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Seminar (today, sorry!) by Dr. Ofelia Bonesini in Padova!
by Giorgia Callegaro 29 Mar '23

29 Mar '23

Dear all, you're invited (sorry for the very short notice!) to the seminar in Probability and Finance that will take place today (29.03.2023), in hybrid mode at the Math Dept of the University of Padova. More details: * *Speaker*: Ofelia Bonesini (Imperial College London) * *Date and time*: 29th April 2023, *1.30pm* * *Room (Torre Archimede)*: 2BC30 * *Zoom link*: https://unipd.zoom.us/j/82661564306 (ID riunione: 826 6156 4306) * *Title*: *Rough volatility, path-dependent PDEs and weak rates of convergence* * *Abstract*: please see here: https://www.math.unipd.it/news/rough-volatility-path-dependent-pdes-and-wea… See you there! G. Callegaro -- Giorgia Callegaro Associate 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

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Reminder: Submission of titles and abstracts for talks at the 11th General AMaMeF Conference is now open
by Ferrari, Giorgio 28 Mar '23

28 Mar '23

Dear Colleagues, this is to remind you that the submission of titles and abstracts for talks at the /11th General AMaMeF Conference/ ( https://sites.google.com/view/amamef-2023/overview ) is now open: https://sites.google.com/view/amamef-2023/abstract-submission *Please note that the deadline for abstracts' submissions is April 9. Acceptance will be confirmed by April 23 and the registration to the conference will open on April 24.* *All the details about deadlines, registration and fees are listed here:* https://sites.google.com/view/amamef-2023/participation-fees-and-dates All the best wishes and looking forward to welcoming you in Bielefeld in the Summer! Giorgio Ferrari and Frank Riedel

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Seminario di Lionel Levine, Martedì 4 Aprile, Sapienza Università di Roma
by Silvestri, Vittoria 28 Mar '23

28 Mar '23

Segnalo il seguente seminario, che si terrà Martedì prossimo in Sapienza. *Martedì 4 Aprile, ore 14:00* Sala di Consiglio, Dipartimento di Matematica, Sapienza Università di Roma *Speaker:* Lionel Levine, Cornell University *Title: *Universality Conjectures For Activated Random Walk *Abstract:* Activated Random Walk is a particle system displaying avalanches on all scales. How universal are these avalanches? I’ll narrate five interlocking conjectures aimed at different aspects of this question: infinite-volume limits, cutoff, incompressibility, rotational symmetry, and hyperuniformity. Joint work with Feng Liang and with Vittoria Silvestri. ******************************** Vittoria Silvestri Assistant Professor Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome ********************************

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avviso di seminario Simone Floreani
by epirozzi 28 Mar '23

28 Mar '23

*** AVVISO di SEMINARIO Dott. Simone Floreani Oxford University TITOLO A system of interacting Bouchaud trap models Abstract In this talk I will introduce a new interacting particle system consisting of interacting random walks in a trapping environment, known as Bouchaud trap models. I will show that the hydrodynamic equation emerging from such system is the Fractional Kinetics Equation, a sub-diffusive PDE. If time allows, I will also discuss some properties of the same system in contact with reservoirs. Based on projects with A. Chiarini (Padova), F. Redig (Delft) and F. Sau (Trieste). Il seminario si terrà il giorno 31 Marzo 2023 ore 14:00 nella Sala Professori I Livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Link to Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… Dott. Giacomo Ascione *** -- Enrica Pirozzi Professore Associato di Probabilità e Statistica, Dipartimento di Matematica e Applicazioni, Università di Napoli FEDERICO II Via Cintia, 80126, NAPOLI

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De Finetti Risk Seminar - April 12, 2023
by Emanuela Rosazza Gianin 28 Mar '23

28 Mar '23

On behalf of the Scientific Committee of the "B. de Finetti Risk Seminars, Milano Lectures on the Mathematical Theory of Economics and Finance”, we are glad to invite you to participate at the following Lecture: Martin Schweizer ETH Zurich Title: Dynamic programming for mean-variance portfolio selection Abstract: We present a dynamic programming approach to solving the mean-variance portfolio selection problem in finite discrete time. This bypasses issues of time-inconsistency and hence does not need the introduction of an equilibrium or game-theoretic approach. The talk is based on joint work with Zhouyi Tan. LOCATION: The seminar will be held on *April 12, *2023 at *18.00,* Aula Di Rappresentanza, Dipart. Matematica, Università di Milano, Via Saldini 50, Milano. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) ****************************************** 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 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

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call for an Assistant Professor in Statistics at IMT School
by Irene Crimaldi 28 Mar '23

28 Mar '23

Dear Colleagues, I would like to draw your attention to the following call for an Assistant Professor (RTD-a) in Statistics at the IMT School for Advanced Studies Lucca (Italy): https://www.imtlucca.it/it/jobopportunity/statistics https://www.imtlucca.it/sites/default/files/2023-ap-statistics-rtda-bando.p… Best regards, Irene Crimaldi Associate Professor in Statistics IMT School for Advanced Studies Lucca Italy

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Seminar by S. De Marco in Padova (Probability and Finance)
by Giorgia Callegaro 27 Mar '23

27 Mar '23

Dear all, you're invited to the seminar in Probability and Finance that will take place Friday 28th April, at 2.30 pm, in hybrid mode at the Math Dept of the University of Padova. More details: * *Speaker*: Stefano De Marco (Ecole Polytechnique) * *Date and time*: 28th April 2023, 2.30pm * *Room (Torre Archimede)*: 2BC30 * *Zoom link*: please find it at *https://www.math.unipd.it/~bianchi/seminari/* <https://www.math.unipd.it/~bianchi/seminari/> * *Title*: *Fractional forward variance models - volatility surfaces and other features* * *Abstract*: We present some features of a class of forward variance models embedding rough volatility models (the so-called rough Bergomi model being the archetypal example): the structure of model-generated VIX smiles, the shapes of model-generated volatility surfaces on the spot, both implied and local, with a focus on the at-the-money volatility skew and the capability of such models to capture this specific feature of market data over different time horizons. We present related numerical methods for option pricing and their efficiency, from Monte Carlo to asymptotic methods. If time permits, we will discuss some dynamic properties of such models, focusing on the dynamics of implied volatilities they generate. See you there! The organisers A. Bianchi, G. Callegaro, M. Formentin -- Giorgia Callegaro Associate 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

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Seminario congiunto di Probabilità e Fisica Matematica//5 aprile//Fraydoun Rezakhanlou
by Bertini, Lorenzo 27 Mar '23

27 Mar '23

Seminari di Fisica Matematica Dipartimento di Matematica "G. Castelnuovo" Università di Roma La Sapienza Mercoledì 5 aprile, ore 16:15, sala di Consiglio Fraydoun Rezakhanlou (University of Berkeley) Kinetic Theory for Laguerre Tessellations Abstract. In this talk I will discuss a family of Gibbsian measures on the set of Laguerre tessellations. These measures may be used to provide a systematic approach for constructing Gibbsian solutions to Hamilton-Jacobi PDEs by exploring the Eularian description of the shock dynamics. Such solutions depend on kernels satisfying kinetic-like equations reminiscent of the Smoluchowski model for coagulating and fragmenting particles. Tutti gli interessati sono invitati a partecipare. Lorenzo Bertini Dipartimento di Matematica Universita' di Roma La Sapienza | Tel: +39 - 06 4991 4974 P.le A. Moro 2, 00185 Roma | E-mail: bertini(a)mat.uniroma1.it Italy Home page: http://www.mat.uniroma1.it/people/bertini/ama/

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Webinar UMI-PRISMA 3 aprile Campi-Callegaro
by Claudia Ceci 27 Mar '23

27 Mar '23

Buongiorno a tutt*, ho il piacere di annunciare il prossimo webinar del ciclo di seminari online promosso dal Gruppo UMI PRISMA (http://www.umi-prisma.polito.it/index.html) *Lunedì 3 aprile 2023* ore 16-17 LUCIANO CAMPI Title: Correlated equilibria and mean field games Abstract: In the context of mean field games (MFGs), we introduce a generalization of mean field game solution, called correlated solution, which can be seen as the mean field game analogue of a correlated equilibrium. The latter is a generalization of Nash equilibrium for stochastic games. Our notion of solution can be justified in two ways for MFGs in discrete time and finite state space: correlated solutions arise as limits of exchangeable correlated equilibria in restricted (Markov open-loop) strategies for the underlying $N$-player games, and approximate $N$-player correlated equilibria can be constructed starting from a correlated solution to the mean field game. Moreover, those results can be extended to progressive deviations, possibly depending on the whole history of the state and the flow of measures. In this talk we will focus especially on a further extension to continuous time MFGs through the notion of coarse correlated equilibrium. This talk is based on joint works with O. Bonesini, F. Cannerozzi and M. Fischer. ore 17-18 GIORGIA CALLEGARO Title: McKean–Vlasov Game of Commodity Production, Consumption and Trading Abstract: We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short position in a forward contract on λ units of the underlying at a fixed price F, while the consumer has the corresponding long position. Moreover, both players are risk-averse with respect to their financial position and their risk aversions are modelled through an integrated-variance penalization. We study the impact of risk aversion on the interaction between the producer and the consumer as well as on the derivative price. In mathematical terms, we are dealing with a two-player linear-quadratic McKean–Vlasov stochastic differential game. Using methods based on the martingale optimality principle and BSDEs, we find a Nash equilibrium and characterize the corresponding strategies and payoffs in semi-explicit form. Furthermore, we compute the two indifference prices (one for the producer and one for the consumer) induced by that equilibrium and we determine the quantity λ such that the players agree on the price. Finally, we illustrate our results with some numerics. In particular, we focus on how the risk aversions and the volatility control costs of the players affect the derivative price. Joint work with R. Aid, O. Bonesini and L. Campi. Il link per partecipare è il seguente https://teams.microsoft.com/l/channel/19%3ad685b25ed15f4821ac5168e63cf98ea4… Microsoft Teams meeting *Join on your computer, mobile app or room device* Click here to join the meeting <https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf9…> Meeting ID: 375 963 625 218 Passcode: tjrYrN Cari saluti, Claudia Ceci Claudia Ceci Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza (MEMOTEF) Università di Roma La Sapienza Via Del Castro Laurenziano 9 Roma 00161 Italy Email: claudia.ceci(a)uniroma1.it

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Call for expressions of interest in a position of Full Professor
by Giovanni Puccetti 27 Mar '23

27 Mar '23

The Department of Economics, Management and Quantitative Methods (DEMM) of the University of Milan is seeking expressions of interest for a Full Professor (permanent position) in - Statistics - Mathematical Methods for Economics, Finance and Actuarial Science The successful candidate is expected to contribute to the development of the department under the programme “Dipartimento di Eccellenza” (https://www.miur.gov.it/dipartimenti-di-eccellenza) and also to the department’s academic teaching activities (with a teaching load of 120 hrs per year), its strategy and governance, as well as providing scientific leadership and participating in international and national grant applications. Candidates applying for professorship must have obtained the Italian national habilitation (ASN) for full professor (http://abilitazione.miur.it/public/index.php for applications), or must have been holding for at least 3 years an equivalent academic position abroad. Salary is fixed by national standards and starts at 76000 EUR (gross). Taxes reduction may apply for 5 or more years according to the Italian rules for candidates coming from abroad. Interested candidates with a strong record of high impact research may express their interest by submitting the following material (in one single pdf file): 1) A brief motivation letter, including the candidate’s ongoing research, future research plans and her/his potential contribution to DEMM’s research, teaching and governance activities; 2) A full curriculum vitae including a full list of publications and the scientific sectors in which the candidate holds the Italian National Scientific Habilitation (ASN). Applications must be submitted to chiara.tommasi(a)unimi.it (Statistics) giovanni.puccetti(a)unimi.it (Mathematical Methods for Economics, Finance and Actuarial Science) before April 30, 2023. All correspondence and expressions of interest will be kept strictly confidential. The Department guarantees equal gender opportunities in recruitment and career. Disclaimer: Please note that this is just a call for interest, and not a job vacancy advertisement, and that the Department might decide not to open the corresponding position.

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