[February 2024] The course by prof. Mariapia
Palombaro, titled Introduction to differential inclusions of
Curl-free and Div-free type, will take place according to the
following schedule: February 27, 29; March 05, 07 at 11-13am, room "Laboratorio di didattica"
[January 2024] Courses for the academic year 2023/24:
Abstracts,
Schedule(last update: Feb 08, 2024)
[July 2023] Cycle XXXIX, academic year 2023/24 (deadline: August 24, 2023)
The opening includes 5 additional thematic doctoral scholarships
DM 118/2023 - M4C1 - Inv. 3.4 - "Digital and environmental
transitions": no. 2 scholarships with subjects
- Development of mathematical nonstationary signal analysis methods for Euclidean and non-euclidean spaces and their application to the improvement of circular economy (magieco) - Dr. A. Cicone
- Variational models for the study and synthesis of complex innovative metamaterials - Dr. I. Giorgio
- Non-local deterministic modeling for the diffusion of epidemics - Prof. M. Di Francesco
- Quantum computing in the study of systems in topologically non-trivial phases - Prof. L. Guidoni and Prof. S. Paganelli
- Expansion methods in statistical mechanics and their application in theoretical computer science - Prof. T. Kuna
[December 2022] Concorso per l'ammissione al XXXVIII ciclo
- a.a. 2022/2023
1 borsa finanziata nell'ambito dello Spoke 5 - Centro
Nazionale "National Centre for HPC, Big Data and Quantum
Computing"
[May 2022] Professor Vasile Staicu, University of Aveiro, Portugal,
will be visiting DISIM in the week 9-13 May 2022.
He will give lectures on "An introduction to Mathematical Theory of Control", Room A0.4, with the following schedule:
May 10, 17:30-19:30
May 11, 17:30-19:30
May 12, 17:30-19:30
May 13, 16:30-18:30
For further information, please inquire at francesco.leonetti@univaq.it or vasile@ua.pt
[November 2021]
Bando Borse PON - Call for applications
[June 2021] Francesco Cappelluti (XXXIII cycle) will defend his PhD thesis on Tuesday
22 June 2021 at 3pm (CEST).
Title: Development of methods for polarizable Molecular Dynamics and electronic structure modelling
Supervisor: Leonardo Guidoni
[June 2021] Graziano Stivaletta (XXXIII cycle) will defend his PhD thesis on Wednesday
16 June 2021 10:30 AM (CEST) on MS Teams (Team code: hrnabb1)
Title: On the follow-the-leader approximation of nonlinear scalar conservation laws and related models.
Supervisor: Marco Di Francesco.
[May 2021] Project MOQS – MOlecular Quantum Simulations 1 Ph.D. fellowship within the
Ph.D. Course in Mathematics and modeling, starting from the
a.y. 2021/2022, is funded by
Nonlinear Valuation in Credit Risk Abstract:In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and
co-authors have shown that the value of a contract in a Credit
Valuation Adjustment (CVA) setting, being the sum of the cash flows,
can be represented as a solution of a decoupled forward-backward
stochastic differential equation (FBSDE).
CVA is the difference between the risk-free portfolio value and the
true portfolio value that takes into account the possibility of a
counter party's default. In other words, CVA is the market value of
counter party credit risk. This has achieved noteworthy importance after the 2008 financial
debacle, where counter party risk played an under-modeled but huge
risk.
In their analysis, Brigo et al make the classical assumption of
conditional independence of the default times, given the risk-free
market filtration. This does not allow for the possibility of simultaneous defaults. We
weaken their assumption, replacing it with a martingale orthogonality
condition. This in turn changes the form of the BSDE that arises from the model.
My talk is based on joint work with Aditi Dandapani.
