Organization
2025
- One day on Stochastic Analysis and Singular Equations (10 Sep 2025)
Workshop The Mathematics of Subjective Probability, University of Milano-Bicocca (I)
[in collaboration with Gianmario Tessitore]
2024
- Session on Recent Trends in Stochastic Analysis (23–26 Jul 2024)
AMS-UMI International Joint Meeting 2024 (Special Session B21), Palermo (I)
[in collaboration with Mykhaylo Shkolnikov]
2023
- Summer School on Statistical Mechanics and Stochastic PDEs (11-15 Sep 2023)
C.I.M.E. Summer School, Cetraro (I)
[in collaboration with Rongfeng Sun and Nikos Zygouras] -
Contributed Session Statistical Mechanics and Stochastic PDEs (24-28 July 2023)
SPA 2023 Conference, Lisbon (P)
2019
- Workshop on Self-interacting random walks, Polymers and Folding (9-13 Sep 2019)
CIRM, Marseille (F)
[in collaboration with Quentin Berger and Julien Poisat] - Third Workshop on Large Scale Random Structures (10-11 Jul 2019)
PRIN 2015 Project, University of Milano-Bicocca (I)
2017
- XVIII Workshop on Quantitative Finance (25-27 Jan 2017)
University of Milano-Bicocca (I)
2015
- Winter School on Recent Breakthroughs in Singular Stochastic PDEs (2-6 Feb 2015)
University of Milano-Bicocca (I)
[in collaboration with Federica Masiero and Gianmario Tessitore]
Computer programs
Here is the code related to some of my research papers
Copolymer model
Code for simulating the partition function (using C) of a model of copolymer at a selective interface, described in the paper:
- F. Caravenna, G. Giacomin, M. Gubinelli, A numerical approach to copolymers at selective interfaces, J. Stat. Phys. 122 (2006), 799-832 [pdf] [journal] [arXiv]
Type ./zeta-copolymer -? for the available options and for some help.
Speed-up. The program cuts walk trajectories at the diffusive scale A√n with A=6. Editing the functions cut_high and cut_low one can change the value of A (or eliminate the truncation).
Pinning model
Code for simulating the partition function (using C) of a pinning model. The definition of the model and the simulation algorithm can be found in Chapters 1 and 9 of the book:
- G. Giacomin, Random Polymer Models, Imperial College Press (2007)
Type ./zeta-pinning -? for the available options. The Speed-up above also applies here.
Scaling and multiscaling in financial series
Code for data analysis, simulations and plots (using R) for the paper:
- A. Andreoli, F. Caravenna, P. Dai Pra, G. Posta, Scaling and multiscaling in financial series: a simple model, Adv. in Appl. Probab. 44 (2012), 1018-1051 [pdf] [journal] [arXiv]
Volatility smile in a multiscaling model
Code for simulations and plots (using R) for the paper: