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de Finetti Risk Seminar - January 2020
by Emanuela Rosazza 14 Jan '20

14 Jan '20

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Nicola Secomandi Tepper School of Business – Carnegie Mellon University Abstract. This paper extends quadratic hedging from European to Bermudan options in discrete time when markets are incomplete and investigates its use for supporting exercise policy optimization. The key idea is to construct date specific approximate replicating portfolios. Hedging any given exercise policy can be done by solving a collection of stochastic dynamic programs. Optimizing the exercise policy based on the resulting martingale measure requires care. If this measure is risk neutral (RN), the value of an optimal such policy, which can be obtained by augmenting the hedging model with an exercise policy optimization step, is a no arbitrage one. Otherwise this approach must be refined by imposing time consistency on exercise policies, although the value of the resulting exercise policy may not be arbitrage free. Following the common pragmatic strategy of specifying quadratic hedging under an RN measure, e.g., one calibrated to market prices, avoids these issues. In particular, it provides a simple hedging policy with immediate practical applicability and is equivalent to exercise policy optimization under RN valuation, thus complementing it with a consistent hedging policy. A simple numerical example shows that this procedure generates effective hedging policies LOCATION: The seminar will be held on Wednesday, January 15, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) ******************************************************************************************* 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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Seminar Announcement: M. Glanzer (univie) at Polimi
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, at 11:00 o'clock, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Seminar annoucement at POLIMI- Talk by Martin GLANZER (Univie)
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Probability Seminar: Richard Kraaij (TUDelft) [Padova, Tue 14/01 (TOMORROW), 11am]
by Francesca Collet 13 Jan '20

13 Jan '20

*** REMINDER *** ____________________________________________________________________________________________________ DR. RICHARD C. KRAAIJ (Delft University of Technology) “Large deviations for weakly coupled slow-fast systems via the comparison principle of an associated Hamilton-Jacobi equation” Tuesday 14 January (TOMORROW), 11:00; room 1BC50, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova ABSTRACT. In statistical physics many interesting phenomena, e.g. behavior of systems at critical parameters or in the theory of hydrodynamic limits, arise from systems having multiple time-scales. A slow component is influenced by fast components, and as the number of interacting components tends to infinity, limiting results for the slow component are obtained in terms of `averaged' versions of the fast components. I will consider in my talk the fluctuations (large deviations) of coupled Markovian systems with two-time scales. These fluctuations can arise from two sources: fluctuations of the slow process itself, or fluctuations of the large time averages of the fast process, effectively leading to a competition of two fluctuation effects. To obtain the large deviation principle, we consider an associated Hamilton-Jacobi-Bellman equation of which the Hamiltonian is given in terms of the two fluctuation effects. We establish under mild conditions that this Hamilton-Jacobi-Bellman equation is well-posed, and as a consequence that we have a large deviation principle for a wide class of weakly coupled Markov processes. Based on joint work with Mikola Schlottke (Eindhoven, The Netherlands). ____________________________________________________________________________________________________

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OSD2020-14th International Conference on Ordered Statistical Data
by malongob＠unina.it 13 Jan '20

13 Jan '20

Dear all, we are glad to announce the 14th International Conference on Ordered Statistical Data - OSD2020, that will take place on May 26-29 at Vietri sul Mare (SA), Italy. The conference website is http://www.osd2020.unina.it/ The conference is devoted to recent advances and trends in the mathematical theory of ordered statistical data, including order statistics and their generalizations, and their applications in reliability, statistics and lifetime analysis. The scientific program will include plenary talks and sessions of contributed talks. It is our pleasure to point out the presence of Prof. Fabio Spizzichino in the list of keynote speakers of the conference. We look forward to welcome you in Vietri sul Mare. Chief organizers, Maria Longobardi and Franco Pellerey

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Robust Statistics @Lake Como: registration is now open!
by Francesca Greselin 13 Jan '20

13 Jan '20

*** apologies for cross posting *** Dear all, the III International School on Classification and Data Analysis, on *ROBUST STATISTICS: FOUNDATIONS and RECENT DEVELOPMENTS* will take place on the enchanting shores of Lake Como, Italy, on May 4-8, 2020. It is intended for Ph.D. Students, M.S. Students, Post-Docs, Young and Junior researchers. Robust statistics is at the forefront of statistical research, and a central topic in multidisciplinary science where mathematical ideas are used to model and understand the real world, without being affected by contamination that could occur in the data. Nowadays, with the increasing availability of Big data, robust statistical methods are crucially needed. The aim of this course is three-fold: present novel models to describe real-world phenomena, and their properties; study their behavior under different kinds of contamination; discuss their implementation through computational methods. The lecturers are amongst the most influential scholars in the field: Anthony Atkinson <https://www.researchgate.net/profile/Anthony_Atkinson3>, London School of Economics, UK Agustin Mayo-Iscar <https://www.researchgate.net/profile/Agustin_Mayo>, University of Valladolid, ES Marco Riani <https://www.researchgate.net/profile/Marco_Riani>, University of Parma, IT Anna Maria Paganoni <https://www.researchgate.net/profile/Anna_Paganoni>, Politecnico di Milano, IT The school is organized by the Classification and Data Analysis Group of the Italian Statistical Society <http://cladag.it/>, under the auspices of the European Regional Section <https://iasc-isi.org/ers-mission/> (ERS) of the International Association for Statistical Computing <https://iasc-isi.org/> (IASC). Please note that the conference room allows only for a very limited number of participants (no more than 30). The registration deadline is March 4th 2020. For more information, visit the School website: https://rsfd.lakecomoschool.org/

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Call for Interest: 2-year senior post-doc position at the University of Padova
by Claudio Fontana 12 Jan '20

12 Jan '20

Dear all, This is a CALL FOR INTEREST FOR A 2-YEAR POSTDOCTORAL POSITION AT THE DEPARTMENT OF MATHEMATICS OF THE UNIVERSITY OF PADOVA (ITALY), within the STARS@UNIPD project PRISMA under the supervision of Claudio Fontana (personal webpage: https://sites.google.com/site/fontanaclaud). The primary goal of the PRISMA project is the development of new stochastic methods for the modelling of information in finance and insurance. We are looking for a highly motivated candidate with a solid background in STOCHASTIC ANALYSIS AND MATHEMATICAL FINANCE. A PhD degree in these fields is a necessary requirement. Previous research experience in arbitrage theory, stochastic filtering, enlargement of filtrations, mean-field games, or interest rate modelling will be appreciated. The candidate should have the ability to drive discovery by working independently, interacting with colleagues with different backgrounds and establishing relevant collaborations. Knowledge of the Italian language does not represent a requirement and language courses are offered by the University of Padova. We offer a stimulating research environment, an exciting research project, excellent working conditions. Salary is fixed at a top level for a post-doctoral position at the University of Padova, corresponding to about 2100 euros/month (net of taxes). Generous financial support is available for participation to international conferences and workshops. The selected candidate will not have mandatory teaching duties. The Probability and Finance group (https://www.math.unipd.it/en/research/areas/probability-and-finance) at the University of Padova is a dynamic research unit, with a strong international visibility and well-established collaborations with foreign institutions and world leaders in the field of mathematical finance. The University of Padova provides excellent support to foreign candidates. Padova is a beautiful city in the Venetian region, home to one of the oldest universities in the world, with a thriving student life and an excellent quality of life. The position will be officially opened in February 2020, the selection procedure is expected to take place in March 2020 and the position will then start as soon as possible. The effective starting date can be arranged depending on the individual needs of the selected candidate, but cannot be later than September 1st, 2020. For any further information and expressions of interest on this position, please contact directly Claudio Fontana at fontana(a)math.unipd.it Best regards (and apologies for cross posting), Claudio Fontana

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inizio corso dottorato Peccati-Rossi a Pisa
by Dario Trevisan 12 Jan '20

12 Jan '20

Salve, comunico agli interessati che in data *mercoledì 15/01/2020, ore 14:00-17:00 in AULA 2, dipartimento di Matematica, Università di Pisa* avrà luogo la prima lezione del corso "Stochastic analysis on Gaussian and Poisson spaces, functional and geometric applications" tenuto da Giovanni Peccati (Univ. del Lussemburgo) e Maurizia Rossi (Univ. Milano-Bicocca). Il corso proseguirà con due lezioni nella stessa settimana, giovedì 16/01/2020, ore 14-17 e venerdì 17/01/2020, ore 10-13, sempre in AULA 2, dipartimento di matematica. Le lezioni successive saranno comunicate agli interessati. Mi scuso con lo scarso preavviso e con i non interessati. Saluti, Dario -- Dario Trevisan <dario.trevisan(a)unipi.it>

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Minicorsi Febbraio 2020
by Stefano Bonaccorsi 10 Jan '20

10 Jan '20

Carissimi, Vorrei rendere noto che dal 12 al 14 febbraio 2020, presso il Dipartimento di Matematica dell’Università degli Studi di Trento, si terrà la nuova edizione dei “Primer on Data Science”. Questa edizione è dedicata a “Matematica finanziaria e statistica attuariale”. Vi saranno tre minicorsi: 1. Arrigo Pitacco, su “A lesson from actuarial mathematics: be stochastic but also, from time to time, reasonably deterministic” 2. Giovanni Alessandro Zanco, su “System with controls and interaction: mean field games and economic” 3. Paolo Pigato, su “An introduction to mathematical option pricing” Il corso è aperto a studenti delle lauree triennali e magistrali, nonché a dottorandi e agli addetti del settore. Per ragioni organizzative il numero di posti disponibili è limitato. Tutte le informazioni sono disponibili alla pagina web http://datascience.maths.unitn.it/events/pds2020/ Per il comitato organizzatore Stefano Bonaccorsi

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Berlin-Oxford International Research Training Group (IRTG) 2544 “Stochastic Analysis in Interaction”
by Tiziano De Angelis 10 Jan '20

10 Jan '20

Dear All, I was asked to send a reminder of the advert below for PhD opportunities in Berlin and Oxford. The deadline for applications is 20 January. Best wishes Tiziano --------------------------------------------- The recently established Berlin-Oxford International Research Training Group (IRTG) 2544 “Stochastic Analysis in Interaction” offers 8 PhD positions (75% TVL E 13, about 1700 EUR after taxes, social security, ...) for 3 years starting April 1st, 2020, or soon thereafter. Funded by the Deutsche Forschungsgemeinschaft (DFG), the IRTG is a joint research initiative of the stochastic analysis group of FU, HU, TU and WIAS Berlin with its counterpart at the University of Oxford. The advertised positions will be based in Berlin and will offer ample opportunities to interact also with members of the Oxford team, most notably in a 6-months exchange. Embedded in a truly international environment, the IRTG students will get excellent research training in a structured programme focussing on challenges at the mathematical foundations of Stochastic Analysis as well as on challenges arising from its various applications, e.g., in physics, biology, finance or data science. The combined expertise from the Berlin and Oxford groups will provide a significant breadth in depth and fertile ground for our students' ambitious research ideas. Successful candidates will have an MSc degree (or equivalent) in Mathematics (or a closely related field), strong knowledge of stochastic analysis, and feel eager to engage in the exchange of ideas with the teams in both Berlin and Oxford. Deadline for applications is January 20, 2020 (for now). Please see https://tub.stellenticket.de/de/offers/74386/ for the official job ad and for instructions how to apply. Our IRTG webpage www.math.tu-berlin.de/irtg offers more information on the Berlin-Oxford IRTG 2544.

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