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Quantitative Finance Seminar @ SNS - L. Campi (LSE)
by Elisa Letizia 15 Feb '18

15 Feb '18

The video of today seminar by Prof. Luciano Campi (LSE) is available at: http://mathfinance.sns.it/index.php/luciano-campi-nonzero-sum-stochastic-di… <https://youtu.be/mJ1p1DbmzUE> *Title:* Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications *Abstract: * We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities for the value functions and the optimal strategies of the two players. As an application, we study an impulse game with a one-dimensional state variable, following a real-valued scaled Brownian motion, and two players with linear and symmetric running payoffs. We fully characterize a Nash equilibrium and provide explicit expressions for the optimal strategies and the value functions. We also prove some asymptotic results with respect to the intervention costs. Finally, we consider two further non-symmetric examples where a Nash equilibrium is found numerically. -- *Elisa Letizia* PhD student in Financial Mathematics Scuola Normale Superiore Piazza dei Cavalieri, 7 Pisa ph. +39 050 509092

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Politecnico di Milano - Bando RtdA
by Daniele Marazzina 15 Feb '18

15 Feb '18

Con preghiera di diffusione Segnaliamo il bando per una posizione RtDA presso il Politecnico di Milano, Dipartimento di Matematica, per il settore concorsuale 13/D4. Scadenza 15 Marzo 2018. Dettagli qui di seguito. Daniele Marazzina Professore Associato Dipartimento di Matematica - Politecnico di Milano Selezione pubblica per l'assunzione di 1 Ricercatore a tempo determinato (Junior) ai sensi dell'art. 24, comma 3, lettera a) Legge 30.12.2010, n. 240, Tempo pieno - Settore Concorsuale 13/D4 - METODI MATEMATICI DELL’ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE, bandita con Decreto Direttoriale n. 355 del 18/01/2018, pubblicato sulla G.U. del 13/02/2018, n.13 (Codice procedura: 2018/RTDA_MAT27). https://www.polimi.it/index.php?id=6196&tx_wfqbe_pi1[ID]=364

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Bando RTDA SECS-S/06 presso la Luiss. Scadenza 19 febbraio 2018
by Fausto Gozzi 14 Feb '18

14 Feb '18

Si segnala il bando seguente in scadenza tra pochi giorni e si invitano tutti gli interessati a presentare domanda. 13/D4 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Pubblicato sulla Gazzetta Ufficiale in data 5 gennaio 2018 Settore scientifico-disciplinare SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie presso il Dipartimento di Economia e Finanza della LUISS Libera Università Internazionale degli Studi Sociali Guido Carli. Ricercatore art. 24, comma 3, lett. a) Codice concorso DEF-RIC-03/2018 Scadenza: 19 febbraio 2018 * <http://www.luiss.it/sites/www.luiss.it/files/BANDO_DEF-RIC-03-2018.pdf>Bando DEF-RIC-03/2018 Fausto Gozzi Posto da ricercatore di tipo A. Scadenza: 19 febbraio 2018 13/D4 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Pubblicato sulla Gazzetta Ufficiale in data 5 gennaio 2018 Settore scientifico-disciplinare SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie presso il Dipartimento di Economia e Finanza della LUISS Libera Università Internazionale degli Studi Sociali Guido Carli. Ricercatore art. 24, comma 3, lett. a) Codice concorso DEF-RIC-03/2018 Scadenza: 19 febbraio 2018 * <http://www.luiss.it/sites/www.luiss.it/files/BANDO_DEF-RIC-03-2018.pdf>Bando DEF-RIC-03/2018 Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it

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Assegno di ricerca SECS-S/01 -- Università di Torino
by Raffaele Argiento 14 Feb '18

14 Feb '18

Con preghiera di diffusione a tutti gli interessati. Si segnala l'uscita di un bando per un assegno di ricerca di un anno per il settore scientifico disciplinare SECS-S/01 - Statistica. Si riporta, in calce alla mail, una breve descrizione del progetto di ricerca (in inglese). Le domande di ammissione alla selezione devono essere presentate utilizzando esclusivamente l'apposita procedura online al link https://pica.cineca.it/unito/assegni-di-ricerca-unito-2018-I/ dove è anche possibile scaricare il testo completo del bando. La presentazione delle domande di partecipazione dovrà essere perfezionata e conclusa improrogabilmente entro le ore 13.00 (ora di Roma) del 05/03/2018. Un saluto, Raffaele Argiento ########## PROJECT DESCRIPTION ####### TITLE: Dependent nonparametric priors for microbiome studies ABSTRACT: Microbiology is experiencing a revolution brought on by recent developments in sequencing technology. The unprecedented volume of microbiome data being generated poses significant challenges that are highly stimulating the research in the applied statistical field. In this project, we aim at assessing the effect of the Mediterranean diet on the gut microbioma. To take into account heterogeneity in the population under study, the research fellow will set up a Bayesian dependent nonparametric model. The study has an applied profile but it will also deals with methodological issues, focusing on the computational issues arising under the Bayesian nonparametric approach when dealing with complex data. RESEARCH SCIENTIFIC SUPERVISOR: Dott. Raffaele Argiento -- Dr. Raffaele Argiento University of Torino and Collegio Carlo Alberto www.raffaeleargiento.it

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MSP 2018 - ERRATA CORRIGE
by gianluca cassese 14 Feb '18

14 Feb '18

*SECOND CALL FOR PAPERS* *The Mathematics of Subjective Probability - MSP 2018* The MSP 2018 Workshop will be held in September 3-5, at the University of Milan Bicocca. https://sites.google.com/view/MSP-2018. The workshop will host as keynote speakers - Ehud Kalai; - Rajeeva Karandikar; - Massimo Marinacci, - Eugenio Regazzini; - William D. Sudderth; MSP 2018 is open to contributions from all fields in which the subjective approach to probability is relevant, from Statistics to Economics and Game Theory. The list of potential topics includes (*but is not limited to*): - Ambiguity; - Bayesian statistics; - Coherence; - Conditioning; - Decision models under risk and uncertainty; - Equivalent martingale measures; - Finitely additive probabilities; - Gambling; - Game Theory; - Limit theorems; - Mass transportation; - Merging of opinions; - Multiple priors; - Partial knowledge. The Springer Journal "Decisions in Economics and Finance" plans to devote a special issue to the workshop *Important dates* - *Paper submission -- March 31st* - *Notification of acceptance -- April 30th* - *Conference subscription -- June 30th* The organizing committee, -------------------------------------------------------------------- Gianluca Cassese (Università Milano-Bicocca) Pietro Rigo (Università di Pavia) Barbara Vantaggi (Università Roma - La Sapienza) --------------------------------------------------------------------

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MSP 2018 - Second CALL
by gianluca cassese 13 Feb '18

13 Feb '18

*SECOND CALL FOR PAPERS* *The Mathematics of Subjective Probability - MSP 2018* The MSP 2018 Workshop will be held in September 3-5, at the University of Milan Bicocca Piazza della Scienza 4, 20126 Milan. The workshop will host as keynote speakers - Ehud Kalai; - Rajeeva Karandikar; - Massimo Marinacci, - Eugenio Regazzini; - William D. Sudderth; MSP 2018 is open to contributions from all fields in which the subjective approach to probability is relevant, from Statistics to Economics and Game Theory. The list of potential topics includes (*but is not limited to*): - Ambiguity; - Bayesian statistics; - Coherence; - Conditioning; - Decision models under risk and uncertainty; - Equivalent martingale measures; - Finitely additive probabilities; - Gambling; - Game Theory; - Limit theorems; - Mass transportation; - Merging of opinions; - Multiple priors; - Partial knowledge. The Springer Journal "Decisions in Economics and Finance" plans to devote a special issue to the workshop *Important dates* - *Paper submission -- March 31st* - *Notification of acceptance -- April 30th* - *Conference subscription -- June 30th* The organizing committee, --------------------------- Gianluca Cassese Pietro Rigo Barbara Vantaggi --------------------------

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Workshop in honour of Maurizio Pratelli
by Marco Romito 12 Feb '18

12 Feb '18

*Workshop in honour of Maurizio Pratell**i* We are delighted to announce a Workshop in honour of Maurizio Pratelli, which will be held on June 29, 2018, in the Aula Magna of the Department of Mathematics of the University of Pisa. Invited speakers are Paolo Baldi, Freddy Delbaen, Hans Foellmer, Marco Frittelli, Paolo Guasoni, Huyen Pham, Wolfgang Runggaldier, see http://people.dm.unipi.it/spass/workshop/20180629/ There is no registration fee, but participants are kindly requested to register sending an email to pratelline(a)gmail.com <mailto:pratelline@gmail.com> Since there is limited space available, admission will be on a first come, first served basis. The Organisation Committee Anna Battauz Francesca Biagini Sara Biagini Marzia de Donno Sabrina Mulinacci Dario Trevisan Franco Flandoli Marco Romito

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seminario MACCI
by Elena Villa 12 Feb '18

12 Feb '18

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. ******************************************* A v v i s o d i S e m i n a r i o ******************************************* *Mercoledì 21 Febbraio 2018, ore 11* Sala Rappresentanza, Dipartimento di Matematica, Universita' degli Studi di Milano via C. Saldini 50, Milano il Professor *CLAUDIO MACCI*(Università di Roma Tor Vergata) terrà un seminario dal titolo *Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets* ABSTRACT: In this article, we consider sequences of partial sums of iid Gaussian random sets (with respect to the Minkowski sum) and we study the asymptotic behavior of some hitting probabilities (of suitable sets of $R^d$) for these partial sums. We also illustrate the use of the importance sampling for the estimation of these hitting probabilities by Monte Carlo simulations. We obtain the analog of well-known results for level crossing probabilities of random walks, and we refer to a version of the classical Cramér's Theorem in large deviations for random compact sets existing in the literature. Joint work with Barbara Pacchiarotti. Tutti gli interessati sono invitati a partecipare. Saluti Elena Villa -- ******************************************* Elena Villa Dipartimento di Matematica, Universita' degli Studi di Milano via C.Saldini 50, 20133 Milano, Italy Phone: +39 0250316132 - Fax: +39 0250316090 Web-page:http://users.mat.unimi.it/~villa

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Seminar at Scuola Normale Superiore, 16 February 2018, Paolo dai Pra
by Giulia 09 Feb '18

09 Feb '18

Dear all, On Friday, 16 February 2018 — from 11:30 to 13:00 — at the Scuola Normale Superiore (Room: Fermi) Prof. Paolo dai Pra (University of Padova, department of Mathematics) will hold the following Seminar: Title : Rhythmic behavior in complex stochastic dynamics Abstract: Interacting particle systems may exhibit, in the thermodynamic limit, a time-periodic behavior in the evolution of their law. We have made an attempt to understand which factors may produce this phenomenon, in particular those related to the time-symmetry breaking of the dynamics: dissipation, delay, asymmetry in the interaction. We will first review some examples of mean field dynamics for which the thermodynamic limit can be explicitly computed and analyzed. Later we will focus on some partial results concerning the first, to our knowledge, example of rhythmic behavior for a system with local interaction: the Ising model with dissipation. Fill free to forward this announcement to your colleagues. Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Advanced School on complexity and emergence: first announcement
by elisa mastrogiacomo 09 Feb '18

09 Feb '18

This is the *first announcement* of the upcoming *Advanced School on complexity and emergence: ideas, methods, with a special attention to economics and finance (CEIM)* The School will be held in the magnificent Villa del Grumello, Como (Italy) along the Lake Como shore on July 22-27, 2018. The main courses will be given by L. Boi (EHESS – Paris), I. Capelli (Università dell’Insubria), I. Ekeland (Ceremade - Universitè Paris-Dauphine), F. Guerra (Sapienza Università di Roma), J. Jost (Max Planck Institute for Mathematics in the Sciences - Leipzig), Florent McIsaac, (Agence Française pour le Développement), F. Patras (Université de Nice Sophia-Antipolis), F. Riedel (Center for Mathematical Economics, Bielefeld University), F. Semboloni (Università degli studi di Firenze), R. Seri (Università dell’Insubria). The potential participants of the School are primarily master and doctorate students of mathematics, information sciences, theoretical physics, and economics, as well as research workers in those areas, who want to enlarge their spectrum of knowledge towards the area of complexity. The aim of the School is to provide these researchers useful instruments from the theory of complex systems, both on the theoretical level and the methodological ones, bridging the present disciplinary gap, and profiting from knowledge and insights from both communities. The School may have some (limited number of) financial supports. Details about the registration, the application for financial support and the website will come soon in a follow-up message. We would be grateful if you could circulate this announcement among your PhD students, postdocs and colleagues. With our best regards, Sergio Albeverio Elisa Mastrogiacomo Fabio Minazzi Emanuela Rosazza Gianin Stefania Ugolini

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