- Random - Mailing list — Dipartimento di Matematica, UniPI

Seminar by Sergio Pulido in Verona
by Alessandro Gnoatto 19 Nov '21

19 Nov '21

Sergio Pulido (École Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise) will give a talk at our Department. Date: 24 November 12:00 CET. Title: American options in the rough Heston model Abstract: Rough volatility models have emerged as compelling alternatives to classical semimartingale models to capture important stylized features of the implied volatility surface and the time series of realized volatility. The rough Heston model is particularly appealing because its affine structure facilitates the pricing of European options using Fourier techniques. In this work we consider the problem of pricing American options in the rough Heston model. The complexity of the problem stems from the absence of a Markovian-semimartingale structure in the model. To overcome this difficulty we work with a Markovian multi-factor semimartingale stochastic volatility model, which approximates the rough Heston model. In this approximated model, American options can be priced using a backward approach and simulation-based methods. We prove the convergence of American options prices in the multi-factor model towards the prices in the rough Heston model. The proof relies on the explicit expression of the conditional characteristic function of the joint forward process and the spot price, which is a consequence of the affine structure of the model. We illustrate with some numerical examples the behavior of American option prices with respect to some parameters in the model. This is joint work with Etienne Chevalier and Elizabeth Zuniga. If you would like to attend via Zoom, please register at the following link, we will send you the details: https://docs.google.com/forms/d/e/1FAIpQLSeVog1wfkFpBhehoYMRoTcNFESIOvh3Y-C… -- Alessandro Gnoatto Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com E-mail: alessandro.gnoatto(a)univr.it -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

1 0

Online Quantitative Finance Seminars @SNS, November 25, 2021 and December 10, 2021
by Giulia Livieri 19 Nov '21

19 Nov '21

Dear all, We would like to announce the following two Online Seminars @SNS: *November 25, 2021 at 4PM (CEST)* *Speaker: *Dr. Andrea Barbon (HSG) [webpage: http://www.abarbon.com/] *Title: *On The Quality Of Cryptocurrency Markets Centralized Versus Decentralized Exchanges (joint work with Prof. Angelo Ranaldo (HSG)). *Abstract: * Despite the growing adoption of decentralized exchanges, not much is yet known about their market quality. To shed some light on this issue, we study cryptocurrencies by comparing decentralized blockchain-based venues (DEX) to centralized crypto exchanges (CEX) by assessing two key aspects of market quality: price efficiency and market liquidity. Using a novel and comprehensive data set, we find that overall CEX provide better market quality but CEX becomes competitive if transaction costs exceed 100,000$. Further, the main determinant of the lower price-efficiency of DEX is the high gas price stemming from proof-of work blockchains. We propose and empirically validate a stylized theory of DEX liquidity provision, which links trading volumes, protocol fees, and liquidity in equilibrium. Our model prefigures the possible scenarios of efficiency paths for DEX to overtake CEX. *Link: * https://teams.microsoft.com/l/meetup-join/19%3ameeting_ZDFlZmJkNDItYmVlNC00… ======================================================================== *December 10, 2021 at 3PM (CEST)* *Speaker: *Prof. Agostino Capponi (Columbia University) *Title: * The Adoption of Blockchain-based Decentralized Exchanges (joint work with Dr. Ruizhe Jia) *Abstract: *We show that the blockchain order execution mechanism and liquidity pooling create arbitrage rents in decentralized exchanges. The arbitrage rent raises the cost of liquidity provision and imposes negative externalities on users of the underlying blockchain. In equilibrium, automated market makers (AMMs) are adopted by liquidity providers only if exchange rates of token pairs are sufficiently stable. A pricing curve with higher curvature reduces arbitrage rents, but also decreases trading activities. We provide statistical support for our main model implications using transaction-level data of AMMs. *Link: * https://teams.microsoft.com/l/meetup-join/19%3ameeting_NjAyODk0YzQtNmVmYS00… We are looking forward to seeing you at the seminars! Best regards, Giulia

1 0

Workshop on Dynamic Optimization in Economics, Finance, and Insurance
by Marina DI GIACINTO 17 Nov '21

17 Nov '21

Dear Colleagues, We are pleased to announce the upcoming workshop "Dynamic Optimization in Economics, Finance, and Insurance", that will be hosted by Università Cattolica del Sacro Cuore - Milano in hybrid mode on November 26, 2021 at 10am. Details can be viewed in the attached advertisement. Best, Marina Di Giacinto

1 0

PhD in Statistics and Computer Science @Bocconi - call for applications
by Antonio Lijoi 17 Nov '21

17 Nov '21

******************* PhD in Statistics and Computer Science - a.y. 2022-2023 Call for applications for PhD student positions ******************* The Bocconi PhD School provides 7 scholarships for the PhD in Statistics and Computer Science, and a position with tuition waiver. * Scholarship amount * 20,000 euros per annum Further funding may be available through teaching and research assistantship. Visit www.unibocconi.eu/admissionphd for detailed information. ** Applications are due by February 1, 2022 ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics and Computer Science is a high profile and rigorous doctoral program that develops strong mathematical, statistical, computational and programming backgrounds. The curriculum is structured into two tracks: Statistics and Computer Science. The first year includes courses that are compulsory for all enrolled PhD students. The second-year features track-specific and elective courses that provide students with a more specialized competence and focus on topics that may be the object of the doctoral dissertation. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The Faculty includes internationally acknowledged top researchers in Statistics, Computer Science, Mathematical Analysis, Decision Theory, Statistical Physics and Machine Learning. The program also benefits from contributions of authoritative visiting professors who deliver short monographic courses. Highly qualified and motivated students with M.Sc. degrees in in Statistics, Mathematics, Computer Science, Economics, Physics, Engineering and related areas, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold, or be on their way to hold, a graduate degree or equivalent. For further information about the PhD program in Statistics and Computer Science at Bocconi, visit www.unibocconi.eu/phdstatscompscience and feel free to contact: Antonio Lijoi (antonio.lijoi(a)unibocconi.it) Angela Baldassarre, PhD administrative assistant (angela.baldassarre(a)unibocconi.it)

1 0

Webinar Schlather @Bocconi
by Giacomo Zanella 17 Nov '21

17 Nov '21

We announce the following DEC Statistics webinar at Bocconi: Date: Thursday 18 November 2021, h12:00 (Italy time) Speaker: Martin Schlather (University of Mannheim) Title: A Generalized Approach to Principal Component Analysis Abstract: Principal Component Analysis is a well known procedure to reduce intrinsic complexity of a standardized data set, essentially through simplifying the correlation structure. We provide a substantial extension based on semi-groups, which includes distributions without second moments. We reformulate the PCA as a best low rank approximation defined through a regression problem, which is closely connected to autoencoders and admits solutions under mild assumptions. As a specific example, we apply our general formulation to extreme value distributions. In this case solving the regression problem reduces to a tractable and practically solvable problem for real datasets. As a side effect of our general approach, the perspective on uncorrelated variables is inverted: the assertion that the covariance is zero is not the definition, but a corollary; the fact that uncorrelated variables need not be independent is not a warning, but intrinsic to the definition. The webinar will be on zoom at: https://unibocconi-it.zoom.us/j/91941945297?pwd=VGhFVGc5OUVHUUFXQ2tlK0xQWkV… Meeting ID: 919 4194 5297 Passcode: 932042 Kind regards, Giacomo Zanella

1 0

[PHD Scholarship] "ADVANCED HEALTH ANALYTICS ON ADMINISTRATIVE DATA" @ Politecnico di Milano & Regione Lombardia - inizio febbraio 2022
by Laura Maria Sangalli 16 Nov '21

16 Nov '21

*** Con preghiera di diffusione URGENTE a tutti gli interessati *** Si segnala che, nell'ambito del Dottorato di Data Analytics and Decision Sciences (DADS<https://phd-dads.polimi.it/>) del Politecnico di Milano, è stata bandita una borsa dal tema "ADVANCED HEALTHCARE ANALYTICS ON ADMINISTRATIVE DATA" (dettagli e specifiche progettuali in calce). La borsa è parte di una dotazione più ampia di Borse di Dottorato, promosse da Regione Lombardia presso il Politecnico di Milano. Possono candidarsi laureati magistrali (o laureandi al più nella sessione di Dicembre 2021). Le selezioni si svolgeranno sulla base della valutazione dei titoli e del progetto di ricerca presentato. In caso di assegnazione della borsa, il dottorando dovrà obbligatoriamente svolgere un periodo di almeno 6 mesi di ricerca presso l'ente finanziatore (in questo caso Regione Lombardia - dg welfare), secondo le modalità definite dal bando. Link<http://www.dottorato.polimi.it/it/entra-al-dottorato/concorso-di-ammissione….> al bando. La scadenza per la presentazione della domanda è il 13 dicembre 2021, ore 14.00 (Italian time). Inizio: 1° febbraio 2022. Per informazioni, contattare francesca.ieva(a)polimi.it<mailto:francesca.ieva@polimi.it>. Cordialmente Francesca Ieva —— 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<mailto:laura.sangalli@polimi.it> url: http://mox.polimi.it/~sangalli

1 0

Fwd: [icj] Labex Milyon scholarships: call for applications 2022
by Faggionato, Alessandra 16 Nov '21

16 Nov '21

Buongiorno ricevo ed inoltro. Grazie Saluti Alessandra ---------- Forwarded message --------- Da: <blondel(a)math.univ-lyon1.fr> Date: lun 15 nov 2021 alle ore 10:14 Subject: Fwd: [icj] Labex Milyon scholarships: call for applications 2022 To: Dear colleagues, Please find below an announcement for scholarships in Lyon. Would you be so kind as to forward it within your institutions and beyond? Best regards, Oriane ------------------------------------------------------------------------------ [French version] Le Laboratoire d'Excellence MIlyon offre des bourses d'excellence (Licence 3 et Master) à des étudiants ayant obtenu de très bons résultats académiques et souhaitant suivre un parcours de recherche en mathématiques ou informatique sur le site Lyon—Saint-Étienne. Ces bourses sont d’un montant de 1 000 euros net/mois/10 mois. Milyon fédère 400 chercheurs sur le site Lyon—Saint-Étienne en mathématiques, informatique fondamentale et leur interactions, issus de cinq laboratoires de recherche sur le site Lyon—Saint-Étienne. L’appel à candidatures 2022 est ouvert : Date-limite: 4 janvier 2022 Communication des résultats : courant février 2022 Détails, programmes éligibles et candidatures: https://milyon.universite-lyon.fr/bourses-appel-a-candidatures-2022-130862.… ------------------------------------------------------------------------------ The "Laboratoire d'Excellence" Milyon offers scholarships for Licence 3 (third year of Bachelor) and Master programs of 1,000 euros net/month/10 months. The scholarships are intended to students with outstanding academic records willing to enroll in the research programs in Mathematics and Computer Science supported by Milyon. Milyon gathers 400 researchers in Mathematics, Fundamental Computer Science and their interactions, across five research units in the Lyon—Saint-Étienne area. The 2022 call for applications is open Deadline for applications: January 4th, 2022 Results will be communicated in February 2022 Details, eligible programs and application: https://milyon.universite-lyon.fr/scholarships-2022-130865.kjsp?RH=15717482… _______________________________________________ ICJ mailing list ICJ(a)math.univ-lyon1.fr https://math.univ-lyon1.fr:8080/cgi-bin/mailman/listinfo/icj ----- Fin du message transféré ----- -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

1 0

Fwd: [owps] OWPS, November 18th : Ivan Nourdin & Giovanni Peccati on the Malliavin-Stein method and the geometry of random fields
by Anna Vidotto 16 Nov '21

16 Nov '21

Cari colleghi, scusandomi delle eventuali ripetizioni vi segnalo il prossimo One World Probability Seminar che sarà tenuto da Ivan Nourdin e Giovanni Peccati. Grazie per l'attenzione, Anna Vidotto ------------------------ Anna Vidotto, PhD Assistant Professor in Probability (RTD-A) Dipartimento di Economia Università degli Studi "G. D'Annunzio" Chieti-Pescara https://sites.google.com/view/annavidotto -------- Messaggio originale -------- Oggetto: [owps] OWPS, November 18th : Ivan Nourdin & Giovanni Peccati on the Malliavin-Stein method and the geometry of random fields Data: 2021-11-04 21:43 Mittente: One World Probability <ow.probability(a)gmail.com> Destinatario: owps(a)lists.bath.ac.uk Dear probabilists, The next session of OWPS will be two weeks from now, on November 18th from 14:00 to 15:45 UTC. Please beware the winter/summer time changes depending on your location. Ivan Nourdin and Giovanni Peccati will talk of the Malliavin-Stein method and the geometry of random fields. Titles, abstracts and the zoom link are below the signature and can be found on the website https://www.owprobability.org/one-world-probability-seminar [1]. Probabilistically yours, Bastien Mallein and Sébastien Martineau ----------------------- The Breuer-Major theorem: old and new Ivan Nourdin The celebrated Breuer-Major theorem is a central limit theorem for a sum of elements of the form $f(X_k)$, where $f : R \to R$ is a given function and $X$ is a Gaussian stationary sequence with unit variance. In my talk, I will introduce the so-called Malliavin-Stein method, and I will then use it to investigate different problems related to the Breuer-Major theorem. Wiener chaos and the geometry of random fields Giovanni Peccati I will present some recent applications of Gaussian analysis techniques (related in particular to Wiener chaos and the Malliavin-Stein method) to the study of level sets of Gaussian random waves - with special emphasis on models defined on two-dimensional manifolds, like the plane, the 2-torus and the sphere. In the Euclidean case, our results can be encoded in the general framework of the Breuer-Major theorem described in the first talk of the session. Several open questions will be presented along the way. https://us02web.zoom.us/j/81689646469?pwd=cWI1V0NWeUJJSzJKa0tLWkMyVDdaQT09 [2] Meeting ID: 816 8964 6469 Passcode: 963950 If you are having trouble with zoom, or if the capacity of the zoom room gets exceeded, you can also access to the Youtube live stream at the channel of the seminar: https://www.youtube.com/channel/UCiLiEQGTp6bZEhuHDM-WNWQ [3] Links: ------ [1] https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.owpro… [2] https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fus02web.z… [3] https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.youtu…

1 0

(PMS)^2 online talk: Laura Monk [Nov 22, 5:30pm]
by Maurizia Rossi 16 Nov '21

16 Nov '21

Dear colleagues, We are happy to announce the following online talk: Speaker: *Laura Monk* (Max-Planck-Institut für Mathematik, Bonn) Title: The spectral gap of random compact hyperbolic surfaces *Abstract*: The focus of this talk will be the first non-zero eigenvalue of the Laplacian on a compact hyperbolic surface, also called its spectral gap. Similarly to expanders for graphs, surfaces with a large spectral gap are well-connected, and have good mixing properties. In spite of significant effort in the last 35 years, we have failed to construct examples of large surfaces with an optimal spectral gap. In this talk, *based on joint work with Nalini Anantharaman*, I will explain how a new probabilistic approach has led to great progress in this question in recent years. Rather than trying to exhibit examples, we now aim at showing that random surfaces have a large spectral gap with probability close to one. This requires us to have a good model to sample random surfaces, and I will briefly introduce two such models. Date and time: Monday *November 22, 5:30pm-6:30pm* (Rome time zone) Zoom link: https://us02web.zoom.us/j/2940008616 This is a talk of the *(PMS)^2: Pavia-Milano Seminar series on Probability & Mathematical Statistics *organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. Participation is free and welcome! (though limited to 100 participants for technical reasons). Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella) - - - Maurizia Rossi Dipartimento di Matematica e Applicazioni Università di Milano-Bicocca

1 0

Seminars in Florence: Magnanini and Iyer
by Luisa Andreis 15 Nov '21

15 Nov '21

Dear colleagues, we are pleased to invite you to the following two seminars (on site) on Wednesday, November 17, 2021, at the University of Florence. The room is the Aula Magna, building Morgagni 65 (ex Farmacologia), Viale Morgagni 65, 50134, Firenze. Time: 11:45-12:45 Speaker: Elena Magnanini, WIAS Berlin Title: LIMIT THEOREMS FOR THE EDGE DENSITY IN EXPONENTIAL RANDOM GRAPHS Abstract: In the present talk we focus on the derivation of some asymptotic properties for the family of exponential random graphs. This model can be seen as the generalization of the dense Erdӧs-Rényi random graph and follows the statistical mechanics approach of defining a Hamiltonian to weight the probability measure on the space of graphs, assigning higher mass to graphs with “desirable” properties. In particular our analysis will be focused on the edge-triangle model, a two-parameter family of exponential random graphs where the Hamiltonian only includes edge and triangle densities. We borrow tools from statistical mechanics together with large deviations techniques to obtain limit theorems for the edge density in the so-called replica symmetric regime, where the limiting free energy of the model is known together with a complete characterization of the phase diagram. First, we determine the asymptotic distribution of the edge density, as the graph size n tends to infinity, in the entire replica symmetric regime. In particular, we obtain a strong law of large numbers when the parameters are chosen outside the critical curve and the convergence to a mixture of Dirac measures whenever working on the critical curve. We then study the fluctuations of the edge density around its average for all parameter values outside the critical curve and off the critical point and we formulate conjectures about the behavior at criticality based on the analysis of a mean-field approximation of the model. Joint work with Alessandra Bianchi and Francesca Collet. Time: 14:15-15:15 Speaker: Tejas Iyer, WIAS Berlin Title: CONDENSATION IN PREFERENTIAL ATTACHMENT TREES WITH NEIGHBOURHOOD INFLUENCE Abstract: Motivated by the structure of complex networks such as the internet, we consider a growing model of preferential attachment trees with neighbourhood influence, where vertices arrive one at a time, are equipped with independent weights, and connect to existing vertices with probability proportional to their fitness function: a function of their own weight and the weights of their neighbours. In this model we prove almost sure limiting statements for the proportion of vertices with a given degree having weight belonging to a given measurable set, and the proportion of edges in the tree with endpoint belonging to a measurable set. We show that under certain conditions, the latter quantity demonstrates a condensation phenomenon, in which a positive proportion of edges in the network accumulate among those of weight that confers maximal reinforcement of fitness. Finally, we derive almost sure limiting statements for the log of the degree of a fixed vertex in this model, and prove that in this model the degree distribution behaves like a power law - a ubiquitous feature of many real-world complex networks. According to the current regulations to prevent the spread of Coronavirus the Green pass is mandatory to access the venue and contact tracing will be done. Best regards, Luisa Andreis and Gianmarco Bet Luisa Andreis ------------------------------------------------------- RTD-A Dipartimento di Matematica e Informatica “Ulisse Dini" Università degli Studi di Firenze Viale Morgagni 65, 50134, Firenze, IT Personal webpage: https://sites.google.com/view/luisaandreis/home Email: luisa.andreis(a)unifi.it

1 0