Random October 2013

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11 participants
13 discussions

Assegni di Ricerca
by c.ceci＠unich.it 28 Oct '13

28 Oct '13

ASSEGNI DI RICERCA IN MATEMATICA: URGENTE, scadenza 31 OTTOBRE 2013 Il 31 ottobre 2013 scadono le domande al concorso per il conferimento di due assegni di ricerca presso il Dipartimento di Economia dell'Universita' di Chieti-Pescara: S.S.D. SECS/06 (area 13/D) titolo: Metodi probabilistici in tempo continuo per l'econometria finanziaria S.S.D. MAT/06 (area 01/A) titolo: Valutazione e copertura di derivati in mercati incompleti ed in contesto d'informazione parziale Per il bando e lo schema di domanda: http://www.unich.it/unichieti/appmanager/unich/ateneo?_nfpb=true&_pageLabel… Cordiali saluti, Claudia Ceci Cristina Costantini

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[Dynstoch] Dynstoch Newsletter (fwd)
by Tiziano Vargiolu 24 Oct '13

24 Oct '13

(scusandomi in anticipo per eventuali ripetizioni) ---------- Forwarded message ---------- Date: Wed, 16 Oct 2013 15:29:18 +0200 From: Michael S?rensen <michael(a)math.ku.dk> To: dynstoch(a)math.ku.dk Subject: [Dynstoch] Dynstoch Newsletter *********************************************************************** DDDDD YY YY NNN NN SSSSSS TTTTTTTT OOOOOOO CCCCCC HH HH DD DD YY YY NNNN NN SS TT OO OO CC HH HH DD DD YY NN NN NN SSSSSS TT OO OO CC HHHHHHH DD DD YY NN NNNN SS TT OO OO CC HH HH DDDDD YY NN NNN SSSSSS TT OOOOOOO CCCCCC HH HH NEWSLETTER OCTOBER 16, 2013 *********************************************************************** Workshop on computational methods for jump processes. --------------------------------------------------------------------------- ------------ CRiSM (Center for Research in Statistical Methodology) will host a workshop on computational methods for jump processes at Warwick University, UK, from 7th to 9th of July 2014. The aim of this workshop is to highlight the recent advances in the estimation and the simulation of jump diffusions. The most recent achievements in inference of jump diffusions will be considered, such as series approximation, perfect simulation algorithms, sequential Monte Carlo methods and spectral based simulation methods. The plenary speakers are: Yacine Ait-Sahalia (Princeton University), Zhiyi Chi (University of Connecticut), Jean Jacod (Universite Paris VI), Pierre Del Moral (University of New South Wales), Arturo Kohatsu-Higa (Ritsumeikan University), Per Mykland (University of Chicago), Gareth Roberts (University of Warwick), Neil Shephard (Harvard University), Peter Tankov (Universite Paris VII). Registration and abstract submission for posters and talks is now open until January 31st 2014. Please find further details on the workshop webpage: http://www2.warwick.ac.uk/fac/sci/statistics/crism/workshops/jumps/ Note that fundings for junior researchers (a maximum of two years of experience since completion of Ph.D.) will be available. -- ---------------------------------------------------------------------- Michael Sorensen, Professor and Associate Chair for Research Department of Mathematical Sciences E-mail: michael(a)math.ku.dk University of Copenhagen Tel.: +45 3532 0680 Universitetsparken 5 Skype: michaelsor1 DK-2100 Copenhagen O Fax: +45 3532 9555 Denmark Web-page: www.math.ku.dk/~michael ---------------------------------------------------------------------- _______________________________________________ Dynstoch mailing list Dynstoch(a)math.ku.dk https://mail.math.ku.dk/mailman/listinfo/dynstoch

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Fwd: [World] Call for participation: ANALCO, ALENEX and SODA 2014 / School on Analytic Combinatorics and the Analysis of Algorithms
by Gustavo Posta 21 Oct '13

21 Oct '13

Begin forwarded message: > From: Markus Nebel <nebel(a)cs.uni-kl.de> > Subject: [World] Call for participation: ANALCO, ALENEX and SODA 2014 / School on Analytic Combinatorics and the Analysis of Algorithms > Date: 18 ottobre 2013 13:44:38 GMT+02:00 > To: world(a)alea-research.eu > > Philippe Flajolet School on Analytic Combinatorics and the Analysis of Algorithms (ANALCO School 2014) > January 7, 2014, Portland, Oregon, USA (co-located with ACM-SIAM SODA 2014, ANALCO 2014 and ALENEX 2014) > > The Philippe Flajolet School on Analytic Combinatorics and the Analysis of Algorithms (ANALCO School 2014) builds upon the experience of two previous schools on the same topics held in Maresias (Brazil) in 2008 and in Vienna (Austria) in 2010. > The courses of the school will cover various methods for the analysis of algorithms and discrete structures and examples of application from graph theory and computational biology. > The school may be of interest for Master- and PhD students, as well as for confirmed researchers. > The following lecturers will contribute: > > Michael Drmota, TU Wien, Austria: Analytic Combinatorics for Random Graphs > James A. Fill, John Hopkins U., USA: Probabilistic Techniques for the Analysis of Algorithms, with Applications > Markus Nebel, Univ. Kaiserslautern, Germany: Analytic Combinatorics in Bioinformatics > Robert Sedgewick, Princeton U., USA: Analytic Combinatorics > > > The preliminary program of the school is available at http://wwwagak.cs.uni-kl.de/analcoschool/program.html > > Any SODA/ALENEX/ANALCO attendee is welcome to attend all or part of the school, at no additional cost. > For planning purposes, we ask that people who expect to be significant participants to register for the school at http://wwwagak.cs.uni-kl.de/view/form.html > We will contact registrants prior to the school to help us better tailor the courses to their needs. However, drop-ins during the conference will also be welcome! > > > Best regards, > > Markus Nebel > -- > ................................................................... > Prof. Dr. M. Nebel Department of Computer Science > Algorithms & Complexity University of Kaiserslautern > http://wwwagak.cs.uni-kl.de Germany > ................................................................... > _______________________________________________ > World mailing list > World(a)alea-research.eu > http://alea-research.eu/cgi-bin/mailman/listinfo/world

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postdoc position in Stochastics (Math Finance) at LMU
by Juan Miguel Montes 18 Oct '13

18 Oct '13

(Apologies for possible cross-posting) Dear friends, I would like to call your attention to a Postdoctorate position in Stochastics / Math Finance at the Institute of Mathematics, Ludwig-Maximilians University, Munich. The deadline for application is 30 November, 2013. More information can be found at http://www.fm.mathematik.uni-muenchen.de/jobs/index.html Best regards, Juan Miguel Montes

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annuncio seminario
by Faggionato, Alessandra 18 Oct '13

18 Oct '13

cari marco e francesco vi chiederei di far girare sulla mailing list random l'annuncio riportato sotto. grazie alessandra Martedi' 22 ottobre 2013, alle 14.30, nell'Aula B del Dip. di Matematica dell'Universita' La Sapienza, si terra' si seguente seminario Speaker: Pietro Caputo (Universita' di Roma III) Title: Large deviations in sparse random graphs: a local weak convergence approach Abstract: Consider the Erdos-Renyi random graph on n vertices where each edge is present independently with probability p = c/n, with c > 0 fixed. For large n, a typical realization locally behaves like the Galton-Watson tree with Poisson offspring distribution with mean c. We discuss large deviations from this typical behavior, within the framework of the local weak convergence introduced by Benjamini-Schramm and Aldous-Steele. The associated rate function is expressed in terms of an entropy functional on unimodular measures and takes finite values only at measures supported by trees. Along the way, we present a new configuration model which allows one to sample uniform random graphs with a given finite neighborhood distribution, provided the latter is supported by trees. We also present a new class of unimodular random trees, which generalizes the Galton-Watson tree with given degree distribution to the case of neighborhoods of arbitrary finite depth. This is joint work with Charles Bordenave. -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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Seminario RUBIO
by Matteo Ruggiero 18 Oct '13

18 Oct '13

**************************************************************** STATISTICS SEMINARS - COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 25 ottobre 2013, alle ore 12.00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: JAVIER RUBIO (University of Warwick) BAYESIAN INFERENCE IN TWO-PIECE AND SKEW-SYMMETRIC DISTRIBUTIONS USING JEFFREYS PRIORS Abstract: We study the Jeffreys prior and the independence Jeffreys prior of general classes of univariate location-scale two-piece and skew-symmetric models. For the case of two-piece models, Jeffreys priors are shown not to allow for Bayesian inference in the wide and practically relevant class of distributions obtained by skewing scale mixtures of normals. Easily checked conditions under which independence Jeffreys priors can be used for valid inference are derived. In the context of scalar skew-symmetric models, it is shown that the Jeffreys prior of the skewness parameter is symmetric about 0, proper, and with tails O(λ^(−3/2)) under mild regularity conditions. Sufficient conditions for the existence of the posterior distribution induced by the independence Jeffreys prior are investigated for the case when the sampling model belongs to the family of skew-symmetric scale mixtures of normal distributions. Joint work with Mark F.J. Steel and Brunero Liseo. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Il programma dei seminari puo' essere consultato alla pagina http://www.carloalberto.org/events/seminars/statistics/ --------- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

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Berlin Mathematical School (BMS) - Call For Applications
by Paolo Dai Pra 17 Oct '13

17 Oct '13

Vi segnalo la seguente Call for Applications. Paolo Berlin Mathematical School (BMS) - Get Your Math PhD in Berlin Website: http://www.math-berlin.de/application The Berlin Mathematical School is the joint graduate school of the mathematics departments at the three major universities in Berlin: Freie Universität, Humboldt-Universität and Technische Universität. We offer an excellent (post)graduate program taught in English in a broad and active research environment. This is complemented by our mentoring program, language courses, soft-skills seminars, travel support for summer schools and conferences, and special funding for students with children. Our seven main research areas are: * Differential geometry, global analysis and mathematical physics * Algebraic and arithmetic geometry, number theory * Probability, statistics and financial mathematics * Discrete mathematics and combinatorial optimization * Geometry, topology and visualization * Numerical mathematics and scientific computing * Applied analysis and differential equations The graduate program starts with three to four semesters of course work (Phase I) leading to a master's degree. This is followed by four to six semesters of thesis research (Phase II) leading to a doctoral degree at one of the three universities. Students who will have completed their bachelor's degree by October 2014 can apply to Phase I; those who will have completed their master's degree by this date can apply to start directly in Phase II. Complete information about applying to the BMS is available online: http://www.math-berlin.de/images/Guidelines2013.pdf Deadline for admission with scholarship: 15 December 2013 Deadline for admission only: 15 May 2014 Website: http://www.math-berlin.de/application Contact: E-Mail: applications(a)math-berlin.de phone: +49 30 314-78651 http://www.math-berlin.de Paolo Dai Pra Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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lectureship a Edimburgo
by Franco Flandoli 17 Oct '13

17 Oct '13

Segnalo la seguente permanent lectureship in Probability/Financial Mathematics a Edimburgo: https://www.vacancies.ed.ac.uk/pls/corehrrecruit/ erq_jobspec_version_4.jobspec?p_id=020849 Franco

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Seminario di Probabilità - Università di Padova
by alessandra bianchi 16 Oct '13

16 Oct '13

Ho il piacere di invitarvi al seguente seminario, che si terrà lunedì 21 ottobre, alle ore 15:00, nell'aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Universita` degli Studi di Padova. SPEAKER: Dott.ssa Alessandra Cipriani AFFILIATION: Institute of Mathematics, University of Zurich TITLE: Thick points for a Gaussian Free Field in 4 dimensions ABSTRACT: This joint work with Rajat Subhra Hazra is concerned with the study of the fractal dimension of thick points for a 4-dimensional Gaussian Free Field. We adopt the deﬁnition of Gaussian Free Field on R^4 introduced by Chen and Jakobson (2012) viewed as an abstract Wiener space with underlying Hilbert space H^2(R^4). We can prove that for 0 ≤ a ≤ 4 the Hausdorﬀ dimension of the set of a-high points is 4 − a, and we show that this set is the support of the 4-dimensional Liouville quantum gravity measure. -- Alessandra Bianchi Dip. di Matematica Pura e Applicata Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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seminario Elena di Bernardino in Bicocca
by Fabio Bellini 16 Oct '13

16 Oct '13

Il giorno martedì 22 ottobre alle ore 14.30 presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi dell' Università di Milano-Bicocca, al IV piano dell' edificio U7, la dott.ssa Elena di Bernardino del CNAM di Parigi terrà un seminario dal titolo On Multivariate Extensions of Value-at-Risk Abstract: In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The proposed multivariate VaR are real-valued risk measures constructed from the level sets of multivariate distribution and multivariate survival functions. Several properties have been derived. In particular, we show that these risk measures satisfy the positive homogeneity and the translation invariance property. Comparisons between univariate risk measures and components of multivariate VaR are provided. We also analyze how these measures are impacted by a change in marginal distributions, by a change in the dependence structure and by a change in the risk level. Illustrations are given in the class of Archimedean copulas. (joint work with A. Cousin) Tutti gli interessati sono invitati a partecipare. Saluti Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini

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Random October 2013