*SUMMER SCHOOL: **Model Uncertainty in Economics and Finance - Advances in
Stochastic Calculus*
Dal *7 al 20 Luglio 2014* si svolgerà presso l´Università di Bielefeld
(Germania) la Scuola Estiva
*Model Uncertainty in Economics and Finance - Advances in Stochastic
Calculus.*
Le iscrizioni sono aperte fino al *30 Aprile 2014*. Per ulteriori
informazioni
http://www.bgts.uni-bielefeld.de/daad_network/2014summer/
Buona serata,
Giorgio Ferrari
--
Giorgio Ferrari
Center for Mathematical Economics …
[View More](IMW)
Bielefeld University
office: W10-100
office phone: +49 521 106 5642
Postfach 100131,
33501 Bielefeld, Germany
email: giorgio.ferrari(a)uni-bielefeld.de
giorgio.ferrari(a)uniroma1.it
web-page: https://sites.google.com/site/giorgioferrariswebsite/
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The Ludwig Maximilian University of Munich - Workgroup Financial
Mathematics' "quantLab" invites practitioners in the areas of quantitative
finance, insurance, financial modeling, risk management and
derivatives-structuring, to attend a two - part workshop on the topics
STOCHASTIC VOLATILITY
and
MULTI-CURVE MODELS
to be held on 2 - 4 April, 2014 at the LMU Math Institute, Munich, Germany.
The guest presenter for Part 1 of the workshop will be Dr. Jörg Kienitz
(Head of Quantitative Analysis …
[View More]at Deutsche PostBank AG).
Part 2 of the workshop will be conducted by Prof. Dr. Christian Fries
(Model Development and Methodology at DZ Bank and Professor at LMU Math
Institute)
and Dr. Alessandro Gnoatto (Researcher at LMU Math Institute).
Participants may chose from three packages: Full Package (Part 1 & 2), Part
1 only or Part 2 only.
The detailed workshop agenda, registration fees, venue instructions and
contact information for inquiries, are all found on the following webpage:
http://www.fm.math.lmu.de/stochasticvolatility
The organizers are looking forward to your participation.
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Buongiorno,
Martedi' 4 marzo Claudio Landim terra' un seminario al Dipartimento di
Matematica (Sapienza, Roma).
sotto trovate i dettagli.
cordiali saluti
alessandra faggionato
Martedi' 4 Marzo, Aula C (Dip. Matematica, Univ. Sapienza), ore 14:30
Speaker: C. Landim (IMPA Rio De Janeiro, CNRS Rouen)
Title: Zero-temperature limit of the Kawasaki dynamics for the Ising
lattice gas in a large
two-dimensional torus
Abstract: We consider the Kawasaki dynamics at inverse temperature $\beta$
…
[View More]for
the Ising lattice gas on a two-dimensional square of length $2L+1$
with periodic boundary conditions. We assume that initially the
particles form a square of length $n$, which may increase, as well
as $L$, with $\beta$. We show that in a proper time scale $L^2\,
\theta_\beta$ particles form almost always a square and that this
square evolves as a Brownian motion when the temperature vanishes.
--
Prof. Alessandra Faggionato
Department of Mathematics
University La Sapienza
Piazzale A. Moro, 2
00186 Rome - Italy
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Mercoledi' 26 febbraio 2014
Ore 16:00, Aula F
Dip. Matematica e Fisica Roma Tre
EDIFICIO AULE LARGO SAN L. MURIALDO,1
Colloquium di Matematica
Fabio Toninelli (Universita' di Lione)
Random tilings, Glauber dynamics and macroscopic shapes
I "piastrellamenti" (tiling) del piano sono un oggetto classico in
meccanica statistica e combinatoria. Se le "piastrelle" sono a forma
di losanga, si ha una corrispondenza esatta con le interfacce del
modello di Ising 3-dimensionale a temperatura …
[View More]nulla. A ogni
piastrellamento e' possibile associare una funzione di altezza
(superficie discreta). E' ben noto [Cohn-Kenyon-Propp] che, se la
taglia della regione U da piastrellare tende all'infinito, la funzione
altezza associata a un piastrellamento scelto uniformemente tende
verso una certa forma limite macroscopica che risolve una PDE
ellittica non-lineare. Sull'insieme dei piastrellamenti si puo'
definire una dinamica stocastica che corrisponde alla dinamica di
Glauber a temperatura zero per il modello di Ising. Un problema
classico e' quello di stimare il tempo (mixing time) che la dinamica
richiede per raggiungere l'equilibrio (la misura uniforme). La
congettura, basata sull'idea euristica che l'interfaccia evolve
seguendo un'equazione di tipo "movimento per curvatura media", e' che
il mixing time cresca essenzialmente come il quadrato del diametro
della regione U. Il nostro risultato principale e' una prova di questa
congettura, sotto l'ipotesi che la forma macroscopica non presenti
singolarita'. Basato su lavori in collaborazione con P. Caputo, B.
Laslier e F. Martinelli.
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Buongiorno,
volevamo informarti che anche quest'anno si ripeter? il workshop "Mercati
Energetici e Metodi Quantitativi: un Ponte tra Universit? e Aziende".
Trovi tutte le informazioni sul sito web
http://www.unponte2014.stat.unipd.it/
Sono aperte le submission per gli speaker (accademici e professionisti
provenienti da aziende) che desiderino presentare un talk.
Inoltre, quest'anno abbiamo deciso di estendere l'iniziativa organizzando,
nei due giorni precedenti la conferenza, quattro …
[View More]tutorial sui seguenti
argomenti:
- Introduzione ai mercati dell'energia e del gas
- Rischio di credito e di controparte nei mercati energetici
- Strumenti di analisi e di previsione per i mercati energetici.
- Tecniche di gestione di portafoglio e di ottimizzazione: i contratti
strutturati nei mercati dell'energia.
Tutte le informazioni sui tutorial si trovano alla pagina
http://events.math.unipd.it/memq2014/
In attesa di rincontrarci a Padova, porgiamo i nostri pi? Cordiali Saluti,
gli Organizzatori
Giorgia Callegaro
Enrico Edoli
Francesco Lisi
Tiziano Vargiolu
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Registration is now open for *ABS14*, the 2014 edition of the Applied
Bayesian Statistics School,
which has been running since 2004.
The topic of this year is *APPLIED BAYESIAN NONPARAMETRICS*.
The lecturers will be Michael JORDAN (Berkeley) and Francois CARON
(Oxford).
The school will be held at Villa del Grumello, Como, Italy, from June 16
till 20, 2014.
The school webpage is
www.mi.imati.cnr.it/conferences/abs14.html
Please note that a very limited number of participants (35) …
[View More]will be
admitted.
There is a late registration fee after April, 1st.
For information please contact abs14(a)mi.imati.cnr.it
Best regards,
Raffaele Argiento
Executive director of ABS14
--
Dr Raffaele Argiento
CNR IMATI -- Milano
Tel. +39 02 23699.529
Web www.mi.imati.cnr.it/raffaele
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Con preghiera di diffusione. Aggiungo che la borsa partirebbe da Settembre
2014.
Cordiali Saluti,
Fabrizio Leisen
Postgraduate Scholarship
Non-parametric priors for Bayesian inference
*University* *of* *Kent* School of Mathematics, Statistics and Actuarial
Science
*Project:** Non-parametric priors for Bayesian Inference*
*Supervisor:** Fabrizio Leisen*
The use of Bayesian non-parametric (BNP) priors in applied statistical
modelling has become increasingly popular in the last few years. …
[View More]From the
seminal paper of Ferguson (1973, Annals of Statistics), the Dirichlet
Process and its extensions have been increasingly used to address
inferential problems in many fields. Examples range from variable selection
in genetics to linguistics, psychology, human learning, image segmentation
and applications to the neurosciences. The project aims to introduce and/or
investigate new Bayesian non-parametric priors that can be used to describe
a wide spectrum of phenomena.
Keywords include:
- Dirichlet and Pitman Yor Processes
- Vectors of Dependent random probability measures
- Non-exchangeable species sampling sequences
*The* *School* *of* *Mathematics,* *Statistics* *and* *Actuarial* *Science*
The School offers a lively research culture with a thriving group of around
250 taught postgraduates students and almost 100 postgraduate students,
postdoctoral researchers and academic staff. Kent is among the best
research-intensive universities in the UK. In the 2008 Research Assessment
Exercise (RAE), the university was ranked 24th out of 159 institutions for
its world-leading research, with six of our subject areas (including
statistics) in the top tennationwide. Details of the research undertaken by
the School can be found at:
http://www.kent.ac.uk/smsas/postgraduate/phd-applications.html
*The* *funding*
This scholarship is partially funded by the FP7 Marie Curie Career
Integration Grant "Flexible Bayesian non-parametric priors" held by
Fabrizio Leisen. The scholarship is offered at the standard UK Research
Councils' rate (currently£13,863) and will cover the tuition fees for a
period of 3.5 years subject to satisfactory progress at each review period.
*Entry* *Requirements*
All candidates must have an excellent academic track record in Mathematics or
Statistics or related disciplines and hold a good Honours degree in a
relevant subject or equivalent. A Masters qualification such as an MSc or
MMath orresearch experience would be advantageous.
*To* *apply*
To apply complete the online application form available by clicking the
*'Apply'* button below or by visiting:
http://www.kent.ac.uk/studying/postgrad/apply/index.html and select School
research Scholarship under `How are you intendingto fund your studies?' and
mention this research project in the research proposal. Closing date:
31st March
2014.
--
Fabrizio Leisen
Senior Lecturer in Statistics
School of Mathematics, Statistics and Actuarial Sciences
Cornwallis Building, University of Kent, Canterbury, CT2 7NF
http://sites.google.com/site/fabrizioleisen/
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On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on
February 26, 2014 at 18.00 with the Lecture
Evaluation of long-dated investments under uncertain growth trend, volatility, and catastrophes
CHRISTIAN GOLLIER
Toulouse School of Economics
LOCATION: The seminar will be held on Wedsnesday, February 26, at 18.00 at room 3-E4-SR03, …
[View More]Bocconi University, Via Roentgen 1, Milano.
A refreshment will be offered at 17.30.
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 Metodi Quantitativi per le Scienze Economiche ed Aziendali
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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A v v i s o d i S e m i n a r i o
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Venerdì 21 Febbraio, ore 11am
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Stanza 34
Dipartimento di Scienze Statistiche
Sapienza Università di Roma
JULIA MORTERA
(Fac. di Economia, Università degli Studi di Roma3)
terrà un seminario dal titolo
ANALYSIS OF FORENSIC …
[View More]DNA MIXTURES
tutti gli interessati sono invitati a partecipare.
-----------------------------------------------------------------------------
Maggiori informazioni sui seminari presso il DSS sono
consultabili a quest'indirizzo: http://goo.gl/Y6OQYm
Saluti
Pierpaolo Brutti - Fulvio De Santis
---
Summary
DNA is now routinely used in criminal investigations and court cases,
although DNA samples taken at crime scenes are of varying quality and
therefore present challenging problems for their interpretation. We
present a statistical model for the quantitative peak information
obtained from an electropherogram (EPG) of a forensic DNA sample and
illustrate its potential use for the analysis of criminal cases. In
contrast to most previously used methods, we directly model the peak
height information and incorporates important artefacts associated
with the production of the EPG. Our model has a number of unknown
parameters, and we show that these can be estimated by the method of
maximum likelihood in the presence of multiple unknown contributors,
and their approximate standard errors calculated; the computations
exploit a Bayesian network representation of the model. A case
example from a UK trial, as reported in the literature, is used to
illustrate the efficacy and use of the model, both in finding
likelihood ratios to quantify the strength of evidence, and in the
deconvolution of mixtures for the purpose of finding likely profiles
of one or more unknown contributors to a DNA sample.
Our model is readily extended to simultaneous analysis of more than
one mixture as illustrated in a case example. We show that combination
of evidence from several samples may give an evidential strength close
to that of a single source trace and thus modelling of peak height
information provides for a potentially very efficient mixture
analysis.
Joint work with Robert Cowell, Therese Graversen and Steffen Lauritzen
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