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Fwd: Durham UK: Permanent Lectureship in Probability
by Francesco Caravenna 20 Jan '16

20 Jan '16

Ricevo e inoltro. > > Dear All, > > > > The Department of Mathematical Sciences at Durham University, UK is > > advertising the following permanent position: > > > > Lectureship in Probability > > > > Closing date: 16 February 2016 > > > > https://www.dur.ac.uk/mathematical.sciences/news/?itemno=26840&rehref=%2Fma… > > > > > > Please could you forward the details of the above vacancy to anyone you think could be interested. > > > > Durham University is seeking to increase the proportion of female > > academic staff, and therefore specifically invites qualified women to apply. > > > > Should you have any queries, please do let me know. > > > > Anne >

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Seminario BRUNO TOALDO @ UniTo
by Federico Polito 20 Jan '16

20 Jan '16

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Giovedì 11 Febbraio 2016 alle ore 15:00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. BRUNO TOALDO (Dipartimento di Scienze Statistiche, "Sapienza" Università di Roma) terrà un seminario dal titolo INTEGRO-DIFFERENTIAL EQUATIONS AND SEMI-MARKOV PROCESSES Abstract: A stochastic process X is semi-Markov in the sense of Gihman and Skorohod if the couple (X(t),J(t)), where J(t) is the sojourn time in the current position, is a strict Markov process. The waiting times between the changes of state of the process are in general non exponential r.v.'s. We study the governing equations (Kolmogorov type equations) for semi-Markov processes. These equations are integro-differential equations that become fractional in some particular and interesting cases. For example this is true when the distribution of the waiting times have Mittag-Leffler distribution. Furthermore we present various sufficient conditions to say that a semi-Markov process is a time-changed Markov process. This last case has interesting consequences on the structure of the governing equation. Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Workshop "Stochastic Models And Related Topics"
by Antonio Di Crescenzo 19 Jan '16

19 Jan '16

Dear Colleague, the International Workshop "Stochastic Models And Related Topics" will take place on January 21 and 22, 2016, at the Department of Mathematics of Salerno University, Via Giovanni Paolo II, n. 132, 84084 Fisciano (SA), Italy The program and the relevant information can be found at http://www.unisa.it/docenti/antoniodicrescenzo/smart2016/workshop Your participation is welcome. The Organizing Committee Antonio Di Crescenzo, Virginia Giorno, Barbara Martinucci, Alessandra Meoli, Amelia G. Nobile, Serena Spina. --

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cancellazione corso PINAR!
by fabio.bellini 17 Jan '16

17 Jan '16

Cari colleghi, purtroppo a causa di un problema di passaporto Mustafa Pinar non ha potuto partire oggi da Ankara e quindi il suo corso di Ottimizzazione, previsto a partire da domani in Bicocca, non avrà luogo. Ci scusiamo per gli eventuali disagi! Fabio Bellini

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Lake Como Workshop: "Quantitative Laws II: From physiology to ecology, from interaction structures to collective behavior"
by Federico Bassetti 16 Jan '16

16 Jan '16

Dear Colleagues, This is the first announcement of the Lake Como Workshop "Quantitative Laws II: From physiology to ecology, from interaction structures to collective behavior" to be held on June 13th - June 25th, 2016, at Villa del Grumello, Como, Italy. SUBMISSIONS AND APPLICATIONS ARE OPEN NOW. For submission of abstracts, deadlines and other information, see the conference website at http://qlsb.lakecomoschool.org/ Please help us spreading word of this workshop to any colleagues you know might be interested, and bring this announcement to the attention of students and post-docs. (Apologies if you receive this multiply.) Confirmed Invited speakers: Rosalind Allen (Edinburgh University) Marc Barthelemy (CEA-Saclay) William Bialek (Princeton University) Naama Brenner (Technion Haifa) Antonio Celani (ICTP Trieste) Pietro Cicuta (University of Cambridge) Andrea de Martino (CNR/NANOTECH Italy) Kevin Dorfman (CEMS, University of Minnesota) Hans Herrmann (ETH Zurich) Kunihiko Kaneko (University of Tokyo) Edo Kussell (New York University) Amos Maritan (University of Padova) Matteo Marsili (ICTP Trieste) Sergei Maslov (University of Illinois Urbana-Champaign) Namiko Mitarai (University of Copenhagen) Miguel A. Muñoz (Universidad de Granada) Thierry Mora (Ecole Normale Supérieure, Paris) Todd Parsons (Université Pierre et Marie Curie) Chris Quince (University of Glasgow) Bianca Sclavi (Ecole Normale de Cachan, Paris) Kim Sneppen (University of Copenhagen) Sander Tans (AMOLF Amsterdam) Guido Tiana (University of Milan) Remco van der Hofstad (Eindhoven University of Technology) Erik van Nimwegen (Biozentrum Basel) Sven van Teeffelen (Pasteur Institute) Aleksandra Walczak (Ecole Normale Supérieure, Paris) Joshua Weitz (Georgia Tech) Best Regards, The organising committee: Federico Bassetti Fabrizio Capuani Marco Cosentino Lagomarsino Marco Gherardi Matteo Osella

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seminario Edgars Jakobsons
by Fabio Bellini 14 Jan '16

14 Jan '16

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Seminario Prof. Sara Biagini
by Gabriele Stabile 13 Jan '16

13 Jan '16

Mercoledì 20 Gennaio alle ore 13, presso l'aula Master al 5° piano del Dipartimento MEMOTEF (Sapienza Università di Roma, via del Castro Laurenziano 9) si terrà il seminario: "The Robust Merton Problem of an Ambiguity Averse Investor" Prof. Sara Biagini, Dipartimento di Economia e Finanza-LUISS G. Carli Abstract: We derive a closed form portfolio optimization rule for an investor who is di dent about mean return and volatility estimates, and has a CRRA utility. The novelty is that con dence is here represented using ellipsoidal uncertainty sets for the drift, given a volatility realization. This speci cation a ords a simple and concise analysis, as the optimal portfolio allocation policy is shaped by a rescaled market Sharpe ratio, computed under the worst case volatility. The result is based on a max-min Hamilton-Jacobi-Bellman-Isaacs PDE, which extends the classical Merton problem and reverts to it for an ambiguity-neutral investor. Tutti gli interessati sono invitati Cordiali saluti Gabriele Stabile

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de Finetti risk seminar - January 2016
by Emanuela Rosazza 13 Jan '16

13 Jan '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture TITLE: Optimal arbitrage and portfolio optimization for market models satisfying NUPBR but not NFLVR WOLFGANG RUNGGALDIER University of Padova ABSTRACT: The classical no-arbitrage condition of NFLVR is often too strong and can be weakened thereby still allowing to solve meaningfully standard problems in mathematical finance. A weaker condition to this effect is NUPBR (NA1). For market models satisfying NUPBR, but where NFLVR does not hold, classical arbitrage is thus possible and the interest arises to construct such models and and to obtain for them optimal arbitrage. In particular, we consider models with insider information and for such models we discuss, besides optimal arbitrage, also the possibility of solving portfolio optimization problems by analogy to classical duality even under absence of an ELMM. (Joint work with N.H.Chau and P.Tankov) LOCATION: The seminar will be held on Wednesday, January 20, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) 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. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi 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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Final Call for Papers--ICASQF2016 (fwd)
by Tiziano Vargiolu 11 Jan '16

11 Jan '16

---------- Forwarded message ---------- Date: Sun, 10 Jan 2016 21:48:12 -0500 From: Jaime Alberto Londono Londono <jalondonolo(a)unal.edu.co> To: Jaime Londo?o <icasqf(a)gmail.com> Subject: Final Call for Papers--ICASQF2016 Dear Colleague, Please let me call your attention on the Second International Congress on Actuarial Science and Quantitative Finance will be in Cartagena, Colombia from June 15 to June 18 of 2016, and the enclosed call of papers. The web page of the Congress is http://icasqf.org If you do not want to receive any further emails on this topic, please write me to this address. Best regards, Jaime A. Londo?o Chairman Organizing Committee Second International Congress on Actuarial Science and Quantitative Finance Associate Professor, Universidad Nacional de Colombia, Manizales jalondonol(a)unal.edu.co, jaime.a.londono(a)gmail.com Final Call for papers "Second International Congress on Actuarial Science and Quantitative Finance" Cartagena, Colombia, June 15 to June 18 of 2016. http://icasqf.org Dear colleague, You are cordially invited to submit your research papers for presentation consideration at the Second International Congress on Actuarial Science and Quantitative Finance, Cartagena, Colombia, June 15 to June 18 of 2016. The web page of the congress is http://icasqf.org Authors of selected oral presentations would be invited to submit to the special issue entitle ?Actuarial Science and Quantitative Finance: ICASQF2016, Cartagena, Colombia, June2016? of Springer Proceedings in Mathematics & Statistics (PROMS). Invited papers would follow a standard refereeing process. You can find the proceedings of the First edition of ICASQF here. The deadline for abstract submissions is February 1st, 2016 (23:59 Western time). The Congress is organized by Universidad Nacional de Colombia, Universidad de Cartagena, Universidad del Rosario, Universidad Externado de Colombia, Universidad de Los Andes and ENSIIE/Universit? d??vry-Val-d?Essonne. The event builds on the success of the first ICASQF. This second edition consolidates the Congress as the premier event in Actuarial Science and Quantitative Finance in Colombia, the Andean Region (Peru, Colombia, Venezuela, Ecuador, and Bolivia) and the Caribbean Region. The Congress will cover a variety of topics in Actuarial Science and Quantitative Finance. Topics include statistics techniques in Finance and Actuarial Science, Portfolio Management, Derivative Valuation, Financial Economics, Financial Econometrics, Computational Finance, Risk Theory and Life and Pension Insurance Mathematics, Non-Life Insurance Mathematics, and Economics of Insurance among others. The event would consist of plenary sessions with invited speakers in the areas of actuarial science and quantitative finance, oral sessions of contributed talks, invited sessions and poster sessions. A program of one day of the Congress would emphasize on problems of interest to practitioners. Also, there would be short courses on topics of interest in actuarial science and quantitative finance, given by some of the invited speakers. Invited speakers include: * Rama Cont. Semi-plenary talk and short course. Imperial College, London, UK. * Bruno Dupire. Plenary talk.Bloomberg LP. New York, US * Nicole El Karoui. Plenary talk and short course. ?cole Polytechnique, Palaiseau, France. * Christian Hipp. Semi-plenary talk. Karlsruher Institute of Technology, Karlsruhe, Germany. * Jean Jacod, Semi plenary talk and short course. Universit? Paris VI, Paris, France. * Ioannis Karatzas. Plenary talk and short course. University of Columbia, NY, US. * Glenn Meyers, Plenary talk and short course. ISO Innovative Analytics, New York USA. * Kees Oosterlee, Semi-plenary talk. Dutch national research center for mathematics and computer science, Amsterdam Netherlands. * Michael Sherris. Semi plenary talk. UNSW, Sydney Australia. * Qihe Tang. Plenary talk. School of Business, University of Iowa, Iowa USA * Fernando Zapatero. Semi-plenary talk. USC, Los Angeles, CA, US The following preeminent scholars have accepted to help us organize invited sessions: * St?phane Cr?pey, (Universit? d'Evry) * Jos? Garrido (Concordia University) * Julien Guyon, (Bloomberg LP) * Daniel Hern?ndez, (CIMAT) * Vladimir Kaishev, (Cass Business School) * Claude Lef?vre, (Universit? Libre de Bruxelles) * Andrea Pascucci, (University of Bologna) * Philip Protter (Columbia University) * Greg Taylor, (UNSW) * Emiliano Valdez, (University of Connecticut) The scientific committee of the event is integrated by: * Hansjoerg Albrecher, (Univ. of Lausanne) * Samuel Cox, (Georgia State University) * Richard Davis, (Columbia University) * Jos? Garrido, (Concordia University) * Daniel Hernandez, (CIMAT) * Edward (Jed) Frees, (University of Wisconsin, Madison) * Monique Jeanblanc, (Universit? d'?vry Val-d'Essonne) * Khaldoun Khashanah, (Stevens Institute of Technology) * Steve Haberman, (Cass Business School) * Ralf Korn, (Technische Universit?t Kaiserslautern) * St?phane Loisel, (Universit? Lyon 1, France) * Fabio Mercurio, (Blomberg) * Jean-Luc Prigent, (Universit? de Cergy-Pontoise) * Suresh P. Sethi, (University of Texas, Dallas) * Ajay Subramanian, (Georgia State University) * Emiliano Valdez, (University of Connecticut) * Carlos V?zquez Cend?n (Universidad de la Coru?a) * Viswanathan Arunachalam, (Universidad Nacional, Bogot?) * Jaime Londo?o(Chair, Universidad Nacional, Manizales). Best regards, On behalf of the Organizing Committee Jaime Londo?o

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PhD course di Mustafa Pinar in Bicocca
by Fabio Bellini 11 Jan '16

11 Jan '16

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