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Seminari di Eckhard Platen all'Università di Firenze
by Giacomo Scandolo 04 May '15

04 May '15

Ricordo che il Prof. Eckhard PLATEN (University of Technology, Sydney) questa settimana terrà due seminari presso il Dipartimento di Scienze per l'Economia e l'Impresa Edificio D6, via delle Pandette, 32, Firenze Tutti gli interessati sono invitati a partecipare ============================================================= Giovedì 7 Maggio, 10.00-12.00, aula D6/105 ''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance '' Abstract. In financial and actuarial modelling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Brownian motions. The aim of this lecture is to present various numerical methods used in quantitative finance for models involving stochastic differential equations with jumps. It emphasises mathematical concepts, techniques and intuition crucial for modern numerical methods in derivative pricing and risk management. Questions of numerical stability and convergence will be discussed. Several recent results will be presented on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector and extrapolation methods. ============================================================= Venerdì 8 Maggio, 10.00-12.00, aula D6/013 "A Benchmark Approach to Finance " Abstract. This lecture introduces into the benchmark approach, which provides a generalized framework for financial market modelling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for extreme maturity contracts and risk measures relevant to pensions and insurance. The Law of the Minimal Price will be presented for derivative pricing. A Naïve Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modelling framework of the benchmark approach leads to the derivation of tractable, realistic models under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged than suggested by classical theory. --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Annuncio di seminario
by Tiziano Vargiolu 04 May '15

04 May '15

ANNUNCIO DI SEMINARIO Il Prof. Eckhard Platen, professore alla University of Technology di Sydney ed attuale Presidente della Bachelier Finance Society, terra' il seguente seminario dalle 14.30 alle 15.30 del martedi' 5 maggio in aula 2BC60 del Dipartimento di Matematica, via Trieste 63, Padova. (Si noti lo spostamento dalla originale aula 2AB40 alla 2BC60) Referente: W. Runggaldier __________________ TITLE: BENCHMARKED RISK MINIMIZATION ABSTRACT: The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the numeraire portfolio, as reference unit. The proposed concept of benchmarked risk minimization generalizes classical risk minimization, pioneered by Foellmer, Sondermann and Schweizer. The latter relies on a quadratic criterion, requesting the square integrability of contingent claims and the existence of an equivalent risk neutral probability measure. The proposed concept of benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing measure and identifies the minimal possible price for the hedgeable part of a contingent claim. Furthermore, the resulting benchmarked profit and loss is only driven by nontraded uncertainty and forms a martingale that starts at zero. Benchmarked profit and losses, when pooled and sufficiently independent, become in total negligible. This property is highly desirable from a risk management point of view. It is making asymptotically benchmarked risk minimization the least expensive method for pricing and hedging of an increasing number of not fully replicable benchmarked contingent claims. (Joint work with Ke Du.)

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Workshop announcement
by Paolo Dai Pra 30 Apr '15

30 Apr '15

NEW CHALLENGES IN RECIPROCAL PROCESSES, SCHRODINGER BRIDGES AND OPTIMAL TRANSPORT WITH APPLICATION TO CONTROL ENGINEERING PROBLEMS FOR CLASSICAL AND QUANTUM SYSTEMS Organizers: Paolo Dai Pra, Michele Pavon and Francesco Ticozzi The workshop will take place at the Department of Mathematics, University of Padova, via Trieste 63, 35131 Padova, on Friday May 29th, 2015 in rooms 1BC45 (morning) and 1BC50 (afternoon). TALKS: Yongxin Chen (Department of Electrical and Computer Engineering University of Minnesota): Schrodinger bridges and the steering of stochastic and deterministic systems Giovanni Conforti (Institut fur Mathematik, Universitat Potsdam): Reciprocal characteristics, lattices, and concentration of measure Markus Fischer (Department of Mathematics University of Padova): On large deviations for the empirical measures of weakly interacting systems Tryphon T. Georgiou (Department of Electrical and Computer Engineering University of Minnesota): The Hilbert metric and Schro ̈dinger bridges Christian Leonard (Departement de Mathematiques et Informatique Universite ́ Paris Ouest): Looking at the Schrodinger problem with calculus of variations in mind Sylvie Roelly (Institut fur Mathematik, Universitat Potsdam): A stochastic analysis approach for the characterization of reciprocal classes: the case of Brow- nian diffusions and of compound Poisson processes. Francesco Ticozzi (Department of Information Engineering University of Padova): A walk to symmetrization via a Schroedingers bridge Lorenza Viola (Department of Physics and Astronomy Dartmouth College): TBC More details are contained in the attachment. Please do not hesitate to contact me for further details: daipra(a)math.unipd.it Paolo Dai Pra Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Seminario Università di Milano-Bicocca
by federica.masiero＠unimib.it 29 Apr '15

29 Apr '15

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Seminario Universita' La Sapienza Roma
by Faggionato, Alessandra 29 Apr '15

29 Apr '15

SEMINARIO DI PROBABILITA' E FISICA STATISTICA Giovedi' 7 Maggio, ore 14.30 , in Aula B (Dipartimento di Matematica. Univ.La Sapienza, Roma) Speaker: Andrea Puglisi (Istituto dei Sistemi Complessi, Sapienza) Title: Dynamics of an intruder in a granular fluid: from dilute to dense experiments. A single experimental setup is the occasion for a tour into many issues in non-equilibrium statistical mechanics. In the experiment, a rotating intruder performs a Brownian-like dynamics under the influence of collisions with a shaken granular media. Dissipations in the form of inelastic collisions and dry tangential friction make the system inherently out of equilibrium. When the granular medium is diluted, the results agree with a Boltzmann-Lorentz description which, in the large mass limit, is well approximated by a Fokker-Planck equation for a Ornstein-Uhlenbeck process with Coulomb friction. When the intruder is shaped so as to break the symmetry under rotation-inversion, an average drift ("ratchet" or "motor" effect) is observed, with properties depending on the dominant dissipation: friction or inelastic collisions. When the density of the surrounding medium increases, non-Markovian effects appear. The first consequence is a violation of the Einstein relation which - near equilibrium - describes the linear response to a small force provided by an external motor. The analysis of a generalized flctuation-dissipation relation explains the nature of the violation: a joint effect of dissipation and coupling with the dense flid. When the density is increased further and the jamming transition is approached, anomalous diffusion appears in the form of transient cage effects (subdiffusion) and - more surprisingly - superfdiffusion at large times. -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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Grants for PhD International Students, University of Padova
by Patrizia Piacentini - PhD 28 Apr '15

28 Apr '15

For the academic year 2015/2016 the University of Padova, Italy, offers 15 research fellowships for foreign (non Italian) students to attend Doctoral/International Courses - Deadline: 29 May 2015 - The call for application is available at the following address: http://www.unipd.it/en/node/1053 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses presumably start on October 1st, 2015 and will end on September 31st, 2018. Application is to be made following carefully the instructions in the announcement. The PhD Course in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Monica Chiogna Coordinator Phd Course in Statistics University of Padova Italy

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1 Ph.D. position - Epidemiology/Statistical Medicine - University of Verona, Italy
by Alessandro Marcon 27 Apr '15

27 Apr '15

/To all concerned - please circulate:/ The call for applications to doctoral programs in *Applied Life and Health Sciences *(Dottorato in Scienze Applicate della Vita e della Salute)*, *XXXI cycle, at the University of Verona, Italy, has been published. The call is available at: http://www.dsvr.univr.it/?ent=iscrizionecs&cs=634&lang=it The applicant will be involved in epidemiological research in the filed of chronic respiratory diseases (asthma, rhinitis, COPD - chronic obstructive pulmonary disease). Applicants will have a degree (master degree or equivalent) in: Statistical Sciences, Computer Science, Bioinformatics, Mathematics, Medicine and Surgery, Biology, Biotechnology, Pharmacy, Pharmaceutical Chemistry and Technology , … Contact: roberta.vesentini(a)univr.it Duration: 3 years Workplace : University of Verona (Strada Le Grazie, 8) Deadline for application: 12 June 2015 My kindest regards, Alessandro Marcon -- Alessandro Marcon, PhD Unit of Epidemiology & Medical Statistics Department of Public Health and Community Medicine University of Verona

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Early Stage Research Fellowship 2016
by Massimo Campanino 26 Apr '15

26 Apr '15

Early Stage Research Fellowship 2016 Bando per borsa di studio Protocollo: Decree April 13, 2015, n.14 Pubblicato il: 15/04/2015 Scadenza presentazione domande: 30/05/2015 - 23:55 Aggiornamento del 20/04/2015: Il bando online riporta la versione corretta e aggiornata. Restano invariate le scadenze e le modalità di presentazione della domanda. Bando per l'assegnazione di due borse annuali per giovani ricercatori internazionali. I candidati dovranno ricevere un invito da un docente o ricercatore dell'Università di Bologna che svolgerà il ruolo di supervisore e garantirà l'accesso alle strutture di ricerca. ISA offre ai ricercatori selezionati: alloggio: un miniappartamento presso il Residence Terzo Millennio Bologna, sito in via Miliani, 7/2, quartiere Borgo Panigale; Fellows room: un’attrezzata sala per studio e lettura in Palazzo Paleotti, via Zamboni 25, cuore della zona universitaria; un contributo economico: la borsa di studio annuale di Euro 15.600,00, al lordo di tutti gli oneri fiscali e previdenziali a carico del percipiente e a carico dell’ente. Le candidature dovranno essere presentate esclusivamente mediante modalità telematica accedendo al sito Internet: https://personale.unibo.it, previa procedura di registrazione personale come da istruzioni indicate nella stessa procedura web. Il termine ultimo per la presentazione delle domande è fissato a pena di esclusione alle ore 23:55 del giorno 30.05.2015.

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PhD course on Bayesian Statistics: modelling, computation and testing
by Consonni Guido 24 Apr '15

24 Apr '15

??? PhD in Statistics and Mathematics for Finance Università Bicocca, Milano http://www.dismeq.unimib.it/Default.asp?idPagine=765&funzione=&lingua=ING May-June, 2015 Bayesian Statistics: modelling, computation and testing Ioannis Ntzoufras; Valen Johnson Per maggiori dettagli si veda la locandina allegata. Guido Consonni Dipartimento di Scienze Statistiche Università Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano http://docenti.unicatt.it/eng/guido_consonni/ Tel 02 7234 3049 ________________________________ Ricerca, Formazione, Assistenza, Cooperazione e Sviluppo: 5 ragioni per metterci la firma. Sottoscrivi il tuo 5 per mille a favore dell'Università Cattolica e ci aiuterai a sostenere borse di studio, ricerca scientifica, progetti medico-assistenziali e sociali dell'Ateneo e del Policlinico "A. Gemelli". Info: www.unicatt.it/5permille<http://www.unicatt.it/5permille/> ________________________________

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Junior female researchers in probability - Berlin
by Alessandra Cipriani 24 Apr '15

24 Apr '15

Dear colleagues, we would like to draw your attention to our upcoming conference for "Junior female researchers in probability" in Berlin, 22- 23 October 2015 . The aim of this workshop is to promote young female researchers by giving them an opportunity to present their own work, and hear distinguished mathematicians who can inspire them to pursue a fulfilling career in probability. Invited speakers are: Kavita Ramanan (Brown University) Nadia Sidorova (UC London) Christa Cuchiero (U. Vienna) Hanna Doering (U. Osnabrueck) Zorana Grbac (U. Paris Diderot) Hao Wu (MIT) Female participants are invited to submit abstracts for contributed talks, and may apply for (limited) financial support. Of course participation of men is very welcome, but presentations and financial support are reserved for ladies. Please pass this information on to interested PhD students and postdocs. More details can be found on our website http://wias-berlin.de/people/cipriani/JFR15/ . Best regards, Peter Bank, Alessandra Cipriani, Noemi Kurt

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Fwd: Annuncio Seminario Vlad Bally - 27 Aprile - Tor Vergata
by Claudio Durastanti 24 Apr '15

24 Apr '15

Ciclo di Seminari - Progetto ERC grant PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Lunedì 27 aprile - ore 14 - aula D'Antoni Speaker Vlad Bally, Universite' Paris-Est LAMA, INRIA title: Convergence and regularity of probability laws by using an interpolation method Abstract: In a recent paper, Fournier and Printems establish a methodology which allows to rove the absolute continuity of the law of the solution of some stochastic equations with Holder continuous coefficients. This is of course out of reach by using already classical probabilistic methods based on Malliavin calculus. In this context, Debussche and Romito employ some Besov space technics in order to substantially improve the result of Fournier and Printems. In this talk we show that this kind of problem naturally fits in the framework of interpolation spaces: we prove an interpolation inequality which allows to state (and even to slightly improve) the above absolute continuity result. Moreover it turns out that the above interpolation inequality has applications in a completely different framework: we use it in order to estimate the error in total variance distance in some convergence theorems. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Claudio Durastanti

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Fwd: Oberwolfach Seminar on homogenization
by Faggionato, Alessandra 23 Apr '15

23 Apr '15

---------- Forwarded message ---------- From: Jc Mourrat <jean-christophe.mourrat(a)ens-lyon.fr> Date: 2015-04-22 17:48 GMT+02:00 Subject: Oberwolfach Seminar on homogenization To: Jc Mourrat <jean-christophe.mourrat(a)ens-lyon.fr> Good morning, Please find below an announcement for a summer school on homogenization. ++ Jean-Christophe Mourrat --- This is an announcement for the Oberwolfach Seminar "Stochastic Homogenization" The Oberwolfach Seminars address to postdocs and Ph.D. students from all over the world. The aim is to introduce the participants to a particular interesting development. Date: September 6th - September 12th, 2015 Organizers: I. Kim, UCLA, J.-C. Mourrat, ENS Lyon, F. Otto, MPI Leipzig, P. Sougandidis, The University of Chicago Programme: An introduction into stochastic homogenization of partial differential equations with a special focus on: Nonlinear problems, in particular Hamilton-Jacobi, interfacial motions and nonlinear elliptic equations; oscillatory boundary conditions. Probabilistic view upon stochastic homogenization: random walks in random environments, first passage percolation. Quantitative aspects of stochastic homogenization, connections to statistical physics and elliptic regularity theory. Introductory reading: For a probabilistic view: M. Biskup, Recent progress on the Random Conductance Model, Probability Surveys, Vol. 8 (2011) 294–373 For the analyst's set-up: V. V. Jikov, S. M. Kozlov, O. A. Oleinik, Homogenization of Differential Operators and Integral Functionals, Springer 1994, in particular Sections 7.1 and 7.2 Deadline for applications: June 30th, 2015 Applications including • full name and university/institute address • e-mail address • short CV, present position, university • name of supervisor of Ph.D. thesis • a short summary of previous work and interest • title, ID and date of the intended seminar should be sent preferably by e-mail (with attachments in pdf format) to: Prof. Dr. Dietmar Kröner Mathematisches Forschungsinstitut Oberwolfach Schwarzwaldstr. 9 – 11 77709 Oberwolfach Germany seminars(a)mfo.de -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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Cancellazione seminario Scarsini@DSS
by Pierpaolo Brutti 23 Apr '15

23 Apr '15

Scusandomi per il breve preavviso, comunico che il seminario di Marco Scarsini previsto per oggi 23 aprile in Sapienza è *annullato* per motivi di salute dello speaker. Cordialmente --P

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Two seminars and presentation of Ph.D. thesis, Friday April 24
by Tiziano Vargiolu 21 Apr '15

21 Apr '15

(sorry for possible cross-posting) We have the pleasure to announce the following two seminars, in University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor Friday, April 24 9.00 Zorana GRBAC: "Discrete-tenor interest rate models based on polynomial preserving processes" ABSTRACT: Based on the class of polynomial preserving Markov processes, we construct families of positive martingales, which are monotone with respect to some parameter. Such martingales are particularly suitable for modeling of discretely compounded forward interest rates via additive constructions. This includes Libor-type models, as well as extensions to the multiple-curve term structure. The main advantage of this model class is the possibility to obtain semi-analytic pricing formulas for both caplets and swaptions that do not require any approximations. Moreover, additive constructions allow to easily ensure, if desired, properties such as positivity of interest rates and spreads and monotonicity of spreads with respect to the tenor - in view of the current market situation a model in which the reference OIS interest rates can become negative and the spreads still remain positive is of particular interest. Examples of tractable and flexible model specifications that we study include quadratic OU-Gaussian and OU-L?vy processes, as well as linear models. We discuss the efficient option pricing via Fourier methods and develop the necessary exponential transform formulas for polynomial preserving processes. This is joint work with K. Glau and M. Keller-Ressel. 10.00 Antonis PAPAPANTOLEON: "An equilibrium model for spot and forward prices of commodities" ABSTRACT The aim of this project is to determine the forward price of a consumption commodity via the interaction of agents in the spot and forward commodity market. We consider a market model that consists of three agents: producers of the commodity, consumers and financial investors (sometimes also called speculators). Producers produce a fixed amount of the commodity at each time point, but can choose how much they offer in the spot market and store the rest for selling at the next time period. They also have a position in forward contracts in order to hedge the commodity price uncertainty. Consumers are setting the spot price of the commodity at each time point by their demand. Finally, investors are investing in the financial markets and, in order to diversify their portfolios, also in the forward commodity market. The equilibrium prices for the commodity are the ones that clear out the spot and forward markets. We assume that producers and investors are utility maximizers and have exponential preferences, while the consumers' demand function is linear. Moreover, the exogenously priced financial market and the demand function are driven by L?vy processes. We solve the maximization problem for each agent and prove the existence of an equilibrium. This setting allows to derive explicit solutions for the equilibrium prices and to analyze the dependence of prices on the model parameters and the agent's risk aversion. This is joint work with Michail Anthropelos and Michael Kupper. After the two seminars, the defenses of a PhD thesis will take place: 11.00 Giulio MIGLIETTA: "Topics in interest rate modeling" (supervisor: Martino Grasselli) See you all in Padova! Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Reading: Lecturer in probability/stochastic analysis
by Enrico Scalas 20 Apr '15

20 Apr '15

Dear colleagues, the University of Reading is currently advertising for a permanent Lecturer in Stochastic Analysis (reference GE15056, see http://www.reading.ac.uk/about/jobs/about-job-details.aspx?vacancy_id=99568… ) and also for a Rado Fellowship (reference SF07146, see http://www.reading.ac.uk/about/jobs/about-job-details.aspx?vacancy_id=10023… ). The closing date for both posts is May 8th. Best regards, Enrico Scalas

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seminario Valeria Bignozzi in Bicocca
by Fabio Bellini 20 Apr '15

20 Apr '15

Il giorno venerdì 24 aprile alle ore 14.00 presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano-Bicocca (edificio U7, IV piano), la dott.ssa Valeria Bignozzi della Università di Firenze terrà un seminario su: Reducing model risk using positive and negative dependence assumptions Abstract We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random variables with fixed marginal distributions under an additional positive dependence structure. We show that assuming positive dependence information in our model leads to reduced dependence uncertainty spreads compared to the case where only marginals information is known. In more detail, we show that in our model the assumption of a positive dependence structure improves the best-possible lower estimate of a risk measure, while leaving unchanged its worst-possible upper risk bounds. In a similar way, we derive for convex risk measures that the assumption of a negative dependence structure leads to improved upper bounds for the risk while it does not help to increase the lower risk bounds in an essential way. As a result we find that additional assumptions on the dependence structure may result in essentially improved risk bounds (joint work with G. Puccetti and L. Ruschendorf). Tutti gli interessati sono invitati a partecipare. Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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URGENT: lecturer sought
by Carina Geldhauser 19 Apr '15

19 Apr '15

-------- Forwarded Message -------- Subject: URGENT: lecturer sought Date: Sun, 19 Apr 2015 16:33:40 +0000 From: Andreas Kyprianou <A.Kyprianou(a)bath.ac.uk> To: prob-sem(a)lists.maths.bath.ac.uk <prob-sem(a)lists.maths.bath.ac.uk>, APPLIEDPROB(a)JISCMAIL.AC.UK <APPLIEDPROB(a)JISCMAIL.AC.UK> CC: world(a)alea-research.eu <world(a)alea-research.eu> Dear friends and colleagues, here is a request like one you have never heard of before: The National University of Mongolia is currently looking in haste for an available and ambitious volunteer who would like to go out to Mongolia at short notice, funded by the International Mathematical Union, to teach a 3-4 week masters-level course in probability theory *this MAY*. Details of the programme are here: http://www.mathunion.org/cdc/volunteer-lecturer-program/information-for-lec… Please see here for the requirements (PhD minimum) and the support that is on offer: http://www.mathunion.org/cdc/volunteer-lecturer-program/information-for-lec… This course comes in preparation of a 2-week research school in stochastic processes, held at the National University of Mongolia, Ulan Bator, in associated with CIMAT, DAAD, IMU and the Bernoulli society. http://smcs.num.edu.mn/saam2015/ At the moment, The People's Republic of Mongolia (http://en.wikipedia.org/wiki/Mongolia) is experimenting with a significant programme of visa waivers, meaning that many countries do not need a visa at the moment. This is an exceptional opportunity to be part of a significant mathematical initiative in Mongolia in the field of Stochastics. As time is of the essence, I would be grateful if you could circulate this email amongst colleagues and encourage any interested parties (even if it is just a tentative query) to contact me ASAP (a.kyprianou(a)bath.ac.uk <mailto:a.kyprianou@bath.ac.uk>) copying the email to Prof. Tsogzolmaa Saizmaa (tsogzolmaa(a)num.edu.mn <mailto:tsogzolmaa@num.edu.mn>). sincerely, Andreas Kyprianou

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Mini course announcement: SDEs, SPDEs and applications, by Prof. Viorel Barbu
by Luca di persio 19 Apr '15

19 Apr '15

Mini course announcement Prof. Viorel Barbu [ Romanian Academy and University Al.I.Cuza ] will give a mini course on SDEs, SPDEs and applications, at the Department of Computer Science, University of Verona, with the following calendar of lessons Monday: 20/4 - 27/4 - 4/5 Wednesday: 22/4 - 29/4 All the lessons will start at 14:30 with a forecasted duration of 3 hours each. Possible additional lessons will be decided during the course. The tentative programme is the following: 1) STOCHASTIC DIFFERENTIAL EQUATIONS Existence theory, examples to stock prices, Langevin equation, Ornstein-Uhlenbeck processes,Feynman-Kac formula 2) APPLICATIONS TO CONTROL PROBLEMS Stochastic HJB and stochastic control problems 3) STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS Infinite dimensional stochastic integral, Stochastic linear diffusion equation, stochastic reaction diffusion equation,stochastic porous media equation All the lessons will be given here https://goo.gl/maps/Yx2JU Strada le Grazie, 15 - 37134 Verona VR Ca' Vignal 2, first floor , Room M. Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa __ 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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Seminari di Klaus Schredelseker e Eckhard Platen a Firenze
by Giacomo Scandolo 17 Apr '15

17 Apr '15

Nell'ambito del Corso di Laurea Magistrale in Finance and Risk Management (FiRM) dell'Università di Firenze i Proff Klaus SCHREDELSEKER (University of Innsbruck) e Eckhard PLATEN (University of Technology, Sydney) terranno i seguenti seminari presso il Dipartimento di Scienze per l'Economia e l'Impresa Edificio D6, via delle Pandette, 32, Firenze Tutti gli interessati sono invitati a partecipare Gli abstract degli interventi sono riportati in basso. ============================================================= Prof Klaus SCHREDELSEKER Martedì 5 Maggio, 14.00-16.00, aula D6/007 ''Financial Analysis and Efficient Markets '' Mercoledì 6 Maggio, 12.00-13.30 e 14.30-16.00, aula D6/102 "Information Economics applied to Financial Markets " ============================================================= Prof Eckhard PLATEN Giovedì 7 Maggio, 10.00-12.00, aula D6/105 ''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance '' Venerdì 8 Maggio, 10.00-12.00, aula D6/013 "A Benchmark Approach to Finance " ============================================================= Abstract. ''Financial Analysis and Efficient Markets '' (Schredelseker) Financial Analysis is the basic of any type of financial reasoning (portfolio theory, capital market theory, derivatives). How it has to be done depends primarily upon the properties of the market: If it is assumed to be informationally efficient, financial analysis is redundant, but if this is the case, the market cannot be efficient. If, however, the market is assumed to be somewhat inefficient, there will be systematic winners and losers: Being a complex adaptive system, the financial market will exhibit nonlinearities in information. "Information Economics applied to Financial Markets " (Schredelseker) In natural sciences the value of information is always bound from zero: it can never be negative. This does not hold in multiperson-settings like a financial market: Getting better informed may result in a better or in a lower decision quality! A highly skilled and experienced financial analyst is assumed to expect a lower performance in the market as a lousy analyst. Methodology: Game theory, Agent-based modelling, Simulations, Genetic programming. ''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance '' (Platen) In financial and actuarial modelling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Brownian motions. The aim of this lecture is to present various numerical methods used in quantitative finance for models involving stochastic differential equations with jumps. It emphasises mathematical concepts, techniques and intuition crucial for modern numerical methods in derivative pricing and risk management. Questions of numerical stability and convergence will be discussed. Several recent results will be presented on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector and extrapolation methods. "A Benchmark Approach to Finance " (Platen) This lecture introduces into the benchmark approach, which provides a generalized framework for financial market modelling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for extreme maturity contracts and risk measures relevant to pensions and insurance. The Law of the Minimal Price will be presented for derivative pricing. A Naïve Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modelling framework of the benchmark approach leads to the derivation of tractable, realistic models under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged than suggested by classical theory. --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Seminario di Valeria Bignozzi presso Prometeia - Bologna
by Giacomo Scandolo 17 Apr '15

17 Apr '15

Il giorno Giovedì 23 Aprile 2015, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Valeria BIGNOZZI (Università di Firenze) terrà un seminario dal titolo "How superadditive can a risk measure be?" Abstract Risk measures that are not subadditive may penalize the aggregation of risk, by inducing portfolio requirements that are larger than those of undiversified positions. This happens for instance for Value-at-Risk (VaR), as well as convex shortfall risk measures. In this paper we characterize the potential for superadditivity that any risk measure may exhibit, considering both dependence uncertainty as well as the effect of portfolio size. It is shown that for the wide majority of risk measures of use or interest this corresponds to calculating the smallest dominating coherent risk measure (SDCRM). We show that this risk measure often exists and is identified with the notion of extreme-aggregation risk measure introduced in this paper. Explicit results are provided for the class of distortion risk measures, where the SDCRM is again a distortion risk measure and for the class of shortfall risk measures, where the SDCRM is given by an expectile. --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Four positions in statistics: Northumbria University, UK
by Enrico Scalas 17 Apr '15

17 Apr '15

Car* collegh*, all'Universita' della Northumbria (Newcastle upon Tyne, UK) e' in corso un reclutamento nel settore della statistica. Qui sotto trovate i link. La scadenza e' imminente, ma resta ancora un po' di tempo per fare domanda. Segnalate quest'opportunita' alle persone potenzialmente interessate. Cordiali saluti, Enrico Scalas --------------------------------------------------------------------------------------------------------------------------------- · Professor in Statistics http://work4.northumbria.ac.uk/hrvacs/eae1431 Closing date: 21 April 2015 · Reader in Statistics http://work4.northumbria.ac.uk/hrvacs/eae1430 Closing date: 21 April 2015 · Senior Lecturer/ Lecturer in Statistics (Two Posts) http://work4.northumbria.ac.uk/hrvacs/eae1432 Closing date: 23 April 2015

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No Free Lunch Seminar by Dott. Andrea Sillari, Tue April 21 1:00 PM Aula Mancini @ SNS
by Giacomo Bormetti 16 Apr '15

16 Apr '15

Tue April 21 2015, 1:00 PM in Aula Mancini, Scuola Normale Superiore Pisa Andrea Sillari Unicredit Bank - Milano will deliver the seminar "Risk Models - Operation, Maintenance, Upgrade" All interested people are kindly invited. Best, Giacomo -- Giacomo Bormetti Assistant Professor of Financial Mathematics -------------------------- Faculty of Mathematical and Natural Sciences Scuola Normale Superiore Pisa Piazza dei Cavalieri, 7 56126 Pisa - Italy email: giacomo.bormetti(a)sns.it http://mathfinance.sns.it/index.php/people/41-group-members/51-giacomo-borm… phone: +39 050 509248

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avviso di due seminari del Prof. Eeckhoudt
by Emanuela Rosazza 16 Apr '15

16 Apr '15

Il Prof. Louis EECKHOUDT (IESEG School of Management, Lille, Francia) terrà i due seguenti seminari: - Martedì 28 aprile 2015 ore 10.30 – 12.30: Risk attitudes: some history, main results and some extensions - Giovedì 30 aprile 2015 ore 10.30 – 12.30: Arrow - Pratt : 50 Years later nell’ AULA SEMINARI (EDIFICIO U7, 4° PIANO, ST. 4026) del Dipartimento di Statistica e Metodi Quantitativi dell’Università di Milano-Bicocca (Via degli Arcimboldi, 8 – 20126 MILANO). Tutti gli interessati sono invitati a partecipare. ******************************************************************************************* 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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Avviso di seminario :: Scarsini@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 16 Apr '15

16 Apr '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 23 Aprile, ore 11:00am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma MARCO SCARSINI (LUISS Guido Carli) terrà un seminario dal titolo ON INFORMATION DISTORTIONS IN ONLINE RATINGS. 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 Consumer reviews and ratings of products and services have become ubiquitous on the Internet. This paper analyzes, given the sequential nature of reviews and the limited feedback of such past reviews, the information content they communicate to future customers. We focus on the informational setting in which customers only observe the sample mean of past reviews, and ask if customers can recover the true quality of the product based on the feedback they observe. We first analyze the benchmark setting, in which customers interpret the mean as the proxy of quality. In such a case, we show that in the long run,the sample mean of review stabilizes and two cases may arise.If customers are relatively homogeneous, then social learning takes place. If customers are sufficiently heterogeneous, then they consistently overestimate the underlying quality of the product in the long run. This bias stems from the selection associated with observing only reviews of customers who purchase. We show, however,that if customers are sophisticated, then there exists a simple quality inference and purchasing rule that corrects for the selection bias and leads to social learning.In addition, we show that the cumulative consumer surplus losses scale with the square root of the number of customers who have considered a purchase to date, which is of the same order as when customers observe the reviews of all preceding customers. In this framework, we also analyze the externality of sophisticated customers on more naïve ones and quantify the impact that manipulated reviews may have.

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36th Finnish Summer School 1-5 June
by Valentina Cammarota 16 Apr '15

16 Apr '15

-----Messaggio originale----- From: Leskelä Lasse Sent: Wednesday, April 15, 2015 11:26 AM Subject: CFP: 36th Finnish Summer School on Probability and Statistics Call for participation (please forward this to students and colleagues): 36th Finnish Summer School on Probability Theory and Statistics 1-5 June 2015 Päivölä College, Valkeakoski, Finland http://web.abo.fi/fak/mnf/mate/gradschool/ PROGRAM Mindaugas Bloznelis (Vilnius U) Topics in random graphs Krista Fischer (Estonian Genome Center) Causal inference in biomedical applications Mikhail Lifshits (St. Petersburg State U) Gaussian processes: Applications and approximations Domenico Marinucci (U Rome Tor Vergata) Random fields on the sphere and their cosmological applications Registrations are due by 20 May 2015. The summer school is organized by the Finnish Doctoral Programme in Stochastics and Statistics (FDPSS). For more information, visit http://web.abo.fi/fak/mnf/mate/gradschool/ Looking forward to meeting many of you there! Lasse ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

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