Con preghiera di diffusione tra tutti i possibili interessati,
scusandomi per invii multipli.
Cordialmente,
Francesca Greselin
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A v v i s o d i S e m i n a r i o
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Wednesday December, 3 2014, at 2.30 p.m
Department of Statistics and Quantitative Methods
Aula Consiglio della Scuola di Economia e Statistica,
4rth floor, Room n°4064, …
[View More]building U7
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RICARDAS ZITIKIS, PhD,
(Department of Statistical and Actuarial Sciences,
University of Western Ontario, London, Canada)
will give the following talk:
ASSESSING RISKS: ISSUES AND SOLUTIONS
Abstract
Just like measuring economic inequality, assessing risk and its impact on
decision making could be a daunting task. More often than not, we
misestimate risk, and do so unwittingly. I will illustrate such issues and
share thoughts that have guided my current research.
http://www.stats.uwo.ca/faculty/zitikis/main.htm <http://www.stats.uwo.ca/faculty/zitikis/main.htm>
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Il giorno Martedì 2 Dicembre 2014, alle ore 14:30
presso la sede di Prometeia (sala grande, primo piano)
via G.Marconi 43, Bologna
Tiziano VARGIOLU
(Università di Padova)
terrà un seminario dal titolo
"Utility indifference pricing and hedging for structured contracts in
energy markets"
Abstract
In this paper we focus on pricing of structured products in energy markets
using utility indifference pricing approach. In particular, we compute the
buyer's price of such derivatives for an agent …
[View More]investing in the forward
market, whose preferences are described by an exponential utility
function. Such a price is characterized in terms of continuous viscosity
solutions of suitable non-linear PDEs. This provides an effective way to
compute both an optimal exercise strategy for the structured product and a
portfolio strategy to partially hedge the financial position. In the
complete market case, the financial hedge turns out to be perfect and the
PDE reduces to particular cases already treated in the literature.
Moreover, in a model with two assets and constant correlation, we obtain a
representation of the price as the value function of an auxiliary simpler
optimization problem under a risk neutral probability, that can be viewed
as a perturbation of the minimal entropy martingale measure. Finally,
numerical results are provided.
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Con preghiera di diffusione tra tutti i possibili interessati,
scusandomi per invii multipli.
Cordialmente,
Giacomo Aletti
--------------
Nell'ambito del Seminario di Matematica Applicata, il giorno giovedì 4
Dicembre 2014, alle ore 16.00, nell'Aula 4 (piano terra) del
Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via
C. Saldini, 50, Milano,
"The Fractional Poisson process and extensions"
Ely MERZBACH
Bar Ilan University
(joint work with O. Busani and N. Leonenko)
…
[View More]Abstract: We present different definitions and asymptotic properties
of the Fractional Poisson Process. We define Continuous Time Random
Walks Limits. Using inverse stable subordinators and Mittag-Leffler
functions, we present a new definition of a fractional Poisson process
parametrized by points of the Euclidean plane. Some properties are
given and, in particular, we prove a long-range dependence property.
--
-------------------------------
Giacomo Aletti, Associate Professor
ADAMSS Centre (ex MIRIAM)
Advanced Applied Mathematical and Statistical Sciences
Department of Mathematics (www.matematica.unimi.it)
Via Saldini, 50
20133 Milano, Italy
Tel: +39-02-503.16158
Fax:+39-02-503.16090
Cell: +39-340-9739142
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Con preghiera di diffusione tra tutti i possibili interessati,scusandomi per invii multipli.Cordialmente,Andrea Ghiglietti--------------Annuncio il seguente seminario:il giorno giovedì 4 Dicembre 2014, alle ore 14.30, nell'Aula 4 del Dipartimento di Matematica dell'Università degli Studi di Milano, Via C. Saldini, 50, Milano,"Finite Sample Post-Model Selection Inference"Anand N. Vidyashankar,Department of Statistics, Volgeneau School of Engineering, George Mason University.Abstract:In several …
[View More]instances of statistical practice it is common, when using parametric or semi-parametric models, that a preliminary test of a subset of parameters is made and based on the results of the pretest an appropriate model is chosen. However, when evaluating the resulting inferential procedure the variability induced by the model-selection needs to be taken into account. In this presentation, we describe two distinct approaches to data analyses in these contexts. We evaluate both these approaches, using recently developed concentration inequalities, in nite samples as opposed to the traditional large sample investigations. We also describe new central limit theorems facilitating comparisons between the methods.
Keywords: Finite Sample Inference, Model Selection Variability, Asymptotic inference, Data-splitting, Large deviations, Concentration Inequalities.
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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, il giorno lunedì 1 Dicembre 2014, alle ore 14.30, nell'Aula
C del Dipartimento di Matematica dell'Universita' degli Studi di
Milano, Via C. Saldini, 50, Milano,
"Ionic mechanism underlying cardiac pacemaking: Insights from a
mathematical model"
Lara CHARAWI
Dipartimento …
[View More]Matematica, Università di PAVIA
Abstract:
The ionic mechanisms at the basis of the spontaneous pacemaker
activity of sinoatrial node (SAN) cells is a matter of intense debate
[1], in particular the role of the hyperpolarization-activated
current, known as the "funny" current If [2]. Computational models of
the electrical activity of SAN cells have been proposed to gain a
deeper understanding of the phenomenon, however they fail in
reproducing experimental effects of If modifications. We present a
novel mathematical model of rabbit SAN action potential [3], developed
by updating the description of membrane currents and intracellular
mechanisms on the basis of experimental acquisitions, in an attempt to
reproduce pacemaker activity and its physiological and pharmacological
modulation. Our model describes satisfactorily experimental data on
pacemaking regulation due to neural modulation, If block and
inhibition of the intracellular calcium handling. Simulation results
suggest that a detailed description of the intracellular calcium
fluxes is fully compatible with the observation that If is a major
component of pacemaking and rate modulation.
Keywords Cardiac modelling, cardiac pacemaking, sinoatrial node, funny
current, autonomic rate modulation.
References
[1] Lakatta, E. G., and DiFrancesco, D. (2009). What keeps us ticking:
a funny current, a calcium clock, or both?. J. mol. cell. cardiol.,
47(2), 157-170.
[2] Brown, H. F., DiFrancesco, D., and Noble, S. J. (1979). How does
adrenaline accelerate the heart? Nature, 280, 235-236.
[3] Severi, S., Fantini, M., Charawi, L. A., and DiFrancesco, D.
(2012). An updated computational model of rabbit sinoatrial action
potential to investigate the mechanisms of heart rate modulation. J.
physiol., 590(18), 4483-4499.
=================
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.matematica.unimi.it)
Via Saldini, 50
20133 Milano, Italy
Tel: +39-02-503.16158
Fax:+39-02-503.16090
Cell: +39-340-9739142
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A v v i s o d i S e m i n a r i o
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Venerdì 28 Novembre, ore 10
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Stanza 34
Dipartimento di Scienze Statistiche
Sapienza Università di Roma
PROF. CORRADO MASCIA
(Dipartimento di Matematica "G. Castelnuovo", Sapienza Università di Roma)
terrà un seminario dal …
[View More]titolo:
*Parabolic behavior of hyperbolic systems describing velocity-jump
processes*
*Abstract:*
*The talk concerns with the large-time behavior of a class of*
*hyperbolic systems of partial differential equations and its relation*
*with corresponding (reduced) parabolic equations. The basic prototypeis
the Goldstein-Kac model for correlated random walks, interpreted asa
variation of the classical heat equation.Areas of interest of the topic
will be presented, together with aselection of known rigorous mathematical
results available in theliterature. Additionally, the asymptotic
description of ageneralization of the Goldstein-Kac model to an arbitrary
number ofspeeds in several dimensions (based on an application of a variant
ofthe Kirchoff’s matrix tree Theorem from graph theory) will bepresented in
details.*
Tutti gli interessati sono invitati a partecipare.
Saluti
Alessandro De Gregorio
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Avviso di seminario. Università degli studi di Milano.
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Venerdì 28 Novembre 2014 alle ore 14.00
presso l’Aula di Rappresentanza del Dipartimento di Matematica,
Via Saldini, 50, Milano
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Tom Hurd
Mc Master University
terrà un seminario dal titolo: Percolation and Financial …
[View More]Cascades
Abstract: Exact results in percolation theory on random graphs rely on a property known as the ``tree ansatz'', which is known to be asymptotically true on the family of configuration graphs. The question arises whether percolation ideas are relevant l for understanding systemic risk in financial networks. In this talk, I will review models of financial contagion, such as the Eisenberg-Noe model and its alternatives. Along the way, I will propose definitions for ``random financial network'' (RFN) and ``locally treelike independence'' (LTI), and explore these definitions' mathematical consequences. In the end, comparison of analytical approximations to Monte Carlo computations in some realistic network cascade examples shows that there are indeed situations where the LTI approximation is "surprisingly" accurate.
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Volentieri giro questa informazione di una posizione per ricercatrice
(donna) presso l'ISM a Tachikawa, Tokyo.
The institute of Statistical Mathematics (ISM), Tachikawa, Tokyo (Japan)
has an open position for Assistant Professor in Statistics (female)
Deadline for Application : Must be submitted by December 12, 2014
More informations are available here:
http://www.ism.ac.jp/jobs/index_e.html
or here:
http://www.ism.ac.jp/jobs/index_e/1111.pdf
Ilia Negri
http://www.unibg.it/pers/?ilia.negri
******************************************************
SEMINARI DI PROBABILITA' E STATISTICA
DIPARTIMENTO DI MATEMATICA G. PEANO
UNIVERSITA' DEGLI STUDI DI TORINO
******************************************************
Venerdì 28 Novembre 2014 alle ore 14:00 in Aula S presso il Dipartimento di
Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo
Alberto 10,
Il Dott. MICHAEL HINZ (Department of Mathematics, Bielefeld University)
terrà un seminario dal titolo
CALCULUS, …
[View More]STOCHASTIC PROCESSES AND GEOMETRY WITHOUT SMOOTHNESS
Abstract:
The talk deals with analysis and stochastic processes on fully singular spaces
(i.e. singular at every or almost every point).
In the first part we give a brief introduction to the subject which was
started in the late eighties and early nineties by Goldstein, Kusuoka,
Barlow, Bass, Kigami and others and is now referred to as 'Analysis on
fractals'.
Markov processes and their energy functionals (Dirichlet forms) play a key role.
In the second part we explain some interrelations between stochastic analysis
and items of differential geometry, point out some recent results and
applications.
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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Begin forwarded message:
> From: "Faggionato, Alessandra" <faggiona(a)mat.uniroma1.it>
> Subject: PhD position available at TU Delft
> Date: 20 novembre 2014 10:22:52 GMT+01:00
>
> %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
> PhD position available at TU Delft
>
> The PhD position is available in the Applied Probability group of Prof. Dr.=
> Frank Redig at Technical University Delft. Under the supervision of Dr. W=
> ioletta Ruszel and Prof. …
[View More]Frank Redig the PhD candidate has the opportunity =
> to choose between the following challenging projects:
>
> - Gibbs- non Gibbs transitions on random graphs
>
> - Probabilistic cellular automata on trees
>
> - Synchronization on a network
>
> For more details please go to:
> http://dutiosb.twi.tudelft.nl/~ruszel/misc.html
> There is also the possibility to discuss possible other projects in consult=
> ation with Dr. Ruszel and Prof. Redig.
> You will report on your results through papers in high-ranking probability =
> journals and through presentations at international conferences.
> You will also have some minor teaching duties, mainly as an assistant for r=
> elevant Bachelor and/or Master degree courses.
> Women are especially encouraged to apply.
>
> Requirements
>
> You have an MSc in mathematics or physics, with a proven interest and track=
> record in probability theory.
> Conditions of employment
> You will be appointed for a period of four years. Your performance will be =
> evaluated after 18 months. If the evaluation is positive, the contract will=
> be extended by 2.5 years;
> You will be classified as a PhD Candidate (promovendus) in the Dutch univer=
> sity job-ranking system (UFO). The gross starting salary amounts to 2,062 E=
> uros per month based on full-time employment, and will increase to 2,638 Eu=
> ros in the fourth year;
>
> Organisation
>
> TU Delft has over 13,000 students and 5,000 staff, all of whom are driven b=
> y a fascination for science, design and engineering. Our university is not =
> only the oldest but also the largest university of technology in the Nether=
> lands. As such, we are constantly in search of new talent from home and abr=
> oad to help us ensure that our research and education remains of the very h=
> ighest standard.
> Delft University of Technology works at providing new ground-breaking insig=
> hts and solutions to urgent societal problems around the world. Thanks to i=
> ts top faculty members and unique, large-scale technological research facil=
> ities, this university offers world-level multidisciplinary research and ed=
> ucation.
> The campus contains a large number of state-of the art facilities such as t=
> he sports and cultural centers.
>
> Contact
>
> The deadline fo rthe application is 31 st of December 2014. Please send a l=
> etter of motivation, a list of taken courses with grades, a copy of your ma=
> ster thesis and at least two references to W.M.Ruszel(a)tudelft.nl.
> For more information and applications please contact W.M.Ruszel(a)tudelft.nl =
> or F.H.J.Redig(a)tudelft.nl.
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