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Seminario di Probabilita' a RM1
by Fabio Spizzichino 07 Jul '15

07 Jul '15

*Mercoledì 08 luglio 2015* Ore 14:30, Aula Picone del presso il Dipartimento di Matematica dell'Universita' La Sapienza Il Dr. Arturo Erdely (Universidad Nacional Autonoma de Mexico) terra' un seminario su *Modeling complex dependence using gluing and vine copulas* Abstract Bivariate dependence may be of such complexity that no single family of known parametric copulas is able to give an acceptable goodnes of fit. The gluing copula approach may be of good help in decomposing a complex non monotone dependence into easier to model piecewise monotone dependencies. This is good news for the vine copula approach since bivariate copulas are building blocks of such approach in higher dimensions. An application to real data in economics and geophysics will be discussed. Tutte le persone interessate sono invitate ad intervenire Per informazioni: rivolgersi a Gianna Nappo (nappo(a)mat.uniroma1.it) o a Fabio Spizzichino (fabio.spizzichino(a)uniroma1.it) -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Seminario BALBI (RGS, ADAMSS, CIMAB & Matematica Applicata)
by Giacomo Aletti (giacomo.aletti) 06 Jul '15

06 Jul '15

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, in collaborazione col centro ADAMSS e il CIMAB, il giorno lunedì 13 Luglio 2015, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Not just theory: the role of computational neuroscience in clinical neurophysiology" Pietro Balbi Dept. of Neurorehabilitation 'Salvatore Maugeri' Foundation Scientific Institute of Pavia, IRCCS via Boezio 28 Abstract: Neurocomputational modelling has the ultimate goal of enhancing the understanding of the behavior of neural cells and circuits. This aim is usually reached by starting from the experimental phenomena, then by postulating hypotheses or conceptual models of the biophysical events, and finally by transforming them in computational models. The conversion of experimental data in neurocomputational models takes mainly advantage of two well established mathematical theories: the cable conductor theory and the Hodgkin-Huxley equations. In this seminar the considered experimental phenomena are represented by the axon-somatic back-propagation and the recurrent discharge, which are the basis of a clinical test known as the F wave. This is a neurophysiological test commonly used to assess the motor conduction along the most proximal segments of the peripheral axons. It results from the backfiring of antidromically activated spinal motoneurons. Until recently the test has been also used as a measure of motoneuronal excitability in experimental studies. By modelling the axon-somatic back-propagation and the recurrent discharge and by showing their dependance from the biophysical properties of the transition zone between axonal initial segment (AIS) and soma of the spinal motoneurons, a clearer insight is gained about the relations between the F wave and the spinal excitability. The modelling study appears able to provide both a clearer interpretation of the electrophysiological interplay between motoneuronal regions of high morphological inhomogeneity, and a novel demonstration of the flawed role of F-wave recordings in estimating the motoneuronal excitability. ================ Per chi volesse seguire il seminario in remoto ricordo inoltre che sarà possibile avendo segnalato il proprio interessamento entro le 12 del giorno del seminario. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/.(http://rgs.mat.unimi.it/) -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell:+39-340-9739142 **************** Per destinare il 5x1000 all'Universita' degli Studi di Milano: indicare nella dichiarazione dei redditi il codice fiscale 80012650158. http://www.unimi.it/13084.htm?utm_source=firmaMail&utm_medium=email&utm_con…

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Workshop on Gradient flows, Large deviations and Applications
by Francesco Caravenna 01 Jul '15

01 Jul '15

Ricevo e inoltro. %%%%%%%%%%%%%%%%%%% WORKSHOP ON GRADIENT FLOWS, LARGE DEVIATIONS AND APPLICATIONS Eurandom, Eindhoven (NL), November 23-24, 2015 The aim of this mini-workshop is to bring together mathematicians working on the boundary between analysis and probability. The main focus is on Gradient Flows and Large Deviations. For further details, see the website: http://www.win.tue.nl/casa/meetings/special/gradientflows/ %%%%%%%%%%%%%%%%%%%

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Seminario di Flavia Barsotti presso Prometeia - Bologna
by Giacomo Scandolo 29 Jun '15

29 Jun '15

Il giorno Giovedì 2 Luglio 2015, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Flavia BARSOTTI Risk Methodologies, Group Financial Risk, Group Risk Management, UniCredit S.p.A. terrà un seminario dal titolo "Credit risk evaluation: performance and determinants of structural modeling approach" Abstract Structural credit risk models are known to be the natural mathematical framework providing a theoretical link between a firm’s default probability and the underlying firm’s specific structural variables. In this spirit, this talk discusses the ability of structural credit risk modeling in measuring the sensitivity of corporate bond returns to changes in equity value, representing a key element for hedging purposes in risk management activity. The analysis is conducted by considering as starting point the classical Merton model. Extensions of this setting are proposed by relaxing the assumption of Lognormal distribution for the underlying assets value dynamics. The talk discusses the performance of structural models across different rating classes and analyzes which are the key determinants (both credit and non-credit related variables) affecting the performance. --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. https://www.avast.com/antivirus

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XVII Workshop on Quantitative Finance, Scuola Normale Superiore, Pisa, 28-29 Gennaio 2016
by Fabrizio Lillo 29 Jun '15

29 Jun '15

First 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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Pavia-Bicocca-INdAM PhD program in Mathematics
by Francesco Caravenna 26 Jun '15

26 Jun '15

Starting this year, the Universities of Pavia and Milano-Bicocca have a *joint PhD program in Mathematics*, with the contribution of INdAM. A total of 10 fellowship are available in all domains of Mathematics, including Probability and Statistics. The deadline for applications is July 8, 2015. For more information, we refer to the websites: http://phdmat.unipv.eu/site/home.html http://www.unipv.eu/site/en/home/research/phd-courses.html

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Seminar Prof. Jorge Zubelli in Padova
by Giorgia Callegaro 26 Jun '15

26 Jun '15

Dear all, next week, the 3rd July 2015, Prof. Jorge Zubelli (IMPA, Rio De Janeiro) will give a seminar on Real Options (Mathematics/Probability applied to Finance) from 12am to 13 am, in room 2BC30 at "Torre Archimede" (Dep. of Mathematics, University of Padova). More details, i.e., the title and abstract follow: Title: "Project evaluation and Real Option Analysis: A Hedged Monte Carlo Approach" Abstract: Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options. The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. Thanks for the attention and have a nice day, Giorgia -- 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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Assegno di Ricerca - Università di Firenze
by Giacomo Scandolo 24 Jun '15

24 Jun '15

Scusandomi per eventuale cross-posting, ricordo un Assegno di Ricerca presso il Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Università di Firenze. SSD: SECS-S/06 Titolo: "Modelli quantitativi di analisi del rischio aziendale" Scadenza domande: 30/06/2015 Bando: numero 3539 dell'Albo ufficiale UNIFI (www.unifi.it/albo-ufficiale.html)

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Seminario Dottor Enrico Moretto all'IMATI
by Antonella Bodini 24 Jun '15

24 Jun '15

Si comunica che il giorno 2 luglio alle ore 10.30, presso la sala A della sede di Milano dell'IMATI, Via E. Bassini 15, il Dottor Enrico Moretto, dell'Universita' dell'Insubria, terra' il seminario dal titolo *Alcune applicazioni finanziarie dello stochastic dividend discount model.* Abstract: lo /stochastic dividend discount model/ (SDDM) (Hurley e Johnson, 1994 e 1998) ha esteso in un contesto aleatorio la classica formula di Gordon che determina il prezzo di un'azione attualizzando i futuri dividendi pagati dalla società agli azionisti. Il modello ipotizza che i dividendi si evolvano in tempo discreto in maniera stocastica, pilotati da un tasso di crescita aleatorio. I contributi di ricerca che saranno presentati rappresentano il tentativo di applicare lo SDDM ad alcuni problemi ben noti in finanza, quali la teoria di selezione del portafoglio e l'analisi delle fusioni tra società. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Antonella Bodini -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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SPOSTAMENTO ORARIO Seminario prof. Juan Romo 23 Giugno 2015
by Anna Paganoni 22 Jun '15

22 Jun '15

Informo tutti gli interessati che per problemi organizzativi il seminario del prof. Juan Romo di domani presso il Dipartimento di Matematica del Politecnico di Milano è anticipato alle ore 14:00 (VI piano edificio La Nave, via Bonardi 9). Grazie per l'attenzione Anna Maria Paganoni

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