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Seminario Lucian Maticiuc [ Dipartimento Informatica UniVr ]
by Luca di persio 28 Mar '14

28 Mar '14

Il giorno Mercoledì 9 Aprile, alle ore 17 [ rinfresco ore 16:45 ] presso il Dipartimento di Informatica Università degli studi di Verona , strada le Grazie 15, Verona Lucian Maticiuc "G. Asachi" Technical University, Romania terrà un seminario dal titolo Stochastic Differential Delay Systems and Optimal Control Problems *Abstract* We show the existence and the uniqueness of the solution for some multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type). Afterwards we consider optimal control problems where the state X is a solution of a controlled delay stochastic system as above. We establish the dynamic programming principle for the value function and finally we prove that the value function is a viscosity solution for a suitable Hamilton- Jacobi-Bellman type equation. __ 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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seminario di Daniele Marazzina presso Prometeia - Bologna
by Giacomo Scandolo 28 Mar '14

28 Mar '14

Il giorno Giovedì 3 Aprile 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Daniele MARAZZINA (Politecnico di Milano) terrà un seminario dal titolo "Fast pricing of discretely monitored exotic options by a numerical Wiener-Hopf procedure" Abstract We present a fast and accurate pricing techniques based on the Spitzer identity and the Wiener-Hopf factorization. We apply it to barrier and lookback options when the monitoring is discrete and the underlying evolves according to an exponential Lévy process. The numerical implementation exploits the fast Fourier transform and the Euler summation. The computational cost is independent of the number of monitoring dates; the error decays exponentially with the number of grid points.

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Seminario Lucian Maticiuc [ UniTn ]
by Luca di persio 28 Mar '14

28 Mar '14

*Giovedì 3 aprile **ore 10.00* *------------------------------ * *Aula Seminari - Dipartimento di Matematica* *------------------------------ * *"Backward S**tochastic Variational Inequalities with* *Time Delayed Generators"* *Lucian Maticiuc* *(**"Gheorghe Asachi" Technical University and "Alexandru Ioan Cuza" University, Iasi, Romania)* *ABSTRACT*: We show the existence and the uniqueness of the solution for the following multivalued backward stochastic differential equation withtime-delayed generators: Where is the subdifferential operator of a proper convex lower semicontinuous function *Referente*: *Luca Di Persio* -- __ 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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Seminario ROUSSEAU
by Matteo Ruggiero 28 Mar '14

28 Mar '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 4 Aprile 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Judith ROUSSEAU (Université Paris Dauphine) BEHAVIOUR OF THE POSTERIOR DISTRIBUTION IN HMM MODELS WHEN THE NUMBER OF STATES IS MISSPECIFIED Abstract: In this paper we study the asymptotic behaviour of the posterior distribution for parametric HMM models with finite number of components. We concentrate in particular on the case where the number of states of the hidden Markov chain in the model is larger than the true number of states. In such cases the parameter is not identifiable. We study the impact of the prior on the transition matrix on the asymptotic behaviour of the posterior distribution. In particular that if some independent Dirichlet priors are considered on each row of the transition matrix we can identify different types of behaviour of the asymptotic posterior distribution depending on the choice of the parameter of the Dirichlet distributions. A link is made with static mixture models and some numerical study is conducted to illustrate the results and investigate the behaviour of the posterior in cases where no theoretical results are provided. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --------- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

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seminario di Pablo Ferrari a Roma Tre
by pietro caputo 28 Mar '14

28 Mar '14

Martedi 1 Aprile, alle ore 14:30 in aula 311 del Dipartimento di Matematica e Fisica dell'Universita' di Roma Tre, il Prof. Pablo Ferrari (Buenos Aires) terra' un seminario su: "Yaglom limits via Holley inequality" Abstract: We consider Markov chains on a countable partially ordered state space with an absorbing state. Assume that the absorbed chain has a quasi stationary distribution. We give sufficient conditions on the transition probabilities to guarantee that the law of the chain at time n conditioned to non absorption is monotone non decreasing in n. As a consequence the Yaglom limit (the limit of the conditioned chain starting from a minimal state, as n goes to infinity) converges to a quasi stationary distribution; the limit is minimal for the stochastic order of measues. The approach uses a dynamics on the space of trajectories and Holley inequality. Joint work with Leonardo Rolla.

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Mercati Energetici e Metodi Quantitativi - edizione 2014
by Tiziano Vargiolu 25 Mar '14

25 Mar '14

(chiedendo scusa in anticipo per eventuali ripetizioni) Buongiorno, volevamo ricordare che la scadenza per presentare contributi al workshop "Mercati Energetici e Metodi Quantitativi: un Ponte tra Universit? e Aziende" e' MARTEDI' 1. APRILE. Tutte le informazioni sul sito web http://www.unponte2014.stat.unipd.it/ dove si possono anche trovare gli interventi gia' accettati: http://www.unponte2014.stat.unipd.it/programma.htm Inoltre ricordiamo che quest'anno abbiamo deciso di estendere l'iniziativa organizzando, nei due giorni precedenti la conferenza, quattro tutorial sui seguenti argomenti: - Introduzione ai mercati dell'energia e del gas - Rischio di credito e di controparte nei mercati energetici - Strumenti di analisi e di previsione per i mercati energetici. - Tecniche di gestione di portafoglio e di ottimizzazione: i contratti strutturati nei mercati dell'energia. Tutte le informazioni sui tutorial si trovano alla pagina http://events.math.unipd.it/memq2014/ In attesa di rincontrarci a Padova, porgiamo i nostri pi? Cordiali Saluti, gli Organizzatori Giorgia Callegaro Enrico Edoli Francesco Lisi Tiziano Vargiolu

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Avviso di seminario :: Liseo@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 25 Mar '14

25 Mar '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 28 Marzo, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma BRUNERO LISEO (Dip. di metodi e modelli per il territorio, l'economia e la finanza, Sapienza Università di Roma) terrà un seminario dal titolo APPROXIMATE BAYESIAN INFERENCE FOR COPULA MODELS 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 - Fulvio De Santis --- Summary Si propone un metodo per la stima di un funzionale di interesse relativo ad un modello multivariato. Il metodo è basato su una rappresentazione in termini di copula e sfrutta alcuni recenti sviluppi delle tecniche computazionali bayesiane approssimate che utilizzano metodi di verosimiglianza empririca. Il termine "approximate" nel titolo è dovuto a due fattori: i) il processo di elicitazione è limitato al solo funzionale di interesse e alle distribuzioni marginali. ii) Non si utilizza la "vera" funzione di verosimiglianza, bensì una sua approssimazione empirica (Owen, 2010).

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call for associate professor
by Fausto Gozzi 24 Mar '14

24 Mar '14

LUISS Guido Carli, Rome Department of Economics and Finance Position Title Associate Professor in Microeconomics Associate Professor in Macroeconomics Associate Professor in Mathematical Finance (Call for Interest) Data di pubblicazione 20/03/2014 Type of position: Full time - Tenured Discipline Economics / Math finance description: The Department of Economics and Finance at LUISS Guido Carli (Rome) is seeking to fill tenured positions at Associate Professor level in Microeconomics, Macroeconomics and Mathematical finance. Teaching needs are at all levels: Undergraduate, Masters and Ph.D, in English (and possibly Italian). Candidates will hold a Ph.D. from a recognized Research University, an established teaching experience and an appropriate record of publications in respected and highly ranked international journals. Candidates will also have either an associate professor status in a University or have recently obtained the appropriate national qualification (ASN) of the Italian University System (SECS P01 SECS S06). CVs may be sent only via email to: Giorgio Di Giorgio, Dean, Economics and Finance, def(a)luiss.it Application Deadline for expressing interest: 15/04/2014 Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old addresses: Fausto Gozzi Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facolta' di Economia Universita' di Roma La Sapienza via del Castro Laurenziano 9 00161 Roma Italy tel 06/49766275 (office) FAX 06/49766765 and also Fausto Gozzi Dipartimento di Matematica Universita' di Pisa via Filippo Buonarroti n. 2 56127 Pisa Italy tel 050/2213270 FAX 050/2213224 e-mail: GOZZI(a)DM.UNIPI.IT --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Post-doc position in Tor Vergata
by Domenico Marinucci 24 Mar '14

24 Mar '14

APOLOGIES FOR CROSS-POSTING ONE POST-DOCTORAL POSITION IN ROME – TOR VERGATA Applications are invited for a postdoctoral position at the Department of Mathematics- University of Rome Tor Vergata. TITLE PASCAL: PROBABILISTIC AND STATISTICAL TECHNIQUES FOR COSMOLOGICAL APPLICATIONS – Fourth Level QUALIFICATIONS AND ASSESSMENT GROUNDS FOR APPOINTMENT The candidates should have completed, or should be expecting to complete soon, a PhD in Mathematics, Statistics, Physics or related fields. JOB DESCRIPTION The postdoctoral positions are part of the ERC project PASCAL, (Principal Investigator: Domenico Marinucci, http://www.mat.uniroma2.it/~marinucc/). The successful applicant is expected to work on the themes of the project which include, but are not restricted to: Random fields on the sphere, spectral representations, characterizations of isotropy and Gaussianity, geometry of Gaussian fields, angular power spectra and polyspectra, spherical wavelets/needlets, statistical estimation for spin random fields, Poisson processes and adaptive estimation of density functions on the sphere, with applications and motivations from the analysis of Cosmic Microwave Background radiation data, Cosmic Rays, Weak Gravitational Lensing experiments. SALARY Salary is fixed at 34,000 euros per year (e.g., 2580 Euros net per month approximately), plus pension benefits. Financial support will be available for travels. The position is for two years. HOW TO APPLY Candidates must apply by email to the address: Pascal_4th_level_2014(a)applications.uniroma2.it specifying in the subject “PASCAL - fourth level grant” and including the following: a) a contact email address; b) curriculum vitae; c) date and title of their undergraduate or Master’s degree; d) date and title of their PhD degree (or expected completion date); e) a list of relevant publications; f) any other document deemed useful for the present selection procedure. The candidate should ask for at least two recommendation letters to be sent directly to the same email address as for the application. The subject of the email messages should indicate the applicant’s name. For the purposes of the completion of the admission application the only languages permitted are Italian and English. The application and all the other documents must be received by April 30, 2014. INFORMATION For further information please contact Domenico Marinucci at marinucc(a)mat.uniroma2.it @@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata http://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@

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PhD positions in Oslo (fwd)
by Tiziano Vargiolu 21 Mar '14

21 Mar '14

---------- Forwarded message ---------- Date: Fri, 21 Mar 2014 12:54:29 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Emanuela Rosazza Gianin <emanuela.rosazza1(a)unimib.it>, vargiolu(a)math.unipd.it Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: PhD positions in Oslo Dear Tiziano and Emanuela, could you please spread information among your contacts on two PhD grants that are opened at the department of Mathematics at the University of Oslo. One open to all Mathematical Sciences: pure and applied (including probability, statistics, mathematical finance) http://uio.easycruit.com/vacancy/1149345/64285?iso=no The other restricted to stochastic analysis, probability, statistics, mathematical finance. http://uio.easycruit.com/vacancy/1149365/64285?iso=no Candidates interested in those areas should then apply to both. Other openings in mathematics and (bio)statistics are available at: http://www.mn.uio.no/math/english/ Also the contracts are of 3 years, but if the candidate has some knowledge of one of the scandinavian languages, then the contract is extended to 4 years with teaching duties (25%) included. All this is detailed in the calls. Thank you for your help and best wishes Giulia ************************ Giulia Di Nunno Professor Centre of Mathematics for Application Department of Mathematics University of Oslo

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