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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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Convegno in onore di Eugenio Regazzini, 10-11 giugno 2016
by Antonio Lijoi 10 Jan '16

10 Jan '16

******************************************************** Convegno in onore di Eugenio Regazzini - Pavia ******************************************************** In occasione del settantesimo compleanno di Eugenio Regazzini, il 10 e l'11 giugno 2016 a Pavia si terra' il convegno * Advances in Statistics, Probability and Mathematical Physics * * A Conference in Honour of Eugenio Regazzini * Il sito dedicato all'evento http://matematica.unipv.it/eugenioconference e' stato aggiornato con alcune informazioni utili per chi desidera partecipare. In particolare, si segnala che e' ora possibile registrarsi al convegno collegandosi al sito http://www-dimat.unipv.it/eugenioconference/registration.html Come gia' annunciato la registrazione e' gratuita, ma necessaria per motivi organizzativi e deve essere completata entro il *31 maggio 2016*. Nel modulo di registrazione occorre anche specificare se si intende partecipare alla cena sociale che si svolgera' venerdi' 10 giugno, a Pavia. Cordiali saluti, Antonio Lijoi

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Politecnico di Milano - Seminario Frédéric Brunet
by Marzia Angela Cremona 08 Jan '16

08 Jan '16

Si avvisa che in data 15-01-2016, alle ore 16:00, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Frédéric Brunet Institut de Génomique Fonctionnelle de Lyon, Ecole Normale Supérieure de Lyon Titolo: 1-2-3-4: a story about whole genome duplications in fish and other vertebrates Abstract: Gene and genome duplications, which increase gene copy number at different scales, are considered to be important contributors to the evolution of organisms. During the evolution of vertebrates, two successive rounds of whole genome duplication, called 1R and 2R have highly influenced the organization of gene content of genomes. After WGDs, genomes returned progressively to a diploid state, but a certain amount of genes were kept as duplicates, which led to the formation and extension of many gene families. A fish-specific genome duplication called 3R occurred at the base of the teleost fish lineage. A fourth round of WGD has also been characterized Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Marzia Cremona Marzia A. Cremona MOX - Modeling and Scientific Computing Dipartimento di Matematica "F. Brioschi" Politecnico di Milano Via Bonardi, 9 20133 Milano (Italy) tel: +39 02 2399 4595 e-mail: marziaangela.cremona(a)polimi.it

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Deadline approaching: postdoc position in Probability at the University of Bath
by Alexandre Stauffer 06 Jan '16

06 Jan '16

Dear colleagues, This is the last call to a 3-year postdoc position available in Probability. For more information, see below and http://www.bath.ac.uk/jobs/Vacancy.aspx?ref=FY3536 The deadline is 20th January. Please pass this to potential candidates and local mailing lists. Thank you very much. Best wishes, Alexandre Postdoc in probability at the University of Bath, UK A postdoc (research associate) position is available in the area of probability starting from 1st October 2016, or a date to be agreed (but no sooner than 1st April 2016). The position will be available for up to 3 years. The position is funded by the EPSRC fellowship "Mathematical analysis of strongly correlated processes on discrete dynamic structures" of Dr. Alexandre Stauffer. The area of research will be centered on the mathematical analysis of random large-scale interacting systems, such as interacting particle systems, random walks and other stochastic processes in random or dynamic environments, percolation, spin systems, and dynamically evolving graphs. The ideal candidate is expected to have a strong background in probability theory, and have a PhD in mathematics, theoretical computer science or related areas. The successful applicant will be associated with the probability laboratory (Prob-L@B) of the Department of Mathematical Sciences at the University of Bath. Prob-L@B is one of the world’s most vibrant probability groups, with eight permanent members, a large cohort of PhD students and postdocs, and a large number of different research activities and international visitors. Applications made to the on-line system should include: * an updated curriculum vitae (with publication list), * the names and contact details of three academic referees, * a one-page research statement describing your research interests, your experience in the area of the position and your career aspirations. Deadline for applications: 20th January 2016. To apply, go to http://www.bath.ac.uk/jobs/Vacancy.aspx?ref=FY3536 Interview of short-listed applicants is expected to take place in the week of 15th February 2016. For informal enquiries please contact Dr. Alexandre Stauffer ( a.stauffer(a)bath.ac.uk) For more information visit the website of Dr. Alexandre Stauffer ( http://people.bath.ac.uk/ados20/) and Prob-L@B ( http://www.bath.ac.uk/research/centres/probability-laboratory/)

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Fwd: Assistant Professor positions at the LSE (fwd)
by Tiziano Vargiolu 05 Jan '16

05 Jan '16

----- Forwarded message from mihalis.zervos(a)gmail.com ----- Date: Mon, 4 Jan 2016 23:14:38 +0000 From: Mihail Zervos <mihalis.zervos(a)gmail.com> Subject: Assistant Professor positions at the LSE To: Mihail Zervos <mihalis.zervos(a)gmail.com> Dear Colleagues, The Department of Mathematics at the London School of Economics and Political Science (LSE) is seeking to appoint one or more career-track Assistant Professors. We particularly welcome applications in financial mathematics and game theory. The application deadline is January 15, 2016. Please bring this advertisement to the attention of suitable candidates who might be interested. Best regards, Mihail Zervos. ----- End forwarded message ----- ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Fwd: Reminder 3rd Barcelona Summer School on Stochastic Analysis
by Marco Romito 29 Dec '15

29 Dec '15

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CIME-EMS Summer School on Singular Random Dynamics
by FRANCO FLANDOLI 29 Dec '15

29 Dec '15

CIME-EMS Summer School on Singular Random Dynamics Cetraro (CS) - August 22 - August 27, 2016 Registration is open at http://web.math.unifi.it/users/cime/ MINI-COURSES ============ Massimiliano Gubinelli (IAM, Bonn) Applications of controlled paths to problems in stochastic analysis Martin Hairer (Univ. Warwick) Stochastic PDEs and Renormalisation Panagiotis Souganidis (Univ. Chicago) Hamilton-Jacobi partial differential equations and conservation laws with rough time signals and applications Nikolay Tzvetkov (Univ. Cergy-Pontoise) On Hamiltonian partial differential equations with random initial conditions ============ We look forward to seeing you in Cetraro, Franco Flandoli, Massimiliano Gubinelli, Martin Hairer

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