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Seminario ALOS - May 17th
by Alessandro Ramponi 13 May '24

13 May '24

Dear All, on May 17th, at 15:00, in classroom A (Building B), Department of Economics and Finance, University of Roma Tor Vergata, the following seminar will take place: Speaker: Elisa Alos (Dpt. Economia i Empresa, UPF, Barcelona) Title: On the Skew and Curvature of the Implied and Local Volatilities Abstract: In this talk, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent 1/(H+3/2) rule (where H denotes the Hurst parameter of the volatility process) for rough volatilities (see F. Bourgey, S. De Marco, P. Friz, and P. Pigato, 2022), that states that the short-time skew slope of the at-the-money implied volatility is 1/(H+3/2) of the corresponding slope for local volatilities. Moreover, we see that the at-the-money short-end curvature of the implied volatility can be written in terms of the short-end skew and curvature of the local volatility and vice-versa. Additionally, this relationship depends on H.

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Padova Seminars in Probability and Finance - Domenico Marinucci - 14:30, May 17th
by Alberto Chiarini 13 May '24

13 May '24

Dear all, It is our pleasure to invite you all to the Padova Seminars in Probability and Finance on May, 17th at 14:30, at the department of Mathematics in Padova for the seminar by: Domenico Marinucci (University of Rome "Tor Vergata") Title: Geometry and Topology of Spin Random Fields Date: May 17, 2024, at 14:30, 2AB45 Abstract: Spin random fields are very important in many physical applications; they can be viewed as random sections of the s-th complex tensor power of the tangent bundle of the 2-sphere. In this talk, we discuss how to characterize their expected geometry and topology. In particular, we investigate the asymptotic behaviour, under scaling assumptions, of general classes of geometric and topological functionals for (properly defined) excursion sets; we cover both the cases of fixed and diverging spin parameters s. In the special case of monochromatic fields (i.e., spin random eigenfunctions), we show how their asymptotic behaviour is non-universal; we can obtain complex versions of Berry's random waves and of Bargmann-Fock's model as subcases of a new general class, depending on the rate of divergence of the spin parameter. We shall also discuss how these random fields can be reparametrised into complex-valued random functions on the group of rotations SO(3), and we discuss the expected values of the same geometric functionals in this new framework. Based on joint works with Javier Carròn Duque, Antonio Lerario, Maurizia Rossi and Michele Stecconi. Best wishes, Alberto and Alekos

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SPASS Seminar: Yassine Tahraoui
by Francesco Grotto 13 May '24

13 May '24

Dear Colleagues, We would like to invite you to the following SPASS seminar, jointly organized by UniPi, SNS, UniFi and UniSi: *Stochastic obstacle problems: variational & non variational settings* by Yassine Tahraoui (Scuola Normale Superiore) The seminar will take place tomorrow TUE, 14.05.2024 at 14:00 CET in Aula Seminari, Dipartimento di Matematica, UNIPI and streamed online at the link below. The organizers, A. Agazzi, G. Bet, A. Caraceni, F. Grotto, G. Zanco https://sites.google.com/unipi.it/spass *---------------------------------------------------------* *Abstract: Obstacle problems are free boundary type problems, well known in the literature of applied mathematics and lead to numerous applications. My aim is to present some results about the well-posedness and the regularity of the solution to a "parabolic or hyperbolic" obstacle problem in the presence of multiplicative noise, studied in [1, 2]. After showing the well-posedness of such problems, we prove Lewy-Stampacchia's inequalities, which gives an estimate of the reflected measure generated by the singularities caused by the obstacle near the free boundary.* *[1]I. H. Biswas, Y. Tahraoui and G. Vallet: Obstacle problem for a stochastic conservation law and Lewy-Stampacchia inequality. Journal of Mathematical Analysis and Applications, 527 (1) 127356 (2023)* *[2]Y. Tahraoui and G.Vallet: Lewy-Stampacchia's inequality for a stochastic T-monotone obstacle problem. Stochastic Partial Differential Equations: Analysis and Computations 10, 90-125 (2022).*

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Seminar in Statistics - ALEX MUNK
by Pierpaolo De Blasi 13 May '24

13 May '24

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 17 Maggio 2024, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: Alex Munk (Georg August Universitat Gottingen) Title: *Optimal Transport Dependency* Abstract: Finding meaningful ways to determine the dependency between two random variables 𝜉 and 𝜁 is a timeless statistical endeavor with vast practical relevance. In recent years, several concepts that aim to extend classical means (such as the Pearson correlation or rank-based coefficients like Spearman’s 𝜌) to more general spaces have been introduced and popularized, a well-known example being the distance correlation. In this talk, we propose and study an alternative framework for measuring statistical dependency, the transport dependency 𝜏 ≥ 0 (TD), which relies on the notion of optimal transport and is applicable in general Polish spaces. It can be estimated via the corresponding empirical measure, is versatile and adaptable to various scenarios by proper choices of the cost function. It intrinsically respects metric and geometric properties of the ground spaces. Notably, statistical independence is characterized by 𝜏 = 0, while large values of 𝜏 indicate highly regular relations between 𝜉 and 𝜁 . Based on sharp upper bounds, we exploit three distinct dependency coefficients with values in [0, 1], each of which emphasizes different functional relations: These transport correlations attain the value 1 if and only if 𝜁 = 𝜑(𝜉), where 𝜑 is a) a Lipschitz function, b) a measurable function, c) a multiple of an isometry. Besides a conceptual discussion of transport dependency, we address numerical issues and its ability to adapt automatically to the potentially low intrinsic dimension of the ground space. Monte Carlo results suggest that TD is a robust quantity that efficiently discerns dependency structure from noise for data sets with complex internal metric geometry. The use of TD for inferential tasks is illustrated for independence testing on a data set of trees from cancer genetics. Joint work with Giacomo Nies and Thomas Staudt. ------------------------------------------------ Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/81354066852?pwd=a2hEZTFHMDRuZHVYQ1RGSmd0Wi82QT09> Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats -- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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Seminario Karel Hron presso Politecnico di Milano
by Laura Maria Sangalli 12 May '24

12 May '24

Si avvisa che in data 15-05-2024, alle ore 11:00 precise al Politecnico di Milano, in aula Saleri (sesto piano Dipartimento di Matematica - edificio 14), si svolgerà il seguente seminario Karel Hron, University Olomouc Titolo: Analysing multivariate densities in Bayes spaces with implications for functional data analysis Abstract: Probability density functions can be embedded in the geometric framework of Bayes spaces which respect their relative nature and enable further modeling and analysis. Specifically, the Hilbert space structure of Bayes spaces (whereof compositional data are one specific instance) has several important implications for classical and Bayesian inference, as well as functional data analysis. In this contribution, an orthogonal decomposition of multivariate densities in Bayes spaces using a distributional analog of the Hoeffding-Sobol identity is constructed. The decomposition is based on a reformulation of the standard (arithmetic) margins into so-called geometric margins. These are orthogonal projections into one-dimensional space of information contained in multivariate densities and coincide with the arithmetic margins in case of independence. More generally, the decomposition contains an independent part and all possible interaction terms. The orthogonality of the decomposition results in an analog of Pythagoras' Theorem for squared norms of the decomposed densities and margin-free property of the interaction terms. Because the squared norms from the Pythagoras' decomposition are essentially compositional in nature, all tools of the log-ratio methodology can be used for their statistical processing. Theoretical results will be illustrated with empirical geochemical data. This talk is based on joint work with Christian Genest and Johanna Nešlehová from McGill University, Montréal, Canada. Il link per seguire il seminario online sarà reso disponibile pochi minuti prima dell’avvio del seminario al seguente link https://mox.polimi.it/mox-colloquia-seminars-list/mox-seminars/?id_evento=2… Tutti gli interessati sono cordialmente invitati a partecipare, Laura Sangalli —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy (+39) 02 2399 4554 laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it> https://sangalli.faculty.polimi.it

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 12 May '24

12 May '24

23nd INTERNATIONAL CONFERENCE CREDIT 2024 *The frontiers of new risks: AI, digital and sustainability transitions * Venice, Italy 3 – 4 October 2024 * * *GRETA Associati* (Venice, Italy),*CRIF* (Bologna, Italy), *European Datawarehouse *(Frankfurt am Main, Germany), *European Investment Fund* (Luxembourg), *Intesa Sanpaolo* (Milan, Italy) and *Modefinance* (Trieste, Italy) are partners in organising a Conference to be held in Venice on October 3-4, 2024. * * The CREDIT 2024 conference will bring together academics, practitioners and PhD students working in various areas of financial and socio-economic risk with the aim of creating a unique opportunity for participants to discuss research progress and policy as well as industry-relevant insights and directions for future research. CREDIT 2024 is the *twenty-third* in a series of events dedicated to various aspects of credit risk and organised under the auspices of: the *Department of Economics *and*VERA - Venice centre in Economic and Risk Analytics for public policies* - of the *Ca’ Foscari University of Venice*,*Joint Research Center European Commission*, *ABI - Italian Banking Association*, *AIAF - Associazione Italiana per l'Analisi Finanziaria*, *AIFIRM - Associazione Italiana Financial Industry Risk Managers*. Sustainability necessarily involves the adaptation of today’s business model to the dynamic nature of the current digitalised environments. Corporations need to make sure that resources, especially technology, are being used responsibly and efficiently to improve the lives of the present generations and future generations as well as strengthen their relationships with the environment as to solve sustainability-related problems such as poverty, environmental degradation, pollution and inequality. Artificial Intelligence (AI) has the potential to address these societal problems including sustainability. The climate crisis and the degradation of the physical environment are complex problems that require the most innovative and advanced solutions. The real value of AI hence lies in its ability to facilitate and foster environmental and social governance, rather just as a tool to reduce pollution, poverty and resource depletion. In the age of AI, societies depend on big data, social media, knowledge management and data science to survive and achieve these sustainability goals. AI has the potential to reshape not only finance and industry but also the whole society. There is need to understand opportunities and challenges as to properly manage all relevant risks. The organisers encourage submissions on any topic within the overall theme of the conference, with attention to *the use of AI to assess the sustainability impact of finance *(i.e. exploiting AI techniques or Big Data to bridge primary information gaps and proxy the sustainability impact) and *on how climate and digital risks may interact* (i.e. climate denial, social media and social media strategies including deepfakes). The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Patrick Bolton *(Imperial College London), and *Roberto Rigobon* (MIT Sloan School of Management). The Conference will also include panel discussions on the major issues at stake with the views of researchers', practitioners' and policy makers. The SCIENTIFIC COMMITTEE for the Conference consists of: *Marcin Kacperczyk *(Imperial College London, Programme Chair) *Monica Billio* (Ca’ Foscari University of Venice & GRETA) *Marie Brière* (AMUNDI & Université Libre de Bruxelles) *Lucia Alessi* (Joint Research Center, European Commission) *Leonardo Gambacorta *(Bank For International Settlements) *Mila Getmansky* (Isenberg School of Management, UMass Amherst) *Christian Gollier* (Toulouse School of Economics) *Helmut Kraemer-Eis *(European Investment Fund) *Jan Pieter Krahnen *(Leibniz Institute for Financial Research SAFE & Goethe University) *Steven Ongena* (University of Zurich, Swiss Finance Institute, KU Leuven, NTNU Business School & CEPR) *Roberto Rigobon *(MIT Sloan School of Management) *Stephen Schaefer* (London Business School) *Marti Subrahmanyam *(NYU Stern Business School) CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *June 10, 2024 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by July 10, 2024. The final version of accepted papers must be received by August 31, 2024. Please send papers to: GRETA Associati, Dorsoduro 3707 - 30123 Venice, ITALY Phone : +39 349 060 3656 - e-mail: credit(a)greta.it More detailed information on the Conference website: https://www.greta.it/index.php/it/credit-2024

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Seminar RUSSO
by Stefano Pagliarani 10 May '24

10 May '24

Dear all, On May 15th, at 11 am, in the classroom Aula Seminari VIII Piano, Department of Mathematics of the University of Bologna, Francesco RUSSO will give a seminar entitled WEAK DIRICHLET PROCESSES AND BSDE<https://www.dm.unibo.it/seminari/mat/seminars/2024/05/15/francesco-russo>s The abstract is available at https://www.dm.unibo.it/seminari/mat/seminars/2024/05/15/francesco-russo For any question, please contact the organizers: Cristina di Girolami and Stefano Pagliarani. Best regards, ------------------------------------------------------------------------------------------------------------------------ Stefano Pagliarani, Associate Professor Piazza di Porta S. Donato, 5 University of Bologna (Alma Mater) 40126 Bologna (BO), Italy Department of Mathematics Cell. Phone +39 366 5013755 Email: stepagliara1(a)gmail.com<mailto:stepagliara1@gmail.com>, <mailto:stefano.pagliarani9@unibo.it> stefano.pagliarani9(a)unibo.it<mailto:stefano.pagliarani9@unibo.it> Zoom: https://unibo.zoom.us/j/3755841669 -----------------------------------------------------------------------------------------------------------------------

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Fwd: Summer School Ischia ESI
by Roy Cerqueti 09 May '24

09 May '24

Dear all, please, find the flyer of this Summer School, that can be of interest to some young scholars. Thank you. Yours sincerely, Roy Cerqueti -- *Fai crescere le giovani ricercatrici e i giovani ricercatori*** *con il 5 per mille alla Sapienza* Scrivi il codice fiscale dell'Università *80209930587 **Cinque per mille <https://www.uniroma1.it/it/node/23149>*

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Fwd: Next LTI@Unito Seminar: Stéphane Villeneuve | May 13 @ 12:00 - 13:00
by Luca Regis 08 May '24

08 May '24

Dear colleagues, please find below the announcement of the seminar by Stephane Villeneuve (TSE) organized by LTI@UniTO and Collegio Carlo Alberto. The seminar can be attended via zoom clicking on the button below. Best regards, Luca Regis ---------------------------------------- Associate Professor ESOMAS Department, University of Torino Affiliate, Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti Next LTI@Unito Seminar: Stéphane Villeneuve | May 13 @ 12:00 - 13:00 <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeFuBop7S3TtlKvKzHBSs/4oJ_v…> LTI@UniTO and Fondazione Collegio Carlo Alberto are pleased to invite you to the following seminar: *May 13, 2024 | 12:00 - 13:00* *Dynamic contracting with many agents* *Stéphane Villeneuve (Toulouse School of Economics)* *Abstract: *We analyze dynamic capital allocation and risk sharing between a principal and many agents, who privately observe their output. The state variables of the mechanism design problem are aggregate capital and the distribution of continuation utilities across agents. This gives rise to a Bellman equation in an infinite dimensional space, which we solve with mean-field techniques. We fully characterize the optimal mechanism and show that the level of risk agents must be exposed to for incentive reasons is decreasing in their initial outside utility. We extend classical welfare theorems by showing that any incentive-constrained optimal allocation can be implemented as an equilibrium allocation, with appropriate money issuance and wealth taxation by the principal. To attend online, join Zoom meeting <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeG13GxwPEe3FQkdjFU38/HGpf3…> *Fondazione Collegio Carlo Alberto* Piazza Arbarello 8 - 10122 Torino, Italy phone: +3901115630800 <tel:+3901115630800> segreteria(a)carloalberto.org - www.carloalberto.org <https://4z5y5.r.sp1-brevo.net/mk/mr/sh/SMJz09SDriOHWoY4zxneDRikeAJG/JT1digZ…> <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeG7uj6lMPoCjWZwTDmdO/xbd5a…> <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeGEmBFaJayMDcPFDC5De/7R5hd…> <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeGLddOPGm8VhiEXxANnu/KmFdZ…> <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeGSV5XEDxIfBo3qh8gOA/THQZY…> <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeGZMXg3B8Softt9R6yyQ/xDNI-…> <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeGgDzos8Jcy9ziSB5HYg/jDbOw…> *Founders* <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeGn5Rxh5Un7e5Xkv3a8w/r0Vb5…> <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/SMK1E8tHeGtwu6W2fxH8BN3f1sjC/phw27…> *Sostieni il Collegio Carlo Alberto con il 5x1000 | c.f. 94049090015* *INFORMATION UNDER THE NEW GENERAL DATA PROTECTION REGULATION (GDPR)* Your personal information has been gathered for the exclusive purpose of informing you about the Collegio's initiatives, considering our and your legitimate interest or your consent. If you wish to have your personal data modified please contact Fondazione Collegio Carlo Alberto, piazza Arbarello 8, 1022 Torino, Italy - phone:+39011 15630 800 - privacy(a)carloalberto.org <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/1t6Af4OiGsDhYHezxFlTns9XmrPqba/o-w…> To find out about the policies regarding the processing of personal data pursuant to articles 13-14 of EU Regulation 2016/679, consult the information at the following link _https://www.carloalberto.org/privacy/_ <https://4z5y5.r.sp1-brevo.net/mk/cl/f/sh/1t6Af4OiGsE9szrQLbrOy8DNAgOaJe/Drj…> *Unsubscribe* <https://4z5y5.r.sp1-brevo.net/mk/un/sh/SMJz09a0vkbXsu1klhxRMEbrtrvO/3tb3NOW…> *© 2022 Fondazione Collegio Carlo Alberto*

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STATISTICAL REFLECTIONS: Half-day Workshop on Statistical Methods - Ca’ Foscari University (Scientific Campus Venezia Mestre)
by Carlo Gaetan 08 May '24

08 May '24

Dear all, the STREAM group (https://www.unive.it/pag/16818/) of the Ca’ Foscari university invites to *STATISTICAL REFLECTIONS* *Half-day Workshop on Statistical Methods* *Venice May 22, 2024* Ca’ Foscari University Scientific Campus Aula Delta 1B Via Torino 155 Venezia Mestre Program: -14:00 David Firth (University of Warwick): Compositional quasi-likelihood and logit models -14:45 Ioannis Kosmidis (University of Warwick): Consistent, tuning-free model selection in regression problems -15:30 Omiros Papaspiliopoulos (Bocconi University): Functional estimation of the marginal likelihood Abstracts: Professor David Firth University of Warwick, UK https://warwick.ac.uk/dfirth Compositional quasi-likelihood and logit models A composition vector describes the relative sizes of parts of a thing. Some important modern application areas are microbiome analysis, time-use analysis and archaeometry (to name just three). We develop model-based analysis of composition, through the first two moments of measurements on their original scale. In current applied work the most-used route to compositional data analysis, following an approach introduced by the late John Aitchison in the 1980s, is based on contrasts among log-transformed measurements. The quasi-likelihood model framework developed here provides a general alternative with several advantages. These include robustness to secondary aspects of model specification, stability when there are zero-valued or near-zero measurements in the data, and more direct interpretation. Linear models for log-contrast transformed data are replaced by generalized linear models with logit link, and variance-covariance estimation is straightforward via suitably standardized residuals. Joint work with Fiona Sammut, University of Malta. Professor Ioannis Kosmidis University of Warwick, UK https://www.ikosmidis.com Consistent, tuning-free model selection in regression problems We present a family of consistent model selection procedures for regression problems, which appropriately threshold readily available statistics after estimating the model with all covariate information. The model selection procedures rely only on standard assumptions about information accumulation that guarantee the typically expected asymptotic properties of the estimators (e.g., consistency) and require neither the selection of tuning parameters nor the fitting of all possible models. We apply our thresholding methodology in widely used statistical models (e.g. generalized linear models and beta regression), demonstrate that it is easily implementable as part of the standard maximum likelihood output, and compare its performance to existing techniques, illustrating its effectiveness. Joint work with Patrick Zietkiewicz, University of Warwick. Professor Omiros Papaspiliopoulos Bocconi University, Italy https://dec.unibocconi.eu/people/omiros-papaspiliopoulos Functional estimation of the marginal likelihood We consider the problem of exploring the marginal likelihood of low-dimensional hyperparameters from high-dimensional Bayesian hierarchical models. We provide a unified framework that connects seemingly unconnected approaches to estimating normalizing constants, including the Vardi estimator, the umbrella sampling and the Gibbs sampler. The framework requires Monte Carlo sampling from the posteriors of the high-dimensional parameters for different values of the hyperparameters on a lattice. We establish a surprising reproducing property that leads to a functional estimator of the marginal likelihood and establish consistency both fixed-lattice and lattice-infill consistency. The resultant method is highly practical, black-box with theoretical guarantees. Best regards, Carlo Gaetan -- - Dipartimento di Scienze Ambientali, Informatica e Statistica - DAIS Università Ca' Foscari - Venezia Z.A12 - Edificio Zeta Via Torino, 155 I-30172 Mestre (VE) ITALY phone: ++39 041 234 8404 e-mail:[gaetan"at"unive"dot"it] web:[http://www.dais.unive.it/~gaetan] Please don't print this e-mail unless you really need to. Please avoid sending me Word, Excel or PowerPoint attachments. Seehttp://www.gnu.org/philosophy/no-word-attachments.html. Per favore non stampate questo messaggio se non è proprio necessario. Per favore non mandatemi allegati in Word, Excel o PowerPoint. Le ragioni sono spiegate quihttp://www.gnu.org/philosophy/no-word-attachments.it.html

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