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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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