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LTI@Unito webinar: Maria Flora (CREST, ENSAE) “The liquidity uncertainty premium puzzle” | May 17, 2021 @12:45
by Luca Regis 12 May '21

12 May '21

Dear Colleagues, I am happy to share with you the following invitation to the Quantative Finance webinar organized by LTI@UniTO and Collegio Carlo Alberto, “The liquidity uncertainty premium puzzle” by Maria Flora (CREST, ENSAE, Institut Polytechnique de Paris), which will take place on Zoom on May 17, at 12.45. Below you find the Zoom link and an abstract of the presentation. Best regards, Luca Regis <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/8Hh8hw5fQzN4jQSpBpJlwM967VPpREqhwi…> <#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the following workshop <#> *May 17, 2021 | 12:45 - 13:45* *“The liquidity uncertainty premium puzzle”* *Maria Flora (CREST, ENSAE, Institut Polytechnique de Paris)* <#> *Abstract*: We address a classical puzzle in financial economics: the counter-intuitive negative relation between volatility of volume and asset returns originally put forward by Chordia, Subrahmanyam, and Anshuman (2001) and confirmed by the subsequent empirical literature. We show that the alleged negative relation is not robust to the aggregation window, nor to the way the volatility of volume is measured. In particular, when we employ high-frequency one-minute volume data, the relation is positive and robust, restoring economic intuition which commends investors’ aversion to liquidity uncertainty. *Zoom link*: https://us02web.zoom.us/j/81109847151?pwd=TEl0L1lNVEtUbjh5RVJvM3pRUG40UT09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/hB0bS22L3Y_ENjUYgp7T2q29i3-4-1d8K-…> Meeting ID: 811 0984 7151 Passcode: 268588 <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/UOaR7QZZ72ijC7nTqdjimVg5pfXen_62Nr…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/xNe5dk_6XysCdtcFZgp9tEdEOiDcNPaSPo…> <#> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org Facebook <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/aYJaD7KHzPThdS0ChTziuoKxUUel5iGJkU…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/vhWcXWrVH_v7eAq6F84bbGMelwvSuUQT3Q…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/dfKa9OGMdhR4lMt-qQMtDhs0uMVON6_UUF…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/FZi5lYdgx-IrtBPfZ_N1VOEbhUdSAHDONW…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/LsxVbQ7peor6-eKyVmNsaiIImZcs_kIZ2U…> <#> *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: +390116705000 - privacy(a)carloalberto.org *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/4yxQgjiLOUKfT5Le7ZNWi9naP-lw6lYItnef…> <#> © 2021 Fondazione Collegio Carlo Alberto

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virtual seminar in Insubria & Bicocca
by Emanuela Rosazza Gianin 12 May '21

12 May '21

Dear all, On *May 20 at 17:00, Cosimo-Andrea Munari* (University of Zurich) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. You can find the title and abstract below. Title: Capital requirements and claims recovery: A new perspective on solvency regulation Abstract: Protection of creditors is a key objective of financial regulation. Where the protection needs are high, i.e., in banking and insurance, regulatory solvency requirements help prevent creditors from incurring losses on their claims. The current regulatory requirements based on Value at Risk and Expected Shortfall limit the probability of default of financial institutions, but fail to control the size of recovery on creditors' claims in the case of default. We resolve this failure by developing a novel risk measure, Recovery Value at Risk. Our conceptual approach is flexible and allows the construction of general recovery risk measures. By design, these risk measures control recovery on creditors' claims and integrate the protection needs of creditors into the incentive structure of the management. The seminar will be on *Zoom*. You can find the information to join below. Speaker: Cosimo-Andrea Munari (Univ. Zurich) Topic: Capital requirements and claims recovery: A new perspective on solvency regulation Time: May 20, 2021 05:00 PM Rome Where: Zoom Link: https://us02web.zoom.us/j/82132902292?pwd=UlJXcE5mT1dmSmhtKzNkS1pXTlRhUT09 ID riunione: 821 3290 2292 Passcode: 912323 After the talk, you are all invited to remain in the meeting for an informal aperitif and chat. Please forward to anyone interested. Kind regards, Elisa Mastrogiacomo and Emanuela Rosazza Gianin ****************************************** 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 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

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Online Seminar @SNS, Julien Guyon (Bloomberg L.P.), May 18 2021 at 4 PM (CEST)
by Giulia Livieri 12 May '21

12 May '21

Dear all, Tuesday, May 18 at 4 PM (CEST) there will be the following online seminar. Speaker: Julien Guyon (Bloomberg L.P.); below the short bio. Title: Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle Abstract: The very high liquidity of S&P 500 (SPX) and VIX derivatives requires that financial institutions price, hedge, and risk-manage their SPX and VIX options portfolios using models that perfectly fit market prices of both SPX and VIX futures and options, jointly. This is known to be a very difficult problem. Since VIX options started trading in 2006, many practitioners and researchers have tried to build such a model. So far the best attempts, which used parametric continuous-time jump-diffusion models on the SPX, could only produce approximate fits. In this talk we solve this long standing puzzle for the first time using a completely different approach: a nonparametric discrete-time model. Given a VIX future maturity T1, we build a joint probability measure on the SPX at T1, the VIX at T1, and the SPX at T2 = T1 + 30 days which is perfectly calibrated to the SPX smiles at T1 and T2, and the VIX future and VIX smile at T1. Our model satisfies the martingality constraint on the SPX as well as the requirement that the VIX at T1 is the implied volatility of the 30-day log-contract on the SPX. The model is cast as the unique solution of what we call a Dispersion-Constrained Martingale Schrodinger Problem which is solved by duality using an extension of the Sinkhorn algorithm, in the spirit of (De March and Henry-Labordere, Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants, 2019). We prove that the existence of such a model means that the SPX and VIX markets are jointly arbitrage-free. The algorithm identifies joint SPX/VIX arbitrages should they arise. Our numerical experiments show that the algorithm performs very well in both low and high volatility environments. Finally, we discuss how our technique extends to continuous-time stochastic volatility models, via what we dub VIX-Constrained Martingale Schrodinger Bridges, inspired by the classical Schrodinger bridge of statistical mechanics. The resulting stochastic volatility model is numerically implemented and is shown to achieve joint calibration with very high accuracy. Time permitting, we will also briefly discuss a few related topics: (i) a remarkable feature of the SPX and VIX markets: the inversion of convex ordering, and how classical stochastic volatility models can reproduce it; (ii) why, due to this inversion of convex ordering, and contrary to what has often been stated, among the continuous stochastic volatility models calibrated to the market smile, the local volatility model does not maximize the price of VIX futures. Short bio: Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU, and a Louis Bachelier Fellow. Julien serves as an Associate Editor of SIAM Journal on Financial Mathematics, Finance & Stochastics, and Journal of Dynamics and Games, and as a Managing Editor of Quantitative Finance. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years, and was an adjunct professor at Universite Paris Diderot and Ecole des Ponts ParisTech. Julien co-authored the book Nonlinear Option Pricing (Chapman & Hall, 2014) with Pierre Henry-Labordere. He has published more than 20 articles in peer-reviewed journals (including Finance & Stochastics, SIAM Journal on Financial Mathematics, Quantitative Finance, Risk, Journal of Computational Finance, Annals of Applied Probability, Stochastic Processes and their Applications) and is a regular speaker at international conferences, both academic and professional. His main research interests include nonlinear option pricing, volatility and correlation modeling, (nonlinear) optimal transport, and numerical probabilistic methods. A big soccer fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro both in academic journals and in top-tier newspapers such as The New York Times, The Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup. Some of his suggestions for draws and competition formats have already been adopted by FIFA and UEFA. His paper "Risk of collusion: Will groups of 3 ruin the FIFA World Cup?" won the 2nd prize at the 2021 MIT Sloan Sports Analytics Conference, the biggest sports analytics event in the world. The link for joining the meeting is: https://teams.microsoft.com/l/meetup-join/19%3ameeting_MzdlZDljNmMtZDU3Zi00…

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Fwd: "Random excursions with Jean Bertoin", second announcement - please register before May 15th
by Faggionato, Alessandra 10 May '21

10 May '21

Buongiorno ricevo ed inoltro l'annuncio per il workshop ``Random excursions with Jean Bertoin". Attenzione alla scadenza imminente per la registrazione. Saluti Alessandra ---------- Forwarded message --------- Da: Grégory Miermont <gregory.miermont(a)ens-lyon.fr> Date: sab 8 mag 2021 alle ore 00:20 Subject: "Random excursions with Jean Bertoin", second announcement - please register before May 15th [Apologies for multiple postings] Dear friends, dear colleagues, This is the second announcement for the conference "Random excursions with Jean Bertoin" in honour of his 60th birthday, to be held in Paris, Sorbonne Université, July 5 to 9, 2021. All relevant information will be available on the conference website at the address http://jb60.math.cnrs.fr which will be regularly updated. Registration, via this webpage, is free but mandatory. *Please note that registration will be closed on May 15th. * Given the current pandemic situation, part of the public and of the speakers will have to attend the conference online. As you register, please indicate whether you would agree to participate from home if needed. We will soon contact all registered participants with information about attending the conference in person or remotely. If you have any questions you can contact Franziska Robmann at franziska.robmann(a)math.uzh.ch Please feel free to forward this message to anyone you think might be interested. We hope to see you all in July! Best wishes, Grégory Miermont, for the organizers. -- ************************************************* 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 *************************************************

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ISBA@CIRM (France)
by Julyan Arbel 10 May '21

10 May '21

Dear all, There will be a mirror workshop for ISBA world meeting, 28 June – 2 July, at CIRM in Marseille calanques (France). It is now possible to register to CIRM: https://conferences.cirm-math.fr/2701.html There is no registration fee, the only cost being the full-board on-site accommodation at CIRM to be paid upon arrival. More details: https://xianblog.wordpress.com/2021/05/10/isbcirm-through-the-looking-glass/ Best, Julyan Arbel Inria Grenoble Rhône-Alpes http://www.julyanarbel.com/ @JulyanArbel

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Internships in supervised machine learning at the Basque Center for Applied Mathematics, Bilbao, Spain
by Gianni Pagnini 10 May '21

10 May '21

Cari colleghi, Vorrei diffondere attraverso questa mailing-list l’avviso di due possibilità di internship della durata di 3 mesi presso il BCAM di Bilbao su temi legati al machine learning. La scadenza per inviare le domande è il 1 Luglio. I link per accedere alla descrizione delle proposte sono i seguenti http://www.bcamath.org/documentos_public/archivos/internships/BCAM_Internsh… <http://www.bcamath.org/documentos_public/archivos/internships/BCAM_Internsh…> http://www.bcamath.org/documentos_public/archivos/internships/BCAM_Internsh… <http://www.bcamath.org/documentos_public/archivos/internships/BCAM_Internsh…> mentre l’invio delle domande deve avvenire attraverso questo http://www.bcamath.org/en/research/internships <http://www.bcamath.org/en/research/internships> Grazie. Saluti, Gianni — Gianni Pagnini Ikerbasque Research Associate BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini ( matematika mugaz bestalde )

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Two postdoc positions at Lille (France)
by Giovanni Conforti 10 May '21

10 May '21

Ricevo e inoltro %%%%%%%%%%%%%%%%%%%%%%%% Dear colleagues, Two 1-year postdoc positions are available at Institut Mines Télécom (IMT) Lille Douai, France, from September 2021: * with Benoît Henry and David Coupier, Beyond5G project; * with David Coupier, ANR GrHyDy. More informations can be found in the attached files. To be widely distributed, David Coupier

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bando dottorato "Methods and Models for Economic Decisions"
by Enrico Moretto 10 May '21

10 May '21

agli amministratori della lista Random; con la presente chiedo, se del caso, di inviare all'indirizzario RANDOM il seguente annuncio relativo al bando per l'ammissione al dottorato "Methods and Models for Economic Decisions", 37-esimo ciclo, offerto dal Dipartimento di Economia, Università dell'Insubria. Grazie mille. Cordiali saluti, enrico moretto *** Si informano i colleghi interessati, con preghiera di diffusione, che il bando del nuovo ciclo del dottorato "Methods and Models for Economic Decisions" è stato pubblicato sul sito internet dell'Ateneo dell'Insubria ed è disponibile ai seguenti link: https://www.uninsubria.it/la-didattica/dottorati-di-ricerca https://www.uninsubria.it/opportunita/ammissione-al-dottorato-methods-and-m… https://www.uninsubria.eu/programs/phd-doctoral-research Scadenza per le domande: 15 giugno. Cordiali saluti -- Dipartimento di Economia Università dell'Insubria #ChiarementeInsubria https://www.uninsubria.it/hpp/enrico.moretto

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LTI@Unito/CCA webinar in Quantitative Finance: “Self Inflicted Debt Crises”, Theo Dimpoulos (HEC Lausanne) | May 12, 2021 @12:00
by Luca Regis 07 May '21

07 May '21

Dear Colleagues, I am happy to share with you the following invitation to the Quantative Finance webinar organized by LTI@UniTO and Collegio Carlo Alberto, “Self Inflicted Debt Crises” by Theo Dimopoulos (HEC Lausanne), which will take place on Zoom on May 12, at 12.00. Below you find the Zoom link and an abstract of the presentation. Best regards, Luca Regis <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/4a6SaiafujNub6pHriwakj0wncDAbmtUwm…> <#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the next webinar <#> *May 12, 2021 | 12:00-13:15* *“Self Inflicted Debt Crises”* *Theo Dimopoulos (HEC Lausanne)* <#> *Abstract*: The restrictions on economic activity in the Covid-19 pandemic have led to a looming debt crisis. In a dynamic model of strategic default and debt renegotiation, we show how to resolve debt crises depending on borrowers’ time-inconsistent preferences. Myopic borrowers misprice their option to default by a U-shaped negative pricing error, which causes imperfect consumption smoothing, underinvestment in normal times, and risk shifting in crisis times. The model shows that bailouts need to be tailored to borrowers’ myopia, that lenders and borrowers ultimately self-inflict debt crises through their strategic interaction, that myopic distress can be cheaper to resolve than rational distress, and that myopia can be beneficial for rational agents. Optimal bailouts either punish or reward myopia through smaller or larger transfers, leading to procrastinated default and protracted crises or the reverse, depending on whether transfers exacerbate or alleviate the borrowers’ misperception of default risk. *Zoom Link*: https://us02web.zoom.us/j/86981911369?pwd=enM0c0lRM1BqOUhiNXJ1b1hoRUFkZz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/hbrUdAY_KcHiYFp-zoUEFWWBp9T0Kg0cUl…> Meeting ID: 869 8191 1369 Passcode: 166986 <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Kc1f2ufQnOOWcPREh0lKmL7Q4fzC6kZTEu…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/b-edRrCQzu0enNR_azA3LGWp3pL_izmv84…> <#> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org Facebook <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Gt2401hi4FK-WGDLZAuu96sNqvjzd4A07j…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/dMAP2G9V5OGEVQgiZTVGvRpJC3GmNfL6Kc…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/ZfldktwuWczKYK5tZjUQN--QuFGPkzyS3J…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/lxHhxw7_pN8bfa4lRN1Ro0KNXDKFYNSqGI…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/toZ5omiJqAM-e_mmWMFepsHZKCAJ2-Skq2…> <#> *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: +390116705000 - privacy(a)carloalberto.org *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/VBSMfA5QdgOL83sSDLP1ssvlYSrtMdGDR3mB…> <#> © 2021 Fondazione Collegio Carlo Alberto

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Phd Position at the Turin and Pau Universities
by Bruno Toaldo 07 May '21

07 May '21

The PhD School of the University of Turin, in the context of the PhD course in "Modeling and Data Science", offers: 1 PhD position on the project "Numerical approximations of non-local parabolic equations based on stochastic and finite elements methods and applications", starting on Nov 1, 2021. The project is a joint research initiative of the Stochastic group in the Dept. of Mathematics at the University of Turin (Italy) and the Numerical Analysis group in the "Laboratoire de Mathématique et de leurs applications" at the University of Pau (France). The advertised position will be based in both universities and will offer ample freedom to suitably organize the stay in the two cities. The possibility of double PhD Degree could be considered. The gross salary is 1458/month during the stay in Turin and could be increased of about 50% during the period in Pau. Embedded in a truly international environment, the student will get excellent research training in a structured programme focussing on challenges at the mathematical foundations of the stochastic and numerical approach to PDEs as well as on challenges arising from its various applications, e.g., in physics, biology, finance or data science. The combined expertise from the Turin and Pau groups will provide a significant breadth in depth and fertile ground for our student's ambitious research ideas. Successful candidates will have an MSc degree (or equivalent) in Mathematics (or a closely related field such as Applied Mathematics, Computational Science, Physics or Statistics), strong knowledge on stochastic processes or numerical methods, and feel eager to engage in the exchange of ideas with the teams in both Turin and Pau. For further information, please contact Bruno Toaldo: bruno.toaldo(a)unito.it -- Prima di stampare, pensa all'ambiente ** Think about the environment before printing Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.en.html <http://www.gnu.org/philosophy/no-word-attachments.html>

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