Notiziario Scientifico

Settimana dal 6 al 12 gennaio 2014


Mercoledì 8 gennaio 2014
Ore 10:30, Aula 1B1, Dipartimento SBAI
Seminario di Analisi Numerica e Calcolo delle Probabilità
Daniela Calvetti (Case Western Reserve University)
Computational analysis of brain metabolism model at different scales


Mercoledì 8 gennaio 2014
Ore 11:30, Aula 1B1, Dipartimento SBAI
Seminario di Analisi Numerica e Calcolo delle Probabilità
Erkki Somersalo (Case Western Reserve University)
Sequential Monte Carlo and particle methods in inverse problems


Venerdì 10 gennaio 2014
Ore 14:00, Aula Picone
Remembering Peter Laurence and his Mathematics
14:00 Emanuele Caglioti (Università di Roma I), Opening talk
14:15 Renato Spigler (Università di Roma III), A short scientific (and human) profile
of Peter Laurence
15:00: Marco Avellaneda (Courant Institute), Managing the liquidity risk of portfolios
of derivative securities: mathematical models, problems, and results

This is a review talk on the general problem of liquidity in risk-managment. Almost
by definition, liquidity is the most important aspect of finance. Following the crisis
of 2008, liquidity has been at the forefront of regulators' concerns and many proposals
have been put forth to address the issue. Mathematically, the question can be stated as
follows: how can we expand, or modify the Value-at-Risk (VAR) framework to incorporate
liquidity? This talk presents models based on theoretical and empirical considerations,
such as polling market participants, and looking at market volume statistics to
anticipate liquidity needs upon default of a (large) financial counterparty. Solving
these models leads to problems in deterministic or stochastic control which provide a
quantitative foundation for taking liquidity reserves and for default-management
procedures by exchanges and central counterparties.

16:00 Coffee break
16:30 Sandro Salsa (Politecnico di Milano), Obstacles and american options:
a work with Peter

Some years ago (say in 2007) Peter proposed me to work on a by now classical problem
concerning a financial derivative product called American Option. The analysis from a
mathematical point of view started mainly with Mc Kean and some issues, such as fine
regularity properties of the so called free boundary, remained open. In this talk I
will try to present the main features of these type of financial contracts,
emphasizing the connection with the classical obstacle problem and to describe what
kind of results we achieved with Peter.


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                Il Direttore

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