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Fw: SEFE - Stoachastics in Environmental Finance and Economics
by Emanuela Rosazza Gianin 21 Mar '14

21 Mar '14

Cari tutti, inoltro questo avviso di convegno che mi è stato inviato da Giulia Di Nunno. Cordiali saluti, Emanuela ---- Stochastics of Environmental and Financial Economics The conference will bring together leading researchers in the fields of stochastic analysis and finance to discuss recent developments and challenges with an edge towards energy, environmental and financial markets. The conference is organized by the Center of Advanced Studies (CAS), Stochastics of Environmental and Financial Economics. Scientific organizers: Fred Espen Benth and Giulia Di Nunno (UiO) Time and place: September 15-19, 2014. The Norwegian Academy of Sciences and Letters http://www.mn.uio.no/math/english/research/groups/stochastic-analysis/event… ************************ Giulia Di Nunno Professor Centre of Mathematics for Application Department of Mathematics University of Oslo

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Seminario di Probabilita' - Universita' di Padova
by alessandra bianchi 20 Mar '14

20 Mar '14

Ho il piacere di invitarvi al seguente seminario che si terra' mercoledi' 26 marzo alle ore 15 nell'aula 1BC45 presso il Dipartimento di Matematica dell'Universita' degli Studi di Padova. Speaker: Giada Basile Affiliation: Dip. di Matematica - Università la Sapienza Title: Large deviations for degenerate jump processes Abstract: We prove the joint large deviation principle for the empirical measure and flow for a class of continuous time Markov chains that admit an absorbing state. Due to the lack of uniform ergodicity, the zero level set of the rate function is not a singleton. As a corollary, we deduce the Donsker-Varadhan large deviation principle for the empirical measure. We discuss in detail an example given by a linear phonon Boltzmann equation. (joint work with Lorenzo Bertini) -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Mini corso "Credit Risk Modelling", SNS Pisa
by Giacomo Bormetti 20 Mar '14

20 Mar '14

Il giorno venerdì 28 Marzo presso la Scuola Normale Superiore, Andrea Pallavicini (Banca IMI, Imperial College) terrà un mini-corso dal titolo " Credit Risk Modelling Before and After the Crisis". Segue il programma: Aula Bianchi, 10:00 – 12:00 Credit Derivatives Pre-Crisis Pricing: multi-name credit products Aula Mancini, 14:00 – 16:00 Post-Crisis Pricing: credit, collateral and funding Pricing Derivatives under CSA or CCP Clearing Maggiori informazioni sono disponibili all'indirizzo mathfinance.sns.it Tutti gli interessati sono invitati a partecipare. Saluti, Giacomo

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Fwd: One-day colloquium on switching problems and related topics in Le Mans
by Giorgio Ferrari 18 Mar '14

18 Mar '14

Buongiorno, inoltro la seguente comunicazione. Buona giornata, Giorgio Ferrari Dear Giorgio, Next May 22, 2014 we will organize in Le Mans (France) a one-day colloquium on switching problems and related topics. Below is the link to the website of this mini-colloquium. http://lmm.univ-lemans.fr/spip.php?rubrique26 So could you please transfert this e-mail to researchers (students or academics) who could be interested in this scientific event. Thanks a lot in advance. Best regards, S.Hamadène. -- Giorgio Ferrari Center for Mathematical Economics (IMW) Bielefeld University office: W10-100 office phone: +49 521 106 5642 Postfach 100131, 33501 Bielefeld, Germany email: giorgio.ferrari(a)uni-bielefeld.de giorgio.ferrari(a)uniroma1.it web-page: https://sites.google.com/site/giorgioferrariswebsite/

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Seminari GOLDSCHMIDT e SPANO'
by Matteo Ruggiero 14 Mar '14

14 Mar '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 21 Marzo 2014, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: h. 11.00 Christina GOLDSCHMIDT (University of Oxford) THE SCALING LIMIT OF THE MINIMUM SPANNING TREE OF THE COMPLETE GRAPH h. 12.00 Dario SPANO' (University of Warwick) ON THE ANCESTRAL PROCESS OF LONG-RANGE SEED BANK MODELS Gli abstracts delle presentazioni possono essere consultati alla pagina http://www.carloalberto.org/events/seminars/statistics/ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --------- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

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post Doc fellowships - Probability and Statistics
by Giacomo Aletti 13 Mar '14

13 Mar '14

The University of Milan has launched a competition by qualifications and interview to award 4 two years fellowships, possibly renewable, at the Department of Mathematics, Via Saldini 50, Milano, for a collaboration to research activities restricted to doctorate graduates. The yearly gross amount is 21.000 EURO. One collaboration will be assigned to a fellowship in Probability and Statistics or Numerical Analysis: the evaluation of the projects will determine the research area. The title for the statistics and probability project is STATISTICAL INFERENCE FOR POINT PROCESSES The main page for further details is http://www.unimi.it/ricerca/assegni_ricerca/1260.htm The deadline is 31/03/2014, see ITA http://www.unimi.it/cataloghi/ass_collaborazione_ricerca/BANDO_tipo_A_2013_… EN http://www.unimi.it/cataloghi/ass_collaborazione_ricerca/BANDO_tipo_A_2013_… Application form online at http://surplus-unimi.cineca.it/rm/public/postDocFellowship.htm Feel free to forward this announcement to whom it may be interested. Regards, Giacomo Aletti -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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Fwd: Remind: CIdE - Summer Courses in Econometrics
by mariaelvira.mancino＠unifi.it 12 Mar '14

12 Mar '14

----- Messaggio inoltrato da calzolar(a)disia.unifi.it ----- Data: Wed, 12 Mar 2014 16:05:13 +0100 Da: Giorgio Calzolari <calzolar(a)disia.unifi.it> Rispondi-A:Giorgio Calzolari <calzolar(a)disia.unifi.it> Oggetto: Remind: CIdE - Summer Courses in Econometrics A: "Recipient list suppressed"@ CIdE - Interuniversity Center for Econometrics - Courses in Econometrics for PhD students 2014. Registration is open from today till April 30: http://virgo.unive.it/cide/?page_id=625 Non academic participants (banks, insurance and financial companies, economic research offices, etc.), master's students and new graduates who wish to continue in their studies are also eligible to our courses. ----- Fine del messaggio inoltrato -----

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de Finetti risk seminar - marzo 2014
by Emanuela Rosazza Gianin 12 Mar '14

12 Mar '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on March 19, 2014 at 18.00 with the Lecture A continuous auction model with insiders GIULIA DI NUNNO University of Oslo ABSTRACT In a unified framework we study equilibrium in the presence of an insider having information on the signal of a firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at some future random stopping time. We consider the two cases in which this release time of information is known and not known to the insider. We study the structure of the optimal insider's strategies in equilibrium and we discuss market efficiency in the two cases of insider's information. Some examples of explicit insider's strategy will be provided. This is joint work with Jose Manuel Corcuera, Gergely Farkas, and Bernt Øksendal. LOCATION: The seminar will be held on Wedsnesday, March 19, at 18.00 at Aula Chisini, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali 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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PhD position - Politecnico di Milano Dept. of Mathematics
by Simone Vantini 11 Mar '14

11 Mar '14

*Position:*PhD position in "Statistical Methods for Geosciences" in Mathematical Models and Methods in Engineering. *Institution:*Department of Mathematics, Politecnico di Milano, Milan, Italy. *Duration:*3 years, beginning May 1, 2014. *Monthly net income:*1.200 euro. *Deadline for applications: *14:00 (GMT+1:00), March 18, 2014. *Details for applications: *please click here <http://www.ricerca.polimi.it/fileadmin/files/dottorato/concorso29/bandi_agg…> to download the official call. *Motivations and objectives of the research in this field:*Problems characterized by high-dimensional and complex data have become more and more common in engineering. Due to their complexity, in many situations these data contain redundant information since their underlying structure may involve only a reduced number of relevant features. This research aims at developing new methods for the detection of suitable subspaces where data (possibly spatially-dependent) can be represented, interpreted and analyzed. The interest extends also to the identification of suitable basis, which should capture the relevant geophysical features of the phenomenon under study and allow for computationally efficient statistical analysis. *Methods and techniques that will be developed and used to carry out the research:* The PhD program aims at training young researchers by providing them with a strong mathematical background and with ability to apply their knowledge to the solution of real-world problems in the areas of Statistics and Scientific Computing. *Educational objectives:*The PhD students carry their research both in the development of new mathematical methods and in the implementation and improvement of advanced techniques in connection with specific contexts and applications. Further information can be obtained by consulting the dedicated website http://www.mate.polimi.it/dottorato *Job opportunities:* Job opportunities are in companies and research agencies which are leaders in their respective fields. *Further Details:* please click here <http://www.ricerca.polimi.it/fileadmin/files/dottorato/concorso29/bandi_agg…>for further details. -- Simone Vantini MOX Laboratory for Modeling and Scientific Computing Dept. of Mathematics "F. Brioschi" - Politecnico di Milano Address: Piazza Leonardo da Vinci 32, 20133, Milan, Italy Phone: (+39) 02 2399 4554 Email: simone.vantini(a)polimi.it Website: http://mox.polimi.it/~vantini/

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[Fwd: Corso al GSSI]
by davide gabrielli 10 Mar '14

10 Mar '14

Il Prof. *Pablo Ferrari* (Dipartimento di Matematica, Università di Buenos Aires) terrà un corso presso il GSSI (Gran Sasso Science Insittute L'Aquila) dal titolo *Graphical constructions for Markov processes and interacting particles processes. * Il corso inizierà il giorno mercoledi 19 Marzo alle ore 9 e proseguirà per 4 settimane col seguente orario: mercoledi, giovedi e venerdi 9-11. -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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[Fwd: seminario Gssi]
by davide gabrielli 10 Mar '14

10 Mar '14

Il giorno Giovedi 13 Marzo alle ore 16 presso il GSSI (Gran Sasso Science Institute, L'Aquila) la Prof. *Inés Armendariz *del Dipartimento di Matematica dell'Università di Buenos Airesterrà il seguente seminario: *Title*: Scaling limit of the condensate dynamics in the zero-range process *Abstract*: We consider the zero-range process on the one dimensional torus with L sites and N particles, in the supercritical regime when N=L exceeds the critical density. It is known that in the stationary state, as L goes to infinity, the excess particles accumulate at a randomly chosen position, forming the condensate. We now show that, at the right scale, this condensates moves according to a Lévy process on the rescaled torus, with rates determined by the jump distribution of the original zero range process. For instance, for nearest neighbour probabilities, the limiting Lévy process will have rates inversely proportional to the jump length. -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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Internationalization programme at the University of Verona - Master degree in Mathematics
by Luca di persio 08 Mar '14

08 Mar '14

Dear, this is an invitation to foreign teachers, coming from a European University or non-European, to share didactical projects with the professors in charge of a particular course given within the Master degree in Mathematics at the University of Verona. Such opportunity, funded by the Unviersity of Verona, has been also thought to start a *scientific collaboration with professors afferent to the Master degree in Mathematics*: http://www.di.univr.it/?ent=cs&id=418&lang=en The minimum lenght of stay is *1 week to which corresponds a reimbursement of 2k euros*. Additional 600 euros will be payed for any additional week *and up to 3.5K euros for one month and 11k euro for three months*. The teaching load is fixed at 6 hours per week. *Collaborations in the field of stochastic processes, SPDEs theory and their applications to Mathematical Finance are particularly welcome.* Please, spread the present message to anyone you think that could be interested in the project. For any further details, feel free to contact me: luca.dipersio(a)univr.it dipersioluca(a)gmail.com or the Internationalization Office of Verona University: relazioni.internazionali(a)ateneo.univr.it Hope to hear from you soon, 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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Young Finance Scholars' Conference and Quant Finance Workshop
by Enrico Scalas 07 Mar '14

07 Mar '14

Car* collegh*, vi segnalo un'iniziativa dell'Università del Sussex con preghiera di diffusione. Nel caso i link sottostanti non funzionassero si puo' usare: www.sussex.ac.uk/bmec/qfin <http://UrlBlockedError.aspx/> Cordiali saluti Enrico Scalas Professor of Statistics and Probability University of Sussex Young Finance Scholars' Conference and Quant Finance Workshop<http://www.sussex.ac.uk/bmec/qfin/> The Finance group at the University of Sussex is pleased to announce a conference that is specially designed for junior scholars in Finance, followed by a (separately bookable) Quantitative Finance Workshop. Both events are hosted by the Department of Business and Management<http://www.sussex.ac.uk/bam/> in the School of Business, Management and Economics<http://www.sussex.ac.uk/bmec/> . Young Finance Scholars' Conference<http://www.sussex.ac.uk/bmec/qfin/conference> Quantitative Finance Workshop<http://www.sussex.ac.uk/bmec/qfin/workshop> *Thursday, 8th May 2014* *Friday, 9th May 2014* The conference provides an opportunity for junior scholars that have little (or no) experience with publishing in academic journals to share their research, debate their methodology and results, network with their peers from other institutions and - primarily - to receive expert comment and advice on publication from leading finance academics, including: - Professor Carol Alexander - University of Sussex - Professor Ben Hambly - University of Oxford - Professor Mike Lipkin - Columbia University, New York - Professor Brian Lucey - Trinity College, Dublin - Dr. Norman Seeger - VU University, Amsterdam The workshop is given by *Mike Lipkin,* a renowned specialist on Event-Driven Finance and co-author (with Marco Avallaneda) of the paper winning the Risk Magazine Quant-of-the-year award 2010. Designed to appeal to both practitioners and academics, Mike will describe his path-breaking work on trading attendant to market events, such as earnings announcements or crashes. Places are limited and workshop participation is allocated on a first come first served basis. Please visit our website www.sussex.ac.uk/bmec/qfin<http://UrlBlockedError.aspx>for more details on the conference and workshop and to register.

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Fwd: [stoch-ned-l] Announcement workshop Population Dynamics and Statistical Physics in Synergie
by Cristian Giardina 06 Mar '14

06 Mar '14

---------- Forwarded message ---------- From: Koorn, P.M. <Koorn(a)eurandom.tue.nl> Date: Thu, Mar 6, 2014 at 2:55 PM Subject: [stoch-ned-l] Announcement workshop Population Dynamics and Statistical Physics in Synergie To: "stoch-ned-l(a)science.uu.nl" <stoch-ned-l(a)science.uu.nl> We would like to announce the upcoming workshop on Population Dynamics and Statistical Physics in Synergy To be held at Eurandom, Eindhoven, the Netherlands Date: August 25-29, 2014 Organizers: C. Giardina, A. Greven, F. den Hollander Mini courses by: J. Kurchan, C. Richard Talks by 20 other researchers. More information on http://www.eurandom.nl/events/workshops/2014/Population_Dynamics/Population… On behald of the organizers, Kind regards, Patty Koorn Eurandom P.O.Box 513 (MF 4.081) 5600 MB EINDHOVEN The Netherlands tel. +31 40 247 81 00 e-mail koorn(a)eurandom.tue.nl www.eurandom.tue.nl

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Fwd: (fwd)
by Lucia Caramellino 06 Mar '14

06 Mar '14

---------- Forwarded message ---------- Date: Tue, 4 Mar 2014 09:19:49 +0100 From: Maria Chiarolla <maria.chiarolla(a)uniroma1.it> To: Lucia Caramellino <caramell(a)axp.mat.uniroma2.it> Subject: Fwd: ---------------------------------------- vi informo che sul sito della Facolt�, nell'apposita sezione http://www.economia.uniroma1.it/node/5559/affidamenti-e-contratti, � stato pubblicato un bando per n. 7 posti per contratti di collaborazione coordinata e continuativa, per lo svolgimento di corsi di recupero e sostegno per i seguenti insegnamenti: Economia Aziendale, Economia e Gestione delle Imprese, Finanza Aziendale, Istituzioni di Diritto Pubblico, *Matematica corso base*, Politica Economica, Statistica corso base. *La scadenza prevista per la presentazione delle domande � il giorno 11 marzo 2014.* Vi invito a darne la massima diffusione. Grazie, MCh

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[amases-soci] Fwd: Second Call e web site 38mo Convegno AMASES 2014 (fwd)
by Tiziano Vargiolu 05 Mar '14

05 Mar '14

---------- Forwarded message ---------- Date: Wed, 05 Mar 2014 14:34:21 +0100 From: Antonella Basso <basso(a)unive.it> To: Soci AMASES <amases-soci(a)listserv.unive.it> Subject: [amases-soci] Fwd: Second Call e web site 38mo Convegno AMASES 2014 Cari Soci AMASES, vi inoltro la seconda call del Convegno AMASES 2014 e il link al sito web. Cordiali saluti Antonella Basso -------- Messaggio originale -------- Oggetto: Second Call e web site 38mo Convegno AMASES 2014 Data: Wed, 5 Mar 2014 13:10:56 +0100 Mittente: Massimiliano Ferrara <massimiliano.ferrara(a)unirc.it> A: Antonella Basso <basso(a)unive.it> CC: basile(a)unina.it, Weinrich Gerd <gerd.weinrich(a)unicatt.it> Cara Antonella, Ti chiedo cortesemente di comunicare ai Consoci che il sito del prossimo Convegno Amases e' da questa mattina on line al seguente indirizzo: www.amases2014.unirc.it Un abbraccio Massimiliano Ferrara -- Antonella Basso Dipartimento di Economia Universita 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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Assegno di ricerca post-dottorale, presso CNR IMATI-MI
by Antonio Pievatolo 04 Mar '14

04 Mar '14

Segnalo la pubblicazione di un bando per un assegno di ricerca post-dottorale su "Analisi statistica dei dati", con scadenza il prossimo 24 marzo. I dettagli si trovano nella seguente pagina web: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/72788 Cordiali saluti Antonio Pievatolo -- Dr Antonio (Marco) Pievatolo CNR IMATI Tel. +39 02 23699.521 (direct: 520) Web www.mi.imati.cnr.it/marco

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Two seminars and presentation of Ph.D. theses - date
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

We have the pleasure to announce the following two seminars and the defenses of two PhD thesis for the day Friday, March 7th: University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) 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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Two seminars and presentation of Ph.D. theses
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

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 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) 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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CSAMA 2014: Computational Statistics for Genome Biology - June 22-27, 2014
by stefano iacus 02 Mar '14

02 Mar '14

CSAMA 2014: Computational Statistics for Genome Biology (12th edition) Bressanone-Brixen, Italy (South Tyrol Alps - half way between Verona and Munich) June 23-27, 2014 *** Registration for CSAMA 2014 is now open *** http://www-huber.embl.de/csama This one-week intensive course teaches current approaches in the statistical and computational analysis of large-scale experiments in biology. The course focuses on the methods for downstream analysis of high-throughput sequencing experiments including RNA sequencing (differential expression) and DNA sequencing (variant calling), as well as QTL analysis and high-throughput screening. Lectures also cover essentials including statistical testing, linear models, machine learning, visualisation and bioinformatic metadata integration. Topics • Introduction to R and Bioconductor • Elements of statistics: hypothesis testing, multiple testing, regression, regularisation, clustering and classification (machine learning), visualisation • Computing with sequences and genomic intervals • RNA-Seq data analysis and differential expression • DNA Variant calling • Working with annotation -- genes, genomic features and variants • Gene set enrichment analysis • High-throughput screens The course consists of • morning lectures: 20 x 45 minutes: Monday to Friday 8:30am - 12:00am • 4 practical computer tutorials in the afternoons (2pm - 5pm) on Monday, Tuesday, Thursday and Friday ----------------------------------- Stefano M. Iacus Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en Have a look at the new Master Degree in Finance ! http://www.fin.unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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Fwd: Deadline abstract submission ICFIS2014 extended to March 13!
by Julia Mortera 02 Mar '14

02 Mar '14

-------- Original Message -------- Subject: Deadline abstract submission ICFIS2014 extended to March 13! Date: Tue, 25 Feb 2014 21:45:58 +0100 From: ICFIS2014 <icfis2014(a)gmail.com> Reply-To: <info(a)icfis2014.org> To: <info(a)icfis2014.org> *The deadline for abstract submission for ICFIS2014 <http://icfis2014.org> has been extended to March 13.* * *KOG We have already received 75 abstracts, but we want to give even more people the opportunity to submit an abstract. The *9th International Conference on Forensic Inference and Statistics* <http://icfis2014.org/> will take place from *19 to 22 August 2014* at Leiden University <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/venue.html>, the Netherlands. Leiden is a beautiful city with a large number of monuments and canals, and has a 15 minutes train link to Amsterdam Schiphol International Airport, one of the main gates of Europe. This international conference - in short *ICFIS2014* <http://icfis2014.org/> - unites lawyers, statisticians and forensic scientists in their interest in optimal reasoning concerning forensic evidence. Technical developments in biological, physical, chemical and digital forensic disciplines are fast and have an increasing impact on law enforcement and the justice system. Examples are DNA profiling, fingerprint and illicit drug analysis, and analysis of large digital data-sets for intelligence purposes. Whatever the type of evidence, it can only be of value when it is properly gathered, analyzed, evaluated, and communicated by the scientist. Moreover, it should be understood by the legal decision maker. This requires sound statistical and logical methods, and good communication between lawyers and scientists. The conference promotes the interaction between providers and users of forensic evidence. It focuses on probabilistic methods for the evaluation of forensic evidence, and their use in law and law enforcement. The conference will provide a forum for oral presentations and posters. Furthermore, the first day of the conference will consist of workshops. Selection by the scientific committee of the contributions for the final program is based on abstracts. If you haven't done so already, please submit your abstract by digitally filling out the form you can download from the website <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/abstracts.html>, and sending it to abstracts(a)icfis2014.org <mailto:abstracts@icfis2014.org>. *The final deadline for abstract submission is March 13, 2014. * The website lists the themes <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/index.html#themes> for the conference. See you at ICFIS2014! Charles Berger and Marjan Sjerps, on behalf of the organizing and scientific committee <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/organization.html>. ___________________________________ If you want to unsubscribe from this mailing list, just reply with 'unsubscribe' in the subject.

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Cooperint call at University of Verona
by Luca di persio 02 Mar '14

02 Mar '14

Dear all, this a call for potentially interested people to join the Cooperint internationalization program of the University of Verona (see details below) in order to build a scientific collaboration in particular within the fields of: *Probability, Statistics, Stochastic Processes and their applications in Mathematical Finance*. Please feel free to contact me at: luca.dipersio(a)univr.it . *CooperInt Program - 2014 edition* *Deadline: April 7* The *University of Verona* has launched its own internationalization program called *CooperInt*, providing funding to promote research interactions with international scientists according with the following call typologies *Action A.1* (*Junior Visitor Program*) is intended to invite young researchers with no more than 7 years of academic experience after their PhD. Such positions are intended mainly for research activity/exchanges, but can also forecast teaching activities (e.g. seminars, short courses) *Action A.2* (*Senior Visitor Program*), is intended to invite world renowned Visiting Professors and scientists. During their stay in Verona the invited professors will be required to do teaching activities within a Master or a PhD Program for a minimum workload of two hours per week (eight hours per month). *Reimbursement* *A1 Funding *(max.amount) *A2 Funding *(max.amount) EU Home Institution Non-EU Home Inst. EU Home Institution Non-EU Home Inst. *2000 EURO/month NET* *2500 EURO/ month NET* *2500 EURO/ month NET* *3000 EURO/ month NET* For bureaucratic assistance refer to the International Relations Office: relazioni.internazionali(a)ateneo.univr.it Please note that the deadline is fixed at 07/04/2014, but, due to administrative duties, it is much better to have most of the required documents filled by the end of March. __ 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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bando assegno di ricerca SECS-S/06 a Firenze
by mariaelvira.mancino＠unifi.it 01 Mar '14

01 Mar '14

Il Dipartimento di Economics and Management dell'Universita' di Firenze bandisce un assegno di ricerca della durata di un anno per il settore SECS-S/06. Il bando si trova all'indirizzo: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/72982 Mavira Mancino

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Seminario Sergio Albeverio
by Luca di persio 26 Feb '14

26 Feb '14

Buondì, inoltro, con preghiera di diffusione, l'annuncio del seminario che il prof. Sergio Albeverio (ospite dell'Università di Verona) terrà presso il prossimo 10 Marzo presso il Dipartimento di Informatica di UniVr. Buon lavoro, LuCa Prof. Sergio Albeverio, Bonn University "From integrals and asymptotics to (deterministic,stochastic,quantum) dynamical systems" Abstract del seminario We illustrate how deterministic ,stochastic and quantum aspects of the world emerge from infinite dimensional integrals and their asymptotics. Some recent applications in applied areas,from neurobiology to engineering and finance, are also briefly discussed. Keywords: Asymptotic expansions, Infinite dimensional integrals, Mathematical Finance, Neurobiology, SPDEs, Stochastic Processes Luogo ed ora del seminario: 10 Marzo 2014 ( ore 16:45: rinfresco, ore 17: seminario) presso il Dipartimento di Informatica dell'Università di Verona, Strada le Grazie 15 (Vr) Ca' Vignal 3 - Piramide, Sala Verde Referente: Luca Di Persio: http://www.di.univr.it/?ent=persona&id=8773&lang=en Grazie molte, 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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Scuola Estiva a Bielefeld: 7-20 Luglio 2014
by Giorgio Ferrari 26 Feb '14

26 Feb '14

*SUMMER SCHOOL: **Model Uncertainty in Economics and Finance - Advances in Stochastic Calculus* Dal *7 al 20 Luglio 2014* si svolgerà presso l´Università di Bielefeld (Germania) la Scuola Estiva *Model Uncertainty in Economics and Finance - Advances in Stochastic Calculus.* Le iscrizioni sono aperte fino al *30 Aprile 2014*. Per ulteriori informazioni http://www.bgts.uni-bielefeld.de/daad_network/2014summer/ Buona serata, Giorgio Ferrari -- Giorgio Ferrari Center for Mathematical Economics (IMW) Bielefeld University office: W10-100 office phone: +49 521 106 5642 Postfach 100131, 33501 Bielefeld, Germany email: giorgio.ferrari(a)uni-bielefeld.de giorgio.ferrari(a)uniroma1.it web-page: https://sites.google.com/site/giorgioferrariswebsite/

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