Random

random@lists.dm.unipi.it

11 participants
5335 discussions

Seminar of Nicola Secomandi, Padova, Friday 21
by Tiziano Vargiolu 13 Feb '20

13 Feb '20

*** Apologies for cross-posting *** Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics, University of Padova (via Trieste, 63), on February 21 h. 15.30 room 1BC/45. -------------------------------------------------- NICOLA SECOMANDI Tepper School of Business, Carnegie Mellon University Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Abstract: This paper extends quadratic hedging from European to Bermudan options in discrete time when markets are incomplete and investigates its use for supporting exercise policy optimization. The key idea is to construct date specific approximate replicating portfolios. Hedging any given exercise policy can be done by solving a collection of stochastic dynamic programs. Optimizing the exercise policy based on the resulting martingale measure requires care. If this measure is risk neutral (RN), the value of an optimal such policy, which can be obtained by augmenting the hedging model with an exercise policy optimization step, is a no arbitrage one. Otherwise this approach must be refined by imposing time consistency on exercise policies, although the value of the resulting exercise policy may not be arbitrage free. Following the common pragmatic strategy of specifying quadratic hedging under an RN measure, e.g., one calibrated to market prices, avoids these issues. In particular, it provides a simple hedging policy with immediate practical applicability and is equivalent to exercise policy optimization under RN valuation, thus complementing it with a consistent hedging policy. A simple numerical example shows that this procedure generates effective hedging policies. Paper available at https://arxiv.org/abs/2001.05788?context=q-fin --------------------------- All the best 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 --------------------------------------------------------------------------

1 0

10 Ph.D. positions @ Luxembourg Unviersity
by Giovanni Peccati 13 Feb '20

13 Feb '20

Dear Colleagues, *10 Ph.D. positions* are currently open in the *Department of Mathematics of Luxembourg University*, in the framework of a transversal grant spanning several disciplines - geometry, number theory, probability and mathematical physics. Here is the official link, where all details can be found: http://emea3.mrted.ly/2ej0i With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

1 0

Commodity and Energy Markets Association - Annual Meeting 2020 - Madrid (fwd)
by Tiziano Vargiolu 12 Feb '20

12 Feb '20

Apologies for cross-postings 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 --------------------------------------------------------------------------

1 0

CREST Post-doc offer: green finance / quantitative economics (fwd)
by Tiziano Vargiolu 12 Feb '20

12 Feb '20

Apologies for cross-postings. ---------- Forwarded message ---------- Date: Wed, 12 Feb 2020 15:29:26 +0100 From: Peter Tankov <peter.tankov(a)polytechnique.org> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Dear Tiziano,would you be so kind as to distribute my post-doc offer (attached) on your mailing list? Best wishes Peter -- Peter Tankov Professor of quantitative finance, ENSAE ParisTech Phone: +33 1 70 26 68 73 www.lpma-paris.fr/pageperso/tankov/ Email: peter.tankov(a)ensae.fr

1 0

New Post-Doc position @ Luxembourg University
by Giovanni Peccati 12 Feb '20

12 Feb '20

Dear Colleagues, a new *2 years post-doc position *is open at the *Department of Mathematics of Luxembourg University *- deadline is* March 15, 2020. * Here is the official link for the application: http://emea3.mrted.ly/2ez6c The position is actually related to a large research grant (bridging several groups in the department) on the general topic of *Geometry, Probability and its Synergies. * As a consequence, applications are particularly welcomed from researchers whose expertise bridges two or more of the following areas: *geometry, probability theory, number theory and mathematical physics.* Please, do not hesitate to share this message with potential candidates. With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

1 0

Summer school in Santander for Master students
by Maurizia Rossi 11 Feb '20

11 Feb '20

Dear all, I would like to advertise this Probability Summer School on Random and deterministic point configurations https://www.ub.edu/santalo20/ that will be held in Santander - July 13-17, 2020. The aim of this Summer School is to introduce Master students into the field of point configurations, with wide-view courses that will include a friendly exposition of the main results in the area and its applications. If you know someone who might be interested in joining this event, please let them contact the organizers (C. Beltran and J. Marzo). Best wishes, Maurizia -- Maurizia Rossi Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca https://mauriziarossi.wordpress.com

1 0

PROBABILITY SEMINAR: Giovanni Conforti (CMAP, École Polytechnique ) [Padova, 21/02, 14.30]
by alessandra bianchi 10 Feb '20

10 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 21. ________________________________________________________ Speaker: Giovanni Conforti (CMAP, École Polytechnique ) Title: Understanding the most likely evolution of interacting particle systems 21 FEBRUARY (Friday), 14:30; ROOM 1BC45, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: An old question posed by Schrodinger may be rephrased as follows: what is the most likely evolution of an interacting particle system conditionally on the observation of its initial and final configurations? It is often the case that by means Large Deviation Principle this question is rigorously formulated as a (mean field) control problem in the space of probability measures. In the first part of this talk we will see if the space of probability measures is endowed with a Riemannian metric naturally induced by the form of the rate function, the equations governing the most likely evolution take the form of Newton's law. In some examples the Riemannian metric to be considered coincides with the Otto metric of optimal transport, but it is often the case that a different metric has to be chosen. In the second part of the talk we discuss how to use Newton’s laws to obtain convexity principles and dissipation estimates for entropy functionals along the most likely evolution. The interest of these estimates is twofold: on the one hand they imply a novel class of functional inequalities; on the other hand they allow to establish the turnpike property for the control problem defining the most likely evolution and to study its ergodic behaviour. Two concrete examples will be discussed in more detail: the exclusion process and systems of weakly interacting diffusions. Based on joint works with A.Chiarini, I.Gentil, J.Backhoff, C.Léonard, M.Pavon and L. Tamanini. All of you are very welcome. Best regards, Alessandra Bianchi tp://www.math.unipd.it/~bianchi/ <http://www.math.unipd.it/~bianchi/> -- Alessandra Bianchi Dip. di Matematica 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/

1 0

Quantitative Finance @ WORK - Rome, April 24, 2020
by Davide Erminio Pirino 10 Feb '20

10 Feb '20

Dear Student, Dear Colleague, The *Master of Science in Finance and Banking -* *University of Rome Tor Vergata* are pleased to host the fourth edition of *QFin@Work on April 24, 2020. *The Workshop is on the practical use of quantitative methods in Finance and related fields. The goal of the Workshop is to get together leading experts, and especially finance professionals, to learn from their experiences, listen to new ideas, and discuss about future perspectives in the field. The 2020 schedule is now available at https://qfinatwork.com/2020 Registration is free but compulsory to anyone will attend the meeting. We hope to see you there, *The Scientific Committee* Rocco Ciciretti Katia Colaneri Annalisa Fabretti Stefano Herzel Marco Nicolosi Davide Pirino Alessandro Ramponi Sergio Scarlatti

1 0

PhD course by Prof Antoine Jacquier (Imperial College London) in Padova
by Giorgia Callegaro 10 Feb '20

10 Feb '20

Dear all, this email is to announce the PhD course entitled "*A smooth tour around rough models in finance (From data to stochastics to machine learning)*" which will be given by Prof Antoine Jacquier (Imperial College, London) at the Department of Mathematics of University of Padova in March/April 2020. The course details (aim, contents and prerequisites) are available here: https://www.math.unipd.it/~dottmath/corsi2020/Jacquier.pdf and here is the schedule (lectures will be given in room *2BC30* in Torre Archimede, Dept of Mathematics, Via Trieste 63, 35121 Padova) 1. Thursday 19 March: 14-16 2. Friday 20 March: 14-16 3. Monday 23 March: 14-16 4. Thursday 26 March: 14-16 5. Friday 27 March: 14-16 6. Thursday 2 April: 14-16 7. Friday 3 April : 14-16 8. Monday 6 April : 14-16. Every lecture lasts 45 minutes, so in a slot of 2 hours please expect two lectures (for a total of 90 minutes) with a break. Everybody is welcome! See you in Padova, Giorgia Callegaro -- 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

1 0

avviso breve ciclo seminari
by Franco Flandoli 08 Feb '20

08 Feb '20

Si comunica che nei giorni *martedì 11 febbraio (aula Mancini) martedì 18 febbraio (aula Mancini) martedì 25 febbraio (aula Tonelli)* si terranno, presso la Scuola Normale Superiore di Pisa, i seguenti due cicli di seminari, con eventuale proseguimento da concordare: *ore 11-12 Sigurd Assing ore 12-13 Michael Goldman* Il tema dei seminari è brevemente descritto qui di seguito. Tutti gli interessati sono invitati a partecipare. ------------------------ *Sigurd Assing* (University of Warwick) TITLE: Bayesian Gaussian Process Latent Variable Model ABSTRACT: We introduce a variational inference framework for training the Gaussian process latent variable model and thus performing Bayesian nonlinear dimensionality reduction. The maximization of the variational lower bound provides a Bayesian training procedure that is robust to overfitting and can automatically select the dimensionality of the nonlinear latent space. ------------------------ *Michael Goldman* (Université Paris Diderot, CNRS) TITLE: A variational approach to regularity in optimal transport and applications to the optimal matching problem. ABSTRACT: In this course I will present the regularity theory for optimal transport maps recently developed together with M. Huesmann and F. Otto. The main point of the course is to show that as long as we are in a linearization regime, that is as long as the local displacement and the local distances of the two marginals to the Lebesgue measure are small, the displacement is quantitatively close to the gradient of the solution of a Poisson equation. We will see applications both to partial regularity and to (a variant of) the optimal matching problem. In particular, we will see how this theory allows to justify down to the microscopic scale some predictions made by Caracciolo and al for that problem.

1 0

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random