulting in more credit risk? * *Collateral availability, credit and risk* o Is the availability of collateral determining credit granting and credit risk? * *Banking supervision and credit risk* o Is the level and quality of bank supervision leading to an optimal level of credit risk? o What is the impact of the institutional organization of banking supervision on credit risk? * *Central bank policies and credit risk* o Are monetary conditions drivers of bank credit risk taking? Under all circumstances? The Scientific Committee for the Conference consists of: *Steven Ongena*, University of Zurich, Programme Chair *Mark Carey, *Board of Governors of the Federal Reserve System *Hans Degryse*, KU Leuven *Jan Krahnen*, Goethe University *André Lucas*, VU University Amsterdam *Loriana Pelizzon*, Ca Foscari University of Venice and Goethe University *Stephen Schaefer*, London Business School The final program will include both submitted and invited papers. Acceptances received from invited speakers include *Mark Carey* (Board of Governors of the Federal Reserve System), *Jean Charles Rochet* (University of Zurich) and *Vikrant Vig* (London Business School). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *May 15, 2015 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2015*. The final version of accepted papers must be received by August 31, 2015. Please send papers: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> More detailed information will be available shortly on the Conference website: http://www.greta.it/credit/credit2015/credit2015.htm <http://www.greta.it/credit/credit2015/credit2015.htm>

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XVI WORKSHOP on QUANTITATIVE FINANCE - registration due by Januay 6th, 2015 (fwd)
by Tiziano Vargiolu 19 Dec '14

19 Dec '14

XVI WORKSHOP on QUANTITATIVE FINANCE January 29-30, 2015 Deadline for registration: January 6th, 2015. Registration form available at the Workshop website: www.qfinancexvi.altervista.org Venue: Department of Economics University of Parma Via J.F. Kennedy, 6 43125 Parma Italy The Workshop is the sixteenth edition of a successful initiative whose aim is to set a common forum of ideas and discussions among researchers and practitioners interested in Finance. It provides an excellent platform to present and discuss recent advances in mathematical modelling and numerical methods for quantitative finance. The Workshop hosts contributions from Mathematical Finance, Quantitative Risk Management, Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous editions of the Workshop, we wish to particularly encourage an international participation of young researchers; both theoretical and applied contributions are welcome. There are no registration fees. Contacts: Marzia De Donno (xviwqf(a)gmail.com) Phone: +39-0521-03-2481, Fax +39-0521-03-2385 Scientific Committee: Fabio Bellini (University of Milano Bicocca) - Andrea Consiglio (University of Palermo) - Gianluca Fusai (University of Piemonte Orientale) - Friedrich Hubalek (Vienna University of Technology) - Elisa Luciano (University of Torino) - Maria Elvira Mancino (University of Firenze) - Paola Modesti (University of Parma) - Massimo Morini (Banca IMI) - Mustafa Pinar (Bilkent University) - Simona Sanfelici (University of Parma) - Sergio Scarlatti (University of Roma Tor Vergata) - Carlo Sgarra (Polytechnic of Milano) - Peter Tankov (University Paris-Diderot) - Josef Teichmann (ETH Zurich) - Tiziano Vargiolu (University of Padova) Local Committee: Marzia De Donno, Gino Favero, Paola Modesti, Annamaria Olivieri, Simona Sanfelici, Federica Trani We are looking forward to meeting you in Parma! On behalf of the Local Committee, Simona Sanfelici -- ------------------------------------------- Simona Sanfelici Dipartimento di Economia Via J.F. Kennedy, 6 43100 Parma - ITALY Tel. +39-0521-032386 Fax +39-0521-032385 simona.sanfelici(a)unipr.it http://economia.unipr.it/DOCENTI/sanfelici -------------------------------------------

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Fwd: January 27-28, IRS 2015 Conference Program
by Francesco Caravenna 19 Dec '14

19 Dec '14

> Da: Inhomogeneous Random Systems <Inhomegenous.Random.Systems(a)math.cnrs.fr> > Oggetto: January 27-28, IRS 2015 Conference Program > Data: 19 dicembre 2014 15:33:52 GMT+01:00 > > Dear Colleagues, > > Here is the program of the conference on: > > INHOMOGENEOUS RANDOM SYSTEMS > > > Tuesday January 27 and Wednesday January 28, 2015 > > Institut Henri Poincaré > Amphithéâtre Darboux > 11, rue Pierre et Marie Curie, > (http://www.ihp.jussieu.fr) > > > Registration is important for organizational purposes: > thank you for registering if you haven't done so yet. > > > Abstracts are available at: > http://irs.math.cnrs.fr > > > Looking forward to meeting you in Paris, > > Ellen Saada, Thierry Gobron, Francois Dunlop. > > > *You will find in attachment a PDF file of the program > with the same informations as below which you may print and post up. > > > *The "Rencontres de Physique Statistique", will take place at ESPCI > on January 29th and 30th, 2015 (http://www.comphys.ethz.ch/jstat/) > > -------------------------------------------------------------------- > -------------------------------------------------------------------- > > INHOMOGENEOUS RANDOM SYSTEMS > Systemes Aleatoires Inhomogenes > January 27-28 2015 > > Conference Program > > Institut Henri Poincare > 11, rue Pierre et Marie Curie, Paris > http://www.ihp.jussieu.fr > > > Tuesday January 27: > ------------------------------------------------------------------- > RANDOM INTERFACE MODELS. > ------------------------------------------------------------------- > Moderator: Fabio Toninelli (Lyon). > > > 9.00- 9.30 Opening > > 9.30-10.20 Fabio Toninelli (Lyon): Introduction. > > 10.20-11.10 Beatrice de Tiliere (Paris): Height representation of > XOR-Ising loops via bipartite dimers. > > 11.10-11.30 Coffee Break > > 11.30-12.20 Ron Peled (Tel Aviv): Delocalization of two-dimensional random > surfaces with hard-core constraints. > > 12.20-13.50 Lunch > > 13.50-14.40 Fabio Martinelli (Roma): Harmonic pinnacles in the discrete > Gaussian model. > > 14.40-15.30 Oren Louidor (Haifa): The full extremal process of the > discrete Gaussian free field in 2D. > > 15.30-15.50 Coffee Break > > 15.50-16.40 Benoit Laslier (Cambridge): The Glauber dynamics on lozenge > tilings and other dimer models. > > 16.40-17.30 Thierry Bodineau (Palaiseau): Interface motion in disordered > media. > > > Wednesday 28 January: > ------------------------------------------------------------------- > RANDOM TILINGS AND SURFACES. > ------------------------------------------------------------------- > Moderator: Jeremie Bouttier (Saclay) > > > 9.20-10.10 Jeremie Bouttier (Saclay): Introduction. > > 10.10-11.00 Sylvie Corteel (Paris): Dimers on Rail Yard Graphs. > > 11.00-11.20 Coffee Break > > 11.20-12.10 Alessandro Giuliani (Roma): Height fluctuations in interacting dimers. > > 12.10-13.40 Lunch > > 13.40-14.30 Filippo Colomo (Firenze): Arctic curves of the six-vertex model. > > 14.30-15.20 Thomas Fernique (Villetaneuse): From random to quasiperiodic tilings. > > 15.20-15.40 Coffee Break > > 15.40-16.30 Leonid Petrov (Charlottesville): Dynamics of random surfaces and > interacting particle systems via spectral properties. > > 16.30-17.20 Patrik Ferrari (Bonn): From a 2+1 dimensional particle system to > random tilings and random matrices. > ------------------------------------------------------------------- > > Registration: > > The conference is free and open to all. > Registration is important for organizational purposes: > please register in advance by sending an e-mail to > "inter(a)math.cnrs.fr" with subject: IRS 2015 > and the following informations: > > Name: _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ > Institution:_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ > Address:_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ > _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ > Email:_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ > > or mail to: > Ellen Saada > Laboratoire MAP5 > Universite Paris Descartes > 45 Rue des Saints Peres, 75270 Paris cedex 06, France. > Fax: +33 1 42 86 41 44 > > You may also consult the conference web page at: > > http://irs.math.cnrs.fr > > > Hotel reservations and other practical informations are available > on request. > > Francois Dunlop Thierry Gobron Ellen Saada > Physique Theorique Physique Theorique Mathematiques > et Modelisation et Modelisation Appliquees > Cergy-Pontoise Cergy-Pontoise Paris Descartes > (33)134257509 (33)134257511 (33)183945876 > > Partially supported by Université de Cergy-Pontoise, Université Paris > Descartes, ESF program RGLIS and CNRS. > -------------------------------------------------------------------- > -------------------------------------------------------------------- >

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seminario MACCI
by Elena Villa 19 Dec '14

19 Dec '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. ******************************************* A v v i s o d i S e m i n a r i o ******************************************* *Venerdi' 9 Gennaio 2015*,*ore 15:00* Sala Rappresentanza, Dipartimento di Matematica, Universita' degli Studi di Milano via C. Saldini 50, Milano il Professor *CLAUDIO MACCI*(Università di Roma Tor Vergata) terrà un seminario dal titolo *Risultati asintotici per medie empiriche di variabili aleatorie geometriche indipendenti* ABSTRACT: Consideriamo variabili aleatorie geometriche e indipendenti che soddisfano opportune impotesi. Presentiamo risultati di grandi deviazioni (e deviazioni moderate) per le loro medie empiriche, e vedremo alcune applicazioni ai "weak records" di variabili aleatorie i.i.d. discrete. Tutti gli interessati sono invitati a partecipare. Saluti Elena Villa -- ******************************************* Elena Villa Dipartimento di Matematica, Universita' degli Studi di Milano via C.Saldini 50, 20133 Milano, Italy Phone: +39 0250316132 - Fax: +39 0250316090 Web-page: http://users.mat.unimi.it/~villa

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De Finetti Workshop on 21/01/2015 (date was missing)
by Marco Maggis 17 Dec '14

17 Dec '14

On the behalf of the Scientific Committee we are glad to invite you to a one day Workshop which will be held in Milan on Wednesday the 21st of January 2015, at the Department of Mathematics, Sala di Rappresentanza, via C. Saldini 50. Preliminary programme: 09:50-10:00 Welcome Remarks 10:00-10:45 Emanuela Rosazza Gianin, Università Milano Bicocca. Coffee break 11.15-12.00 Sergio Pulido, EPFL, Lausanne. 12.00-12.45 Stefano De Marco, Ecole Polytechnique, Paris. Lunch 14:45-15:30 Beatrice Acciaio, LSE, London. 15:30-16:15 Jacopo Mancin, LMU, Munich. Coffee break 16.45-17:30 Simone Cerreia-Vioglio, Bocconi University. The workshop will end up with the usual De Finetti Risk Seminar 18:00-19:00 Bruno Bouchard, Universitè Paris-Dauphine. We kindly ask to send an email to marco.maggis(a)unimi.it if you are willing to partecipate. We wish you a Merry Christmas and a happy New Year. Marco Frittelli Marco Maggis Matteo Burzoni

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De Finetti Workshop: the Mathematics of Finance and Economics
by Marco Maggis 17 Dec '14

17 Dec '14

On the behalf of the Scientific Committee we are glad to invite you to a one day Workshop which will be held in Milan, Department of Mathematics, Sala di Rappresentanza, via C. Saldini 50. Preliminary programme: 09:50-10:00 Welcome Remarks 10:00-10:45 Emanuela Rosazza Gianin, Università Milano Bicocca. Coffee break 11.15-12.00 Sergio Pulido, EPFL, Lausanne. 12.00-12.45 Stefano De Marco, Ecole Polytechnique, Paris. Lunch 14:45-15:30 Beatrice Acciaio, LSE, London. 15:30-16:15 Jacopo Mancin, LMU, Munich. Coffee break 16.45-17:30 Simone Cerreia-Vioglio, Bocconi University. The workshop will end up with the usual De Finetti Risk Seminar 18:00-19:00 Bruno Bouchard, Universitè Paris-Dauphine. We kindly ask to send an email to marco.maggis(a)unimi.it if you are willing to partecipate. We wish you a Merry Christmas and a happy New Year. Marco Frittelli Marco Maggis Matteo Burzoni

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Millossovich: Seminar at the Dept. of Economics, University Ca' Foscari of Venice
by Marco Corazza 16 Dec '14

16 Dec '14

Dear all, the Department of Economics, University Ca' Foscari of Venice, invite you to the seminar: ********************************************** Speaker: Pietro Millossovich (City University London, UK) ********************************************** Where/When: Room E, Dept. of Economics, San Giobe 873/b, Venice December 22/2014, 2.00pm ********************************************** Title: Two Populations Stochastic Mortality Models and Longevity Basis Risk ********************************************** Abstract: Longevity swaps provide an alternative de-risking solution for pension funds and life offices which has been gaining popularity in the recent years. While most swaps contracted so far are bespoke, an efficient market solution would require the hedging instrument to be standardized and based on a publicly available mortality index. In this case, it is crucial for the risk hedger to assess the extent of the basis risk left, which ultimately amounts to the difference between the book and the index mortality experiences. To this end, a two population mortality forecasting model is required. In this presentation, we address the choice of the most appropriate multi population mortality model basis risk assessment, discussing in particular the constraint due to the limited size of many existing pension books. Apologies for cross posting Kind regards -- Marco Corazza 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 -- <<The discovery of high-temperature superconductors, the determination of DNA's double-helix structure, the first observations that the expansion of the Universe is accelerating -- all of these breakthroughs won Nobel prizes and international acclaim. Yet none of the papers that announced them comes anywhere close to ranking among the 100 most highly cited papers of all time.>> http://www.nature.com/top100

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Fwd: call for application
by Gustavo Posta 15 Dec '14

15 Dec '14

Begin forwarded message: > Dear Colleague, > > The Institute for Advanced Study of Aix-Marseille University (IMéRA) > is issuing calls for applications for residencies in 2015-2016 > (Deadline : 7 January 2015). > > These calls include individual applications and call for team applications. > > IMéRA receives researchers and artists under residence schemes ; it also accommodates a few multi-disciplinary teams with a collective project for short duration stays. Residents work on their own research projects in connection with Aix-Marseille teams and research centres. > > Please visit our web page for details, if interested. > http://imera.univ-amu.fr > > Best Regards, Amine Asselah > Scientific Director. >

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Fwd: Concorso RTD SECS-S06 presso Università LIUC (fwd)
by Tiziano Vargiolu 15 Dec '14

15 Dec '14

---------- Forwarded message ---------- Date: Fri, 12 Dec 2014 22:10:53 +0100 From: Antonella Basso <basso(a)unive.it> Ricevo e inoltro la seguente informazione. -------- Messaggio Inoltrato -------- Oggetto: Concorso RTD SECS-S06 presso Universit? LIUC Data: Fri, 12 Dec 2014 19:30:23 +0100 (CET) Mittente: Giovanni Crespi <giovanni.crespi(a)unibocconi.it> A: Antonella Basso <basso(a)unive.it> Chiarissima Prof.ssa Basso, Le chiederei di poter diffondere tra i soci AMASES l'informazione del bando di un posto da RTD a tempo parziale presso l'Universit? LIUC di Castellanza. L e informazioni sul bando e sulle modalit? di presentazione della domanda sono reperibili nel sito dell'Ateneo all'indirizzo http://www.liuc.it/cmgenerale/ default.asp?ssito=219&codice=59. La scadenza per la presentazione delle doma nde ? il 7 gennaio 2015. Grazie in anticipo e, con l'occasione, auguro a Lei ed ai colleghi un buon N atale. Giovanni Crespi -- Antonella Basso Dipartimento di Economia Universit? Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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seminario al CNR-IMATI
by Antonella Bodini 15 Dec '14

15 Dec '14

Si ricorda che venerdi' 19 dicembre alle ore 11 presso la sede di Milano dell'IMATI, via Bassini 15, nella sala pentagonale al secondo piano, Ting WANG (University of Otago, New Zealand) terra' il seminario *Modelling of seismic activity using Markov-modulated Hawkes process and its extensions* Earthquakes are processes in which the internal workings are only observed indirectly, although the final effects are all too observable! Hidden Markov models (HMMs, a general statistical framework for modelling partially observed systems) are an intuitively attractive idea for analysing seismicity. I will introduce the Markov-modulated Hawkes process that we developed for investigating long-term patterns in seismicity rate. The catalogue of the Landers earthquake sequence, which included multiple mainshocks, was used as a case study. I will show how this model captures the cyclic parent-generating-offspring feature of the temporal behaviour of earthquakes. I will also discuss our current work on extending this temporal model by including spatial variation of the seismic activity and the earthquake magnitude. Our aim is to categorize spatiotemporal seismic hazards holistically, using the entire earthquake record in a selected region to identify patterns correlated with subsequent large earthquakes, rather than the traditional way of hunting for individual foreshocks. Tutti gli interessati sono invitati a partecipare. -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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2 job opportunities in Cambridge (UK)
by Francesco Caravenna 13 Dec '14

13 Dec '14

Ricevo e inoltro. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% JOB: Research Associate in Probability Theory, University of Cambridge (UK) Applications are invited for a Research Associateship in Probability Theory to be held in the Statistical Laboratory. The post is available for two years from 1 September 2015 or by negotiation. The appointment will be made at an appropriate point on the University's Research Associate scale (between £28,695 and £37,394 pa). The successful candidate will normally have a PhD prior to their appointment, and have demonstrated a capacity to produce world-class research. This position is associated with the EPSRC Programme Grant 'New Frontiers in Random Geometry', and priority will be given to applicants with expertise in relevant fields. For more information and details on how to apply, please visit: https://www.dpmms.cam.ac.uk/vacancy/ %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% JOB: Lectureship in Statistics, University of Cambridge (UK) Applications are invited for a University Lectureship in Statistics to commence on 1 September 2015 or by agreement. Appointment will be made at an appropriate point on the scale for University Lecturers (£38,511 to £48,743) and will be for a probationary period of five years with appointment to the retiring age thereafter, subject to satisfactory performance. For further details and information about how to apply please visit: https://www.dpmms.cam.ac.uk/vacancy/ The University of Cambridge values diversity and is committed to equality of opportunity. The Department would particularly welcome applications from women, since women are, and have historically been, under-represented on our academic staff. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

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Annuncio di seminario
by pratelli＠dm.unipi.it 12 Dec '14

12 Dec '14

Martedi 16 dicembre, alle ore 17, nella Sala dei Seminari del Dipartimento di Matematica dell'Universita' di Pisa, il prof. PETER BANK (Technische Universitat Berlin) terra' il seguente seminario: SUPERREPLICATION WHEN TRADING AT MARKET INDIFFERENCE PRICES Abstract We consider a large investor who seeks to superreplicate a given contingent claim. Trading is done dynamically at market indifference prices as introduced in earlier joint work with D. Kramkov. The nonlinearities of this model for an illiquid financial market turn out to make this fundamental problem surprisingly intricate as the usual tools from convex analysis to prove, e.g., existence cannot be applied. Moreover, it is possible (and economically nonetheless reasonable) that an asset can be replicated with two different initial levels of wealth without this creating arbitrage opportunities. We introduce a notion of efficient friction suitable for this price impact model and show how this ensures existence of optimal superrelicating portfolios under some assumptions on the market makers utility functions. We also establish efficient friction to hold when payoffs of traded assets are specified via Levy processes or certain affine processes, e.g., like in Barndorff-Nielsen-Shepard stochastic volatility models. This is joint work with Selim Gokay.

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Avviso di seminario :: Kalcsics@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 11 Dec '14

11 Dec '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Lunedì 15 Dicembre, ore 12am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma JOERG KALCSICS (Institute of Operations Research, Karlsruhe Institute of Technology) terrà un seminario dal titolo ON SALES & SERVICE DISTRICTING PROBLEMS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- ABSTRACT In sales districting, the task is to assign a given set of (prospective) customer accounts, each with a fixed market potential, to the individual members of the sales force such that each customer has a unique representative and each sales person faces equitable workload and has an equal income opportunity in terms of incentive pay, i.e., the districts should be balanced. Two other important planning criteria in sales districting are travel distances and clearly defined geographic areas of responsibility. The latter criterion is desired to avoid competition among the sales force and is typically termed as contiguity. Concerning travel distances, if a sales person visits each customer every day, then the travel time is proportional to the length of a TSP tour. However, the workload of districts is usually balanced over 2-4 weeks and some customers may have to be visited only once during this time whereas others require weekly service. Moreover, customers may have time windows, tours may include overnight stays, and so on, which makes the actual computation of the travel times impossible for large problems instances. Therefore, districting uses the concept of compactness as a proxy for travel distances. A district is said to be geographically compact if it is round-shaped and undistorted. The hope is that compact districts result in smaller travel times on a day-to-day basis than non-compact districts. A similar setting is encountered in service districting. In sales & service districting, customers are predominantly represented as points and although there exists a large body of literature, there is no consensus on a common compactness measure or suitable approaches to model contiguity of point sets. For example, all compactness measures are based on distances either between the center of a district and its basic units or between pairs of basic units of the same district. But even if they follow the same idea, the resulting districts may look considerably different. In this talk, we want to give an overview of different approaches to measure compactness and assess contiguity, and discuss their strengths and weaknesses when applied to practical problems. Moreover, we present a mathematical formulation to solve the districting problem optimally as well as an efficient geometric algorithm that is capable of coping with large practical problems.

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Cancellazione
by Maurizio Barbato 10 Dec '14

10 Dec '14

Salve vorrei che il mio indirizzo email fosse cancellato dalla mailing list. Grazie, Maurizio Barbato Inviato da iPhone

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Seminario Orsingher
by Giovanni Luca Torrisi 10 Dec '14

10 Dec '14

*Venerdi' 19 Dicembre 2014*, *ore 11:30* Consiglio Nazionale delle Ricerche, Istituto per le Applicazioni del Calcolo "Mauro Picone", Via dei Taurini 19, 00185 Roma Aula Riunioni (secondo piano) *ENZO ORSINGHER* (Universita' di Roma "Sapienza") terra' un seminario dal titolo *Estensioni frazionarie del processo di Poisson* ABSTRACT: In questo seminario si presentano tre diverse estensioni frazionarie del processo di Poisson. La prima è la versione frazionaria rispetto al tempo dove si parte dalla equazione governante le probabilità di stato nelle quali appare la derivata frazionaria rispetto al tempo nella versione di Dzerbayshan-Caputo. Si ottengono le leggi di probabilità esplicite e una relazione con il processo di Poisson classico sotto forma di cambiamento del tempo. Si analizza anche la struttura del processo di Poisson frazionario come processo di rinnovo con intertempi con distribuzione di Mittag-Leffler. Una estensione del processo di Poisson chiamata Poisson frazionario nello spazio è analizzata e viene mostrato che si tratta di un processo ad incrementi indipendenti (a differenza della versione frazionaria rispetto al tempo), se ne ricava la distribuzione in diverse forme e si studiano le rispettive proprietà. Una terza versione del processo di Poisson come mistura di processi di Poisson omogenei è costruita e vengono discusse le sue applicazioni ai voli aleatori. Infine una classe più ampia di processi di Poisson a tempo riscalato e ad incrementi indipendenti è presentata assieme a specifiche forme legate a diverse scelte della misura di Lévy. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Giovanni Luca Torrisi.

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Seminario di Giorgia Callegaro presso Prometeia - Bologna
by giacomo.scandolo＠unifi.it 09 Dec '14

09 Dec '14

Il giorno Martedì 16 Dicembre 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Giorgia CALLEGARO (Università di Padova) terrà un seminario dal titolo "Pricing and Calibration in Local Volatility Models Via Fast Quantization" Abstract In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the recursive marginal quantization methodology to the pricing of vanilla and barrier options. A successful calibration of the Quadratic Normal Volatility model is performed in order to show the potentiality of the method in a concrete example, while a numerical exercise on barrier options shows that quantization overcomes Monte-Carlo methods.

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Seminario di G. Puccetti a Milano
by giovanni.puccetti＠unifi.it 09 Dec '14

09 Dec '14

Giovedì 11 Dicembre alle 12:30 presso l'aula seminari dell'ex Dipartimento di Studi del Lavoro, via Conservatorio 7, primo piano, a Milano, Giovanni Puccetti (Università degli Studi di Firenze) terrà un seminario dal titolo Extremal negative dependence concepts Tutti gli interessati sono invitati a partecipare. Abstract: While the concept of extremal positive dependence is agreed upon for random vectors of arbitrary dimension, various notions of extremal negative dependence arise when more than two random variables are involved. We will review popular existing concepts of extremal negative dependence given in the literature and introduce a novel notion, which in a general sense includes the existing ones as particular cases. Although much of the literature on dependence is actually focused on positive dependence, we will show that negative dependence plays an equally important role in the solution of many optimization problems. This talk is based on a joint work with Ruodu Wang, University of Waterloo.

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StaTalk on Biostatistics - first announcement
by Francesca Ieva 09 Dec '14

09 Dec '14

*** apologize for cross posting *** Dear all, we would like to announce the first /StaTalk/ promoted by the young section of Italian Statistical Society (y-SIS), to be held in Milan, on April 24th, 2015. *STATALK ON BIOSTATISTICS* (https://sites.google.com/site/youngsocietaitalianastatistica/events/statalk…) Department of Mathematics "F. Enriques", Università degli Studi di Milano, via Saldini 50, Milano (Italy) All the information, including the tentative program and the sign-up link for the conference, can be found on the conference website. Statalks are a series of one-day workshop aimed at early career statisticians, i.e., master degree students, people carrying out a PhD, post-docs and young researchers. StaTalks are a fantastic opportunity to share knowledge on advanced topics of statistics in a relaxed and friendly atmosphere. The hosting research group will propose tutorials, seminars and interactive round tables on the main fields of research and application it is concerned. Participants can contribute bringing their own experience through presentations, ideas, poster and material to be shared in the debate. A StaTalk will be held every 6 months in a different city in Italy. StaTalks on Bayesian Nonparametrics and on Computational Tool for Statistical Modelling are already planned in Turin (autumn 2015) and Rome (spring 2016), respectively. Registrations to the first StaTalk are now open. *No conference fees are due, but registration is mandatory*, using the form available on the website. For further information or any doubt and question, please visit the website _https://sites.google.com/site/youngsocietaitalianastatistica/home_ and do not hesitate to contact the y-SIS officers at the e-mail: youngsis.2013(a)gmail.com <mailto:youngsis.2013@gmail.com>. On behalf of y-SIS officers Francesca Ieva -- ----- Francesca Ieva Department of Mathematics, Università degli Studi di Milano Via Saldini 50, 20133 Milano, Italy url: https://sites.google.com/site/mypagefi/ mailto: francesca.ieva(a)unimi.it -----

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Fwd: CRM-PISA -- Announcement for 3 two-year Junior Visiting Positions -- DEADLINE 19th December 2014 (fwd)
by Tiziano Vargiolu 09 Dec '14

09 Dec '14

---------- Forwarded message ---------- Date: Fri, 05 Dec 2014 13:49:59 +0100 From: Davide Vittone <vittone(a)math.unipd.it> To: users(a)math.unipd.it Subject: Fwd: CRM-PISA -- Announcement for 3 two-year Junior Visiting Positions -- DEADLINE 19th December 2014 ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Fwd: Saint-Flour 2015
by Marco Romito 06 Dec '14

06 Dec '14

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Fwd: CRM-PISA -- Announcement for 3 two-year Junior Visiting Positions -- DEADLINE 19th December 2014
by Marco Romito 05 Dec '14

05 Dec '14

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FINAL PROGRAM - Dependence in Risk Measurement and Risk Management
by giovanni.puccetti＠unifi.it 05 Dec '14

05 Dec '14

Workshop "Dependence in Risk Measurement and Risk Management" Firenze, December 18-19, 2014. https://sites.google.com/site/dependencerisk/ FREE (MANDATORY) REGISTRATION WITH MATERIALS for 20 more participants! SPEAKERS INLCUDE FABIO BELLINI (Milano Bicocca) CAROLE BERNARD (University of Waterloo) ELENA DI BERNARDINO (CNAM Paris) JEAN JACOD (Paris VI) FABRIZIO LILLO (SNS Pisa) MARK PODOLSKIJ (Aarhus University) PIETRO RIGO (Università di Pavia) FABIO SPIZZICHINO (Sapienza Università di Roma) STEVEN VANDUFFEL (Vrije University Brussels)

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seminario il 19 Dicembre al CNR-IMATI
by Antonella Bodini 04 Dec '14

04 Dec '14

Venerdi 19 dicembre, alle ore 11, presso la sede di Milano dell'IMATI Via Bassini 15, nella Sala Pentagonale al secondo piano, *Ting Wang* (Department of Mathematics and Statistics, University of Otago, New Zealand) presentera' un seminario dal titolo Modelling of seismic activity using Markov-modulated Hawkes process and its extensions. Abstract: Earthquakes are processes in which the internal workings are only observed indirectly, although the final effects are all too observable! Hidden Markov models (HMMs, a general statistical framework for modelling partially observed systems) are an intuitively attractive idea for analysing seismicity. I will introduce the Markov-modulated Hawkes process that we developed for investigating long-term patterns in seismicity rate. The catalogue of the Landers earthquake sequence, which included multiple mainshocks, was used as a case study. I will show how this model captures the cyclic parent-generating-offspring feature of the temporal behaviour of earthquakes. I will also discuss our current work on extending this temporal model by including spatial variation of the seismic activity and the earthquake magnitude. Our aim is to categorize spatiotemporal seismic hazards holistically, using the entire earthquake record in a selected region to identify patterns correlated with subsequent large earthquakes, rather than the traditional way of hunting for individual foreshocks. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Antonella. -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Seminari al Collegio Carlo Alberto
by Matteo Ruggiero 02 Dec '14

02 Dec '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Nei giorni 10 e 11 Dicembre 2014, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: 10 Dicembre, h 11.00 James SCOTT (University of Texas at Austin) FALSE DISCOVERY RATE SMOOTHING — 10 Dicembre, h 12.00 Taeryon CHOI (Korea University) GENERALIZED PARTIALLY ADDITIVE BAYESIAN SPECTRAL ANALYSIS REGRESSION MODELS — 11 Dicembre, h 11.00 Jaeyong LEE (Seoul National University) DEPENDENT SPECIES SAMPLING MODELS — 11 Dicembre, h 12.00 Luis Enrique NIETO-BARAJAS (ITAM, México) SPATIAL GAMMA PROCESSES IN DISEASE MAPPING Tutti gli interessati sono invitati a partecipare. I seminari sono organizzati dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto http://sites.carloalberto.org/ruggiero

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Avviso di seminario :: Colubi@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 02 Dec '14

02 Dec '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Mercoledì 10 Dicembre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma ANA COLUBI (Università di Oviedo) terrà un seminario dal titolo ON THE TRIMMED MEAN IN HILBERT SPACES: APPLICATIONS TO FUZZY AND FUNCTIONAL DATA tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- ABSTRACT Numerous experimental studies involve semi-quantitative expert information, or measured in a non-precise way, which can be modeled with interval (fluctuations, grouped data, etc.) or fuzzy (ratings, opinions, perceptions etc.) data. A general framework to analyze these kinds of inexact data with statistical tools developed for Hilbertian random variables will be presented. Robust estimation in Hilbert spaces is specially relevant for its applications in the treatment of contaminated functional data. Specifically, the trimmed mean was already defined and analyzed under ideal conditions. However its estimation has not been efficiently implemented. An algorithm to compute the sample trimmed mean in Hilbert spaces is presented and its robust properties are briefly discussed. To show the performance of the algorithm some case studies concerning functional and fuzzy data will be presented.

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seminario GALERNE
by Elena Villa 01 Dec '14

01 Dec '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. ******************************************* A v v i s o d i S e m i n a r i o ******************************************* *Giovedì 18 Dicembre*,*ore 11:00* Aula Dottorato, Dipartimento di Matematica, Universita' degli Studi di Milano via C. Saldini 50, Milano *BRUNO GALERNE* (MAP5, Université Paris Descartes) terrà un seminario dal titolo *Random Fields of Bounded Variation and Computation of their Variation Intensity* ABSTRACT: The purpose of this talk is to define and characterize random fields of bounded variation, that is random fields with sample paths in the space of functions of bounded variation, and to study their mean total variation. We will mainly focus on the mean variation of random fields with stationary increments. We will show that this mean variation is proportional to the Lebesgue measure, and an expression of the constant of proportionality, called the variation intensity, will be established. This expression shows in particular that the variation intensity only depends on the family of two-dimensional distributions of the stationary increment random field. When restricting to random sets, the obtained results give generalizations of well-known formulas from stochastic geometry and mathematical morphology. The interest of these general results will be illustrated by computing the variation intensities of several classical stationary random field and random set models, namely Gaussian random fields and excursion sets, Poisson shot noises, Boolean models, dead leaves models, and random tessellations. Tutti gli interessati sono invitati a partecipare. Saluti Elena Villa -- ******************************************* Elena Villa Dipartimento di Matematica, Universita' degli Studi di Milano via C.Saldini 50, 20133 Milano, Italy Phone: +39 0250316132 - Fax: +39 0250316090 Web-page: http://users.mat.unimi.it/~villa

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de Finetti risk seminar - december 2014
by Emanuela Rosazza 01 Dec '14

01 Dec '14

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture ADVERSARIAL RISK ANALYSIS: CONCEPTS, METHODS AND APPLICATIONS David Rios Insua ICMAT-CSIC LOCATION: The seminar will be held on Wednesday, December 3, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali 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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Seminario VALENTINA CAMMAROTA
by Federico Polito 28 Nov '14

28 Nov '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedì 15 Dicembre 2014 alle ore 11:00 in Aula S, presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, La Dott.ssa VALENTINA CAMMAROTA (Department of Mathematics, Università degli Studi di Roma "Tor Vergata") terrà un seminario dal titolo ON THE DISTRIBUTION OF THE CRITICAL VALUES OF RANDOM SPHERICAL HARMONICS Abstract: We study the limiting distribution of critical points and extrema of random spherical harmonics, in the high energy limit. In particular, we first derive the density functions of extrema and saddles; we then provide analytic expressions for the variances and we show that the empirical measures in the high-energy limits converge weakly to their expected values. Our arguments require a careful investigation of the validity of the Kac-Rice formula in nonstandard circumstances, entailing degeneracies of covariance matrices for first and second derivatives of the processes being analysed. Joint paper with Domenico Marinucci (Università degli studi di Roma "Tor Vergata") and Igor Wigman (King's College, London) Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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LMS-CMI Research school at Loughborough, April 13-17, 2015 (fwd)
by Michele Gianfelice 27 Nov '14

27 Nov '14

---------- Forwarded message ---------- Date: Thu, 27 Nov 2014 16:46:03 +0000 From: Wael Bahsoun <W.Bahsoun(a)lboro.ac.uk> To: Wael Bahsoun <W.Bahsoun(a)lboro.ac.uk> Subject: LMS-CMI Research school at Loughborough, April 13-17, 2015 ????????????????????????????????????????????????????????????????Dear Colleagues, I would like to point to your attention that there will be a LMS-CMI school for research students at Loughborough University from 13-17 April. Title: Statistical Properties of Dynamical Systems Lecturers are: C. Liverani (Rome), I. Melbourne (Warwick) and M. Demers (Fairfield, USA). More information is a availableat http://www.claymath.org/events/statistical-pr operties-dynamical-systems Please encourage research students to register via the above website. The deadline to register is 30 January 2015. Financial support to cover meals and accommodation is available, and in some cases, where other sources are not available, to cover travel for non-UK students. I would also appreciate it if you also post the attached poster in your department. Best regards, Wael

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Position in Pisa (fwd)
by Tiziano Vargiolu 27 Nov '14

27 Nov '14

---------- Forwarded message ---------- Date: Thu, 27 Nov 2014 14:38:52 +0100 (CET) From: Giovanna Carnovale <carnoval(a)math.unipd.it> To: users(a)math.unipd.it =========================================================================== POSTDOC POSITION AT CENTRO DI GIORGI - PISA This is a 2 year position. Gross compensation, inclusive of all taxes: ? 65.000 (for 2 years) The "Centro De Giorgi" is in front of Scuola Normale Superiore and 500 meters from the Department of mathematics. http://www.sns.it/en/servizi/job/assegnidiricerca/assegno559/ ==============================================================================

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Wednesday 3.12.14 14.30h ASSESSING RISKS: ISSUES AND SOLUTIONS - R. Zitikis University of Western Ontario
by Francesca Greselin 27 Nov '14

27 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Francesca Greselin ----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Wednesday December, 3 2014, at 2.30 p.m Department of Statistics and Quantitative Methods Aula Consiglio della Scuola di Economia e Statistica, 4rth floor, Room n°4064, building U7 ----------------------------------------------------------------------------- RICARDAS ZITIKIS, PhD, (Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Canada) will give the following talk: ASSESSING RISKS: ISSUES AND SOLUTIONS Abstract Just like measuring economic inequality, assessing risk and its impact on decision making could be a daunting task. More often than not, we misestimate risk, and do so unwittingly. I will illustrate such issues and share thoughts that have guided my current research. http://www.stats.uwo.ca/faculty/zitikis/main.htm <http://www.stats.uwo.ca/faculty/zitikis/main.htm> -----------------------------------------------------------------------------

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seminario di Tiziano Vargiolu presso Prometeia - Bologna
by Giacomo Scandolo 25 Nov '14

25 Nov '14

Il giorno Martedì 2 Dicembre 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Tiziano VARGIOLU (Università di Padova) terrà un seminario dal titolo "Utility indifference pricing and hedging for structured contracts in energy markets" Abstract In this paper we focus on pricing of structured products in energy markets using utility indifference pricing approach. In particular, we compute the buyer's price of such derivatives for an agent investing in the forward market, whose preferences are described by an exponential utility function. Such a price is characterized in terms of continuous viscosity solutions of suitable non-linear PDEs. This provides an effective way to compute both an optimal exercise strategy for the structured product and a portfolio strategy to partially hedge the financial position. In the complete market case, the financial hedge turns out to be perfect and the PDE reduces to particular cases already treated in the literature. Moreover, in a model with two assets and constant correlation, we obtain a representation of the price as the value function of an auxiliary simpler optimization problem under a risk neutral probability, that can be viewed as a perturbation of the minimal entropy martingale measure. Finally, numerical results are provided.

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Seminario Ely MERZBACH (Fractional Poisson Process)
by Giacomo Aletti 25 Nov '14

25 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito del Seminario di Matematica Applicata, il giorno giovedì 4 Dicembre 2014, alle ore 16.00, nell'Aula 4 (piano terra) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "The Fractional Poisson process and extensions" Ely MERZBACH Bar Ilan University (joint work with O. Busani and N. Leonenko) Abstract: We present different definitions and asymptotic properties of the Fractional Poisson Process. We define Continuous Time Random Walks Limits. Using inverse stable subordinators and Mittag-Leffler functions, we present a new definition of a fractional Poisson process parametrized by points of the Euclidean plane. Some properties are given and, in particular, we prove a long-range dependence property. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.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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Seminario VIDYASHANKAR
by Andrea Ghiglietti 24 Nov '14

24 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati,scusandomi per invii multipli.Cordialmente,Andrea Ghiglietti--------------Annuncio il seguente seminario:il giorno giovedì 4 Dicembre 2014, alle ore 14.30, nell'Aula 4 del Dipartimento di Matematica dell'Università degli Studi di Milano, Via C. Saldini, 50, Milano,"Finite Sample Post-Model Selection Inference"Anand N. Vidyashankar,Department of Statistics, Volgeneau School of Engineering, George Mason University.Abstract:In several instances of statistical practice it is common, when using parametric or semi-parametric models, that a preliminary test of a subset of parameters is made and based on the results of the pretest an appropriate model is chosen. However, when evaluating the resulting inferential procedure the variability induced by the model-selection needs to be taken into account. In this presentation, we describe two distinct approaches to data analyses in these contexts. We evaluate both these approaches, using recently developed concentration inequalities, in nite samples as opposed to the traditional large sample investigations. We also describe new central limit theorems facilitating comparisons between the methods. Keywords: Finite Sample Inference, Model Selection Variability, Asymptotic inference, Data-splitting, Large deviations, Concentration Inequalities.

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Seminario CHARAWI (RGS & Matematica Applicata)
by Giacomo Aletti 24 Nov '14

24 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 1 Dicembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Ionic mechanism underlying cardiac pacemaking: Insights from a mathematical model" Lara CHARAWI Dipartimento Matematica, Università di PAVIA Abstract: The ionic mechanisms at the basis of the spontaneous pacemaker activity of sinoatrial node (SAN) cells is a matter of intense debate [1], in particular the role of the hyperpolarization-activated current, known as the "funny" current If [2]. Computational models of the electrical activity of SAN cells have been proposed to gain a deeper understanding of the phenomenon, however they fail in reproducing experimental effects of If modifications. We present a novel mathematical model of rabbit SAN action potential [3], developed by updating the description of membrane currents and intracellular mechanisms on the basis of experimental acquisitions, in an attempt to reproduce pacemaker activity and its physiological and pharmacological modulation. Our model describes satisfactorily experimental data on pacemaking regulation due to neural modulation, If block and inhibition of the intracellular calcium handling. Simulation results suggest that a detailed description of the intracellular calcium fluxes is fully compatible with the observation that If is a major component of pacemaking and rate modulation. Keywords Cardiac modelling, cardiac pacemaking, sinoatrial node, funny current, autonomic rate modulation. References [1] Lakatta, E. G., and DiFrancesco, D. (2009). What keeps us ticking: a funny current, a calcium clock, or both?. J. mol. cell. cardiol., 47(2), 157-170. [2] Brown, H. F., DiFrancesco, D., and Noble, S. J. (1979). How does adrenaline accelerate the heart? Nature, 280, 235-236. [3] Severi, S., Fantini, M., Charawi, L. A., and DiFrancesco, D. (2012). An updated computational model of rabbit sinoatrial action potential to investigate the mechanisms of heart rate modulation. J. physiol., 590(18), 4483-4499. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.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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Seminario Prof. Mascia (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 21 Nov '14

21 Nov '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 28 Novembre, ore 10 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma PROF. CORRADO MASCIA (Dipartimento di Matematica "G. Castelnuovo", Sapienza Università di Roma) terrà un seminario dal titolo: *Parabolic behavior of hyperbolic systems describing velocity-jump processes* *Abstract:* *The talk concerns with the large-time behavior of a class of* *hyperbolic systems of partial differential equations and its relation* *with corresponding (reduced) parabolic equations. The basic prototypeis the Goldstein-Kac model for correlated random walks, interpreted asa variation of the classical heat equation.Areas of interest of the topic will be presented, together with aselection of known rigorous mathematical results available in theliterature. Additionally, the asymptotic description of ageneralization of the Goldstein-Kac model to an arbitrary number ofspeeds in several dimensions (based on an application of a variant ofthe Kirchoff’s matrix tree Theorem from graph theory) will bepresented in details.* Tutti gli interessati sono invitati a partecipare. Saluti Alessandro De Gregorio

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seminario TOM HURD
by Matteo Burzoni 21 Nov '14

21 Nov '14

Avviso di seminario. Università degli studi di Milano. --------------------------------------------------------------------------------------------- Venerdì 28 Novembre 2014 alle ore 14.00 presso l’Aula di Rappresentanza del Dipartimento di Matematica, Via Saldini, 50, Milano -------------------------------------------------------------------------------------------- Tom Hurd Mc Master University terrà un seminario dal titolo: Percolation and Financial Cascades Abstract: Exact results in percolation theory on random graphs rely on a property known as the ``tree ansatz'', which is known to be asymptotically true on the family of configuration graphs. The question arises whether percolation ideas are relevant l for understanding systemic risk in financial networks. In this talk, I will review models of financial contagion, such as the Eisenberg-Noe model and its alternatives. Along the way, I will propose definitions for ``random financial network'' (RFN) and ``locally treelike independence'' (LTI), and explore these definitions' mathematical consequences. In the end, comparison of analytical approximations to Monte Carlo computations in some realistic network cascade examples shows that there are indeed situations where the LTI approximation is "surprisingly" accurate.

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