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seminario MACCI
by Elena Villa 19 Dec '14

19 Dec '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. ******************************************* A v v i s o d i S e m i n a r i o ******************************************* *Venerdi' 9 Gennaio 2015*,*ore 15:00* Sala Rappresentanza, Dipartimento di Matematica, Universita' degli Studi di Milano via C. Saldini 50, Milano il Professor *CLAUDIO MACCI*(Università di Roma Tor Vergata) terrà un seminario dal titolo *Risultati asintotici per medie empiriche di variabili aleatorie geometriche indipendenti* ABSTRACT: Consideriamo variabili aleatorie geometriche e indipendenti che soddisfano opportune impotesi. Presentiamo risultati di grandi deviazioni (e deviazioni moderate) per le loro medie empiriche, e vedremo alcune applicazioni ai "weak records" di variabili aleatorie i.i.d. discrete. Tutti gli interessati sono invitati a partecipare. Saluti Elena Villa -- ******************************************* Elena Villa Dipartimento di Matematica, Universita' degli Studi di Milano via C.Saldini 50, 20133 Milano, Italy Phone: +39 0250316132 - Fax: +39 0250316090 Web-page: http://users.mat.unimi.it/~villa

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De Finetti Workshop on 21/01/2015 (date was missing)
by Marco Maggis 17 Dec '14

17 Dec '14

On the behalf of the Scientific Committee we are glad to invite you to a one day Workshop which will be held in Milan on Wednesday the 21st of January 2015, at the Department of Mathematics, Sala di Rappresentanza, via C. Saldini 50. Preliminary programme: 09:50-10:00 Welcome Remarks 10:00-10:45 Emanuela Rosazza Gianin, Università Milano Bicocca. Coffee break 11.15-12.00 Sergio Pulido, EPFL, Lausanne. 12.00-12.45 Stefano De Marco, Ecole Polytechnique, Paris. Lunch 14:45-15:30 Beatrice Acciaio, LSE, London. 15:30-16:15 Jacopo Mancin, LMU, Munich. Coffee break 16.45-17:30 Simone Cerreia-Vioglio, Bocconi University. The workshop will end up with the usual De Finetti Risk Seminar 18:00-19:00 Bruno Bouchard, Universitè Paris-Dauphine. We kindly ask to send an email to marco.maggis(a)unimi.it if you are willing to partecipate. We wish you a Merry Christmas and a happy New Year. Marco Frittelli Marco Maggis Matteo Burzoni

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De Finetti Workshop: the Mathematics of Finance and Economics
by Marco Maggis 17 Dec '14

17 Dec '14

On the behalf of the Scientific Committee we are glad to invite you to a one day Workshop which will be held in Milan, Department of Mathematics, Sala di Rappresentanza, via C. Saldini 50. Preliminary programme: 09:50-10:00 Welcome Remarks 10:00-10:45 Emanuela Rosazza Gianin, Università Milano Bicocca. Coffee break 11.15-12.00 Sergio Pulido, EPFL, Lausanne. 12.00-12.45 Stefano De Marco, Ecole Polytechnique, Paris. Lunch 14:45-15:30 Beatrice Acciaio, LSE, London. 15:30-16:15 Jacopo Mancin, LMU, Munich. Coffee break 16.45-17:30 Simone Cerreia-Vioglio, Bocconi University. The workshop will end up with the usual De Finetti Risk Seminar 18:00-19:00 Bruno Bouchard, Universitè Paris-Dauphine. We kindly ask to send an email to marco.maggis(a)unimi.it if you are willing to partecipate. We wish you a Merry Christmas and a happy New Year. Marco Frittelli Marco Maggis Matteo Burzoni

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Millossovich: Seminar at the Dept. of Economics, University Ca' Foscari of Venice
by Marco Corazza 16 Dec '14

16 Dec '14

Dear all, the Department of Economics, University Ca' Foscari of Venice, invite you to the seminar: ********************************************** Speaker: Pietro Millossovich (City University London, UK) ********************************************** Where/When: Room E, Dept. of Economics, San Giobe 873/b, Venice December 22/2014, 2.00pm ********************************************** Title: Two Populations Stochastic Mortality Models and Longevity Basis Risk ********************************************** Abstract: Longevity swaps provide an alternative de-risking solution for pension funds and life offices which has been gaining popularity in the recent years. While most swaps contracted so far are bespoke, an efficient market solution would require the hedging instrument to be standardized and based on a publicly available mortality index. In this case, it is crucial for the risk hedger to assess the extent of the basis risk left, which ultimately amounts to the difference between the book and the index mortality experiences. To this end, a two population mortality forecasting model is required. In this presentation, we address the choice of the most appropriate multi population mortality model basis risk assessment, discussing in particular the constraint due to the limited size of many existing pension books. Apologies for cross posting Kind regards -- Marco Corazza Department of Economics Ca' Foscari University of Venice San Giobbe, Cannaregio 873 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it -- <<The discovery of high-temperature superconductors, the determination of DNA's double-helix structure, the first observations that the expansion of the Universe is accelerating -- all of these breakthroughs won Nobel prizes and international acclaim. Yet none of the papers that announced them comes anywhere close to ranking among the 100 most highly cited papers of all time.>> http://www.nature.com/top100

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Fwd: call for application
by Gustavo Posta 15 Dec '14

15 Dec '14

Begin forwarded message: > Dear Colleague, > > The Institute for Advanced Study of Aix-Marseille University (IMéRA) > is issuing calls for applications for residencies in 2015-2016 > (Deadline : 7 January 2015). > > These calls include individual applications and call for team applications. > > IMéRA receives researchers and artists under residence schemes ; it also accommodates a few multi-disciplinary teams with a collective project for short duration stays. Residents work on their own research projects in connection with Aix-Marseille teams and research centres. > > Please visit our web page for details, if interested. > http://imera.univ-amu.fr > > Best Regards, Amine Asselah > Scientific Director. >

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Fwd: Concorso RTD SECS-S06 presso Università LIUC (fwd)
by Tiziano Vargiolu 15 Dec '14

15 Dec '14

---------- Forwarded message ---------- Date: Fri, 12 Dec 2014 22:10:53 +0100 From: Antonella Basso <basso(a)unive.it> Ricevo e inoltro la seguente informazione. -------- Messaggio Inoltrato -------- Oggetto: Concorso RTD SECS-S06 presso Universit? LIUC Data: Fri, 12 Dec 2014 19:30:23 +0100 (CET) Mittente: Giovanni Crespi <giovanni.crespi(a)unibocconi.it> A: Antonella Basso <basso(a)unive.it> Chiarissima Prof.ssa Basso, Le chiederei di poter diffondere tra i soci AMASES l'informazione del bando di un posto da RTD a tempo parziale presso l'Universit? LIUC di Castellanza. L e informazioni sul bando e sulle modalit? di presentazione della domanda sono reperibili nel sito dell'Ateneo all'indirizzo http://www.liuc.it/cmgenerale/ default.asp?ssito=219&codice=59. La scadenza per la presentazione delle doma nde ? il 7 gennaio 2015. Grazie in anticipo e, con l'occasione, auguro a Lei ed ai colleghi un buon N atale. Giovanni Crespi -- Antonella Basso Dipartimento di Economia Universit? Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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seminario al CNR-IMATI
by Antonella Bodini 15 Dec '14

15 Dec '14

Si ricorda che venerdi' 19 dicembre alle ore 11 presso la sede di Milano dell'IMATI, via Bassini 15, nella sala pentagonale al secondo piano, Ting WANG (University of Otago, New Zealand) terra' il seminario *Modelling of seismic activity using Markov-modulated Hawkes process and its extensions* Earthquakes are processes in which the internal workings are only observed indirectly, although the final effects are all too observable! Hidden Markov models (HMMs, a general statistical framework for modelling partially observed systems) are an intuitively attractive idea for analysing seismicity. I will introduce the Markov-modulated Hawkes process that we developed for investigating long-term patterns in seismicity rate. The catalogue of the Landers earthquake sequence, which included multiple mainshocks, was used as a case study. I will show how this model captures the cyclic parent-generating-offspring feature of the temporal behaviour of earthquakes. I will also discuss our current work on extending this temporal model by including spatial variation of the seismic activity and the earthquake magnitude. Our aim is to categorize spatiotemporal seismic hazards holistically, using the entire earthquake record in a selected region to identify patterns correlated with subsequent large earthquakes, rather than the traditional way of hunting for individual foreshocks. Tutti gli interessati sono invitati a partecipare. -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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2 job opportunities in Cambridge (UK)
by Francesco Caravenna 13 Dec '14

13 Dec '14

Ricevo e inoltro. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% JOB: Research Associate in Probability Theory, University of Cambridge (UK) Applications are invited for a Research Associateship in Probability Theory to be held in the Statistical Laboratory. The post is available for two years from 1 September 2015 or by negotiation. The appointment will be made at an appropriate point on the University's Research Associate scale (between £28,695 and £37,394 pa). The successful candidate will normally have a PhD prior to their appointment, and have demonstrated a capacity to produce world-class research. This position is associated with the EPSRC Programme Grant 'New Frontiers in Random Geometry', and priority will be given to applicants with expertise in relevant fields. For more information and details on how to apply, please visit: https://www.dpmms.cam.ac.uk/vacancy/ %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% JOB: Lectureship in Statistics, University of Cambridge (UK) Applications are invited for a University Lectureship in Statistics to commence on 1 September 2015 or by agreement. Appointment will be made at an appropriate point on the scale for University Lecturers (£38,511 to £48,743) and will be for a probationary period of five years with appointment to the retiring age thereafter, subject to satisfactory performance. For further details and information about how to apply please visit: https://www.dpmms.cam.ac.uk/vacancy/ The University of Cambridge values diversity and is committed to equality of opportunity. The Department would particularly welcome applications from women, since women are, and have historically been, under-represented on our academic staff. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

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Annuncio di seminario
by pratelli＠dm.unipi.it 12 Dec '14

12 Dec '14

Martedi 16 dicembre, alle ore 17, nella Sala dei Seminari del Dipartimento di Matematica dell'Universita' di Pisa, il prof. PETER BANK (Technische Universitat Berlin) terra' il seguente seminario: SUPERREPLICATION WHEN TRADING AT MARKET INDIFFERENCE PRICES Abstract We consider a large investor who seeks to superreplicate a given contingent claim. Trading is done dynamically at market indifference prices as introduced in earlier joint work with D. Kramkov. The nonlinearities of this model for an illiquid financial market turn out to make this fundamental problem surprisingly intricate as the usual tools from convex analysis to prove, e.g., existence cannot be applied. Moreover, it is possible (and economically nonetheless reasonable) that an asset can be replicated with two different initial levels of wealth without this creating arbitrage opportunities. We introduce a notion of efficient friction suitable for this price impact model and show how this ensures existence of optimal superrelicating portfolios under some assumptions on the market makers utility functions. We also establish efficient friction to hold when payoffs of traded assets are specified via Levy processes or certain affine processes, e.g., like in Barndorff-Nielsen-Shepard stochastic volatility models. This is joint work with Selim Gokay.

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Avviso di seminario :: Kalcsics@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 11 Dec '14

11 Dec '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Lunedì 15 Dicembre, ore 12am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma JOERG KALCSICS (Institute of Operations Research, Karlsruhe Institute of Technology) terrà un seminario dal titolo ON SALES & SERVICE DISTRICTING PROBLEMS 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 In sales districting, the task is to assign a given set of (prospective) customer accounts, each with a fixed market potential, to the individual members of the sales force such that each customer has a unique representative and each sales person faces equitable workload and has an equal income opportunity in terms of incentive pay, i.e., the districts should be balanced. Two other important planning criteria in sales districting are travel distances and clearly defined geographic areas of responsibility. The latter criterion is desired to avoid competition among the sales force and is typically termed as contiguity. Concerning travel distances, if a sales person visits each customer every day, then the travel time is proportional to the length of a TSP tour. However, the workload of districts is usually balanced over 2-4 weeks and some customers may have to be visited only once during this time whereas others require weekly service. Moreover, customers may have time windows, tours may include overnight stays, and so on, which makes the actual computation of the travel times impossible for large problems instances. Therefore, districting uses the concept of compactness as a proxy for travel distances. A district is said to be geographically compact if it is round-shaped and undistorted. The hope is that compact districts result in smaller travel times on a day-to-day basis than non-compact districts. A similar setting is encountered in service districting. In sales & service districting, customers are predominantly represented as points and although there exists a large body of literature, there is no consensus on a common compactness measure or suitable approaches to model contiguity of point sets. For example, all compactness measures are based on distances either between the center of a district and its basic units or between pairs of basic units of the same district. But even if they follow the same idea, the resulting districts may look considerably different. In this talk, we want to give an overview of different approaches to measure compactness and assess contiguity, and discuss their strengths and weaknesses when applied to practical problems. Moreover, we present a mathematical formulation to solve the districting problem optimally as well as an efficient geometric algorithm that is capable of coping with large practical problems.

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