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Politecnico di Milano - Seminario Bill Sudderth
by Laura M. Sangalli 16 Sep '15

16 Sep '15

Si avvisa che in data 16-10-2015, alle ore 14:30 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Bill Sudderth School of Statistics, University of Minnesota Titolo: How to Control a Process to a Goal Abstract: Suppose that you have a fortune of $10 and seek to reach $100 by placing bets at xed odds on repetitions of a given event such as the appearance of red (or black) on each spin of a roulette wheel. What is the best strategy for you to reach your goal? What strategy will get you there in the least expected time? What if you are competing with another player? I will discuss these and related problems in both discrete and continuous time. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Seminario MASSIMINI (RGS, ADAMSS, CIMAB & Matematica Applicata)
by Giacomo Aletti (giacomo.aletti) 15 Sep '15

15 Sep '15

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, in collaborazione col centro ADAMSS e il CIMAB, il giorno lunedì 21 Settembre 2015, alle ore 14.30, nell'Aula Dottorato (primo piano) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Consciousness and complexity: from theory to practice" Marcello MASSIMINI Dipartimento di Scienze biomediche e cliniche 'Luigi Sacco' Università degli Studi di Milano Abstract: We usually assess another individual’s level of consciousness based on her/his ability to connect to the surrounding environment and produce appropriate responses. However, conscious experience can be entirely generated within the brain, even in the absence of any interaction with the external world; this happens almost every night, during dreaming, and may occur during certain forms of anesthesia as well as in brain-injured patients who emerge from coma and remain unresponsive. Hence, clinical and physiological evidence advocate the development of brain-based metrics that are independent on both sensory inputs and motor outputs. As an attempt in this direction, an empirical measure of brain complexity has been recently developed based on the electroencephalographic (EEG) response to a direct cortical perturbation with transcranial magnetic stimulation (TMS), the perturbational complexity index (PCI). Based on theoretical postulates, PCI gauges the conjoint presence of integration and information in the human brain, independently of sensory inputs and motor outputs. In a series of experiments, PCI was tested on TMS-evoked potentials recorded in healthy subjects during wakefulness, dreaming, NREM sleep, and different levels of sedation induced by different anesthetic agents (including the dissociative anesthetic ketamine), as well as in patients who emerged from coma and attained a stable diagnosis. Overall, PCI allows a reliable assessment of the level of consciousness at the individual level even in subjects who are fully disconnected from the surrounding environment on both the input and output side. These measurements are scientifically relevant in the context of the information integration theory of consciousness (IITC) and prompt further validation toward the development of a practical diagnostic test. ================= 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.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell:+39-340-9739142 **************** Per destinare il 5x1000 all'Universita' degli Studi di Milano: indicare nella dichiarazione dei redditi il codice fiscale 80012650158. http://www.unimi.it/13084.htm?utm_source=firmaMail&utm_medium=email&utm_con…

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Annuncio di seminario
by Ilia Negri 14 Sep '15

14 Sep '15

Dear all, I’m are glad to invite you to the following seminar. When: Thursday, September 19th, 2015, 14:30 Where: Department of Management, Economics and quantitative Methods, Via dei Caniana n. 2 – Room 15 Title: A stochastic maximal inequality, strict countability, and related topics Speaker: Yoichi Nishiyama (Waseda University, Tokyo) Abstract: As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using It\^o's formula, is presented. The main results are some weak convergence theorems for sequences of separable random fields of locally square-integrable martingales under the uniform topology with the help also of entropy methods. As special cases, some new results for i.i.d. random sequences, including a new Donsker theorem and a moment bound for suprema of empirical processes indexed by classes of sets or functions, are obtained. An application to statistical estimation in semiparametric models is presented with an illustration to construct adaptive estimators in Cox's regression model. Ilia Negri http://www.unibg.it/pers/?ilia.negri

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DRM2015 - deadline approaching
by fabio.bellini 14 Sep '15

14 Sep '15

Dear colleagues, let me recall that tomorrow is the deadline for submitting an abstract to the "Dependence and Risk Measures" conference that will take place on November 12-13 at the University of Milano-Bicocca. Further informations: https://sites.google.com/site/dependenceriskmeasures/ Best regards Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca

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Seminario Prof. Jorge P. Zubelli
by Sabrina Mulinacci 13 Sep '15

13 Sep '15

Carissimi tutti, segnalo il seguente seminario del Prof. Jorge P. Zubelli, dell'IMPA di Rio de Janeiro che si terrà in Aula 1 presso il Dipartimento di Scienze Statistiche “P. Fortunati” in Via Belle Arti 41, 40126 Bologna. Tutti gli interessati sono invitati a partecipare Un caro saluto Sabrina Mulinacci ********************************************************************* Prof. Jorge P. Zubelli, dell'IMPA di Rio de Janeiro Titolo del seminario: "Calibration of Local Volatility Models from Option Data for Commodities." Abstract: Local volatility models are extensively used and well-recognized for hedging and pricing in financial markets. They are frequently used, for instance, in the evaluation of exotic options so as to avoid arbitrage opportunities with respect to other instruments. Derivatives for commodities are extensively traded instruments in financial markets, especially in energy and oil ones. They are particularly challenging since the spot prices are not directly observable, thus requiring a further modeling effort. The ill-posed character of local volatility surface calibration from market prices requires the use of regularization techniques either implicitly or explicitly. Such regularization techniques have been widely studied for a while and are still a topic of intense research. We have employed convex regularization tools and recent inverse problem advances to deal with the local volatility calibration problem. In this talk we shall describe ongoing work on the use local volatility models in the context of commodity markets, in particular applied to energy and oil ones. This work is part of ongoing collaboration with V. Albani (Vienna), U. Ascher (Toronto), and Xu Yang (IMPA).

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seminario Patrick Beissner
by Emanuela Rosazza 11 Sep '15

11 Sep '15

Cari tutti, martedì 15 settembre alle ore 16 il Dott. Patrick Beissner (Bielefeld University, Germania) terrà in Bicocca (edificio U7- aula 2062 (aula demografica) – secondo piano) un seminario dal titolo “Asset Pricing and Bubbles under Sentiment-Based Expectations”. Abstract: We propose a formal theory of asset pricing that allows us to explain how sentiments in the market may influence price formation. A fully nonlinear expectation captures behavioral market sentiments in terms of waves between optimism and pessimism. The approach follows the standard procedure by extracting some stochastic Euler equation from a representative agent equilibrium model. Preferences are represented through sentiment-based expected utility. In equilibrium, the resulting asset price process can then be described by a new (nonlinear) conditional sentiment-based expectation. In a final step, we observe the possible emergence of a bubble that is induced by disagreement of optimism and pessimism for the market relevant pricing measures. Joint work with Patrick Cheridito. Tutti gli interessati sono invitati a partecipare. Un saluto e a presto, Emanuela ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi 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 Dr. Cosetta Minelli - Mendelian Randomisation - 12 ottobre 2015
by Alessandro Marcon 11 Sep '15

11 Sep '15

Gentilissimi/e, vi invio un avviso di seminario, con preghiera di massima diffusione. Sede del seminario: Istituti Biologici 2, Università di Verona, strada Le Grazie 8 (VERONA). Distinti saluti, Alessandro Marcon Alessandro Marcon, PhD Unit of Epidemiology & Medical Statistics Department of Diagnostics and Public Health University of Verona Strada Le Grazie 8, 37134 Verona, Italy tel. +39 045 8027668 Avviso di SEMINARIO Lunedì 12 ottobre 2015 ore 11.00-11.45 Aula Igiene & Statistica (Istituti Biologici 2, blocco B, secondo piano) Dr. Cosetta Minelli Senior Lecturer in Medical Statistics, National Heart and Lung Institute, Imperial College London *Mendelian randomization: * *The use of genes as instruments to strengthen causal inference in epidemiology* Mendelian randomization is an approach that uses genes as instrumental variables to derive unconfounded estimates of the effects of risk factors (e.g. biomarkers) on disease traits, and is therefore increasingly being used in epidemiology to distinguish causal from spurious associations. Since genes are randomly allocated at conception, genetic effects on a biomarker cannot be affected by classical confounding (e.g. lifestyle factors) or reverse causation (e.g. biomarker level being influenced by the presence of disease). Demonstration that a genetic variant known to modify the biomarker also modifies the disease trait represents indirect evidence of a causal biomarker-disease association. The validity of Mendelian Randomization, however, is based on instrumental variable assumptions, the most important being absence of pleiotropy. This talk will describe the approach, discuss ways to assess pleiotropy, highlight opportunities and challenges offered by available genome-wide data, and discuss its extension to the field of epigenetics (two-step epigenetic Mendelian randomization).

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Fwd: SYMMYS
by Tiziano Vargiolu 10 Sep '15

10 Sep '15

---------- Forwarded message ---------- From: Elisa Appolloni <elisa.appolloni(a)symmys.com> Date: 2015-09-10 9:52 GMT+02:00 Subject: SYMMYS To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Dear Professor Vargiolu I am reaching out to you because at SYMMYS (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Interested candidates can send me an email at elisa.appolloni(a)symmys.com. Thank you, Elisa Appolloni The company SYMMYS, LLC (www.symmys.com) is a privately held research institution based in New York City, directed by Attilio Meucci. SYMMYS? mission is to spread Advanced Risk and Portfolio Management (ARPM) ideas and techniques in the financial industry and in academia. The opportunity SYMMYS is looking for new consultants for its research project in Advanced Risk and Portfolio Management (ARPM). The job, which requires a full time commitment, consists of reviewing and coding case studies in advanced quantitative finance. The consultant will work remotely from home or from one of the affiliate universities, communicating via multi-media with other members of the SYMMYS team. The position represents an excellent academic experience for applicants who intend to pursue a PhD, which SYMMYS may sponsor. The position also presents a great opportunity for candidates (that maybe have already a PhD) who wish to remain in the financial industry. Indeed, the learning curve is constantly steep, and the compensation is competitive. The candidate - Master's level degree in Physics, Mathematics, Economics or Computer Sciences - Good knowledge of calculus, linear algebra, statistics, probability, financial mathematics - Proficiency in LaTeX - Proficiency in MATLAB - Proficiency in programming languages, such as C/C++, JavaScript, Python, or similar (knowledge of Python, IPython and/or IPython Notebook are beneficial) [cleardot.gif] - Working knowledge of English Compensation 22,000 euros per year, paid monthly -- www.SYMMYS.com - Advanced Risk and Portfolio Management? -- www.SYMMYS.com - Advanced Risk and Portfolio Management?

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de Finetti Risk seminar - september 2015
by Emanuela Rosazza 08 Sep '15

08 Sep '15

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Title: Project Evaluation under Uncertainty: From Minimal Martingale Measures to Implementation. Speaker: Jorge P. Zubelli (IMPA) Abstract: Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options. The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. This leads to interesting numerical analysis questions and to connections with BSDEs. LOCATION: The seminar will be held on Thursday, September 17, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Take note that de Finetti Risk Seminars will be held on Thursday only for this talk, while they are usually planned on Wednesday. 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 Statistica e Metodi Quantitativi 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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Visita del Prof. Claudio Macci
by giuliano＠dm.unipi.it 07 Sep '15

07 Sep '15

Il Prof, Claudio Macci, dell'Universita' di Roma Tor Vergata, sara' ospite del Dipartimento di Matematica nei giorni 22-23-24 settembre. Terra' un seminario dal titolo "Asymptotic results for runs and empirical cumulative entropies" Data ora, aula del seminario saranno comunicate non appena possibile. Tutti gli interessati sono invitati a partecipare Rita Giuliano

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