AVVISO SEMINARI

Per martedi' 31 maggio sono programmati i seguenti seminari nell'area probabilita'/finanza presso il Dipartimento di Matematica dell'Universita' di Padova; si svolgeranno nell'aula seminari al VII piano della Torre B.

Ore 14.30:

Prof. Yuliya Mishura Taras Shevchenko National University of Kyiv

Title: Gaussian processes that are generalized quasi-helices and their properties

Abstract: We consider several problems for Gaussian processes which are, in some sense, the generalizations of fractional Brownian motion. Three problems are considered: the behavior of the maximal functionals, the representation results and some statistical results. We investigate the asymptotic behavior of maximal functionals under critical values of the parameters of the corresponding quasi-helix, give the representations of the random variables via the integration w.r.t. Gaussian processes and explain how to construct and investigate unknown drift parameter estimators in the SDE involving the general Gaussian processes.

Ore 15.30

Prof. Erik Schloegl University of Technology Sydney

Title: Toward Quantifying Model Risk

Abstract: As a paper by the Board of Governors of the Federal Reserve System put it in 2011, ?The use of models invariably presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports.? However, there has been surprisingly little research to date on quantifying this risk, or putting the analysis of this risk on a more rigorous footing. This presentation discusses four types of model risk encountered when using models for the pricing and risk management of derivative financial instruments, and the relationship (and potential trade-offs) between them. Secondly, we consider how one would go about implementing the ?relative entropy? approach to model risk suggested by Glasserman and Xu (2013) in this context, and how this may affect modelling choices in practice.

Tiziano

-------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu@math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------