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Seminario N. Leonenko - Mercoledì 2 luglio ore 12 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '14

---------- Forwarded message ---------- Date: Tue, 17 Jun 2014 09:42:41 +0200 From: Marco Ferrante <ferrante(a)math.unipd.it> Subject: Seminario N. Leonenko - Mercoled? 2 luglio ore 12 Cari colleghi, il giorno Mercoledi 2 Luglio alle ore 12.00 in Aula 2BC30 il Prof. Nikolai Leonenko dell'Universita di Cardiff terra un seminario dal titolo: Fractional Pearson Diffusions (allego l'abstract). Grazie Marco -- Prof. Marco Ferrante Dipartimento di Matematica Universita' degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

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Statistics for Omics - Politecnico di Milano
by Laura M. Sangalli 17 Jun '14

17 Jun '14

Cari colleghi, abbiamo il piacere di invitarvi alla mattinata di seminari "Statistics for Omics" il 3 Luglio presso l'aula seminari "F. Saleri" del Dipartimento di Matematica, Politecnico di Milano. La mattinata si svolgerà secondo il seguente programma 09:00. Francesca Chiaromonte, The Pennsylvania State University, /Exploiting structure to reduce and integrate high dimensional, under sampled "omics" data/ 09:50. Giorgio Melloni, Istituto Italiano di Tecnologia, /DOTS-Finder: a comprehensive tool for assessing driver genes in cancer genomes/ 10:40. Break 11:10. Marzia Cremona e Alice Parodi, Politecnico di Milano, /Peak shape cluster analysis reveals novel biological insights/ 12:00. Kateryna Makova, The Pennsylvania State University, /Maternal Age Effect and Severe Germline Bottleneck in the Inheritance of Human Mitochondrial DNA/ 12.50. Marco Masseroli e Stefano Ceri, Politecnico di Milano, /Genometric query system as research enabler to discover genome properties/ Tutti gli interessati sono cordialmente invitati a partecipare. Piercesare Secchi -- Piercesare Secchi MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci, 32 20133 Milano - Italy tel. +39 02 2399 4592 fax. +39 02 2399 4568 e.mail: piercesare.secchi(a)polimi.it -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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XVI Workshop on Quantitative Finance - Parma January 29-30, 2015 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '14

(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 -------------------------------------------------------------------------- XVI WORKSHOP on QUANTITATIVE FINANCE January 29-30, 2015 Venue: Department of Economics University of Parma Via J.F. Kennedy, 6 43125 Parma Italy The Workshop is the sixteenth edition of a successful initiative whose aim is to set a common forum of ideas and discussions among researchers and practitioners interested in Finance. It provides an excellent platform to present and discuss recent advances in mathematical modelling and numerical methods for quantitative finance. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management, Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous editions of the Workshop, we wish to particularly encourage an international participation of young researchers; both theoretical and applied contributions are welcome. There are no registration fees. Contacts: Marzia De Donno (xviwqf(a)gmail.com) Phone: +39-0521-03-2481, Fax +39-0521-03-2385 Scientific Committee: Fabio Bellini (University of Milano Bicocca) - Andrea Consiglio (University of Palermo) - Gianluca Fusai (University of Piemonte Orientale) - Friedrich Hubalek (Vienna University of Technology) - Elisa Luciano (University of Torino) - Maria Elvira Mancino (University of Firenze) - Paola Modesti (University of Parma) - Massimo Morini (Banca IMI) - Mustafa Pinar (Bilkent University) - Simona Sanfelici (University of Parma) - Sergio Scarlatti (University of Roma Tor Vergata) - Carlo Sgarra (Polytechnic of Milano) - Peter Tankov (University Paris-Diderot) - Josef Teichmann (ETH Zurich) - Tiziano Vargiolu (University of Padova) Local Committee: Marzia De Donno, Fabio Della Marra, Gino Favero, Paola Modesti, Annamaria Olivieri, Simona Sanfelici, Federica Trani Deadline for paper submission: November 9th, 2014. Deadline for registration: January 6th, 2015. For more information, visit the Workshop website: www.qfinancexvi.altervista.org We are looking forward to meeting you in Parma! On behalf of the Local Committee, Simona Sanfelici

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Seminario Dott. Bourguin - Roma Tor Vergata
by Claudio Durastanti 17 Jun '14

17 Jun '14

Giovedí 19 Giugno, alle ore 14.00 presso l'aula D'Antoni, Dipartimento di Matematica di Tor Vergata, il dottor Solesne Bourguin, Carnegie Mellon University - Pittsburgh, presenterá il seguente talk: Portmanteau inequalities on the Poisson space Abstract: The main object of this talk is to provide an introduction on how to combine Stein's method and Malliavin calculus on the Poisson space in order to obtain general quantitative limit theorems for functionals of a Poisson random measure. As an application, the case of the random disk graph isomorphism problem in stochastic geometry will be discussed. Based on joint work with Giovanni Peccati. Cordiali saluti Claudio Durastanti

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SINGULAR STOCHASTIC PDEs, summer school in Pisa
by Marco Romito 17 Jun '14

17 Jun '14

SINGULAR STOCHASTIC PDEs September 22-24, 2014 Centro di Ricerca Matematica Ennio De Giorgi, Pisa, Italy http://www.crm.sns.it/event/333/ The purpose of the School is to introduce and discuss recent development in the analysis of singular stochastic PDEs arising in Physics, such as the Kardar-Parisi-Zhang equation. In this class of problems the irregularity introduced by the driving noise does not allow to use classical methods from the theory of partial differential equations. The school is aimed at student and young researchers in the field of stochastic PDEs, as well as scholars coming from the fields of the theory of PDE and theoretical physics. The school consists in a series of lectures by Massimiliano Gubinelli, additional invited lectures by Harald Oberhauser, Hendrik Weber, Lorenzo Zambotti and short presentations by participants. REGISTRATION: http://www.crm.sns.it/event/333/registration.html In a few cases funding for local expenses for young participants might be available, but funds are limited. SCIENTIFIC & ORGANIZING COMMITTEE Lisa Beck (Augsburg) Dirk Blomker (Augsburg) Franco Flandoli (Pisa) Marco Romito (Pisa)

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bando per un corso di recupero
by Gabriele Stabile 14 Jun '14

14 Jun '14

Segnalo la pubblicazione di un bando *con scadenza 30 giugno *per n. 1 incarico individuale, con contratto di lavoro autonomo di natura occasionale, per lo svolgimento di un corso di recupero e sostegno (da tenersi a settembre) che fornisca i prerequisiti di Matematica, Statistica e Calcolo delle Probabilità agli iscritti 2014/15 alla Magistrale in Finanza e Assicurazioni, Sapienza Università di Roma Il bando è disponibile al link http://www.memotef.uniroma1.it/node/6575 <http://www.memotef.uniroma1.it/node/6575.>

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Avviso di seminario - Prof. G. Peskir
by Cristina Zucca 13 Jun '14

13 Jun '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedi' 16 giugno 2014 alle ore 16.00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Prof. Goran Peskir (University of Manchester) terrà un seminario dal titolo "Optimal Mean-Variance Portfolio Selection"* Abstract: I will present a dynamic formulation of the mean-variance portfolio selection problem and discuss possible ways of solving it. *Joint work with J. L. Pedersen (Copenhagen)

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seminario di Fabio Bellini presso Prometeia - Bologna
by Giacomo Scandolo 13 Jun '14

13 Jun '14

Il giorno Giovedi 19 Giugno 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Fabio BELLINI (Università di Milano-Bicocca) terra un seminario dal titolo "Risk management with expectiles" Abstract We discuss the main properties of the expectiles, a one parameter family of coherent risk measures introduced in the statistical literature by Newey and Powell (1987). Expectiles are the only coherent risk measures that are also elicitable, in the sense that they can be equivalently defined as the minimizers of an expected loss; this property provides a natural methodology to perform a consistent backtesting. In this talk we explore the potential applicability of expectiles in a capital regulation framework, as an alternative to VaR and CVaR.

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Seminar and mini-course by Luca Capriotti, June 19 - 20, SNS Pisa
by Giacomo Bormetti 13 Jun '14

13 Jun '14

Luca Capriotti (EMEA head of Quantitative Strategies Global Credit Products, Credit Suisse) will give a seminar at the Scuola Normale Superiore, Pisa on Thursday 19 June 2014, 13:00 Aula Bianchi. The title and abstract are Ulisse Dini, Adjoint Algorithmic Differentiation and the Efficient Risk Management of Credit Portfolios Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this talk I will show how AAD can be used to risk manage in real time credit products, both exotic and vanilla, whether valued with Monte Carlo or with semi-analytical methods. I will show how by combining adjoint ideas with the implicit function (Dini's) theorem one can avoid repeating multiple times the calibration of the hazard rate curves which, especially for flow products, often represent the bottle neck in the computation of spread and interest rate risk. This typically results in orders of magnitudes savings in computation time with respect to standard methods. The adjoint of the calibration step can be naturally combined with the adjoint of the pricing step. This allows one to compute the risk of portfolios of credit products faster than computing the portfolio value alone, thus making risk management in real time possible. Moreover on Friday 20 June 2014 he will give a mini-course on Real Time Risk Management with Adjoint Algorithmic Differentiaton The agenda is attached below. Interested people are invited to participate. For more information, contact Stefano Marmi (stefano.marmi(a)sns.it) Fabrizio Lillo (fabrizio.lillo(a)sns.it) or Giacomo Bormetti (giacomo.bormetti(a)sns.it) &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&& Friday June 20, Aula Bianchi, 11.00-12.30 Friday June 20, Aula Bianchi, 14.00-15.30 Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this minicourse I will introduce AAD and show how it can be used to implement the calculation of price sensitivities in complete generality and with minimal analytical effort. The focus will be the application to Monte Carlo methods - generally the most challenging from the computational point of view. With several examples I will illustrate the workings of AAD and demonstrate how it can be straightforwardly implemented to reduce the computation time of the risk of any portfolio by order of magnitudes. 1. Pathwise Derivative Method 2. Algebraic Adjoint Approaches  3. Adjoint Algorithmic Differentiation (AAD)  4. AAD as a Design Paradigm  5. AAD and the Pathwise Derivative Method 6. First Applications 7. Case Study: Adjoint Greeks for the Libor Market Model 8. Correlation Risk and Binning Techniques 9. Case Study: Correlation Greeks for Basket Default Contracts

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Fwd: post-doctoral position
by Faggionato, Alessandra 13 Jun '14

13 Jun '14

Applications are invited for a post-doctoral position in Probability at Marseille (Aix-Marseille Université). The position can start October 1st 2014. It is a two-years position, funded by the Fondation Universitaire AMIDEX d'Aix-Marseille, with a stipend of 1960 euros (and 2300 if more than 3 years experience after the thesis). Applicants should write BEFORE JULY 10th to Amine Asselah at amine.asselah(a)u-pec.fr attaching -CV -Research Projects -Letter of Recommendation. For information on the probability group members and activities at marseille please go to http://www.i2m.univ-amu.fr/Annuaire-de-l-equipe-240 Best Regards, Amine Asselah

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