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Call for Papers: XVII WORKSHOP on QUANTITATIVE FINANCE, Pisa, January 28-29, 2016, Second Announcement
by Fabrizio Lillo 05 Oct '15

05 Oct '15

Second Announcement: XVII WORKSHOP on QUANTITATIVE FINANCE January 28-29, 2016 Venue: Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa Italy The Workshop is the seventeenth edition of an annual meeting place for academia and financial industry on theoretical topics of quantitative finance and their application to the current issues facing the industry. 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 edition of the workshop, we wish to particularly encourage an international participation of young researchers and both theoretical and applied contributions. SCIENTIFIC COMMITTEE Fabio Bellini (Università degli Studi di Milano Bicocca), Giacomo Bormetti (Scuola Normale Superiore, Pisa), Andrea Consiglio (Università degli Studi di Palermo), Friederich Hubalek (Technische Universität Wien), Fabrizio Lillo (Scuola Normale Superiore, Pisa), Elisa Luciano (Università degli Studi di Torino), Maria Elvira Mancino (Università degli Studi di Firenze), Stefano Marmi (Scuola Normale Superiore, Pisa), Massimo Morini (Banca IMI), Aldo Nassigh (Unicredit Group), Loriana Pelizzon (Università Ca’ Foscari Venezia), Mustafa Pinar (Bilkent University, Ankara), Mathieu Rosenbaum (École Polytechnique, Paris), Sergio Scarlatti (Università degli Studi di Roma “Tor Vergata”), Carlo Sgarra (Politecnico di Milano), Peter Tankov (Université Denis Diderot, Paris), Josef Teichmann (ETH Zurich), and Tiziano Vargiolu (Università degli Studi di Padova). LOCAL COMMITTEE Giacomo Bormetti, Fabrizio Lillo, Maria Elvira Mancino, Stefano Marmi, Davide Pirino, Daniele Regoli, Chiara Sabelli. Deadline for submission: November 8, 2015 Web site: http://mathfinance.sns.it/qfwxvii/ ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa Piazza dei Cavalieri 7 56126 Pisa ITALY Check the new website: fabriziolillo.wordpress.com phone: +39 050509159

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Conference "Risk Measures: frontiers of mathematics and regulation", Bologna
by Sabrina Mulinacci 03 Oct '15

03 Oct '15

Dear Colleagues, we are glad to invite you to the Conference on "Risk Measures: frontiers of mathematics and regulation" that is going to be held in Bologna, October 29-30-31, 2015. The program will include a tutorial directed to students, scholars and practitioners interested in mastering the state of the art of theory. Interested students may earn 3 credits upon attending the conference and providing a written discussion of some the presentations in the conference. On Saturday October 31st, there will be an informal meeting for networking on current research and discussion of special topics for future research. More detailed informations are available at http://www2.stat.unibo.it/risk-measures Best Regards Sabrina Mulinacci

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Seminario Prof. D. De Canditiis (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 02 Oct '15

02 Oct '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 8 Ottobre, ore 10,30 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche "Sapienza" Università di Roma Prof. D. De Canditiis (CNR-IAC) Titolo: *Stima della densità dell'intensità di dati Poisson* Sintesi: Motivati dall'analisi di dati astronomici di tipo conteggio si presenterà un metodo per la stima della f.d.p. (funzione densità di probabiltà) della intensità di dati di tipo Poisson. La necessità di dare all'intensità un carattere stocastico nasce dall'esigenza di modellizzare una extra-variabilità contenuta nei dati. Le difficoltà della stima della f.d.p. sono assimilabili a quelle della soluzione (numerica) di un problema inverso lineare mal-posto. La soluzione, intesa come uno stimatore della f.d.p, ha ottime proprietà di convergenza. La metodologia verrà presentata in termini generali e dunque può essere presa come spunto per la risoluzione di altri problemi di analisi dati anche non necessariamente di tipo conteggio. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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SPRING SCHOOL IN FINANCE 2016 (fwd)
by Tiziano Vargiolu 02 Oct '15

02 Oct '15

---------- Forwarded message ---------- Date: Fri, 2 Oct 2015 11:54:08 +0200 From: Andrea Pascucci <andrea.pascucci(a)unibo.it> Subject: SPRING SCHOOL IN FINANCE 2016 [We apologize if you receive multiple copies of this announcement] SPRING SCHOOL IN FINANCE 2016 March 10-12, 2016 University of Bologna, Italy https://events.unibo.it/ssf2016 A three day spring school in financial mathematics will be held in Bologna on March 10-12, 2016. The school is open to both practitioners and people from the academic world and intends to provide two crash courses on Credit and Counterparty risk given by * St?phane Cr?pey (University of Evry) * Andrea Pallavicini (Banca IMI, Milan - Imperial College, London) For further information and registration, see: https://events.unibo.it/ssf2016/registration ********************************************************************************************************* -- --------------------------------------------------------------- Andrea Pascucci andrea.pascucci(a)unibo.it Dipartimento di Matematica http://www.dm.unibo.it/~pascucci P.zza di Porta S. Donato, 5 40126 Bologna - Italy Office Tel. +39-0512094428 Fax +39 0510821834 Skype: andrea.pascucci Get DropBox here: http://db.tt/Y2GN2TCx ---------------------------------------------------------------

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position at the University of Bern
by Fabio Bellini 01 Oct '15

01 Oct '15

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CHRISTIAN HENNIG - Quantile-based classifiers - 6.10.15 ore 12.30 - Dipartimento di Statistica e Metodi Quantitativi - Bicocca Milano
by Francesca Greselin 30 Sep '15

30 Sep '15

Dipartimento di Statistica e Metodi Quantitativi Martedì 6 ottobre 2015 ore 12.30 U7/2104 (AULA ECONOMICA) II PIANO Quantile-based classifiers with application to the classification of bioaerosols CHRISTIAN HENNIG Senior Lecturer, Department of Statistical Science, University College London Abstract Quantile classifiers are generalisations of the median-based classifiers recently introduced by Hall et al. (2009). They work for potentially high-dimensional data, and are defined by classi- fying an observation according to a sum of appropriately weighted component-wise distances of the components of the observation to the within-class quantiles. The optimal quantiles can be chosen by minimizing the misclassification error in the training sample. I will present some theory and simulations results demonstrating that quantile classifiers are very competitive. Quantile classifiers will also be applied to the detection of bioaerosol particles based on gaseous plasma electrochemistry (Sarantaridis et al., 2012). As several other classifiers, quantile classifiers aggregate information coming from the indivi- dual variables. This depends on selection and standardisation of the variables. I will discuss the- se issues in a way that may hopefully be of more general statistical interest. The first aspect is the extraction of some meaningful features from the high-dimensional and quite redundant ori- ginal form of the bioaerosol data. The second aspect is to understand standardisation as va- riable weighting, including the option to refrain from standardisation in situations where the variability of variables may be roughly proportional to the variable importance for classification, or to standardise certain groups of variables against each other, as will be suggested for the bioaerosol data. Tutti gli interessati sono invitati a partecipare per maggiori informazioni: www.dismeq.unimib.it - francesca.greselin(a)unimib.it

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Seminario Prof. Mesiar a RM1
by Fabio Spizzichino 30 Sep '15

30 Sep '15

Il Prof. Radko Mesiar (STU Bratislava) terrà un seminario sul tema *On the role of ultramodularity (and Schur concavity) in the construction of binary copulas* Il prossimo Venerdì 2 ottobre, ore 14:30, presso l'Aula di Consiglio del Dipartimento di Matematica dell'Universita' La Sapienza Tutte le persone interessate sono invitate ad intervenire Fabio Spizzichino *Abstract. * We discuss and stress the role of ultramodularity in special types of constructions of binary copulas. After recalling of some known ultamodularity-based results, we focus on a the so-called D-product of a copula and its dual. We show that for each copula D which is ultramodular and Schur concave on the left upper triangle of the unit square, this D-product of an arbitrary copula and its dual is again a copula. Several examples and counterexamples are given. Finally, some of our results are generalized to the case of semicopulas and quasi-copulas. Work in collaboration with E. P. Klement, A. Kolesarova and S. Saminger-Platz

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Winter School in Padova (February 2016)
by Giorgia Callegaro 30 Sep '15

30 Sep '15

Dear all, in collaboration with Evry University, ENSIIE and University Paris Diderot, the Department of Mathematics of the University of Padova is organizing a Winter School on recent advances in Mathematical Finance, that will be held in Padova in the period *8-12 February 2016*. Two main courses, on “Energy Markets” and “Pricing with Funding and Counterparty Risks” will be given, respectively, by Rene Aid (EdF) and Andrea Pallavicini (Banca IMI and Imperial College). Moreover, four mini-course are scheduled, on longevity risk (Nicole El Karoui), optimal stopping (Goran Peskir), polynomial processes (Martin Larsson) and numerical methods (Nadia Oudjane). More details can be found at the link: http://www.maths.univ-evry.fr/conferences/padova2016/index_ws.htm#section1 Accomodation during the period 7-12 February will provided to a limited number (maximum 35) of students selected among candidates who will send us, via the online form available here: http://www.maths.univ-evry.fr/conferences/padova2016/Application_ws.htm#sec… their CV and recommendation letter before the *31st October 2015.* Thanks for your attention and see you in Padova! Giorgia Callegaro (on behalf of the Organizing Committee) -- Giorgia Callegaro Assistant 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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Convegno in onore di Eugenio Regazzini - Pavia
by Antonio Lijoi 26 Sep '15

26 Sep '15

******************************************************** 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 * Una versione preliminare del sito del convegno, con l'elenco dei relatori invitati, puo’ essere consultata all'indirizzo: http://matematica.unipv.it/eugenioconference L'iscrizione al convegno sara' gratuita, ma necessaria per ragioni organizzative. Nelle prossime settimane il sito verra' aggiornato con ulteriori dettagli, inclusi quelli riguardanti la registrazione. Cordiali saluti, Antonio Lijoi -- Antonio Lijoi University of Pavia http://economia.unipv.it/alijoi

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Seminario LAVANCIER
by Matteo Ruggiero 25 Sep '15

25 Sep '15

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Veberdi 2 Ottobre 2015 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Frederic LAVANCIER (Université de Nantes) DETERMINANTAL POINT PROCESS MODELS AND STATISTICAL INFERENCE Abstract: In this talk, I will demonstrate that Determinantal point processes (DPPs) provide useful models for the description of repulsive spatial point processes. Such data are usually modeled by Gibbs point processes, where the likelihood and moment expressions are intractable and simulations are time consuming. I will recall the definition of a DPP and review some of these appealing properties which make DPP models well suited for statistical analysis. In particular the ’most repulsive’ DPP will be characterized. Parametric models of DPPs will be introduced, where the likelihood and moment expressions can be easily evaluated and realizations can be quickly simulated. Some illustrations on real datasets will be presented. This work has been carried out in collaboration with Jesper Møller and Ege Rubak, Aalborg University. The study of the repulsiveness of DPPs is part of a joint work with Christophe Biscio, University of Nantes. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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