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Assegno di ricerca post-dottorale, presso CNR IMATI-MI
by Antonio Pievatolo 04 Mar '14

04 Mar '14

Segnalo la pubblicazione di un bando per un assegno di ricerca post-dottorale su "Analisi statistica dei dati", con scadenza il prossimo 24 marzo. I dettagli si trovano nella seguente pagina web: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/72788 Cordiali saluti Antonio Pievatolo -- Dr Antonio (Marco) Pievatolo CNR IMATI Tel. +39 02 23699.521 (direct: 520) Web www.mi.imati.cnr.it/marco

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Two seminars and presentation of Ph.D. theses - date
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

We have the pleasure to announce the following two seminars and the defenses of two PhD thesis for the day Friday, March 7th: University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Two seminars and presentation of Ph.D. theses
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

We have the pleasure to announce the following two seminars, in University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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CSAMA 2014: Computational Statistics for Genome Biology - June 22-27, 2014
by stefano iacus 02 Mar '14

02 Mar '14

CSAMA 2014: Computational Statistics for Genome Biology (12th edition) Bressanone-Brixen, Italy (South Tyrol Alps - half way between Verona and Munich) June 23-27, 2014 *** Registration for CSAMA 2014 is now open *** http://www-huber.embl.de/csama This one-week intensive course teaches current approaches in the statistical and computational analysis of large-scale experiments in biology. The course focuses on the methods for downstream analysis of high-throughput sequencing experiments including RNA sequencing (differential expression) and DNA sequencing (variant calling), as well as QTL analysis and high-throughput screening. Lectures also cover essentials including statistical testing, linear models, machine learning, visualisation and bioinformatic metadata integration. Topics • Introduction to R and Bioconductor • Elements of statistics: hypothesis testing, multiple testing, regression, regularisation, clustering and classification (machine learning), visualisation • Computing with sequences and genomic intervals • RNA-Seq data analysis and differential expression • DNA Variant calling • Working with annotation -- genes, genomic features and variants • Gene set enrichment analysis • High-throughput screens The course consists of • morning lectures: 20 x 45 minutes: Monday to Friday 8:30am - 12:00am • 4 practical computer tutorials in the afternoons (2pm - 5pm) on Monday, Tuesday, Thursday and Friday ----------------------------------- Stefano M. Iacus Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en Have a look at the new Master Degree in Finance ! http://www.fin.unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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Fwd: Deadline abstract submission ICFIS2014 extended to March 13!
by Julia Mortera 02 Mar '14

02 Mar '14

-------- Original Message -------- Subject: Deadline abstract submission ICFIS2014 extended to March 13! Date: Tue, 25 Feb 2014 21:45:58 +0100 From: ICFIS2014 <icfis2014(a)gmail.com> Reply-To: <info(a)icfis2014.org> To: <info(a)icfis2014.org> *The deadline for abstract submission for ICFIS2014 <http://icfis2014.org> has been extended to March 13.* * *KOG We have already received 75 abstracts, but we want to give even more people the opportunity to submit an abstract. The *9th International Conference on Forensic Inference and Statistics* <http://icfis2014.org/> will take place from *19 to 22 August 2014* at Leiden University <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/venue.html>, the Netherlands. Leiden is a beautiful city with a large number of monuments and canals, and has a 15 minutes train link to Amsterdam Schiphol International Airport, one of the main gates of Europe. This international conference - in short *ICFIS2014* <http://icfis2014.org/> - unites lawyers, statisticians and forensic scientists in their interest in optimal reasoning concerning forensic evidence. Technical developments in biological, physical, chemical and digital forensic disciplines are fast and have an increasing impact on law enforcement and the justice system. Examples are DNA profiling, fingerprint and illicit drug analysis, and analysis of large digital data-sets for intelligence purposes. Whatever the type of evidence, it can only be of value when it is properly gathered, analyzed, evaluated, and communicated by the scientist. Moreover, it should be understood by the legal decision maker. This requires sound statistical and logical methods, and good communication between lawyers and scientists. The conference promotes the interaction between providers and users of forensic evidence. It focuses on probabilistic methods for the evaluation of forensic evidence, and their use in law and law enforcement. The conference will provide a forum for oral presentations and posters. Furthermore, the first day of the conference will consist of workshops. Selection by the scientific committee of the contributions for the final program is based on abstracts. If you haven't done so already, please submit your abstract by digitally filling out the form you can download from the website <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/abstracts.html>, and sending it to abstracts(a)icfis2014.org <mailto:abstracts@icfis2014.org>. *The final deadline for abstract submission is March 13, 2014. * The website lists the themes <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/index.html#themes> for the conference. See you at ICFIS2014! Charles Berger and Marjan Sjerps, on behalf of the organizing and scientific committee <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/organization.html>. ___________________________________ If you want to unsubscribe from this mailing list, just reply with 'unsubscribe' in the subject.

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Cooperint call at University of Verona
by Luca di persio 02 Mar '14

02 Mar '14

Dear all, this a call for potentially interested people to join the Cooperint internationalization program of the University of Verona (see details below) in order to build a scientific collaboration in particular within the fields of: *Probability, Statistics, Stochastic Processes and their applications in Mathematical Finance*. Please feel free to contact me at: luca.dipersio(a)univr.it . *CooperInt Program - 2014 edition* *Deadline: April 7* The *University of Verona* has launched its own internationalization program called *CooperInt*, providing funding to promote research interactions with international scientists according with the following call typologies *Action A.1* (*Junior Visitor Program*) is intended to invite young researchers with no more than 7 years of academic experience after their PhD. Such positions are intended mainly for research activity/exchanges, but can also forecast teaching activities (e.g. seminars, short courses) *Action A.2* (*Senior Visitor Program*), is intended to invite world renowned Visiting Professors and scientists. During their stay in Verona the invited professors will be required to do teaching activities within a Master or a PhD Program for a minimum workload of two hours per week (eight hours per month). *Reimbursement* *A1 Funding *(max.amount) *A2 Funding *(max.amount) EU Home Institution Non-EU Home Inst. EU Home Institution Non-EU Home Inst. *2000 EURO/month NET* *2500 EURO/ month NET* *2500 EURO/ month NET* *3000 EURO/ month NET* For bureaucratic assistance refer to the International Relations Office: relazioni.internazionali(a)ateneo.univr.it Please note that the deadline is fixed at 07/04/2014, but, due to administrative duties, it is much better to have most of the required documents filled by the end of March. __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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bando assegno di ricerca SECS-S/06 a Firenze
by mariaelvira.mancino＠unifi.it 01 Mar '14

01 Mar '14

Il Dipartimento di Economics and Management dell'Universita' di Firenze bandisce un assegno di ricerca della durata di un anno per il settore SECS-S/06. Il bando si trova all'indirizzo: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/72982 Mavira Mancino

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Seminario Sergio Albeverio
by Luca di persio 26 Feb '14

26 Feb '14

Buondì, inoltro, con preghiera di diffusione, l'annuncio del seminario che il prof. Sergio Albeverio (ospite dell'Università di Verona) terrà presso il prossimo 10 Marzo presso il Dipartimento di Informatica di UniVr. Buon lavoro, LuCa Prof. Sergio Albeverio, Bonn University "From integrals and asymptotics to (deterministic,stochastic,quantum) dynamical systems" Abstract del seminario We illustrate how deterministic ,stochastic and quantum aspects of the world emerge from infinite dimensional integrals and their asymptotics. Some recent applications in applied areas,from neurobiology to engineering and finance, are also briefly discussed. Keywords: Asymptotic expansions, Infinite dimensional integrals, Mathematical Finance, Neurobiology, SPDEs, Stochastic Processes Luogo ed ora del seminario: 10 Marzo 2014 ( ore 16:45: rinfresco, ore 17: seminario) presso il Dipartimento di Informatica dell'Università di Verona, Strada le Grazie 15 (Vr) Ca' Vignal 3 - Piramide, Sala Verde Referente: Luca Di Persio: http://www.di.univr.it/?ent=persona&id=8773&lang=en Grazie molte, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Scuola Estiva a Bielefeld: 7-20 Luglio 2014
by Giorgio Ferrari 26 Feb '14

26 Feb '14

*SUMMER SCHOOL: **Model Uncertainty in Economics and Finance - Advances in Stochastic Calculus* Dal *7 al 20 Luglio 2014* si svolgerà presso l´Università di Bielefeld (Germania) la Scuola Estiva *Model Uncertainty in Economics and Finance - Advances in Stochastic Calculus.* Le iscrizioni sono aperte fino al *30 Aprile 2014*. Per ulteriori informazioni http://www.bgts.uni-bielefeld.de/daad_network/2014summer/ Buona serata, Giorgio Ferrari -- Giorgio Ferrari Center for Mathematical Economics (IMW) Bielefeld University office: W10-100 office phone: +49 521 106 5642 Postfach 100131, 33501 Bielefeld, Germany email: giorgio.ferrari(a)uni-bielefeld.de giorgio.ferrari(a)uniroma1.it web-page: https://sites.google.com/site/giorgioferrariswebsite/

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LMU Workshop on Stochastic Vol and Multi-Curves
by Juan Miguel Montes 26 Feb '14

26 Feb '14

The Ludwig Maximilian University of Munich - Workgroup Financial Mathematics' "quantLab" invites practitioners in the areas of quantitative finance, insurance, financial modeling, risk management and derivatives-structuring, to attend a two - part workshop on the topics STOCHASTIC VOLATILITY and MULTI-CURVE MODELS to be held on 2 - 4 April, 2014 at the LMU Math Institute, Munich, Germany. The guest presenter for Part 1 of the workshop will be Dr. Jörg Kienitz (Head of Quantitative Analysis at Deutsche PostBank AG). Part 2 of the workshop will be conducted by Prof. Dr. Christian Fries (Model Development and Methodology at DZ Bank and Professor at LMU Math Institute) and Dr. Alessandro Gnoatto (Researcher at LMU Math Institute). Participants may chose from three packages: Full Package (Part 1 & 2), Part 1 only or Part 2 only. The detailed workshop agenda, registration fees, venue instructions and contact information for inquiries, are all found on the following webpage: http://www.fm.math.lmu.de/stochasticvolatility The organizers are looking forward to your participation.

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