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Seminario di Economia e Probabilita' a RM1
by Fabio Spizzichino 01 Nov '15

01 Nov '15

La Dr.ssa Eleonora Perversi (Dipartimento di Matematica, Universita' di Pavia) terrà, presso il Dipartimento di Matematica dell'Universita' La Sapienza, un seminario su *Inequality and risk aversion in economies open to altruistic attitudes* Mercoledi' 4 Novembre, ore 14.00, Aula Picone Dipartimento di Matematica, Piazzale A. Moro, Roma Tutte le persone interessate sono invitate ad intervenire Fabio Spizzichino Abstract: In recent years there has been a great interest in the phenomenon of economic inequality, especially in relation to its connection with other important aspects of an advanced economy, for example attitude towards risk, growth, financial developments, and so on. In this talk, based on a joint work with Eugenio Regazzini, I will introduce a model for the surplus/deficit distribution, which points out a relationship between agents' risk aversion and inequality. More precisely, on the one hand, the long-time surplus/deficit distribution turns out to be a weak Pareto law whose exponent is given by an affine transformation of the agents relative risk aversion index, supposed to be the same for every agent. On the other hand, it is proved that concentration in a weak Pareto law can be measured through a function of its exponent. This way, a link is established between inequality and risk aversion. Finally, some feasible actions of economic policies suitable for the control of inequality are derived.

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CALL FOR PAPERS: Energy and Commodity Finance Conference 2016 - ESSEC Business School - Paris (fwd)
by Tiziano Vargiolu 30 Oct '15

30 Oct '15

---------- Forwarded message ---------- Date: Tue, 27 Oct 2015 10:44:38 +0000 From: Sekretariat LEF <sekretariat.lef(a)wiwinf.uni-due.de> Cc: "\"Kiesel, R?diger\"" <Ruediger.Kiesel(a)uni-due.de> Subject: CALL FOR PAPERS: Energy and Commodity Finance Conference 2016 - ESSEC Business School - Paris Dear All, Attached please find the call for papers as well as more information on the Energy and Commodity Finance Conference taking place in Paris on 23 and 24 June 2016. Sincerely, Kirsten van der Koelen (Secretary to Professor R?diger Kiesel) Kirsten van der Koelen Lehrstuhl f?r Energiehandel und Finanzdienstleistungen Universit?t Duisburg-Essen Campus Essen Raum R09 R00 H35 Universit?tsstra?e 12 45141 Essen phone: +49 (0)201 183-4973 http://www.lef.wiwi.uni-due.de/ cid:ii_ifzgl33r0_150859ff1b992800 ? cid:ii_ifwqb9m81_1507bc9516360da0 ? ? Dear Colleague, The Energy and Commodity Finance Conference 2016 follows in the footsteps of a long standing series of Energy Finance meetings that held their first event in London in 2004 and nowadays represents the benchmark academic conference in the area. KEYNOTE SPEAKERS cid:ii_ifyp5eig13_15082e0cba744094 ? ? ? SCIENTIFIC COMMITTEE ? Carol Alexander (University of Sussex) ? Giovanni Barone-Adesi (Universit? della Svizzera Italiana) ? Fred Espen Benth (University of Oslo) ? Derek Bunn (London Business School) ? Jaime Casassus (Pontificia Universidad Cat?lica de Chile) ? Anna Creti (University Paris Dauphine) ? Rita D'Ecclesia (University of Rome La Sapienza) ? Jer?me Detemple (Boston University) ? Ronald Huisman (Erasmus University) ? Sebastian Jaimungal (University of Toronto) ? Scott Linn (University of Oklahoma) ? Nikos Nomikos (Cass Business School) ? Michel Robe (American University) ? Andrea Roncoroni (ESSEC Business School) ? Duane Seppi (Carnegie Mellon University) ? Ke Tang (Tsinghua University) ? Luca Taschini (London School of Economics) ? Anders Trolle (Swiss Finance Institute) ? Rafal Weron (Wroclaw University of Technology) TOPICS The conference covers all areas of energy finance and commodity finance, including: ? Asset pricing and hedging ? Contract securitization and derivative structuring ? Risk measurements and management ? Asset management and portfolio allocation ? Trading strategies and operations ? Macro market analysis and microstructure ? Corporate finance of producers and end consumers ? Long-term investment financing ? Regulation (EMIR, REMIT, MIFID, Dodd-Franck) ? Quantitative financial modeling ? Econometric analysis and statistics ? Physical operations management ? Real options and physical asset valuation ? Decision theory and the following markets: ? Conventional fossil energy: oil, gas, refined products ? Electricity ? Metals: precious, base, ferrous, specialist non-ferrous, rare ? Agriculturals: softs, grains and seeds, livestock ? Renewable energy sources ? Commoditized services (CO2 allowances, shipping freights) ? Weather-linked securities ? Currencies A round table will gather academic and professional experts to discuss major aspects of the financialization of energy and commodity markets in the current global environment, including international trading and investment opportunities, production-side corporate finance challenges, end consumer dynamics, accounting standards, and regulatory compliance. IMPORTANT DATES ? March 1, 2016: Submission deadline (full/working papers, PDF files) ? April 15, 2016: Notification of acceptance/rejection ? May 1, 2016: Registration deadline (early bird) WEBSITE For additional information, you are welcome to visit: http://ecomfin2016.essec.edu/ Energy and Commodity Finance 2016 website CONTACT For administrative inquiries, please write to: ecomfin2016(a)essec.edu ?We look forward to meeting you in Paris. Sincerely, The Organizing Committee (Francis Declerck, Giovanni Pagliardi, Sofia Ramos, Andrea Roncoroni) and The Energy and Commodity Finance Association Board (?lvaro Cartea, R?diger Kiesel, Andrea Roncoroni) cid:ii_ifwfoceb1_1507ab8b5fa953e7 -- Energy and Commodity Finance RESEARCH CENTER

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Seminario Luciano Campi: On the support of extremal martingale measures [ presso DipMat UniTn ]
by Luca di persio 30 Oct '15

30 Oct '15

On the support of extremal martingale measures 4 novembre 2015 *Luogo:* Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari *Ore* 15:00 *Relatore: * - *Luciano Campi *( LSE ) *Abstract: * After discussing some characterisations of extremal measures with given marginals available in the literature, going from functional analysis to combinatorics, we will turn to their martingale counterparts whose study is related to robust pricing and hedging. In particular, we will give some sufficient and necessary conditions with a geometric and combinatorial flavour for a given set to be the support of an extremal martingale measure with pre-specified discrete marginals. Some open problems will be discussed as well. This is based on joint work with Claude Martini. Il seminario si svolge all'interno del progetto Research in Pairs "McKean-Vlasov dynamics with Lévy noise with applications to systemic risk" , L.Campi e L. Di Persio , finanziato dal CIRM __ 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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Kolmogorov meets Turing II: November 24th at Tor Vergata
by Pietro Caputo 30 Oct '15

30 Oct '15

=================================== Kolmogorov meets Turing II Workshop on probabilistic methods for the analysis of stochastic processes and randomized algorithms Where: Macroarea di Ingegneria, Universita Tor Vergata di Roma. Via del Politecnico, Roma - Aula Leonardo. When: Tuesday November 24th, 2015, 2:30 - 6:30 pm *Abstract* Following the spirit of the first edition held in Sapienza University of Rome, the goal of this workshop is to offer a multidisciplinary perspective over recent research directions in different areas, including applied probability theory, discrete mathematics and algorithmics, whose common denominator is the application of probabilistic tools to the analysis of complex stochastic processes and algorithms. *Schedule* 2:30 - 3:20. Luca Trevisan (UC Berkeley): Beating the random assignment on constraint satisfaction problems of bounded degree. 3:20 - 4:10. Stefano Leonardi (Univ. La Sapienza): Simple and efficient mechanisms for bayesian auctions. 4:10 - 4:50. Coffee Break 4:50 - 5:40. Fabio Martinelli (Univ. Roma Tre): Dynamics of lattice triangulations on thin rectangles. 5:40 - 6:30. Francesco Pasquale (Univ. Tor Vergata): Stabilizing Consensus Dynamics. *Registration* It is free but participants should send an email to clementi - at - mat.uniroma2.it by November 14th with subject KMT_II Organizing committee: Luca Becchetti, Andrea Clementi, Emanuele Natale, Francesco Pasquale ===================================

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Assegno di ricerca Univ Cattolica del Sacro Cuore - Milano
by Consonni Guido 29 Oct '15

29 Oct '15

Universita' Cattolica del Sacro Cuore, Milano Dipartimento di Scienze Statistiche Si comunica che sul sito http://progetti.unicatt.it/progetti-ateneo-Bando_2063_ita.pdf e' disponibile il bando per un Assegno di ricerca annuale (rinnovabile per ulteriori tre anni) (DR 2063) sul tema : Disegni sperimentali ottimi la scheda per la domanda e' reperibile al seguente indirizzo http://progetti.unicatt.it/progetti-ateneo-milano-brescia-piacenza-e-cremon… Scadenza per la presentazione della domanda 25 novembre p.v. Per informazioni: Guido Consonni Dipartimento di Scienze Statistiche Università Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano; ITALY https://sites.google.com/site/consonnibayes/home Ph: +39 02 7234 3049

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Seminario ENRICO SCALAS @ UniTo
by Federico Polito 29 Oct '15

29 Oct '15

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedì 10 Novembre 2015 alle ore 14:30 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. ENRICO SCALAS (Department of Mathematics, University of Sussex, UK) terrà un seminario dal titolo EXACTLY-SOLVABLE NON-MARKOVIAN DYNAMIC NETWORK Abstract: Non-Markovian processes are widespread in natural and human-made systems, yet explicit modelling and analysis of such systems is underdeveloped. In this letter we consider a dynamic network with random link activation and deletion (RLAD) with non-exponential inter-event times. We study a semi-Markov random process when the inter-event times are heavy tailed Mittag-Leffler distributed, thus considerably slowing down the corresponding Markovian dynamics and study the system far from equilibrium. We derive an analytically and computationally tractable system of forward equations utilizing the Caputo derivative for the probability of having a given number of active links in the network. http://journals.aps.org/pre/abstract/10.1103/PhysRevE.92.042801 Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Deadline approaching: Winter School in Padova (February 2016)
by Tiziano Vargiolu 29 Oct '15

29 Oct '15

Dear all, this is to remind you that the deadline for the Winter School "Frontiers in Stochastic Modelling for Finance" is October, 31. For more details, see below and on the Winter School's website http://www.maths.univ-evry.fr/conferences/padova2016/index_ws.htm See you in Padova! 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 -------------------------------------------------------------------------- --------------------------------------- Date: Wed, 30 Sep 2015 10:58:14 +0200 From: Giorgia Callegaro <giogiocallegaro(a)gmail.com> To: random(a)mail.dm.unipi.it Subject: [Random] Winter School in Padova (February 2016) Dear all, in collaboration with Evry University, ENSIIE and University Paris Diderot, the Department of Mathematics of the University of Padova (Organizing Committe in Padova: Giorgia Callegaro and Tiziano Vargiolu, Scientific Committe in Padova: Wolfgang J. Runggaldier) is organizing a Winter School on recent advances in Mathematical Finance, that will be held in Padova in the period 8-12 February 2016. Two main courses, on ?Energy Markets? and ?Pricing with Funding and Counterparty Risks? will be given, respectively, by Rene Aid (EdF) and Andrea Pallavicini (Banca IMI and Imperial College). Moreover, four mini-course are scheduled, on longevity risk (Nicole El Karoui), optimal stopping (Goran Peskir), polynomial processes (Martin Larsson) and numerical methods (Nadia Oudjane). More details can be found at the link: http://www.maths.univ-evry.fr/conferences/padova2016/index_ws.htm#section1 Accomodation during the period 7-12 February will provided to a limited number of students (maximum 35) selected among candidates who will send us, via the online form available here: http://www.maths.univ-evry.fr/conferences/padova2016/Application_ws.htm#sec… their CV and recommendation letter before the 31st October 2015. Thanks for your attention and see you in Padova! Giorgia Callegaro on behalf of the Organizing Committee -- Giorgia Callegaro Assistant Professor Department of Mathematics University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it Web-page: https://sites.google.com/site/giogiocallegaro/Home ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Politecnico di Milano - Seminari Jim Ramsay e Michelle Carey
by Laura M. Sangalli 28 Oct '15

28 Oct '15

Si avvisa che in data 6-11-2015, alle ore 10:30 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgeranno i seguente seminari: ore 10:30 Jim Ramsay, McGill University, Exploring Functional Data with Dynamic Models ore 11:30 Michelle Carey, McGill University, Data2PDE: an iterative scheme for obtaining data driven estimates of the parameters of PDEs defined over complex domains Seguono gli abstracts dei due seminari. Jim Ramsay Exploring Functional Data with Dynamic Models Discrete observations of curves are often smoothed by attaching a penalty to the error sum of squares, and the most popular penalty is the integrated squared second derivative of the function that fits the data. But it has been known since the earliest days of smoothing splines that, if the linear differential operator D^2 is replaced by a more general differential operator L that annihilates most of the variation in the observed curves, then the resulting smooth has less bias and greatly reduced mean squared error. This talk will show how we can use the data to estimate such an operator. The differential equation estimated in this way is already an interesting model for the data that represents the dynamics of the processes being estimated. But, in addition to the advantages in bias and MSE, it emerges that exciting new ways of representing the data emerge that use an orthogonal basis system defined by the estimated operator. M. Carey Data2PDE: an iterative scheme for obtaining data driven estimates of the parameters of PDEs defined over complex domains Spatial data are abundant in many scientific fields, some examples include; satellite images of the earth, temperature readings from multiple weather stations and the spread of an infectious disease over a particular region. In many instances the spatial data are accompanied by mathematical models expressed in terms of partial differential equations (PDEs). These PDEs determine the theoretical aspects of the behaviour of the physical, chemical or biological phenomena considered. The parameters of the PDEs are typically unknown and must be inferred from expert knowledge of the phenomena considered. In this talk I will discuss extending the profiling with parameter cascading procedure outlined in Ramsay et al (2007) to incorporate PDE parameter estimation. Furthermore, following from Sangalli et al. (2013) the estimation procedure is extended to include nite element methods (FEMs). This allows the proposed method to account for attributes of the geometry of the physical problem such as irregular shaped domains, external and internal boundary features and strong concavities. Thus this talk introduces a methodology for data driven estimates of the parameters of PDEs dened over complex domains. 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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PIETRO CAPUTO - GIOVEDI 29 - TOR VERGATA - CICLO SEMINARI PASCAL
by Valentina Cammarota 27 Oct '15

27 Oct '15

Ciclo di Seminari - Progetto ERC grant PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Giovedi` 29 ottobre ore 15:00 Aula Dal Passo Dipartimento di Matematica Università di Roma Tor Vergata Prof. Pietro Caputo Dipartimento di Matematica e Fisica, Università Roma Tre Titolo: Dynamical phase transition in random lattice triangulations Abstract: We consider lattice triangulations, i.e., triangulations of the integer points in Euclidean plane. Our focus is on random triangulations in which a triangulation \sigma has weight \lambda^{|\sigma|}, where \lambda is a positive real parameter and |\sigma| is the total length of the edges in \sigma. Empirically, this model exhibits a phase transition at \lambda=1 (corresponding to the uniform distribution): for \lambda<1 distant edges behave essentially independently, while for \lambda>1 very large regions of aligned edges appear. We substantiate this picture as follows. For \lambda<1 sufficiently small, we show that correlations between edges decay exponentially with distance (suitably defined), and also that the Glauber dynamics, namely the local Markov chain based on flipping edges, is rapidly mixing (in time polynomial in the number of edges in the triangulation). By contrast, for \lambda>1 we show that the mixing time is exponential. For thin rectangular regions we obtain sharp mixing time bounds for all values of \lambda<1. This is joint work with F. Martinelli, A. Sinclair and A. Stauffer Tutti gli interessati sono invitati a partecipare. . Valentina Cammarota Department of Mathematics Universita` degli Studi di Roma Tor Vergata http://www.mat.uniroma2.it/english.php https://sites.google.com/site/valentinacammarota/

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Doctoral Seminar at LUISS
by Marco Scarsini 27 Oct '15

27 Oct '15

This is to invite you to our next doctoral seminar, on Thursday, October 29th, from 13:00 to 14:00 in room 405b. The speakers is Anna Zseleva (Maastricht University). The work presented will be: Title: Zero-sum games with charges Abstract: We consider two-player zero-sum games with infinite action spaces and bounded payoff functions. The players' strategies are finitely additive probability measures, called charges. Since a strategy profile does not always induce a unique expected payoff, we distinguish two extreme attitudes of players. A player is viewed as pessimistic if he always evaluates the range of possible expected payoffs by the worst one, and a player is viewed as optimistic if he always evaluates it by the best one. This approach results in a definition of a pessimistic and an optimistic value for each player. We provide an extensive analysis of the relation between these values, and connect them to the classical values. In addition, we also examine existence of optimal strategies with respect to these values. Updated calendar of our seminars at: http://ricerca.economiaefinanza.luiss.it/calendar ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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