- Random - Mailing list — Dipartimento di Matematica, UniPI

Postdoc on Models and algorithms for large networks from Big Data
by Fabrizio Lillo 26 Oct '15

26 Oct '15

The call for a two-year postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is *Models and algorithms for large networks from Big Data”* under the following EU project: *“SoBigData Research Infrastructure”, *Acronym “*SoBigData*” (call H-2020-INFRAIA-2014-2015). The details of the call are at http://www.sns.it/en/servizi/job/assegnidiricerca/assegno502/ The research fellow shall carry out the following activities: study and implementation of models and algorithms for the study and inference of large complex networks of social, economic, financial, and computational origin; networks from time series; social pattern discovery; empirical analysis of Big Data. The deadline is November 9. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa Piazza dei Cavalieri 7 56126 Pisa ITALY Check the new website: fabriziolillo.wordpress.com phone: +39 050509159

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LUISS Seminar_28/10 Alessandro Arlotto
by Marco Scarsini 26 Oct '15

26 Oct '15

The next Research Seminar of Economics and Finance Dept. is scheduled for Wednesday, October 28th , from 2.30 p.m. to 4.00 p.m., room 205/a, viale Romania. Our guest speaker will be Prof. Alessandro Arlotto (Duke University), who will held a lecture titled “Markov Decision Problems Where Means Bound Variances” Abstract We identify a rich class of finite-horizon Markov decision problems (MDPs) for which the variance of the optimal total reward can be bounded by a simple linear function of its expected value. The class is characterized by three natural properties: reward nonnegativity and boundedness, existence of a do-nothing action, and optimal action monotonicity. These properties are commonly present and typically easy to check. Implications of the class properties and of the variance bound are illustrated by examples of MDPs from operations research, operations management, financial engineering, and combinatorial optimization. Best regards, Dipartimento di Economia e Finanza Viale Romania, 32 - 00197 Roma economiaefinanza(a)luiss.it t +39 06 85225550 f +39 06 85225985

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Seminario Sergio Albeverio: Symmetries and stochastic differential equations (DipInf - UniVr)
by Luca di persio 23 Oct '15

23 Oct '15

Giovedi' 29 Ottobre, ore 16:30 (16:15 rinfresco, 16:30 inizio seminario) Presso: Dipartimento di Informatica (Sala Verde) Strada le Grazie, 15 https://goo.gl/maps/6mB9N2SSeqC2 Il prof. Sergio Albeverio (HCM - UniBonn) terrà il seguente seminario Title: Symmetries and stochastic differential equations. Abstract: Recently the study of relations between symmetries and stochastic (partial) differential equations has received renewed interest,in particular in relations with areas like hydrodynamics,finance and quantum field theory.The seminar will briefly present some of these developments. Speaker: Sergio Albeverio, HCM - University of Bonn __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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RETTIFICA ORARIO SEMINARIO PABLO RODRIGUEZ
by Angelica Yohana Pachon Pinzon 22 Oct '15

22 Oct '15

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** *Si comunica che il seminario del Dott. Pablo Rodriguez e' spotato alle ore 12:00 del 29/10/2015 in Aula 1 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10. * Il Dott. PABLO RODRIGUEZ (Department of Applied Math. and Statistics, Universidade de São Paulo. São Carlos, Brazil.) terrà un seminario dal titolo PHASE TRANSITIONS IN SOME STOCHASTIC TOY-MODELS. Abstract: The aim of the talk is to discuss about the formulation and phase transition results regarding three stochastic toy-models. More precisely, we consider a modified Erdős–Rényi random graph, an accessibility percolation model on trees and an interacting particle system on Zd. We will discuss about motivation, results, open problems, and some ideas for the proofs. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Angelica Pachon. ---------------------------------------------------------- Dipartimento di Matematica “Giuseppe Peano” Università degli Studi di Torino Via Carlo Alberto 10, 10123 Torino

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RETIFICA ORARIO SEMINARIO PABLO RODRIGUEZ
by Angelica Yohana Pachon Pinzon 22 Oct '15

22 Oct '15

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** S Giovedi 29 Ottobre 2015 alle ore 11:00 in Aula 3 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. PABLO RODRIGUEZ (Department of Applied Math. and Statistics, Universidade de São Paulo. São Carlos, Brazil.) terrà un seminario dal titolo PHASE TRANSITIONS IN SOME STOCHASTIC TOY-MODELS. Abstract: The aim of the talk is to discuss about the formulation and phase transition results regarding three stochastic toy-models. More precisely, we consider a modified Erdős–Rényi random graph, an accessibility percolation model on trees and an interacting particle system on Zd. We will discuss about motivation, results, open problems, and some ideas for the proofs. Tutti gli interessati sono invitati a partecipare

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Seminario PABLO RODRIGUEZ
by Angelica Yohana Pachon Pinzon 21 Oct '15

21 Oct '15

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************** ************************ Giovedi 29 Ottobre 2015 alle ore 11:00 in Aula 3 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. PABLO RODRIGUEZ (Department of Applied Math. and Statistics, Universidade de São Paulo. São Carlos, Brazil.) terrà un seminario dal titolo PHASE TRANSITIONS IN SOME STOCHASTIC TOY-MODELS. Abstract: The aim of the talk is to discuss about the formulation and phase transition results regarding three stochastic toy-models. More precisely, we consider a modified Erdős–Rényi random graph, an accessibility percolation model on trees and an interacting particle system on Zd. We will discuss about motivation, results, open problems, and some ideas for the proofs. Tutti gli interessati sono invitati a partecipare.

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de Finetti Risk Seminar - october 2015
by Emanuela Rosazza 20 Oct '15

20 Oct '15

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture A Bayesian Decision-Theoretic Model of Sequential Clinical Trials with Delayed Responses Stephen Chick INSEAD LOCATION: The seminar will be held on Wednesday, October 21, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** 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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Borse di dottorato e di ricerca in memoria di Guido Cazzavillan (scadenze 8 novembre e 31 ottobre 2015)
by Monica Billio 19 Oct '15

19 Oct '15

Nella primavera del 2014 è prematuramente scomparso un valente studioso di economia, Guido Cazzavillan, che è stato una figura importante in ambito economico e per l'Università Ca’ Foscari di Venezia, dove è stato direttore del Dipartimento di Economia e componente del Senato Accademico. La famiglia Cazzavillan, attraverso il Dipartimento di Economia dell'Università Ca' Foscari, ha voluto ricordare Guido bandendo una borsa di studio per poter frequentare il primo anno di un corso dottorato presso una Università di eccellenza internazionale (la borsa è rinnovabile per un anno) e una borsa di ricerca post-doc da utilizzare presso una istituzione di livello internazionale sui problemi della povertà e del sottosviluppo, temi che Guido sentiva particolarmente cari. Entrambi i bandi sono disponibili all’indirizzo: http://www.unive.it/nqcontent.cfm?a_id=193090 e si segnala che la scadenza per la borsa di dottorato è l’8 novembre 2015 mentre la scadenza per la borsa di ricerca è il 31 ottobre 2015. Si chiede cortesemente di informare dell'iniziativa giovani e studiosi che potrebbero essere interessati. Grazie per l'attenzione e un cordiale saluto, Monica -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://venus.unive.it/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041

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Fwd: Positions in EU project
by Marco Romito 14 Oct '15

14 Oct '15

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Politecnico di Milano - Seminario Bill Sudderth
by Laura M. Sangalli 13 Oct '15

13 Oct '15

Si avvisa che in data 16-10-2015, alle ore 14:30 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Bill Sudderth School of Statistics, University of Minnesota Titolo: How to Control a Process to a Goal Abstract: Suppose that you have a fortune of $10 and seek to reach $100 by placing bets at xed odds on repetitions of a given event such as the appearance of red (or black) on each spin of a roulette wheel. What is the best strategy for you to reach your goal? What strategy will get you there in the least expected time? What if you are competing with another player? I will discuss these and related problems in both discrete and continuous time. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Half day in stochastic processes
by Paolo Dai Pra 12 Oct '15

12 Oct '15

Half day in stochastic processes Venerdì 16 Ottobre, presso la Sala Riunioni del VII piano del Dipartimento di Matematica dell’Università di Padova, si svolgeranno i seguenti seminari. 9:15 Eva Locherbach (Université de Cergy-Pontoise). On oscillating systems of interacting neurons 9:55 Vlad Bally (Université de Marne-la-Vallée). Convergence in distribution norms in the CLT 10:35: Francois Delarue (Université Nice-Sophia Antipolis). Restoring uniqueness in mean-field games by randomization of the equilibria 11:15 - 11:30 Break 11:30. Paolo Pigato (Università di Padova e Université de Marne-la-Vallée). Tube Estimates for Hypoelliptic Diffusions and Scaling Properties of Stochastic Volatility Models (Ph.D. Defense) 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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RINVIATO: Seminario Dr. Cosetta Minelli - Mendelian Randomisation - 12 ottobre 2015
by Alessandro Marcon 10 Oct '15

10 Oct '15

Gentilissimi/e, vi avviso che il seminario in oggetto è stato rimandato a data da destinarsi, a causa del grave lutto che ha colpito la nostra Sezione. Il Prof. Roberto de Marco, ordinario di Statistica presso la scuola di Medicina e Chirurgia, Università di Verona, ci ha lasciati ieri mattina. Tutti noi, orgogliosi di essere stati suoi allievi, vi diamo questo annuncio con profondo dolore. L'ultimo saluto verrà dato presso le celle dell'ospedale di Borgo Roma (Verona) lunedì 12 ottobre dalle ore 13.30 alle ore 14.30. Alessandro Marcon Alessandro Marcon, PhD Unit of Epidemiology & Medical Statistics Department of Diagnostics and Public Health University of Verona Strada Le Grazie 8, 37134 Verona, Italy tel. +39 045 8027668 2015-09-11 12:15 GMT+02:00 Alessandro Marcon <alessandro.marcon(a)gmail.com>: > > Gentilissimi/e, > vi invio un avviso di seminario, con preghiera di massima diffusione. > > Sede del seminario: Istituti Biologici 2, Università di Verona, strada Le > Grazie 8 (VERONA). > > > Distinti saluti, > Alessandro Marcon > > Alessandro Marcon, PhD > Unit of Epidemiology & Medical Statistics > Department of Diagnostics and Public Health > University of Verona > Strada Le Grazie 8, 37134 Verona, Italy > tel. +39 045 8027668 > > > > Avviso di SEMINARIO > > > > Lunedì 12 ottobre 2015 ore 11.00-11.45 > > Aula Igiene & Statistica > > (Istituti Biologici 2, blocco B, secondo piano) > > > > Dr. Cosetta Minelli > > Senior Lecturer in Medical Statistics, National Heart and Lung Institute, > Imperial College London > > > > *Mendelian randomization: * > > *The use of genes as instruments to strengthen causal inference in > epidemiology* > > Mendelian randomization is an approach that uses genes as instrumental > variables to derive unconfounded estimates of the effects of risk factors > (e.g. biomarkers) on disease traits, and is therefore increasingly being > used in epidemiology to distinguish causal from spurious associations. > Since genes are randomly allocated at conception, genetic effects on a > biomarker cannot be affected by classical confounding (e.g. lifestyle > factors) or reverse causation (e.g. biomarker level being influenced by the > presence of disease). Demonstration that a genetic variant known to modify > the biomarker also modifies the disease trait represents indirect evidence > of a causal biomarker-disease association. The validity of Mendelian > Randomization, however, is based on instrumental variable assumptions, the > most important being absence of pleiotropy. This talk will describe the > approach, discuss ways to assess pleiotropy, highlight opportunities and > challenges offered by available genome-wide data, and discuss its extension > to the field of epigenetics (two-step epigenetic Mendelian randomization). > > > > >

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Seminario ROSSELL
by Matteo Ruggiero 09 Oct '15

09 Oct '15

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Veberdi 16 Ottobre 2015 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: David ROSSELL (University of Warwick) CONSISTENCY OF POSTERIOR MODEL PROBABILITIES IN HIGH-DIMENSIONAL MODEL SELECTION Abstract: In recent years there has been an increasing interest in developing Bayesian formulations that remain effective in high-dimensional and non-standard problems. We focus on high-dimensional model selection problems where the number of parameters may grow with the sample size, and review results characterizing the situations under which one can hope for the posterior probability assigned to the data-generating truth to eventually converge to 1 (often termed "strong consistency"). As it turns out, under certain regularity conditions for the canonical linear model such consistency can only be achieved if the prior formulation is based on so-called non-local priors. We will review the non-local prior framework and present some recent extensions for high-dimensional estimation. Our theoretical and empirical results show that inducing model selection parsimony via non-local priors allows working with simpler models and improving prediction accuracy simultaneously. Although for simplicity we shall focus on variable selection settings, time allowing we will touch upon extensions to more complex settings such as graphical models or mixture models. 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 and Collegio Carlo Alberto www.matteoruggiero.it

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mini-corso Ruodu Wang in Bicocca
by runggal＠math.unipd.it 08 Oct '15

08 Oct '15

Nell'ambito del programma di internazionalizzazione del Dottorato in Statistica e Matematica per la Finanza della Bicocca, il prof. Ruodu Wang del Department of Statistics and Actuarial Science della University of Waterloo terrà nei giorni 9,10 e 11 novembre un mini-corso su Risk aggregation and Fréchet problems Fréchet problems refer to questions related to an aggregation (sum, typically) of several random variables, where the marginal distribution of each individual random variable is known and the joint distribution (copula) is unspecific. Unfortunately (in fact, fortunately), a large number of questions in this field are still mathematically open. In the modeling of risk aggregation, individual risks and their dependence structure are often modeled separately, leading to uncertainty arising at the level of a joint model. As the dependence structure is typically uncertain, the study on quantitative characteristics (e.g. risk measures) of risk aggregation under model uncertainty leads to a variety of Frèchet problems. This course covers various topics in this quickly expanding field. The content is mainly based on recent research of the instructor and his collaborators. Le lezioni si svolgeranno dalle ore 14.30 alle 17.30 presso la Sala del Consiglio al IV piano dell'edificio U7. La partecipazione è libera ma è necessario iscriversi mandando una email a drm2015(a)unimib.it. Ulteriori informazioni sono disponibili sulla pagina https://sites.google.com/site/dependenceriskmeasures/mini-course[1] Saluti 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 Links: ------ [1] https://sites.google.com/site/dependenceriskmeasures/mini-course ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program. _______________________________________________ Random mailing list Per informazioni e per disiscriversi: https://fields.dm.unipi.it/listinfo/random Per contattare gli amministratori: random-admin(a)fields.dm.unipi.it Per inviare un messaggio alla mailing list: Random(a)fields.dm.unipi.it Archivio dei messaggi inviati: https://fields.dm.unipi.it/pipermail/random/#end

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mini-corso Ruodu Wang in Bicocca
by Fabio Bellini 08 Oct '15

08 Oct '15

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Paolo Guasoni lectures on Portfolio Choice and Asset Pricing at University of Verona
by Luca di persio 07 Oct '15

07 Oct '15

Dear all, this is to announce that Prof. Paolo Guasoni [ Dublin City University ] will give a mini course (8 hours) concerning Lectures on Portfolio Choice and Asset Pricing within the Mathematical Finance Course (Master degree in Mathematics) at the Department of Computer Science, University of Verona. The lectures will cover the attached programme, and they have been scheduled according to the following calendar Monday 26/10 : 1330 - 1630 Tuesday 27/10 : 1030 - 1230 Thursday 29/10 : 1230 - 1530 All the lesson will be given here https://goo.gl/maps/6mB9N2SSeqC2 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 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Seminario Prof. Henry Wynn
by DI NARDO Elvira 07 Oct '15

07 Oct '15

******************************************************************** SEMINARI per i corsi di Laurea in Economia Aziendale (triennale) Economia delle Risorse Naturali e Culturali (magistrale) ******************************************************************** Mercoledi' 14 Ottobre 2015 alle ore 9:30 presso l'Aula 10 del Dipartimento di Matematica, Informatica ed Economia, Campus Macchia Romana, Universita' degli Studi della Basilicata Prof. Henry Wynn (Department of Statistics, London School of Economics) "What is learning? A Bayesian approach" Abstract: Simple examples show that data can contradict prior beliefs; one can be "surprised". But theoretically one always expects to learn in a well-defined way and the class of information functionals for which this is true is known and includes Shannon information. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Elvira Di Nardo -- ...................................................... Elvira Di Nardo Dept. Mathematics, Computer Science and Economics University of Basilicata Viale dell'Ateneo Lucano 10 I-85100 (Potenza) alternative address: dinardo.el(a)gmail.com (room) +390971205890 (cell.) +393470033068 (fax) + 390971205896 (skype) elvira.di.nardo (web) http://oldwww.unibas.it/utenti/dinardo/home.html ......................................................

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Call for Papers: XVII WORKSHOP on QUANTITATIVE FINANCE, Pisa, January 28-29, 2016, Second Announcement
by Fabrizio Lillo 05 Oct '15

05 Oct '15

Second Announcement: XVII WORKSHOP on QUANTITATIVE FINANCE January 28-29, 2016 Venue: Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa Italy The Workshop is the seventeenth edition of an annual meeting place for academia and financial industry on theoretical topics of quantitative finance and their application to the current issues facing the industry. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management, Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous edition of the workshop, we wish to particularly encourage an international participation of young researchers and both theoretical and applied contributions. SCIENTIFIC COMMITTEE Fabio Bellini (Università degli Studi di Milano Bicocca), Giacomo Bormetti (Scuola Normale Superiore, Pisa), Andrea Consiglio (Università degli Studi di Palermo), Friederich Hubalek (Technische Universität Wien), Fabrizio Lillo (Scuola Normale Superiore, Pisa), Elisa Luciano (Università degli Studi di Torino), Maria Elvira Mancino (Università degli Studi di Firenze), Stefano Marmi (Scuola Normale Superiore, Pisa), Massimo Morini (Banca IMI), Aldo Nassigh (Unicredit Group), Loriana Pelizzon (Università Ca’ Foscari Venezia), Mustafa Pinar (Bilkent University, Ankara), Mathieu Rosenbaum (École Polytechnique, Paris), Sergio Scarlatti (Università degli Studi di Roma “Tor Vergata”), Carlo Sgarra (Politecnico di Milano), Peter Tankov (Université Denis Diderot, Paris), Josef Teichmann (ETH Zurich), and Tiziano Vargiolu (Università degli Studi di Padova). LOCAL COMMITTEE Giacomo Bormetti, Fabrizio Lillo, Maria Elvira Mancino, Stefano Marmi, Davide Pirino, Daniele Regoli, Chiara Sabelli. Deadline for submission: November 8, 2015 Web site: http://mathfinance.sns.it/qfwxvii/ ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa Piazza dei Cavalieri 7 56126 Pisa ITALY Check the new website: fabriziolillo.wordpress.com phone: +39 050509159

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Conference "Risk Measures: frontiers of mathematics and regulation", Bologna
by Sabrina Mulinacci 03 Oct '15

03 Oct '15

Dear Colleagues, we are glad to invite you to the Conference on "Risk Measures: frontiers of mathematics and regulation" that is going to be held in Bologna, October 29-30-31, 2015. The program will include a tutorial directed to students, scholars and practitioners interested in mastering the state of the art of theory. Interested students may earn 3 credits upon attending the conference and providing a written discussion of some the presentations in the conference. On Saturday October 31st, there will be an informal meeting for networking on current research and discussion of special topics for future research. More detailed informations are available at http://www2.stat.unibo.it/risk-measures Best Regards Sabrina Mulinacci

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Seminario Prof. D. De Canditiis (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 02 Oct '15

02 Oct '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 8 Ottobre, ore 10,30 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche "Sapienza" Università di Roma Prof. D. De Canditiis (CNR-IAC) Titolo: *Stima della densità dell'intensità di dati Poisson* Sintesi: Motivati dall'analisi di dati astronomici di tipo conteggio si presenterà un metodo per la stima della f.d.p. (funzione densità di probabiltà) della intensità di dati di tipo Poisson. La necessità di dare all'intensità un carattere stocastico nasce dall'esigenza di modellizzare una extra-variabilità contenuta nei dati. Le difficoltà della stima della f.d.p. sono assimilabili a quelle della soluzione (numerica) di un problema inverso lineare mal-posto. La soluzione, intesa come uno stimatore della f.d.p, ha ottime proprietà di convergenza. La metodologia verrà presentata in termini generali e dunque può essere presa come spunto per la risoluzione di altri problemi di analisi dati anche non necessariamente di tipo conteggio. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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SPRING SCHOOL IN FINANCE 2016 (fwd)
by Tiziano Vargiolu 02 Oct '15

02 Oct '15

---------- Forwarded message ---------- Date: Fri, 2 Oct 2015 11:54:08 +0200 From: Andrea Pascucci <andrea.pascucci(a)unibo.it> Subject: SPRING SCHOOL IN FINANCE 2016 [We apologize if you receive multiple copies of this announcement] SPRING SCHOOL IN FINANCE 2016 March 10-12, 2016 University of Bologna, Italy https://events.unibo.it/ssf2016 A three day spring school in financial mathematics will be held in Bologna on March 10-12, 2016. The school is open to both practitioners and people from the academic world and intends to provide two crash courses on Credit and Counterparty risk given by * St?phane Cr?pey (University of Evry) * Andrea Pallavicini (Banca IMI, Milan - Imperial College, London) For further information and registration, see: https://events.unibo.it/ssf2016/registration ********************************************************************************************************* -- --------------------------------------------------------------- Andrea Pascucci andrea.pascucci(a)unibo.it Dipartimento di Matematica http://www.dm.unibo.it/~pascucci P.zza di Porta S. Donato, 5 40126 Bologna - Italy Office Tel. +39-0512094428 Fax +39 0510821834 Skype: andrea.pascucci Get DropBox here: http://db.tt/Y2GN2TCx ---------------------------------------------------------------

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position at the University of Bern
by Fabio Bellini 01 Oct '15

01 Oct '15

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CHRISTIAN HENNIG - Quantile-based classifiers - 6.10.15 ore 12.30 - Dipartimento di Statistica e Metodi Quantitativi - Bicocca Milano
by Francesca Greselin 30 Sep '15

30 Sep '15

Dipartimento di Statistica e Metodi Quantitativi Martedì 6 ottobre 2015 ore 12.30 U7/2104 (AULA ECONOMICA) II PIANO Quantile-based classifiers with application to the classification of bioaerosols CHRISTIAN HENNIG Senior Lecturer, Department of Statistical Science, University College London Abstract Quantile classifiers are generalisations of the median-based classifiers recently introduced by Hall et al. (2009). They work for potentially high-dimensional data, and are defined by classi- fying an observation according to a sum of appropriately weighted component-wise distances of the components of the observation to the within-class quantiles. The optimal quantiles can be chosen by minimizing the misclassification error in the training sample. I will present some theory and simulations results demonstrating that quantile classifiers are very competitive. Quantile classifiers will also be applied to the detection of bioaerosol particles based on gaseous plasma electrochemistry (Sarantaridis et al., 2012). As several other classifiers, quantile classifiers aggregate information coming from the indivi- dual variables. This depends on selection and standardisation of the variables. I will discuss the- se issues in a way that may hopefully be of more general statistical interest. The first aspect is the extraction of some meaningful features from the high-dimensional and quite redundant ori- ginal form of the bioaerosol data. The second aspect is to understand standardisation as va- riable weighting, including the option to refrain from standardisation in situations where the variability of variables may be roughly proportional to the variable importance for classification, or to standardise certain groups of variables against each other, as will be suggested for the bioaerosol data. Tutti gli interessati sono invitati a partecipare per maggiori informazioni: www.dismeq.unimib.it - francesca.greselin(a)unimib.it

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Seminario Prof. Mesiar a RM1
by Fabio Spizzichino 30 Sep '15

30 Sep '15

Il Prof. Radko Mesiar (STU Bratislava) terrà un seminario sul tema *On the role of ultramodularity (and Schur concavity) in the construction of binary copulas* Il prossimo Venerdì 2 ottobre, ore 14:30, presso l'Aula di Consiglio del Dipartimento di Matematica dell'Universita' La Sapienza Tutte le persone interessate sono invitate ad intervenire Fabio Spizzichino *Abstract. * We discuss and stress the role of ultramodularity in special types of constructions of binary copulas. After recalling of some known ultamodularity-based results, we focus on a the so-called D-product of a copula and its dual. We show that for each copula D which is ultramodular and Schur concave on the left upper triangle of the unit square, this D-product of an arbitrary copula and its dual is again a copula. Several examples and counterexamples are given. Finally, some of our results are generalized to the case of semicopulas and quasi-copulas. Work in collaboration with E. P. Klement, A. Kolesarova and S. Saminger-Platz

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Winter School in Padova (February 2016)
by Giorgia Callegaro 30 Sep '15

30 Sep '15

Dear all, in collaboration with Evry University, ENSIIE and University Paris Diderot, the Department of Mathematics of the University of Padova is organizing a Winter School on recent advances in Mathematical Finance, that will be held in Padova in the period *8-12 February 2016*. Two main courses, on “Energy Markets” and “Pricing with Funding and Counterparty Risks” will be given, respectively, by Rene Aid (EdF) and Andrea Pallavicini (Banca IMI and Imperial College). Moreover, four mini-course are scheduled, on longevity risk (Nicole El Karoui), optimal stopping (Goran Peskir), polynomial processes (Martin Larsson) and numerical methods (Nadia Oudjane). More details can be found at the link: http://www.maths.univ-evry.fr/conferences/padova2016/index_ws.htm#section1 Accomodation during the period 7-12 February will provided to a limited number (maximum 35) of students selected among candidates who will send us, via the online form available here: http://www.maths.univ-evry.fr/conferences/padova2016/Application_ws.htm#sec… their CV and recommendation letter before the *31st October 2015.* Thanks for your attention and see you in Padova! Giorgia Callegaro (on behalf of the Organizing Committee) -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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