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[Fwd: seminario Gssi]
by davide gabrielli 10 Mar '14

10 Mar '14

Il giorno Giovedi 13 Marzo alle ore 16 presso il GSSI (Gran Sasso Science Institute, L'Aquila) la Prof. *Inés Armendariz *del Dipartimento di Matematica dell'Università di Buenos Airesterrà il seguente seminario: *Title*: Scaling limit of the condensate dynamics in the zero-range process *Abstract*: We consider the zero-range process on the one dimensional torus with L sites and N particles, in the supercritical regime when N=L exceeds the critical density. It is known that in the stationary state, as L goes to infinity, the excess particles accumulate at a randomly chosen position, forming the condensate. We now show that, at the right scale, this condensates moves according to a Lévy process on the rescaled torus, with rates determined by the jump distribution of the original zero range process. For instance, for nearest neighbour probabilities, the limiting Lévy process will have rates inversely proportional to the jump length. -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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Internationalization programme at the University of Verona - Master degree in Mathematics
by Luca di persio 08 Mar '14

08 Mar '14

Dear, this is an invitation to foreign teachers, coming from a European University or non-European, to share didactical projects with the professors in charge of a particular course given within the Master degree in Mathematics at the University of Verona. Such opportunity, funded by the Unviersity of Verona, has been also thought to start a *scientific collaboration with professors afferent to the Master degree in Mathematics*: http://www.di.univr.it/?ent=cs&id=418&lang=en The minimum lenght of stay is *1 week to which corresponds a reimbursement of 2k euros*. Additional 600 euros will be payed for any additional week *and up to 3.5K euros for one month and 11k euro for three months*. The teaching load is fixed at 6 hours per week. *Collaborations in the field of stochastic processes, SPDEs theory and their applications to Mathematical Finance are particularly welcome.* Please, spread the present message to anyone you think that could be interested in the project. For any further details, feel free to contact me: luca.dipersio(a)univr.it dipersioluca(a)gmail.com or the Internationalization Office of Verona University: relazioni.internazionali(a)ateneo.univr.it Hope to hear from you soon, 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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Young Finance Scholars' Conference and Quant Finance Workshop
by Enrico Scalas 07 Mar '14

07 Mar '14

Car* collegh*, vi segnalo un'iniziativa dell'Università del Sussex con preghiera di diffusione. Nel caso i link sottostanti non funzionassero si puo' usare: www.sussex.ac.uk/bmec/qfin <http://UrlBlockedError.aspx/> Cordiali saluti Enrico Scalas Professor of Statistics and Probability University of Sussex Young Finance Scholars' Conference and Quant Finance Workshop<http://www.sussex.ac.uk/bmec/qfin/> The Finance group at the University of Sussex is pleased to announce a conference that is specially designed for junior scholars in Finance, followed by a (separately bookable) Quantitative Finance Workshop. Both events are hosted by the Department of Business and Management<http://www.sussex.ac.uk/bam/> in the School of Business, Management and Economics<http://www.sussex.ac.uk/bmec/> . Young Finance Scholars' Conference<http://www.sussex.ac.uk/bmec/qfin/conference> Quantitative Finance Workshop<http://www.sussex.ac.uk/bmec/qfin/workshop> *Thursday, 8th May 2014* *Friday, 9th May 2014* The conference provides an opportunity for junior scholars that have little (or no) experience with publishing in academic journals to share their research, debate their methodology and results, network with their peers from other institutions and - primarily - to receive expert comment and advice on publication from leading finance academics, including: - Professor Carol Alexander - University of Sussex - Professor Ben Hambly - University of Oxford - Professor Mike Lipkin - Columbia University, New York - Professor Brian Lucey - Trinity College, Dublin - Dr. Norman Seeger - VU University, Amsterdam The workshop is given by *Mike Lipkin,* a renowned specialist on Event-Driven Finance and co-author (with Marco Avallaneda) of the paper winning the Risk Magazine Quant-of-the-year award 2010. Designed to appeal to both practitioners and academics, Mike will describe his path-breaking work on trading attendant to market events, such as earnings announcements or crashes. Places are limited and workshop participation is allocated on a first come first served basis. Please visit our website www.sussex.ac.uk/bmec/qfin<http://UrlBlockedError.aspx>for more details on the conference and workshop and to register.

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Fwd: [stoch-ned-l] Announcement workshop Population Dynamics and Statistical Physics in Synergie
by Cristian Giardina 06 Mar '14

06 Mar '14

---------- Forwarded message ---------- From: Koorn, P.M. <Koorn(a)eurandom.tue.nl> Date: Thu, Mar 6, 2014 at 2:55 PM Subject: [stoch-ned-l] Announcement workshop Population Dynamics and Statistical Physics in Synergie To: "stoch-ned-l(a)science.uu.nl" <stoch-ned-l(a)science.uu.nl> We would like to announce the upcoming workshop on Population Dynamics and Statistical Physics in Synergy To be held at Eurandom, Eindhoven, the Netherlands Date: August 25-29, 2014 Organizers: C. Giardina, A. Greven, F. den Hollander Mini courses by: J. Kurchan, C. Richard Talks by 20 other researchers. More information on http://www.eurandom.nl/events/workshops/2014/Population_Dynamics/Population… On behald of the organizers, Kind regards, Patty Koorn Eurandom P.O.Box 513 (MF 4.081) 5600 MB EINDHOVEN The Netherlands tel. +31 40 247 81 00 e-mail koorn(a)eurandom.tue.nl www.eurandom.tue.nl

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Fwd: (fwd)
by Lucia Caramellino 06 Mar '14

06 Mar '14

---------- Forwarded message ---------- Date: Tue, 4 Mar 2014 09:19:49 +0100 From: Maria Chiarolla <maria.chiarolla(a)uniroma1.it> To: Lucia Caramellino <caramell(a)axp.mat.uniroma2.it> Subject: Fwd: ---------------------------------------- vi informo che sul sito della Facolt�, nell'apposita sezione http://www.economia.uniroma1.it/node/5559/affidamenti-e-contratti, � stato pubblicato un bando per n. 7 posti per contratti di collaborazione coordinata e continuativa, per lo svolgimento di corsi di recupero e sostegno per i seguenti insegnamenti: Economia Aziendale, Economia e Gestione delle Imprese, Finanza Aziendale, Istituzioni di Diritto Pubblico, *Matematica corso base*, Politica Economica, Statistica corso base. *La scadenza prevista per la presentazione delle domande � il giorno 11 marzo 2014.* Vi invito a darne la massima diffusione. Grazie, MCh

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[amases-soci] Fwd: Second Call e web site 38mo Convegno AMASES 2014 (fwd)
by Tiziano Vargiolu 05 Mar '14

05 Mar '14

---------- Forwarded message ---------- Date: Wed, 05 Mar 2014 14:34:21 +0100 From: Antonella Basso <basso(a)unive.it> To: Soci AMASES <amases-soci(a)listserv.unive.it> Subject: [amases-soci] Fwd: Second Call e web site 38mo Convegno AMASES 2014 Cari Soci AMASES, vi inoltro la seconda call del Convegno AMASES 2014 e il link al sito web. Cordiali saluti Antonella Basso -------- Messaggio originale -------- Oggetto: Second Call e web site 38mo Convegno AMASES 2014 Data: Wed, 5 Mar 2014 13:10:56 +0100 Mittente: Massimiliano Ferrara <massimiliano.ferrara(a)unirc.it> A: Antonella Basso <basso(a)unive.it> CC: basile(a)unina.it, Weinrich Gerd <gerd.weinrich(a)unicatt.it> Cara Antonella, Ti chiedo cortesemente di comunicare ai Consoci che il sito del prossimo Convegno Amases e' da questa mattina on line al seguente indirizzo: www.amases2014.unirc.it Un abbraccio Massimiliano Ferrara -- Antonella Basso Dipartimento di Economia Universita 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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Assegno di ricerca post-dottorale, presso CNR IMATI-MI
by Antonio Pievatolo 04 Mar '14

04 Mar '14

Segnalo la pubblicazione di un bando per un assegno di ricerca post-dottorale su "Analisi statistica dei dati", con scadenza il prossimo 24 marzo. I dettagli si trovano nella seguente pagina web: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/72788 Cordiali saluti Antonio Pievatolo -- Dr Antonio (Marco) Pievatolo CNR IMATI Tel. +39 02 23699.521 (direct: 520) Web www.mi.imati.cnr.it/marco

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Two seminars and presentation of Ph.D. theses - date
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

We have the pleasure to announce the following two seminars and the defenses of two PhD thesis for the day Friday, March 7th: University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) 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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Two seminars and presentation of Ph.D. theses
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

We have the pleasure to announce the following two seminars, in University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) 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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CSAMA 2014: Computational Statistics for Genome Biology - June 22-27, 2014
by stefano iacus 02 Mar '14

02 Mar '14

CSAMA 2014: Computational Statistics for Genome Biology (12th edition) Bressanone-Brixen, Italy (South Tyrol Alps - half way between Verona and Munich) June 23-27, 2014 *** Registration for CSAMA 2014 is now open *** http://www-huber.embl.de/csama This one-week intensive course teaches current approaches in the statistical and computational analysis of large-scale experiments in biology. The course focuses on the methods for downstream analysis of high-throughput sequencing experiments including RNA sequencing (differential expression) and DNA sequencing (variant calling), as well as QTL analysis and high-throughput screening. Lectures also cover essentials including statistical testing, linear models, machine learning, visualisation and bioinformatic metadata integration. Topics • Introduction to R and Bioconductor • Elements of statistics: hypothesis testing, multiple testing, regression, regularisation, clustering and classification (machine learning), visualisation • Computing with sequences and genomic intervals • RNA-Seq data analysis and differential expression • DNA Variant calling • Working with annotation -- genes, genomic features and variants • Gene set enrichment analysis • High-throughput screens The course consists of • morning lectures: 20 x 45 minutes: Monday to Friday 8:30am - 12:00am • 4 practical computer tutorials in the afternoons (2pm - 5pm) on Monday, Tuesday, Thursday and Friday ----------------------------------- Stefano M. Iacus 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 Have a look at the new Master Degree in Finance ! http://www.fin.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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