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(senza oggetto)
by Mariani, Mauro 06 May '15

06 May '15

Cari amici vi invito a partecipare al seminario di Max Fathi (Università di Parigi Jussieu) presso il dipartimento di matematica dell'università di Roma La Sapienza (sito in piazzale Aldo Moro 5, Roma), i cui dettagli sono riportati di seguito. A presto Mauro Mariani Data ed aula: lunedì 11 maggio, ore 14:30, aula di consiglio (primo piano) Titolo: A gradient flow approach to large deviations for diffusion processes Sunto: In the 80s, De Giorgi introduced the notion of abstract gradient flows, which allowed to define a notion of solutions to ordinary differential equations of the form x' = −grad F(x) on metric spaces (rather than Riemannian manifolds for the usual definition). In 2005, Ambrosio, Gigli and Savare showed that when we consider the space of probability measures on R d endowed with the Wasserstein metric, this notion allows to give an alternate formulation for Fokker-Planck equations. These equations are the PDEs whose solutions are the flow of marginals of solutions of stochastic differential equations of the form dX = −grad H(X)dt + dB . In this talk, I will explain how we can use this notion to study large deviations for sequences of SDEs. The main result is that proving a large deviation principle is equivalent to studying the limit of a sequence of functionals that appear in the abstract gradient flow formulation for Fokker-Planck equations. As an application, I will show how to obtain large deviations from the hydrodynamic scaling limit for a system of interacting continuous spins in a random environment.

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Rettifica data e ora seminario di Thomas Richthammer a Roma Tre
by Pietro Caputo 06 May '15

06 May '15

Prof. Thomas Richthammer (Univ. Hildesheim) Title: The variance of particle positions in the hard disk model When: Giovedi' 14 Maggio 2015 ORE 14:00 Where: Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Largo San L. Murialdo,1 Abstract: The hard disk model describes random configurations of disks in the plane, interacting only via hard core exclusion. It is believed that the model exhibits a weak form of crystallization for large activity (i.e. high particle density). In spite of its simplicity, there are only very few rigorous results on the hard disk model. I will present a very recent result which can be interpreted as a lower bound on the variance of particle positions in terms of the size of the system. The result is obtained via a certain tansformation on particle configurations. It builds on an earlier result concerning the absence of positional order.

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Convegno in onore di Patrizia Berti - Programma e Pagina web
by Fabrizio Leisen 05 May '15

05 May '15

Gentili Colleghi, con grande piacere vi segnalo(per la seconda volta) il seguente convegno organizzato in onore della Prof. ssa Patrizia Berti: Alcuni argomenti di Probabilita', Statistica e Teoria della Misura Modena, 8-9 giugno 2015 Il programma del convegno é disponibile alla seguente pagina web: https://sites.google.com/site/convegnoprofpatriziaberti/ con alcune utili informazioni. Anche se la partecipazione al convegno é gratuita, vi chiediamo gentilmente di inviare una mail al comitato organizzatore per confermare la vostra presenza(vedi pagina web). Un cordiale saluto, Fabrizio Leisen, Pietro Rigo, Emanuele Dolera -- Fabrizio Leisen Senior Lecturer in Statistics School of Mathematics, Statistics and Actuarial Sciences Cornwallis Building, University of Kent, Canterbury, CT2 7NF http://www.kent.ac.uk/smsas/statistics/our-people/profiles/leisen_fabrizio.… http://sites.google.com/site/fabrizioleisen/

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Seminario Prof. Penson (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 05 May '15

05 May '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 8 Maggio, ore 11 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma PROF. K.A. PENSON (Theoretical Physics, Sorbonne, Univ. Paris VI, France) terrà un seminario dal titolo: *PROBABILISTIC AND FREE-PROBABILISTIC PROPERTIES OF 2D CONSTELLATION NUMBERS* *Abstract:* After a short introduction about the properties of classical Catalan numbers and their role in Physics we shall dwell on a certain quite vast generalisation of Catalan numbers called the constellation numbers. We solve exactly the Hausdorff moment problem for these numbers and provide explicit expressions for appropriate positive weight functions. For certain values of parameters we analyse the properties of these solutions from the point of view of the free probability, and demonstrate their infinite divisibility with respect to the free additive convolution. We introduce the idea of fractional constellation numbers and provide complete solutions to this particular case. Tutti gli interessati sono invitati a partecipare. Saluti Alessandro De Gregorio

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Seminario di Yinon Spinka a Roma Tre
by Pietro Caputo 05 May '15

05 May '15

Yinon Spinka (Tel Aviv) Title: Long-range order in random 3-colorings When: Martedi' 19 Maggio 2015 ORE 14:00 Where: Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI), Largo San L. Murialdo, 1 Abstract: We study the anti-ferromagnetic 3-state Potts model of statistical physics. In this model, one samples a random coloring of a box in Z^d with 3 colors, with the probability of a coloring f being proportional to exp(-beta*N(f)), where beta>0 is a parameter (representing the inverse temperature) and N(f) is the number of edges connecting vertices colored with the same color. Our main result is that in high dimensions and low temperature (large beta), a sampled coloring will typically exhibit long-range order, placing the same color at most of either the even or odd vertices of the box. This extends previous work of Galvin, Kahn, Peled, Randall and Sorkin. The main ingredient in our proof is a new structure theorem for 3-colorings which characterizes the ways in which different "phases" may interact, putting special emphasis on the role of edges connecting vertices of the same color. We also discuss several related conjectures. No background in statistical physics will be assumed and all terms will be explained. Joint work with Ohad Feldheim.

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Seminario di Quentin Berger a Roma Tre
by Pietro Caputo 05 May '15

05 May '15

Prof. Quentin Berger (Universita' Parigi 6) When: Mercoledi 13 maggio ore 11, Where: Aula 211, Pal. C Dip. Matematica e Fisica, RomaTre, Largo San L. Murialdo, 1 - 00146 Roma Title: Disorder relevance for the pinning model (joint work with Hubert Lacoin) Abstract: A central question in the study of disordered systems (and in particular of their phase transition) is that of disorder relevance: one wants to determine whether an arbitrarily small quantity of disorder affects or not the critical behavior of the system. The physicist Harris provided a simple and general criterion to know whether disorder was relevant or irrelevant for a given d-dimensional system. In this talk, we will introduce the pinning model, a family of disordered systems, which has attracted much attention in the past decade: it considers a 1-dimensional polymer chain interacting with an inhomogeneous defect line, undergoing a localization phase transition. For this model, Harris' prediction has been rigorously proved, but the marginal case (for which Harris criterion gives no prediction) was partially left open. We will present here a necessary and sufficient condition for disorder relevance for the pinning model, solving completely the question for this model.

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Seminario di Thomas Richthammer a Roma Tre
by Pietro Caputo 05 May '15

05 May '15

Prof. Thomas Richthammer (Univ. Hildesheim) Title: The variance of particle positions in the hard disk model When: Martedi' 12 Maggio 2015 ORE 15:00 Where: Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Largo San L. Murialdo,1 Abstract: The hard disk model describes random configurations of disks in the plane, interacting only via hard core exclusion. It is believed that the model exhibits a weak form of crystallization for large activity (i.e. high particle density). In spite of its simplicity, there are only very few rigorous results on the hard disk model. I will present a very recent result which can be interpreted as a lower bound on the variance of particle positions in terms of the size of the system. The result is obtained via a certain tansformation on particle configurations. It builds on an earlier result concerning the absence of positional order.

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Mini courses announcement: numerical approaches for SDE, Statistics and Finance [ Dr. Michele Bonollo - Iason Ltd ]
by Luca di persio 04 May '15

04 May '15

Dr. Michele Bonollo [ Iason Ltd. ] will give two mini courses on SDE and Statistics, both from an applicative/numerical point of view, at the Department of Computer Science of the University of Verona. The courses will be divided as follows - *24h * SDE, *8h* Statistics and they will be developed according to the following (tentative) calendar - Wed May 6 16.30-18-30 2 h - Mon May 11 14.30-18.30 4 h - Mon May 18 14.30-18.30 4 h (STAT) - Wed May 20 16.30-18.30 2 h - Mon May 25 14.30-18.30 4 h - Wed May 27 14.30-18.30 4 h (STAT) - Wed June 3 14.30-18.30 4 h - Mon June 8 14.30-18.30 4 h - Wed June 10 16.30-18.30 4h Covered topics will include SDE Topics - SDE and Closed form solutions: Black and Sholes model review - SDE Approximations: from the Eulero scheme to some higher order techniques. Weak and strong convergence definitions - The stochastic processes simulation - Discrete space and discrete state processes: the trees approaches versus the diffusion perspective - Some Brownian motion useful functionals: first hitting time, occupation time, - Application 1: Exotic derivative evaluation - Application 2: full evalution of VaR versus Delta-Gamma-Vega VaR - The compound Poisson process and the Operational VaR estimation STAT Topics - Parameter Estimation and Calibration review - Volatility surface: tricks and practical problems - Principal Component Analysis: applications to the term structure and to the volatility surface All the lessons will be given here https://goo.gl/maps/Yx2JU Strada le Grazie, 15 - 37134 Verona VR Ca' Vignal 2 and they will start in Room M. Do not hesitate to contact me for further details: luca.dipersio(a)univr.it __ 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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No Free Lunch Seminar by Prof. Massimiliano Caporin, Wed May 6 1:00 PM Aula Bianchi @ SNS
by Giacomo Bormetti 04 May '15

04 May '15

Dear all, Wednesday May 6 2015, 1:00 PM in Aula Bianchi, Scuola Normale Superiore Pisa Massimiliano Caporin Department of Economics and Management "Marco Fanno" - Università di Padova will deliver the seminar "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification" Abstract: The need for understanding the propagation mechanisms behind the recent financial crises lead the increased interest for works associated with asset interconnections. In this framework, network-based methods have been used to infer from data the linkages between institutions. In this paper, we elaborate on this and make a step forward by introducing network linkages into linear factor models. Networks are used to infer the exogenous and contemporaneous links across assets, and impacts on several dimensions: network exposures act as in inflating factor for systematic exposure to common factors with implications for pricing; the power of diversication is reduced by the presence of network connections; in the presence of network links a misspecied traditional linear factor model provides residuals that are correlated and heteroskedastic. We support our claims with an extensive simulation experiment. Joint work with Monica Billio, Roberto Panzica, and Loriana Pelizzon. All interested people are kindly invited. Best, Giacomo -- Giacomo Bormetti Assistant Professor of Financial Mathematics -------------------------- Faculty of Mathematical and Natural Sciences Scuola Normale Superiore Pisa Piazza dei Cavalieri, 7 56126 Pisa - Italy email: giacomo.bormetti(a)sns.it http://mathfinance.sns.it/index.php/people/41-group-members/51-giacomo-borm… phone: +39 050 509248

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Seminari di Eckhard Platen all'Università di Firenze
by Giacomo Scandolo 04 May '15

04 May '15

Ricordo che il Prof. Eckhard PLATEN (University of Technology, Sydney) questa settimana terrà due seminari presso il Dipartimento di Scienze per l'Economia e l'Impresa Edificio D6, via delle Pandette, 32, Firenze Tutti gli interessati sono invitati a partecipare ============================================================= Giovedì 7 Maggio, 10.00-12.00, aula D6/105 ''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance '' Abstract. In financial and actuarial modelling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Brownian motions. The aim of this lecture is to present various numerical methods used in quantitative finance for models involving stochastic differential equations with jumps. It emphasises mathematical concepts, techniques and intuition crucial for modern numerical methods in derivative pricing and risk management. Questions of numerical stability and convergence will be discussed. Several recent results will be presented on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector and extrapolation methods. ============================================================= Venerdì 8 Maggio, 10.00-12.00, aula D6/013 "A Benchmark Approach to Finance " Abstract. This lecture introduces into the benchmark approach, which provides a generalized framework for financial market modelling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for extreme maturity contracts and risk measures relevant to pensions and insurance. The Law of the Minimal Price will be presented for derivative pricing. A Naïve Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modelling framework of the benchmark approach leads to the derivation of tractable, realistic models under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged than suggested by classical theory. --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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