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QFinLab Seminar - Riccardo Brignone (Università di Pavia) - 23/10/2025, 14:30 @ Department of Mathematics, Politecnico di Milano
by Alessandro Calvia 16 Oct '25

16 Oct '25

Dear colleagues, you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Thursday, 23 October 2025, 14.30-15.30 Seminar room, third floor, building 14, Via Bonardi 9, Milano<https://www.google.com/maps/search/Via+Bonardi+9,+Milano?entry=gmail&source…> (Leonardo Campus) Riccardo Brignone (Università di Pavia) Title: Pricing path-dependent options under stochastic volatility models with full error control. Abstract: In this paper, we propose a unified methodology for pricing general path-dependent derivatives (e.g., Asian and Barrier options) that is based on the Monte Carlo-Conditional Fourier-cosine method and works for a broad class of stochastic volatility models. The main benefit of the proposed approach over existing literature consists in a simple and effective control of the error. A practitioner simply needs to provide the pricing algorithm with two parameters: i) a probability, q; ii) an error tolerance epsilon. Then, our proposed algorithm provides a price approximation that differs by no more than epsilon from the true unknown option price with probability at least equal to q. We provide an explicit link between the variance of the Monte Carlo simulation estimator of the option price, the error tolerance, and the number of simulations. In this way, the pricing methodology becomes extremely efficient when combined with effective variance reduction techniques that drastically reduce the number of simulations (and, consequently, the computing time) required to obtain an arbitrarily accurate price estimate. Joint work with Gero Junike. Attendance is also possible online (Microsoft Teams), clicking here<https://teams.microsoft.com/l/meetup-join/19%3ameeting_NmZjNzAwNmYtM2I4OC00…> All news can be found on the QFinLab webpage<https://www.qfinlab.polimi.it/seminars-and-meetings/>. The organizers: Michele Azzone and Alessandro Calvia.

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I: Avviso - Seminario di Probabilità il 21/10/2025
by Mario Morellini 16 Oct '25

16 Oct '25

Buonasera, ho il piacere di segnalare il seguente seminario. Mario Morellini. ________________________________ Da: Eventi Matematica Fisica <eventimatfis(a)uniroma3.it> Inviato: martedì 14 ottobre 2025 10:43 Oggetto: Avviso - Seminario di Probabilità il 21/10/2025 Martedì 21 ottobre alle ore 16:00, Maike de Jongh (University of Twente), terrà il seminario di Probabilità dal titolo "Controlling the zero-temperature Ising model using Markov decision theory". Abstract: The behavior of the Ising model under external control mechanisms is of interest in a wide variety of applications, including biological systems, social dynamics, and information processing. In this talk, we investigate control strategies for a zero-temperature two-dimensional Ising model on a finite square lattice evolving under Metropolis dynamics. Specifically, we consider a situation in which an external controller aims to drive the system from a configuration with a small droplet of +-spins towards the all-plus configuration by flipping spins at specific sites at predetermined moments in time. In order to analyze this control problem, we formulate it as a Markov decision process (MDP), a well-established framework for sequential decision-making problems under uncertainty. To find an optimal policy in this MDP, we construct a simplified model by means of a reduction of the configuration space to the local minima of the Hamiltonian. Leveraging the convenient form of this simplified model, we uncover the structure of the optimal policy by solving the Bellman equations in a recursive manner. Finally, we present simulation results illustrating the performance of this optimal policy in the original control problem at low temperatures. Il seminario si svolgerà in presenza presso il Dipartimento di Matematica e Fisica. Via della Vasca Navale, 84 - Aula F

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Fwd: Announcement IVUMI Workshop "Mathematics for Artificial Intelligence and Machine Learning"
by Faggionato, Alessandra 16 Oct '25

16 Oct '25

Buongiorno, ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Davide Torlo <davide.torlo(a)uniroma1.it> Date: Thu, 16 Oct 2025 at 11:24 Subject: Fwd: Announcement IVUMI Workshop "Mathematics for Artificial Intelligence and Machine Learning" To: FYI Dear Colleagues, Following the previous editions - held in Bari [UMI2025 <https://umi-math4aiml2025.uniba.it/>], Milan [UMI2024 <https://dec.unibocconi.eu/mathematics-artificial-intelligence-and-machine-l…>] and Turin [UMI2023 <https://umi.dm.unibo.it/gruppi-umi-2/gruppo-umi-aimlmat/>] - we are glad to announce the *4th workshop of the UMI Group *“Mathematics for Artificial Intelligence and Machine Learning <https://sites.google.com/uniroma1.it/umiworkshop2025/math4aiml-umi-workshop> ”, which will take place on *January 21-23, 2026*, at the *Mathematics Department of Sapienza University of Rome*. The invited speakers are Paola Antonietti (Politecnico di Milano) Annalisa Barla ( Università di Genova) Vincenzo Bonifaci (Università Roma Tre) Massimo Fornasier (Technische Universität München) Domenico Marinucci (Università degli Studi di Roma Tor Vergata) Pierpaolo Vivo (King's College London) The workshop focuses on the interplay between mathematics, artificial intelligence, and machine learning. Its aim is to encourage mathematical research in these areas, promote the dissemination of results, and facilitate interaction with other disciplines. In addition to invited talks, the program will feature contributed presentations by young researchers. To register, please visit the workshop website <https://sites.google.com/uniroma1.it/umiworkshop2025/math4aiml-umi-workshop>. Participation is free, but registration is required. The event will conclude the thematic period on Data Science within the *Eccellenza* Scientific Program of the Mathematics Department at Sapienza University of Rome. Further information about the program can be found on this page <https://sites.google.com/uniroma1.it/excellence-department/home>. Kind regards, The Scientific Committee Adriano Barra Alessandra De Rossi Ernesto De Vito Stefano Gualandi Giampaolo Leonardi Marco Maggesi Benedetta Morini Sandra Pieraccini Paolo Zunino The Organizing Committee Elena Agliari Adriano Barra Alberto Fachechi Giuseppe Visconti *MDN Mailing list* If you want to unsubscribe from this mailing list fill in with the mail you want to unsubscribe the following form https://forms.gle/NJjr72pq3PPf52tk9 *Fai crescere le giovani ricercatrici e i giovani ricercatori* *con il 5 per mille alla Sapienza* Scrivi il codice fiscale dell'Università *80209930587**Cinque per mille <https://www.uniroma1.it/it/node/23149>* -- ************************************************* Prof. Alessandra Faggionato https://www1.mat.uniroma1.it/people/faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 123, first floor *************************************************

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OWPS today
by Federico Sau 16 Oct '25

16 Oct '25

Dear all, This is a reminder for today's seminar by Tom Hutchcroft (Caltech) on Critical long-range percolation, at 14.00 UTC (16.00 Rome time). All info's here: https://www.owprobability.org/one-world-probability-seminar. Looking forward to seeing many of you! Best, the organizers ---------- Forwarded message --------- From: One World Probability <ow.probability(a)gmail.com<mailto:ow.probability@gmail.com>> Date: Fri, Oct 10, 2025 at 5:12 PM Subject: Fwd: OWPS kicks off next week To: <owps(a)lists.bath.ac.uk<mailto:owps@lists.bath.ac.uk>>, <APPLIEDPROB(a)jiscmail.ac.uk<mailto:APPLIEDPROB@jiscmail.ac.uk>>, <st-net(a)lists.math.uni-sb.de<mailto:st-net@lists.math.uni-sb.de>> Dear colleagues, We are pleased to announce that the Fall 2025 series of the OWPS (One World Probability Seminar) is resuming next week! This semester, seminars will be held twice a month on Thursdays. The first talk will take place on Thursday, October 16, 2025, from 14:00 to 16:00 UTC via Zoom (see details below): Speaker: Tom Hutchcroft (Caltech) Title: Critical long-range percolation All information, including the talk's abstract, the schedule of the next talks, and the Zoom-YouTube livestream links, can be found on our website: https://www.owprobability.org/one-world-probability-seminar Originally launched during the early days of the pandemic to keep the probability community connected, OWPS has now hosted over 100 talks from researchers around the world. Its goal remains to serve as a reference point for connecting researchers in probability and related areas globally, enabling live participation and direct interaction, sharing the latest developments, and forming a lasting digital archive of talks. If you wish to receive updates on future OWPS talks, you can join our mailing list here<https://www.owprobability.org/mailing-list>. We look forward to seeing many of you online! Best wishes, Marianna Russkikh and Federico Sau *** Il tuo 5x1000 al diritto allo studio Università degli Studi di Milano CF 80012650158

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Berlin Mathematical School (BMS) PhD
by Pietro Caputo 16 Oct '25

16 Oct '25

Ricevo e inoltro con piacere ------------------------------ *Da:* Berlin Mathematical School <applications(a)math-berlin.de> *Inviato:* giovedì 16 ottobre 2025 09:19 *A:* caputo(a)mat.uniroma3.it <caputo(a)mat.uniroma3.it> *Oggetto:* Berlin Mathematical School (BMS) – Get Your Math PhD in Berlin Dear Prof. Dr. Pietro Caputo, The application portal for the BMS PhD program is currently open and we kindly ask you to forward our call for applications to your colleagues and students: The Berlin Mathematical School is the graduate school of the Cluster of Excellence MATH+ ( https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.mathp… <https://www.mathplus.de/>) and a joint endeavor of the mathematics departments at the universities in Berlin: Freie Universität (FU), Humboldt-Universität (HU) and Technische Universität (TU). We offer an excellent doctoral program taught in English in a broad and active research environment together with mentoring programs, soft-skills seminars, travel funding for conferences and research stays, language courses, and an extensive and welcoming support system facilitated by the BMS office and vibrant student community. https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.math-… <https://www.math-berlin.de/students> “Mathematics as a whole“ is a leading principle of the BMS. Its focus encompasses fields that are traditionally termed “pure“ or “applied“ mathematics, though we prefer not to make that distinction. Instead, research topics are grouped into eight parts, each covering a broad, but coherent, part of mathematics: Area 1: Geometry and topology Area 2: Algebraic geometry and number theory Area 3: Stochastics and mathematical finance Area 4: Discrete mathematics and optimization Area 5: Discrete geometry Area 6: Numerical mathematics Area 7: Applied analysis Area 8: Mathematics for AI All you need to know about applying to the BMS is available online: https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.math-… <https://www.math-berlin.de/application> Application Deadlines The BMS application period consists of two application rounds. For admission to our program in 2026, applications will be accepted via our online portal from 1 October to 1 December 2025 (first round) and 1 March to 1 April 2026 (second round). Phase I (Master studies): Deadline for application requiring admission with scholarship: 1 December 2025 Number of available places with scholarship: 10 Deadline for general admission without funding: 1 April 2026 Number of available places without funding: 10 Phase II (Doctoral research): For Phase II applicants, the BMS serves mostly as a “matchmaker” with faculty members in Berlin. The BMS can fund max. 1 Phase II position per year. The start date is 1 October 2026. Best regards, Gavril Farkas, BMS Chair Holger Reich, BMS Chair John M. Sullivan, BMS Chair Annika Preuß-Vermeulen, BMS Coordinator and Nadja Wisniewski, MATH+ Managing Director Berlin Mathematical School (BMS) MATH+: The Berlin Mathematics Research Center Cluster of Excellence Technische Universität Berlin Sekr. MA 2-2 <https://www.google.com/maps/search/2-2+%0D%0AStrasse+des+17?entry=gmail&sou…> Strasse des 17 <https://www.google.com/maps/search/2-2+%0D%0AStrasse+des+17?entry=gmail&sou…>. Juni 136 10623 Berlin, Germany https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.mathp… <https://www.mathplus.de/> https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.math-… <https://www.math-berlin.de/>

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OWABI Season 7: Kick-off October 30 - FX Briol
by Massimiliano Tamborrino 16 Oct '25

16 Oct '25

Dear all, welcome back after the summer/winter break! A new season of the One World Approximate Bayesian Inference (OWABI) Seminar<https://warwick.ac.uk/fac/sci/statistics/news/upcoming-seminars/abcworldsem…> is about to start. The 1st OWABI talk of the Season will be given by François-Xavier Briol<https://fxbriol.github.io/> (University College London). who will talk about "Multilevel neural simulation-based inference<https://arxiv.org/abs/2506.06087>" on Thursday the 30th October at 11am UK time. We are pleased to announce that FX Briol has also joined the OWABI Organiser Team. Abstract: Neural simulation-based inference (SBI) is a popular set of methods for Bayesian inference when models are only available in the form of a simulator. These methods are widely used in the sciences and engineering, where writing down a likelihood can be significantly more challenging than constructing a simulator. However, the performance of neural SBI can suffer when simulators are computationally expensive, thereby limiting the number of simulations that can be performed. In this paper, we propose a novel approach to neural SBI which leverages multilevel Monte Carlo techniques for settings where several simulators of varying cost and fidelity are available. We demonstrate through both theoretical analysis and extensive experiments that our method can significantly enhance the accuracy of SBI methods given a fixed computational budget. Keywords: Multifidelity, neural SBI, multi-level Monte Carlo The talk will be streamed on MS Teams: Join the meeting now<https://teams.microsoft.com/l/meetup-join/19%3adhZ_4e_XLNJzCXPAMzTvT6BZ5KSh…> Meeting ID: 358 173 458 006 0 Passcode: Vp2975vC We are looking forward to seeing you all, best, Massimiliano on the behalf of the OWABI Organisers ------ Dr. Massimiliano Tamborrino Reader (Associate Professor) and WIHEA Fellow Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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Colloquium Guido Castelnuovo
by Faggionato, Alessandra 15 Oct '25

15 Oct '25

Buongiorno, ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- Subject: ANNUNCIO COLLOQUIUM GUIDO CASTELNUOVO Siete tutte invitate e invitati al primo *Colloquium Guido Castelnuovo* dell'anno accademico! Data: *giovedì 16 ottobre, ore 16.30* Luogo: *Sala di Consiglio* del Dipartimento di Matematica G. Castelnuovo - edificio CU006, Sapienza *Maria Esteban* (CEREMADE, Paris-Dauphine) Functional inequalities: symmetry of extremal functions and quantitative stability Abstract: In this colloquium talk I will make a general presentation about a number of topics intervening in the area of functional inequalities. Like the very diverse qualitative properties of their extremal functions depending on the particular inequality. Or the question of quantitative stability for the inequalities, a topic which is in full expansion nowadays. Maggiori informazioni sul Colloquium Guido Castelnuovo sono disponibili a: https://www.mat.uniroma1.it/it/ricerca/colloquium-guido-castelnuovo Il Colloquium Guido Castelnuovo fa parte delle attività del progetto Dipartimento di Eccellenza CUP B83C23001390001 finanziato dall'Unione Europea – Next Generation EU. -- ************************************************* Prof. Alessandra Faggionato https://www1.mat.uniroma1.it/people/faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 123, first floor *************************************************

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First Announce: Women in Mathematical Finance Workshop
by Claudia Ceci 15 Oct '25

15 Oct '25

Dear Colleagues, On behalf of the organizing committee, I am pleased to announce that the 1st edition of the *Women in Mathematical Finance Workshop* will take place at the *University of Rome Sapienza* (Department of MEMOTEF) on *February 12–13, 2026*. The workshop aims to highlight the scientific contributions of female researchers in mathematical finance and related fields. The program will feature seven invited lectures by leading scholars, alongside research presentations by early-career researchers. Several thematic sessions will cover a broad range of topics, including: mathematical modeling of financial markets, optimal control in finance and insurance, stochastic analysis, the intersection of data science and quantitative finance. *Invited Speakers:* - Giorgia Callegaro – *University of Padova* - Christa Cuchiero – *University of Vienna* - Giulia Di Nunno – *University of Oslo* - Elisa Luciano – *University of Torino* - Yuliya Mishura – *University of Kyiv* - Agnès Sulem – *Inria Paris* - Sara Svaluto-Ferro – *University of Verona* Participation is free, but registration is mandatory. *Important Dates for Submissions Reserved for Early-Career Female Researchers:* - *Abstract/paper **submission deadline:* December 15, 2025 - *Notification of acceptance:* January 9, 2026 Further information will be available shortly. We look forward to welcoming you to Rome! Best regards, *On behalf of the Organizing Committee,* Claudia Ceci *Dept. **MEMOTEF, "Sapienza" University of Rome (Italy)* Via del Castro Laurenziano, 9 - 00161 Rome, ITALY @-mail: claudia.ceci(a)uniroma1.it <sergio.bianchi(a)uniroma1.it> -- *Fai crescere le giovani ricercatrici e i giovani ricercatori*** *con il 5 per mille alla Sapienza* Scrivi il codice fiscale dell'Università *80209930587 **Cinque per mille <https://www.uniroma1.it/it/node/23149>*

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29 ottobre ore 11 Yuliya MISHURA a Bologna
by Cristina Di Girolami 14 Oct '25

14 Oct '25

Cari/e colleghi/e, mercoledì 29 ottobre ore 11 in aula Vitali (Dipartimento di Matematica, Piazza di Porta San Donato 5, Bologna) la professoressa Yuliya MISHURA (Kiev University) terrà un seminario dal titolo: "Driven by Brownian motion Cox-Ingersoll-Ross and squared Bessel processes: interaction and phase transition " Sarà possibile anche seguirlo on line all'indirizzo: https://teams.microsoft.com/l/meetup-join/19%3ameeting_OGM4YTlkZjUtZDA1ZS00… https://teams.microsoft.com/l/meetup-join/19%3ameeting_OGM4YTlkZjUtZDA1ZS00… ID riunione: 316 734 024 958 6 Passcode: VS3oN7CV Organizzato da Cristina Di Girolami e Giacomo Lucertini. https://seminari.dm.unibo.it/mat https://seminari.dm.unibo.it/mat

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Dynstoch 2026 in Gothenburg, Sweden
by Umberto Picchini 13 Oct '25

13 Oct '25

Gentili colleghi, inoltro un annuncio sul prossimo meeting Dynstoch di statistica matematica e simulazione di processi stocastici, che si terra' a Göteborg in Svezia. (Dynstoch e' una conferenza che vanta piu' di venti edizioni. Una breve storia la trovate qui <https://sites.google.com/view/dynstoch>). Saluti, Umberto Picchini ************************** Dear colleagues, We are pleased to announce that the 2026 Dynstoch meeting will take place in Gothenburg, Sweden, on June 15–17, 2026. The meeting will be hosted by the Department of Mathematical Sciences at Chalmers University of Technology and the University of Gothenburg, and organized within the Dynstoch network. The aim of the Dynstoch series is to advance statistical inference and simulation for stochastic processes by combining modern probability tools with computationally intensive methods. Registration and abstract submission are expected to open in January 2026. More information and updates are available on the conference website: _https://dynstoch2026.pages.dev <https://dynstoch2026.pages.dev>_. We look forward to welcoming you to Gothenburg next June. Kind regards, On behalf of the local organizing committee

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