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Energy Finance 2014 conference call for abstracts
by Tiziano Vargiolu 03 Apr '14

03 Apr '14

EF14 conference call for abstracts announcement, apologies for cross-posting. ____________________________________________________________________________ Energy Finance 2014 (EF14), Sept. 24 - 26, Erice, Italy ____________________________________________________________________________ It is a pleasure to announce that a call for abstracts for EF14 is currently open, starting from April 1 and closing on July 15. Abstracts, in the form of about 1 page (max 2 pages) pdf files, can be sent via email to the address: submissions(a)energyfinance2014.org Some more information about the required abstract format can be found in the EF14 conference website energyfinance2014.org. ____________________________________________________________________________ On the website, you will also find new information about conference fees. For more information about the conference, submissions excluded, please contact: info(a)energyfinance2014.org Please remember that it won't be possible to accommodate more than about 100 participants. ____________________________________________________________________________ Regards, Carlo Lucheroni, for the EF14 Organizing Committee. -- Carlo Lucheroni Scuola di Scienze e Tecnologie Universita' di Camerino via Madonna delle Carceri 9 62032 Camerino (MC) Italy Office phone: 39-0737402552

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de Finetti risk seminar - aprile 2014
by Emanuela Rosazza Gianin 02 Apr '14

02 Apr '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on April 9, 2014 at 18.00 with the Lecture Equilibrium in risk sharing games COSTANTINOS KARDARAS London School of Economics Abstract: We study equilibrium sharing of investment risk among agents whose random endowments constitute private information. Given the sharing rules that optimally allocate the submitted endowments, we propose a Nash game where agents' strategic choices consist of the endowments to be submitted for sharing. It is proved that the best response problem admits a unique solution (which we call "best endowment response") and differs from the agent's true risk exposure. Then, we proceed in showing that the Nash equilibrium risk sharing admits a finite dimensional characterisation, and that it exists and is unique in the case of two agents. Analysis shows that the game benefits the agents close to risk neutrality, since their expected utilities are higher at the Nash risk sharing equilibrium than the optimal risk-sharing one. (Joint work with Michail Anthropelos.) LOCATION: The seminar will be held on Wedsnesday, April 9, at 18.00 at Sala di rappresentanza, Department of Mathematics, Milano University, Via Saldini 50, 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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Jean- Marc Azaïs - Tor Vergata - 7 aprile
by Valentina Cammarota 02 Apr '14

02 Apr '14

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Lunedì 7 aprile ore 14 Aula D'Antoni 1101 Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Jean-Marc Azaïs IMT, Universite de Toulouse, France Title: The tail of the maxima of Gaussian fields on non locally convex sets. Abstract: The Euler Characteristic method or the Rice method give a full expansion of the tail of the maximum of stationary Gaussian fields defined on some regular sets. A key hypothesis is local convexity that means roughly that, by a smooth change of parameterization, the parameter set can be transform in a convex set. In our talk we will present an alternative method that works for general parameter set as fractals sets and permits to obtain a full expansion in dimensions 2 for a large class. Our result will be illustrated by examples that are all new. Tutti gli interessati sono invitati a partecipare. ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

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Fwd: Summer school and workshop on random interacting systems, Bath UK
by Cristian Giardina 31 Mar '14

31 Mar '14

---------- Forwarded message ---------- From: Alexandre Stauffer <a.stauffer(a)bath.ac.uk> Date: Mon, Mar 31, 2014 at 6:49 PM Subject: Summer school and workshop on random interacting systems, Bath UK To: cristian.giardina(a)unimore.it Cc: a.stauffer(a)bath.ac.uk Dear Cristian, Could you please forward this announcement to your interested colleagues and friends? (apologies for multiple posting) School and Workshop on Random Interacting Systems 23-27 June 2014, in Bath, U.K. Registration is open until 30th April at http://people.bath.ac.uk/ados20/workshop14/ MINI-COURSES ============ Hugo Duminil-Copin (Universite de Geneve) Geometric representations of low-dimensional spin systems Christophe Garban (ENS Lyon) Lectures around Liouville quantum gravity and multiplicative chaos theory INVITED SPEAKERS ================ Kenneth Alexander* (University of Southern California) Gerard Ben-Arous* (Courant Institute of Mathematical Sciences) Nathanael Berestycki* (University of Cambridge) Ivan Corwin* (MIT) David Croydon (University of Warwick) Nadine Guillotin-Plantard (Universite Lyon 1) Ori Gurel-Gurevich* (Hebrew University of Jerusalem) Frank den Hollander (Universiteit Leiden) Neil O'Connell (University of Warwick) Ron Peled (Tel Aviv University) Alejandro Ramirez (Pontificia Universidad Católica de Chile) Perla Sousi (University of Cambridge) Rongfeng Sun (National University of Singapore) Pierre Tarres (University of Oxford) Augusto Teixeira (IMPA) Yvan Velenik (Université de Genève) * = to be confirmed. The workshop will focus on recent developments on random interacting systems, including (but not restricted to) interacting and self-interacting particle systems, random walks and other stochastic processes in random environments, random and evolving graphs, the Gaussian free field, random interlacements, random polymers, percolation and spin systems. There will be slots for a small number of contributed talks (with preference to Ph.D. students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/workshop14/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

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Processi stocastici su grafi - venerdi 4 aprile
by Marco Isopi 31 Mar '14

31 Mar '14

PROCESSI STOCASTICI SU GRAFI Una giornata dedicata al confronto tra studiosi che lavorano in campi diversi. Venerdi 4 aprile - Dipartimento di Matematica- Aula di Consiglio 10-30-11.15 Fabio Fagnani: Apprendimento distribuito in giochi potenziali su rati grandi. caffè 11.30-12 Alessandro Epasto: Ordinamento per similarità in grafi bipartiti grandi. 12.12.30 Elena Agliari: Assorbimento e collisioni su strutture ramificate. 12.30-13 Emanuele Natale: Dinamiche maggioritarie e sistemi distribuiti sincroni. 13-14 Discussione, problemi aperti (con spuntino durante la discussione) 14-14.30 Andrea Gabrielli: Ricostruzione di reti economico-finanziarie da informazioni parziali nello schema dei "modelli di fitness". 14.30-15 Flavio Chierichetti: Votare con informazione incompleta e molte scelte. http://www1.mat.uniroma1.it/~isopi/processi_su_grafi.html

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Avviso di mini-corso :: C.V.D.@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 31 Mar '14

31 Mar '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Venerdì 04 Aprile, ore 10:00-13:00 ----------------------------------------------------------------------------- Aula VI (quarto piano) Dipartimento di Scienze Statistiche Sapienza Università di Roma C.LAUDIO DURASTANTI V.ALENTINA CAMMAROTA D.OMENICO MARINUCCI (Dip. di Matematica, Università degli Studi di Roma Tor Vergata) terranno un mini-corso dal titolo STEIN-MALLIAVIN APPROXIMATIONS IN STATISTICS & PROBABILITY 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 - Fulvio De Santis --- P R O G R A M Part I: The Geometry of Needlets Excursion Sets Domenico Marinucci In this talk, we shall be concerned with geometric functionals and excursion probabilities for some nonlinear transforms evaluated on wavelet/needlet components of spherical random fields. For such fields, we consider smoothed polynomial transforms, such as those arising from local estimates of angular power spectra and bispectra; we focus on the geometry of their excursion sets, and we study their asymptotic behaviour, in the high-frequency sense. Our main technical tools are recent results on Malliavin calculus and Total Variation bounds for Gaussian subordinated fields by Nourdin and Peccati, and the Gaussian Kinematic Formula by Adler and Taylor, which we shall review briefly in the talk. We put particular emphasis on the analysis of Euler-Poincaré characteristics, which can be exploited to derive extremely accurate estimates for excursion probabilities. The present analysis is motivated by the statistical investigation of asymmetries and anisotropies in Cosmic Microwave Background radiation (CMB) data. Based on joint work with Sreekar Vadlamani Part II: Stein-Malliavin Approximations for Needlets Polyspectra Valentina Cammarota We provide quantitative Central Limit Theorems, in the high frequency limit, for nonlinear transforms of spherical wavelets/needlets random fields, which are of immediate interest for spherical data analysis. In particular, we focus on so-called needlets polyspectra, which are popular tools for nonGaussianity analysis in the cosmological community, and on the area of excursion sets. Our results are based on Stein-Maliavin approximations for nonlinear transforms of Gaussian fields, and on an explicit derivation on the high-frequency limit of the fields' variances, which may have some independent interest. Based on joint work with Domenico Marinucci Part III: Normal Approximations for Linear and U-Statistics on Spherical Poisson Fields Claudio Durastanti We review a recent stream of research on Normal approximations for linear and U-statistics of wavelets/needlets coefficients evaluated on a homogeneous spherical Poisson fi...eld. We show how exploting results from Peccati and Zheng (2011), based on Malliavin calculus and Stein''s methods, it is possible to assess the rate of convergence to Gaussianity for a triangular array of statistics with growing dimensions. These results can be exploited in a number of statistical applications, such as spherical density estimations, searching for point sources, estimation of variance and the spherical two-sample problem. Based on joint work with Solesne Bourguin, Domenico Marinucci and Giovanni Peccati.

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A Workshop to Celebrate the Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction, University of Cambridge, UK (30 April 2014)
by Julia Mortera 30 Mar '14

30 Mar '14

Dear Colleague, Many thanks to those who have already registered and who have emailed us their unavailability for the workshop. *** Gentle reminder please *** *Workshop:* The Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction *Venue:*** Centre for Mathematical Sciences, University of Cambridge, UK *Date:* 30th April 2014 *Dinner Date:* 29 April 2014 *Registration deadline:* 15 April 2014 * Registration and ***more information*: * https://sites.google.com/site/workshopdawid2014/ *Dinner only option:* If you wish to join us only for dinner, please let us know by emailing Hui Guo at hg283(a)cam.ac.uk by 15 April. You will be able to make payments for the dinner in the restaurant on the day. *Confirmed speakers:* Carlo Berzuini (University of Manchester) Simon Byrne (UCL) Panayiota Constantinou (University of Bristol) Vanessa Didelez (University of Bristol) Sara Geneletti (LSE) Peter Grünwald (CWI and Leiden University) Hui Guo* *(University of Cambridge) Steffen Lauritzen (University of Oxford) Monica Musio(University of Cagliari) Julia Mortera (Umiversity of Rome) David Spiegelhalter (University of Cambridge) Volodya Vovk (Royal Holloway University of London) Thanks for Your attention. We would be very happy if you could attend the meeting. Kind Regards, Luisa Bernardinelli Carlo Berzuini Panayiota Constantinou Vanessa Didelez Hui Guo Nuala Sheehan -- Prof.ssa Julia Mortera Dipartimento di Economia Università Roma Tre Via Silvio D'Amico 77 00145 Roma Tel: +39 06 57335732 Fax: +39 06 57335771 http://dipeco.uniroma3.it/docenti.asp?id=123# --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Seminario di Guido Montorsi (Roma - 11 aprile)
by Marco Isopi 29 Mar '14

29 Mar '14

Seminari MoMA www.mat.uniroma1.it/ricerca/seminari/moma Venerdi’ 11 aprile, ore 12-14, aula Consiglio Guido Montorsi Analog Digital Belief Propagation and its application to channel decoders Sunto As required by information theory, channel codes with long code words are necessary building blocks in a transmission system to achieve reliable communications with minimal power and maximal throughputs over noisy physical channels. Nowadays capacity-achieving large random binary codes are actually adopted in most telecommunication standards. The breakthrough that allowed their practical use has been to substitute the optimal maximum likelihood decoding techniques at the receiver with suboptimal iterative techniques based on “belief” propagation. Belief propagation is a powerful inference technique working on graphs used in many different applications. Graph nodes are associated to factors or constraints of the model while graph edges are associated to random variables. Belief propagation algorithm proceeds by iteratively updating messages associated to the random variables, according to the constraints imposed by nodes. In the framework of channel decoding the graph nodes represent the deterministic, usually linear, code constraints. They are either associated to a (binary) parity check sum, or to a repetition of the variable. Belief propagation is initialized with a set of messages obtained from the noisy channel observations of the transmitted bits and proceeds iteratively, updating the messages according to the code constraints until convergence is reached. Most practically used codes are linear and binary codes, so that messages propagated in the graph are binary messages usually represented with a single scalar (the Log-Likelihood Ratio). In order to increase the throughput of communication systems, the use of non binary codes is an attractive solution as each symbol can carry more information bits. Non binary codes can be constructed over groups, rings, or fields and there is a vast literature on the design of capacity achieving non binary codes. The extension of the application of belief propagation to the non binary codes however poses several complexity problems as both message representation and message updating at check node grows at least linearly with the cardinality of the non binary alphabet and consequently exponentially with the increase of required throughput. In this talk I will start by recalling the fundamental ideas and terminology beyond binary channel coding constructions and corresponding iterative decoding with belief propagation and other iterative techniques. I will then extend the concepts to non binary codes and summarize the main algorithms and complexity problems related with them. I will then introduce a new algorithm, named Analog Digital Belief Propagation (ADBP) which solves the complexity problems of belief propagation for non binary codes. I will discuss the main properties of the algorithm, its possible extensions and code design problems related to the adoption of this algorithm.

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Seminario Lucian Maticiuc [ Dipartimento Informatica UniVr ]
by Luca di persio 28 Mar '14

28 Mar '14

Il giorno Mercoledì 9 Aprile, alle ore 17 [ rinfresco ore 16:45 ] presso il Dipartimento di Informatica Università degli studi di Verona , strada le Grazie 15, Verona Lucian Maticiuc "G. Asachi" Technical University, Romania terrà un seminario dal titolo Stochastic Differential Delay Systems and Optimal Control Problems *Abstract* We show the existence and the uniqueness of the solution for some multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type). Afterwards we consider optimal control problems where the state X is a solution of a controlled delay stochastic system as above. We establish the dynamic programming principle for the value function and finally we prove that the value function is a viscosity solution for a suitable Hamilton- Jacobi-Bellman type equation. __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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seminario di Daniele Marazzina presso Prometeia - Bologna
by Giacomo Scandolo 28 Mar '14

28 Mar '14

Il giorno Giovedì 3 Aprile 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Daniele MARAZZINA (Politecnico di Milano) terrà un seminario dal titolo "Fast pricing of discretely monitored exotic options by a numerical Wiener-Hopf procedure" Abstract We present a fast and accurate pricing techniques based on the Spitzer identity and the Wiener-Hopf factorization. We apply it to barrier and lookback options when the monitoring is discrete and the underlying evolves according to an exponential Lévy process. The numerical implementation exploits the fast Fourier transform and the Euler summation. The computational cost is independent of the number of monitoring dates; the error decays exponentially with the number of grid points.

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