Random

random@lists.dm.unipi.it

47 participants
5251 discussions

Seminario L. Torricelli - DSE Verona
by Alessandro Gnoatto 03 May '19

03 May '19

AVVISO di SEMINARIO 7 May 2019 - Polo Santa Marta, Via Cantarane 24, Sala Vaona (Room 1.59) Speaker: Lorenzo Torricelli Title: Stochastic clock methods for trade duration in option pricing Abstract: Stochastic clock and in-business-time return models are useful in finance to recover Gaussianity of asset returns by means of re-normalisation with an increasing process (a time change) capturing the market activity (number of trades and their sizes) through time. When applied to a Brownian motion parent process, absolutely continuous time changes give raise to stochastic volatility return models, whereas if the stochastic clock is an independent Lévy subordinator, a new pure jump Lévy model is attained. In this talk I introduce a third way of using stochastic clock techniques, specifically geared towards modelling stochasticity in the times of price revisions, i.e. trade duration, within a Lévy-based, continuous-time finance framework. By using as a time change the first hitting time process of a Lévy subordinator we turn a jump process into a continuous but locally constant one, thus obtaining a stochastic clock which can be interpreted as a calendar time where the price evolution is halted at random instants. I illustrate some of the many applications such a technique may have, with a specific view to option pricing. I discuss three main topics: (i) modelling of regulatory and automated trading halts in equity markets; (ii); explicit identification of a market price of risk connected to liquidity factors; (iii) impact of dependence between duration and returns in the large maturity decay of the implied volatility skew. Explicit analytic pricing formulae can indeed be exhibited, making use of the fact that an analytic transform theory of appropriate inverse Lévy subordinators is fully developed. I finally suggest that the statistical fitting of such models poses delicate questions. For example, for a principled option prices calibration, it is critical to understand which of the trade duration parameters can be derived from the market implied risk-neutral distributions, and which are instead inherent to the market microstructure, and must therefore appear in the minimisation problem as a constraining factor. -- Prof Alessandro Gnoatto, PhD Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com<http://www.alessandrognoatto.com> E-mail: alessandro.gnoatto(a)univr.it<mailto:alessandro.gnoatto@univr.it> -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

1 0

Posto di ricercatore RTD-B settore SECS-S/06 (13/D4) a Venezia
by Antonella Basso 03 May '19

03 May '19

Si informa che è uscito il bando per un posto di ricercatore RTD-B nel settore SECS-S/06 Metodi matematici dell'economia e delle scienze attuariali e finanziarie (macrosettore 13/D4) presso l'Università Ca' Foscari Venezia. Il bando si trova al seguente link: https://intra.unive.it/plapps/bandi/common/showbando?id=30917 e ha scadenza 30 maggio 2019. Cordiali saluti Antonella Basso -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università 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/data/persone/5591751 -- Nota automatica aggiunta dal sistema di posta.

1 0

YSS2019: Summer School on Computational and Statistical Methods for Stochastic Process [final announcement]
by stefano iacus 03 May '19

03 May '19

YSS2019: The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process 25-28 June 2019, Brixen-Bressanone, Italy This 4 days course aims at introducing researchers, PhD students and practitioners to several aspects of numerical and statistical analysis of time series through the R language and, in particular, the YUIMA package. Who can benefit? Stochastic differential equations, with or without jumps, are nowadays used as statistical models in many contexts, including but not limited to, finance, insurance, phylogenetics, genomics, political analysis, economics, migration flow analysis, social network analysis, and more. Topics The course covers topics of R programming, time series data handling, simulation and numerical analysis for several types of statistical models including: point processes, stochastic differential equations driven by Brownian motion with or without jumps, fractional Brownian motion and Lévy processes. For detailed information see the course page at: https://yuimaproject.com/yss2019/ Registration closes on May 20th 2019! PhD Students and PostDocs can attend for free. Limited availability. Access rule: FIFO. NOTE: A parallel “Third YUIMA workshop”, invitation based, will also take place in the same days. Participants of YSS2019 can also attend for free in non-overlapping slots. ----------------------------------- Prof. Stefano M. Iacus, Ph.D. 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 http://orcid.org/0000-0002-4884-0047 ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

1 0

Seminario di Mauro Mariani a Roma La Sapienza (10.05.19)
by Faggionato, Alessandra 02 May '19

02 May '19

Buongiorno vi annuncio un secondo seminario per la prossima settimana qui alla Sapienza (v.sotto). Grazie Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Venerdì 10 Maggio, ore 14:00, Aula di Consiglio, Dipartimento di Matematica, La Sapienza. Speaker: Mauro Mariani, National Research University Higher School of Economics, Moscow Title: Scaling limit of a continuous model of active particles. Abstract: A free energy functional arising from kinetic mean field models of interacting particles is considered. We study the variational limit, in the regime of long time and strong interaction. While the density of particles only features a weak limit in the phase space (say position and velocity), the projection of such a density on the spacial coordinates has a meaningful limit, which satisfies a hydrodynamic equation. We characterizes the tensors appearing in the hydrodynamic limit, in terms of the interaction and velocity field of the original model. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

1 0

Variazione di orario seminario a Roma1 del 7 maggio
by Faggionato, Alessandra 02 May '19

02 May '19

Buongiorno il seminario di Lorenzo Dello Schiavo precedentemente annunciato sarà anticipato alle ore 13.45. Sotto l'annuncio aggiornato. Grazie Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Martedi' 7 Maggio, ore 13:45, Aula di Consiglio, Dip. Matematica, La Sapienza Speaker: Lorenzo Dello Schiavo (Università di Bonn) Titolo: The Dirichlet-Ferguson diffusion Abstract: We define, via Dirichlet forms’ theory, a geometric diffusion process on the L^2-Wasserstein space over a closed Riemannian manifold. The process is associated with the Dirichlet form induced by the L^2-Wasserstein gradient and by the Dirichlet-Ferguson random measure with intensity the Riemannian volume measure on the base manifold. We discuss the closability of the form via an integration-by-parts formula, which allows explicit computations for the generator and a specification of the process via a measure-valued SPDE. We comment how the construction is related to previous work of von Renesse—Sturm on the Wasserstein Diffusion and of Konarovskyi—von Renesse on the Modified Massive Arratia Flow. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

1 0

Second Italian Meeting on Probability and Mathematical Statistics
by Antonio DI CRESCENZO 02 May '19

02 May '19

Dear Colleagues, we are pleased to announce that the provisional program and the list of contributions of the *Second Italian Meeting on Probability and Mathematical Statistics* is now available at http://www.salerno2019.dipmat.unisa.it/program.html Invited Speakers (cf. http://www.salerno2019.dipmat.unisa.it/speakers.html): - *Giovanni Peccati*, Luxembourg University Monday, June 17. Talk: Intrinsic volumes of convex bodies and cones: concentration, limit theorems and sparse recovery - *Lorenzo Zambotti*, Sorbonne Université Tuesday, June 18. Talk: A brief personal history of stochastic partial differential equations - *Cristina Toninelli*, Université Paris Dauphine Wednesday, June 19. Talk: Bootstrap percolation and kinetically constrained particle systems: critical time scales - *Stefano Maria Iacus*, University of Milano Thursday, June 20. Talk: On regularized estimation for stochastic differential equations Participants are kindly invited to provide for the accommodation as soon as possible, since June is a touristic period. Important deadline: - May 31, 2019: intermediate registration Main links: Conference web site: http://www.salerno2019.dipmat.unisa.it Registration: http://www.salerno2019.dipmat.unisa.it/registration.html Accommodation: http://www.salerno2019.dipmat.unisa.it/accommodation.html Travel info: http://www.salerno2019.dipmat.unisa.it/travel.html Contacts: http://www.salerno2019.dipmat.unisa.it/contacts.html We look forward meeting you soon in Vietri sul Mare. The Scientific Committee Claudia Ceci, Paolo Dai Pra, Antonio Di Crescenzo, Franco Fagnola, Franco Flandoli, Antonio Lijoi, Andrea Pascucci, Franco Pellerey, Laura Sacerdote The Local Organizing Committee Giacomo Ascione, Aniello Buonocore, Camilla Calì, Luigia Caputo, Antonio Di Crescenzo, Maria Longobardi, Barbara Martinucci, Alessandra Meoli, Luca Paolillo, Paola Paraggio, Enrica Pirozzi, Fabio Travaglino

1 0

New studentships in Statistics and Probability available in Warwick
by Spano, Dario 01 May '19

01 May '19

[apologies for cross postings] Dear Colleagues, PhD studentships are available in the Department of Statistics at the University of Warwick as part of the Warwick Centre for Doctoral Training in Mathematics and Statistics. https://warwick.ac.uk/fac/sci/fromas The studentships are for a period of 4 years with starting date October 2019. Funding includes a stipend at UKRI rates and tuition fees at UK/EU rates. Research in the Warwick Statistics Department can be broadly divided into three areas: 1 Probability and Stochastic Finance; 2 Statistical Methodology and Computational Statistics; 3 Data Intensive Research and Scientific Statistical Modelling. For further details see: https://warwick.ac.uk/fac/sci/statistics/postgrad/research/ Further information on the CDT, including how to apply, is given at: https://warwick.ac.uk/fac/sci/fromas Informal enquiries may be sent to Martyn Plummer <martyn.plummer(a)warwick.ac.uk<mailto:martyn.plummer@warwick.ac.uk>> Best wishes, Dario Spanò

1 0

5 assistant/associate professor positions at University of Twente
by Antonio Lijoi 01 May '19

01 May '19

Care/i colleghe/i, su gentile richiesta, inoltro l'annuncio relativo a posizioni aperte presso la University of Twente. Cordiali saluti, AL -------- Forwarded Message -------- Subject: 5 assistant/associate professor positions at University of Twente Date: Wed, 1 May 2019 07:19:06 +0000 From: a.j.schmidt-hieber(a)utwente.nl To: antonio.lijoi(a)unibocconi.it The University of Twente (Netherlands) invites applications for several assistant/associate professor positions in statistics/machine learning/data science. All details can be found here https://www.utwente.nl/en/organization/careers/!/913354/5-assistantassociat… Closing date is *May 12*. If you have any question regarding the positions, feel free to contact Johannes Schmidt-Hieber (a.j.schmidt-hieber(a)utwente.nl ) --- Dai il tuo 5x1000 alla Bocconi. Aiuta gli studenti meritevoli a costruire il proprio futuro. CF 80024610158. www.unibocconi.it/5x1000 Please note that the above message is addressed only to individuals filing Italian income tax returns. 5x1000 is a percentage of Italian personal income tax that taxpayers can allocate to Universities, scientific research and non profit organizations. ---

1 0

International Conference in Venice - CALL FOR PAPERS
by Monica Billio 01 May '19

01 May '19

CREDIT2019 <http://www.greta.it/credit/credit2019/credit2019.htm> *GRETA Associati* (Venice, Italy), *European DataWarehouse* (Frankfurt am Main, Germany), *Intesa Sanpaolo* (Milan, Italy) and *S&P Global Market Intelligence* (London, UK) are co-sponsors of a Conference to be held in Venice on September 26-27, 2019. The objective of the Conference is to bring together academics, practitioners and Ph.D. students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent financial and atmospheric events and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association*, *AIAF - Associazione Italiana per l'Analisi Finanziaria* (Milan, Italy) and the *Joint Research Center, European Commission* (Ispra, Italy), is the *eighteenth *of a series dedicated to various aspects of credit risk. //The adoption of the Paris Agreement on climate change and the UN 2030 Agenda for Sustainable Development marks a historical international commitment to the objective of a more sustainable economy and society. How to mobilise the necessary financing for green and sustainable investments is thus a primary need. // //Meanwhile, Regulators are discussing about a green-supporting or a brown-penalising factor since they want to make sure financial institutions are prepared. It is to find the way to support sustainable investments but it is primarily a discussion about credit risk.// //The banking and insurance industries and more in general the financial sector has to develop new asset management strategies and to adjust their credit allocation practices to cope with these new challenges and take advantage of the new opportunities. All these changes call for a substantial amount of research to improve the knowledge of the mechanisms at play and to design adapted policy tools. ////////// The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Analysis of climate change effects on companies’ creditworthiness, in terms of risk exposure and possible loss of business continuity; understanding on how to integrate the environmental risk and opportunities of banks’ or insurers’ counterparties in the credit process * Development of metrics for climate-related financial risks and investments opportunities; definition of an EU environmental and climate change (ECC) risk categorising system by economic sectors/sub-sectors for ECC screening to provide a sound and reliable basis for setting high-level policies for credit protection and allocation * Analysis of the climate change impact on the insurance sector and on the development of non-life and reinsurance products for the corporate and retail segments Analysis of climate-aligned developments in the financial markets (e.g. green bonds) and opportunities for financial institutions in fostering the low-carbon transition * Transmission channels of climate-related shocks from the real economy to financial institutions’ portfolios and amplification mechanisms of climate-related shocks through credit chains * Assessment of the potential impact of green financial policies, including climate-aligned monetary policies and macroprudential regulation * Big data and artificial intelligence to assess and manage the corporate exposures to climate change factors. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Robert Engle *(New York University, Stern Business School), *Andreas Hoepner* (University College Dublin), *Irene Monasterolo* (Wirtschaftsuniversität Wien, Vienna) and *Til Schuermann *(Oliver Wyman, New York). The Conference will also feature a panel discussion on researchers', practitioners' and policy makers’ views of the major outstanding problems. Sponsors** *GRETA* <http://www.greta.it/> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> S&P Global Market Intelligence <https://www.spglobal.com/marketintelligence/en/> Auspices** ** <http://www.abi.it/Pagine/default.aspx> *Ca' Foscari - Economics Department* <http://www.unive.it/pag/16892> *ABI* <http://www.abi.it/Pagine/default.aspx> AIAF <https://www.aiaf.it/> *JCR - European Commission <https://ec.europa.eu/jrc/en> * ** <https://ec.europa.eu/jrc/en> ** <http://www.abi.it/Pagine/default.aspx> * * The Scientific Committee consists of: *Carlo Carraro* (Ca’ Foscari University of Venice & CMCC, Programme Chair) *Stefano Battiston* (University of Zurich) *Monica Billio* (Ca’ Foscari University of Venice & GRETA) *Francesca Campolongo* (Joint Research Center, European Commission) *Robert Engle *(New York University, Stern Business School) *Thomas Heller *(Climate Policy Initiative & Stanford University) *Andreas Hoepner* (University College Dublin) * Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Stephen Schaefer* (London Business School) *Cristiano Zazzara* (S&P Global Market Intelligence) *CALL FOR PAPERS* Those wishing to present a paper at the Conference should submit by *May 31, 2019*, to the address given below (preferably in electronic format). Please, indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 30, 2019*. The final version of accepted papers must be received by August 31, 2019. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 e-mail: credit(a)greta.it <mailto:credit@greta.it> *IMPORTANT DATES* May 31, 2019: Papers submission deadline June 30, 2019: Paper acceptance notification August 31, 2019: Deadline for sending final version of accepted papers More detailed information soon available on the Conference website: http://www.greta.it/credit/credit2019/credit2019.htm *** Please accept our apologies for any crossed e-mails. -- Nota automatica aggiunta dal sistema di posta.

1 0

LMS Research School: Mathematics of Climate
by Tobias Kuna 30 Apr '19

30 Apr '19

Mathematics of Climate LMS Research School, University of Reading 8-12 July 2019 Organisers: Valerio Lucarini (Reading), Tobias Kuna (Reading), Jennifer Scott (Reading) and Dan Crisan (Imperial College, London) Main Lecture Courses Random Vortex Methods for 3D Fluids Hakima Bessaih (University of Wyoming) Mathematical Theory of Data Assimilation with Applications Alberto Carrassi (NERSC, Norway) Variational Principles for Stochastic Fluid Dynamics Darryl Holm (Imperial College, London) Guest Lectures Mathematical Aspects of the Semigeostrophic System Beatrice Pelloni (Heriot-Watt) Response of the Pleistocene Ice-ages to Astronomical Forcing Peter Ashwin (Exeter) These lecture courses will be supplemented by tutorial sessions. For further information please visit: https://tinyurl.com/yb2ujfxk Apply here: https://www.surveymonkey.co.uk/r/RS43ApplnForm by 8 May 2019. Research students, post-docs and those working in industry are invited to apply

1 0

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random