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seminario Valeria Bignozzi in Bicocca
by Fabio Bellini 20 Apr '15

20 Apr '15

Il giorno venerdì 24 aprile alle ore 14.00 presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano-Bicocca (edificio U7, IV piano), la dott.ssa Valeria Bignozzi della Università di Firenze terrà un seminario su: Reducing model risk using positive and negative dependence assumptions Abstract We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random variables with fixed marginal distributions under an additional positive dependence structure. We show that assuming positive dependence information in our model leads to reduced dependence uncertainty spreads compared to the case where only marginals information is known. In more detail, we show that in our model the assumption of a positive dependence structure improves the best-possible lower estimate of a risk measure, while leaving unchanged its worst-possible upper risk bounds. In a similar way, we derive for convex risk measures that the assumption of a negative dependence structure leads to improved upper bounds for the risk while it does not help to increase the lower risk bounds in an essential way. As a result we find that additional assumptions on the dependence structure may result in essentially improved risk bounds (joint work with G. Puccetti and L. Ruschendorf). Tutti gli interessati sono invitati a partecipare. Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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URGENT: lecturer sought
by Carina Geldhauser 19 Apr '15

19 Apr '15

-------- Forwarded Message -------- Subject: URGENT: lecturer sought Date: Sun, 19 Apr 2015 16:33:40 +0000 From: Andreas Kyprianou <A.Kyprianou(a)bath.ac.uk> To: prob-sem(a)lists.maths.bath.ac.uk <prob-sem(a)lists.maths.bath.ac.uk>, APPLIEDPROB(a)JISCMAIL.AC.UK <APPLIEDPROB(a)JISCMAIL.AC.UK> CC: world(a)alea-research.eu <world(a)alea-research.eu> Dear friends and colleagues, here is a request like one you have never heard of before: The National University of Mongolia is currently looking in haste for an available and ambitious volunteer who would like to go out to Mongolia at short notice, funded by the International Mathematical Union, to teach a 3-4 week masters-level course in probability theory *this MAY*. Details of the programme are here: http://www.mathunion.org/cdc/volunteer-lecturer-program/information-for-lec… Please see here for the requirements (PhD minimum) and the support that is on offer: http://www.mathunion.org/cdc/volunteer-lecturer-program/information-for-lec… This course comes in preparation of a 2-week research school in stochastic processes, held at the National University of Mongolia, Ulan Bator, in associated with CIMAT, DAAD, IMU and the Bernoulli society. http://smcs.num.edu.mn/saam2015/ At the moment, The People's Republic of Mongolia (http://en.wikipedia.org/wiki/Mongolia) is experimenting with a significant programme of visa waivers, meaning that many countries do not need a visa at the moment. This is an exceptional opportunity to be part of a significant mathematical initiative in Mongolia in the field of Stochastics. As time is of the essence, I would be grateful if you could circulate this email amongst colleagues and encourage any interested parties (even if it is just a tentative query) to contact me ASAP (a.kyprianou(a)bath.ac.uk <mailto:a.kyprianou@bath.ac.uk>) copying the email to Prof. Tsogzolmaa Saizmaa (tsogzolmaa(a)num.edu.mn <mailto:tsogzolmaa@num.edu.mn>). sincerely, Andreas Kyprianou

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Mini course announcement: SDEs, SPDEs and applications, by Prof. Viorel Barbu
by Luca di persio 19 Apr '15

19 Apr '15

Mini course announcement Prof. Viorel Barbu [ Romanian Academy and University Al.I.Cuza ] will give a mini course on SDEs, SPDEs and applications, at the Department of Computer Science, University of Verona, with the following calendar of lessons Monday: 20/4 - 27/4 - 4/5 Wednesday: 22/4 - 29/4 All the lessons will start at 14:30 with a forecasted duration of 3 hours each. Possible additional lessons will be decided during the course. The tentative programme is the following: 1) STOCHASTIC DIFFERENTIAL EQUATIONS Existence theory, examples to stock prices, Langevin equation, Ornstein-Uhlenbeck processes,Feynman-Kac formula 2) APPLICATIONS TO CONTROL PROBLEMS Stochastic HJB and stochastic control problems 3) STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS Infinite dimensional stochastic integral, Stochastic linear diffusion equation, stochastic reaction diffusion equation,stochastic porous media equation All the lessons will be given here https://goo.gl/maps/Yx2JU Strada le Grazie, 15 - 37134 Verona VR Ca' Vignal 2, first floor , Room M. Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa __ 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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Seminari di Klaus Schredelseker e Eckhard Platen a Firenze
by Giacomo Scandolo 17 Apr '15

17 Apr '15

Nell'ambito del Corso di Laurea Magistrale in Finance and Risk Management (FiRM) dell'Università di Firenze i Proff Klaus SCHREDELSEKER (University of Innsbruck) e Eckhard PLATEN (University of Technology, Sydney) terranno i seguenti 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 Gli abstract degli interventi sono riportati in basso. ============================================================= Prof Klaus SCHREDELSEKER Martedì 5 Maggio, 14.00-16.00, aula D6/007 ''Financial Analysis and Efficient Markets '' Mercoledì 6 Maggio, 12.00-13.30 e 14.30-16.00, aula D6/102 "Information Economics applied to Financial Markets " ============================================================= Prof Eckhard PLATEN Giovedì 7 Maggio, 10.00-12.00, aula D6/105 ''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance '' Venerdì 8 Maggio, 10.00-12.00, aula D6/013 "A Benchmark Approach to Finance " ============================================================= Abstract. ''Financial Analysis and Efficient Markets '' (Schredelseker) Financial Analysis is the basic of any type of financial reasoning (portfolio theory, capital market theory, derivatives). How it has to be done depends primarily upon the properties of the market: If it is assumed to be informationally efficient, financial analysis is redundant, but if this is the case, the market cannot be efficient. If, however, the market is assumed to be somewhat inefficient, there will be systematic winners and losers: Being a complex adaptive system, the financial market will exhibit nonlinearities in information. "Information Economics applied to Financial Markets " (Schredelseker) In natural sciences the value of information is always bound from zero: it can never be negative. This does not hold in multiperson-settings like a financial market: Getting better informed may result in a better or in a lower decision quality! A highly skilled and experienced financial analyst is assumed to expect a lower performance in the market as a lousy analyst. Methodology: Game theory, Agent-based modelling, Simulations, Genetic programming. ''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance '' (Platen) 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. "A Benchmark Approach to Finance " (Platen) 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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Seminario di Valeria Bignozzi presso Prometeia - Bologna
by Giacomo Scandolo 17 Apr '15

17 Apr '15

Il giorno Giovedì 23 Aprile 2015, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Valeria BIGNOZZI (Università di Firenze) terrà un seminario dal titolo "How superadditive can a risk measure be?" Abstract Risk measures that are not subadditive may penalize the aggregation of risk, by inducing portfolio requirements that are larger than those of undiversified positions. This happens for instance for Value-at-Risk (VaR), as well as convex shortfall risk measures. In this paper we characterize the potential for superadditivity that any risk measure may exhibit, considering both dependence uncertainty as well as the effect of portfolio size. It is shown that for the wide majority of risk measures of use or interest this corresponds to calculating the smallest dominating coherent risk measure (SDCRM). We show that this risk measure often exists and is identified with the notion of extreme-aggregation risk measure introduced in this paper. Explicit results are provided for the class of distortion risk measures, where the SDCRM is again a distortion risk measure and for the class of shortfall risk measures, where the SDCRM is given by an expectile. --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Four positions in statistics: Northumbria University, UK
by Enrico Scalas 17 Apr '15

17 Apr '15

Car* collegh*, all'Universita' della Northumbria (Newcastle upon Tyne, UK) e' in corso un reclutamento nel settore della statistica. Qui sotto trovate i link. La scadenza e' imminente, ma resta ancora un po' di tempo per fare domanda. Segnalate quest'opportunita' alle persone potenzialmente interessate. Cordiali saluti, Enrico Scalas --------------------------------------------------------------------------------------------------------------------------------- · Professor in Statistics http://work4.northumbria.ac.uk/hrvacs/eae1431 Closing date: 21 April 2015 · Reader in Statistics http://work4.northumbria.ac.uk/hrvacs/eae1430 Closing date: 21 April 2015 · Senior Lecturer/ Lecturer in Statistics (Two Posts) http://work4.northumbria.ac.uk/hrvacs/eae1432 Closing date: 23 April 2015

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No Free Lunch Seminar by Dott. Andrea Sillari, Tue April 21 1:00 PM Aula Mancini @ SNS
by Giacomo Bormetti 16 Apr '15

16 Apr '15

Tue April 21 2015, 1:00 PM in Aula Mancini, Scuola Normale Superiore Pisa Andrea Sillari Unicredit Bank - Milano will deliver the seminar "Risk Models - Operation, Maintenance, Upgrade" 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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avviso di due seminari del Prof. Eeckhoudt
by Emanuela Rosazza 16 Apr '15

16 Apr '15

Il Prof. Louis EECKHOUDT (IESEG School of Management, Lille, Francia) terrà i due seguenti seminari: - Martedì 28 aprile 2015 ore 10.30 – 12.30: Risk attitudes: some history, main results and some extensions - Giovedì 30 aprile 2015 ore 10.30 – 12.30: Arrow - Pratt : 50 Years later nell’ AULA SEMINARI (EDIFICIO U7, 4° PIANO, ST. 4026) del Dipartimento di Statistica e Metodi Quantitativi dell’Università di Milano-Bicocca (Via degli Arcimboldi, 8 – 20126 MILANO). Tutti gli interessati sono invitati a partecipare. ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi 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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Avviso di seminario :: Scarsini@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 16 Apr '15

16 Apr '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 23 Aprile, ore 11:00am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma MARCO SCARSINI (LUISS Guido Carli) terrà un seminario dal titolo ON INFORMATION DISTORTIONS IN ONLINE RATINGS. 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 --- ABSTRACT Consumer reviews and ratings of products and services have become ubiquitous on the Internet. This paper analyzes, given the sequential nature of reviews and the limited feedback of such past reviews, the information content they communicate to future customers. We focus on the informational setting in which customers only observe the sample mean of past reviews, and ask if customers can recover the true quality of the product based on the feedback they observe. We first analyze the benchmark setting, in which customers interpret the mean as the proxy of quality. In such a case, we show that in the long run,the sample mean of review stabilizes and two cases may arise.If customers are relatively homogeneous, then social learning takes place. If customers are sufficiently heterogeneous, then they consistently overestimate the underlying quality of the product in the long run. This bias stems from the selection associated with observing only reviews of customers who purchase. We show, however,that if customers are sophisticated, then there exists a simple quality inference and purchasing rule that corrects for the selection bias and leads to social learning.In addition, we show that the cumulative consumer surplus losses scale with the square root of the number of customers who have considered a purchase to date, which is of the same order as when customers observe the reviews of all preceding customers. In this framework, we also analyze the externality of sophisticated customers on more naïve ones and quantify the impact that manipulated reviews may have.

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36th Finnish Summer School 1-5 June
by Valentina Cammarota 16 Apr '15

16 Apr '15

-----Messaggio originale----- From: Leskelä Lasse Sent: Wednesday, April 15, 2015 11:26 AM Subject: CFP: 36th Finnish Summer School on Probability and Statistics Call for participation (please forward this to students and colleagues): 36th Finnish Summer School on Probability Theory and Statistics 1-5 June 2015 Päivölä College, Valkeakoski, Finland http://web.abo.fi/fak/mnf/mate/gradschool/ PROGRAM Mindaugas Bloznelis (Vilnius U) Topics in random graphs Krista Fischer (Estonian Genome Center) Causal inference in biomedical applications Mikhail Lifshits (St. Petersburg State U) Gaussian processes: Applications and approximations Domenico Marinucci (U Rome Tor Vergata) Random fields on the sphere and their cosmological applications Registrations are due by 20 May 2015. The summer school is organized by the Finnish Doctoral Programme in Stochastics and Statistics (FDPSS). For more information, visit http://web.abo.fi/fak/mnf/mate/gradschool/ Looking forward to meeting many of you there! Lasse ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

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