September 2014 - Random - Mailing list — Dipartimento di Matematica, UniPI

Seminario Cristina di Girolami a Milano-Bicocca
by federica.masiero＠unimib.it 09 Feb '15

09 Feb '15

Il giorno 6 Febbraio, alle ore 15, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), la Dott.ssa Cristina di Girolami, Università G. D'Annunzio di Chieti-Pescara, terrà un seminario dal titolo "Stochastic calculus in Banach spaces, an infinite dimensional PDE and stability results" Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Federica Masiero

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FLAFR: Bando 2014 - Borse Premio per lo svolgimento di tesi di laurea magistrale
by Irene Crimaldi 15 Oct '14

15 Oct '14

Bando 2014 - BORSE PREMIO PER LO SVOLGIMENTO DI TESI DI LAUREA MAGISTRALE. Le borse sono messe a disposizione dalla Fondazione Lucchese per l’Alta Formazione e la Ricerca (FLAFR). Gli argomenti di tesi sono: Tema 1: Crisi e innovazione. Tema 2: Modelli, metodologie e strumenti software per lo sviluppo e l'analisi di sistemi ICT. Tema 3: Modelli e metodologie per l'analisi delle reti complesse e loro applicazione. Tema 4: Metodologie e strumenti software per l'analisi e il controllo di sistemi dinamici. Tema 5: Modelli stocastici e metodologie statistiche per lo studio di problematiche in campo economico, informatico o ingegneristico. Tema 6: Modelli teorici, numerici e sperimentali per l'ottimizzazione delle proprietà superficiali della carta. Per ulteriori dettagli, potete consultare il link http://www.fondazioneluccheseafr.it/borse_tesi.html. Irene Crimaldi IMT Institute for Advanced Studies Lucca

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Fractional Calculus, Probability and Non-Local Operators (Call for papers)
by Enrico Scalas 30 Sep '14

30 Sep '14

Call for papers Second Workshop on Fractional Calculus, Probability and Non-Local Operators: Applications and Recent Developments http://www.bcamath.org/en/workshops/2workshoponfcnlo-courseonfk2014 BCAM, Bilbao, Basque Country - Spain 10-14 November 2014 (November 10, 12:00 to 19:00h; November 11 13:00- 19:00 November 12-14, 9:30 to 18:00h) Research on non-local operators and related stochastic processes has witnessed a rapid expansion over the past years. These problems pose new challenges to both pure and applied mathematicians, at the interface of at least three wide fields: functional analysis, stochastic processes and partial differential equations, while providing a new paradigm in scientific modelling. Applications range from relativistic models of quantum physics and quantum field theory, to sub-diffusion experimentally observed in molecular physics, from anomalous transport in cells to leptokurtic price distributions in financial markets, or to long-range dynamics ranging from the nano-scale to the geophysical scale. This interaction between mathematics and applications is giving rise to new concepts and methods, and it will produce new challenging mathematical problems for many years to come. Programme Monday 10th - Wednesday 12th PhD/PostDoc level course on "Fractional Kinetics: Analytic and Probabilistic Approaches" Vassili KOLOKOLTSOV (University of Warwick, UK) Jozsef LORINCZI (Loughborough University, UK) Enrico SCALAS (University of Sussex, UK) Thursday 13th - Friday 14th Workshop with specialist talks presented by Invited Speakers and by young researchers. A permanent poster session will be organised as well. Grants are available for attendees. No registration fee is required. To submit your abstract for a poster or a presentation (deadline: 24th of October, 2014) and for further information, please write to: fcpnlo(a)gmail.com Sincerely Yours, Jozsef LORINCZI Gianni PAGNINI Enrico SCALAS

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Open Associate professor in Stochastic Analysis (fwd)
by Tiziano Vargiolu 30 Sep '14

30 Sep '14

---------- Forwarded message ---------- Date: Tue, 30 Sep 2014 10:07:12 +0000 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Giulia Di Nunno <giulian(a)math.uio.no> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Open Associate professor in Stochastic Analysis Dear All, could you please help distribute this adv in your list of contacts? Thank you in advance Best wishes Giulia ??????????? An associate professor position in Stochastic Analysis is now open at the Department of Mathematics, University of Oslo: http://uio.easycruit.com/vacancy/1262181/64285?iso=no Please bring this to the attention of possible candidates. Thank you in advance for your help in the distribution. Best regards, GdN ************* Giulia Di Nunno Professor, PhD CMA and Department of Mathematics University of Oslo

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Semester: Information in Finance & Insurance
by c.ceci＠unich.it 30 Sep '14

30 Sep '14

Cari colleghi, al link: http://www.informationinfinanceandinsurance.org/themes/partial-information-… trovate tutte le informazioni relative al Semestre Information in Finance & Insurance. I primi incontri dal 3 al 10 ottobre, organizzati da Caroline Hillairet (Ecole Polytechnique) and Monique Jeanblanc (Evry University), sul tema Partial Information/Filtering si svolgeranno presso l'Institut Henri Poincaré. Gli altri temi del Semestre sono: Insider information / Enlargement of Filtrations Strategic Aspect of Information in Games and Financial Markets Kyle-Back Equilibrium models Asymmetric Information and Insurance. Cari saluti Claudia Ceci ****************************** Prof. Claudia Ceci Dip. di Economia University "G. d'Annunzio" V.le Pindaro 42 65127, Pescara, ITALY c.ceci(a)unich.it *********************************

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Mini corso Yuri Kondratiev [ Statistical dynamics for interaction particle systems and applications - DipInf Verona ]
by Luca di persio 28 Sep '14

28 Sep '14

Il Prof. Yuri Kondratiev [Fakultät für Mathematik Universität Bielefeld ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 27 al 31 Ottobre 2014 e terrà il seguente mini corso [8 ore] Statistical dynamics for interaction particle systems articolato in tre lezioni, che si terranno nell'edificio Ca' Vignal 2 - Aula M, nei giorni - Lunedì 27 Ottobre [ 13:30-16:30 ] - Mercoledì 29 Ottobre [ 15:30-18:30 ] - Giovedì 30 Ottobre [ 13:30-15:30 ] con il seguente programma *Abstract* We will discuss an approach to modeling of real world phenomena by interacting particle systems in the continuum. In many cases, evolutions of considered systems may be described as Markov stochastic processes. Related statistical dynamics are evolutions of macroscopic states associated with the forward Kolmogorov (or Fokker-Planck) equations for these Markov processes. We will study statistical dynamics in terms of corresponding hierarchical chains of evolution equations for correlation functions. These chains admit mesoscopic scalings that leads to kinetic evolution equations for densities of considered systems. Particular examples which will be discussed include *models from mathematical physics, ecology, cell biology and socio-economic models*. Between other aspects these examples illustrate such notions as dynamical phase transitions, non-local evolution equations, front propagation, self-aggregation, effects of environment fluctuations etc. *Tentative program* 1. Configuration spaces 2. Harmonic analysis on configuration spaces 3. Statistical Markov evolutions and hierarchical chains 4. Birth-and-death Markov processes on configuration spaces 5. Conservative stochastic dynamics 6. Mesoscopic scalings and kinetic equations 7. Multicomponent systems 8. Applications (a) Mathematical physics (b) Ecological models (c) Cancer modeling (d) Social models Per informazioni contattare: luca.dipersio(a)univr.it __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Seminario del prof. Enzo Orsingher
by Massimo Campanino 26 Sep '14

26 Sep '14

Il giorno venerdì 24 ottobre alle ore 15 nell'Aula Seminario 2 del Dipartimento di Matematica dell'Università di Bologna in piazza Porta S. Donato 5 il prof. Enzo Orsingher della Sapienza Università di Roma terrà un seminario dal titolo Random Flights related to the Euler-Poisson-Darboux Equation Abstract: We first present an overview on random motions at finite velocity on the line an in the space. We study different forms of random motions, the probability distributions of which are solutions of the famous Euler-Poisson-Darboux equations which emerges also in the accelerated telegraph process. Finally, we present some fractional extensions of the finite-velocity random motions. References: 1) Fractional Klein-Gordon equations and related stochastic processes (2014) (with R. Garra and F. Polito) Journal of Statistical Physics, Vol. 155, 777-809. 2) Random flights governed by Klein-Gordon.type partial differential equations (2014) (with R. Garra). Stochastic Processes and their Appllications, Vol. 124, 2171-2187. 3) Flying randomly in R^d with Dirichlet displacements (2012) (with A. De Gregorio). Stochastic Processes and their Appllications, Vol. 122, 676-713. 4) Random flights in higher spaces (with A. De Gregorio) (2007). Journal of Theoretical Probability, Vol. 20, 769-806.

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Fwd: Open position for a Junior Professorship for Mathematical 4D Microscope Modeling, Image Analysis and Data Processing, JMU Wuerzburg, Germany (fwd)
by Lucia Caramellino 26 Sep '14

26 Sep '14

---------- Forwarded message ---------- From: Petra Markert-Autsch <petra.markert-autsch(a)mathematik.uni-wuerzburg.de > Date: Fri, Sep 26, 2014 at 9:40 AM Subject: Open position for a Junior Professorship for Mathematical 4D Microscope Modeling, Image Analysis and Data Processing, JMU Wuerzburg, Germany To: Alfio Borzi <alfio.borzi(a)mathematik.uni-wuerzburg.de> The Chair of Scientific Computing at the University of Wuerzburg, Germany would like to announce a *Junior Professorship for Mathematical 4D Microscope Modeling, Image Analysis and Data Processing *as from 01.04.2015 Wanted is a young scientist working in the field of applied mathematics with experience in the field of mathematical modeling, stochastic analysis, data mining, and mathematical image processing. This personality should have an excellent profile in teaching and research with internationally visible research achievements. This professorship will contribute to the research and development of interdisciplinary research between mathematics and biology, physics, computer science, and medicine and the networking of these areas while also contributing to the scientific developments within the Chair of Scientific Computing, Mathematik IX. The candidate is required to have successfully completed her/his graduate studies and received an excellent doctoral degree. Post-doc experience is desired. A detailled description can be found under the following links: http://www.mathematik.uni-wuerzburg.de/pdf/W1JuniorMathematik_1409.pdf http://www.mathematik.uni-wuerzburg.de/pdf/W1JuniorMathematik_e_1409.pdf Best regards, Alfio Borzi -- Petra Markert-Autsch _________________________________________________________________ Sekretariat Lehrstuhl für Mathematik IX (Wissenschaftliches Rechnen) Secretary Chair of Mathematics IX (Scientific Computing) Prof. Dr. Alfio Borzi Universität Würzburg Campus Hubland Nord Emil-Fischer-Straße 30 97074 Würzburg, Germany Tel. (0931) 31-85362 Fax: (0931) 31-81491 petra.markert-autsch(a)mathematik.uni-wuerzburg.de www.mathematik.uni-wuerzburg.de/lmath09.html Lehrstuhl IX SciComp http://www9.mathematik.uni-wuerzburg.de/ Bürozeiten / Office Times: Mo.-Do. 8°° - 13°° Uhr _________________________________________________________________

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Variazione data seminario :: Ratanov@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 26 Sep '14

26 Sep '14

…scusandomi per il mail-bombing, comunico che il seminario in oggetto si terrà venerdì 3 ottobre anziché giovedì 2. (Ri-)seguono dettagli… Saluti --P ----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 3 Ottobre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma NIKITA RATANOV (Universidad del Rosario, Bogotà, Colombia) terrà un seminario dal titolo DOUBLE TELEGRAPH PROCESSES AND FINANCIAL MARKET MODELS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm --- Summary The traditional versions of jump-telegraph market models are based on a Poisson process with deterministic alternating jump intensities. An alternating doubly stochastic Poisson process with random intensities of jumps is proposed as a new base. More precisely, I assume the switching intensities of the Poisson process to follow a telegraph process. The new telegraph process with underlying doubly stochastic Poisson process is studied. This corresponds to model which is subject to external influences changing the internal market situation. Martingale measures for this type of processes are completely described by using Girsanov’s transformation.

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Mini corso Jan Swart [ Interacting Particle Systems with Applications in Finance - DipInf Verona ]
by Luca di persio 25 Sep '14

25 Sep '14

Il Prof. Jan Swart [ Institute of Information Theory and Automation - Czech Republic ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 20 al 24 Ottobre 2014 e terrà un mini corso [8 ore] intitolato ” *Interacting Particle Systems with Applications in Finance* “ ed articolato in tre lezioni, che si terranno nell'edificio Ca' Vignal 2 - Aula M, nei giorni - Lunedì 20 Ottobre [ 13:30-16:30 ] - Mercoledì 22 Ottobre [ 15:30-18:30 ] - Giovedì 24 Ottobre [ 13:30-15:30 ] con il seguente programma Interacting particle systems are mathematical models for systems consisting of a large number of components that interact with each other in a random way. While the behavior of the individual components is governed by simple rules, the behavior of the whole system can be quite complicated due to the interaction. Often, one observes a phase transition between a regime of weak interaction where the components behave more or less as if they were independent and a regime of strong interaction where collective phenomena such as multiple stable states occur. Particle systems have been used in finance to model phenomena such as collective decision making or contagion of credit risk, and also in fields like mathematical physics, population biology, and sociology to model lots of other phenomena. In these lectures, I will demonstrate on the basis of examples some of the basic mathematical tools for analyzing interacting particle systems. *On Monday*, we will look at a number of different interacting particle systems that will serve as motivating examples during the lectures, such as stochastic Ising and Potts models, (biased) voter models, systems of branching and coalescing particles, and more. We will analyze the mean-field versions of these models and use numerical simulations to look at phenomena for spatial models like multiple invariant laws, first and second order phase transitions and critical exponents. We will make a start with the rigorous theory by looking at graphical representations and use these to give sufficient conditions for uniqueness of the invariant law. *On Wednesday*, the main focus will be on the regime where multiple invariant laws occur. The main techniques on this day are duality and comparison with oriented percolation, which are especially suitable for variations of the voter model and branching and coalescing particle systems. *On Thursday*, we will look at the Ising and Potts models to which the techiques of Wednesday do not apply but which are reversible with Gibbs invariant law. Through the random cluster representation, percolation again appears as the unifying principle behind collective behavior. Per informazioni contattare: luca.dipersio@univr <luca.dipersio(a)univr.it> __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Eni Award 2015 - Premio Debutto nella Ricerca (fwd)
by Tiziano Vargiolu 24 Sep '14

24 Sep '14

---------- Forwarded message ---------- Date: Wed, 24 Sep 2014 09:48:53 +0200 (CEST) From: Lucia Caramellino <caramell(a)axp.mat.uniroma2.it> To: Tiziano Vargiolu <vargiolu(a)galileo.math.unipd.it> Subject: Eni Award 2015 - Premio Debutto nella Ricerca (fwd) ---------- Forwarded message ---------- Date: Tue, 23 Sep 2014 17:57:15 +0200 From: Lorenzo Messaggi <lorenzo.messaggi(a)feem.it> To: dida(a)axp.mat.uniroma2.it Subject: Eni Award 2015 - Premio Debutto nella Ricerca Spettabile Segreteria, <?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /> vi contatto per segnalare la recente pubblicazione del bando del Premio Debutto nella Ricerca, in occasione dell?edizione 2015 di Eni Award. Possono competere al Premio Debutto nella Ricerca giovani ricercatori di et? non superiore ai 30 anni (nati dunque a partire dal 1984) che abbiano conseguito il dottorato in un ateneo italiano, discutendo la propria tesi nel corso del 2013 o del 2014. Tali tesi devono fare riferimento alle due principali aree di interesse di Eni Award, ovvero energia e ambiente. Per ulteriori informazioni, i bandi dell'Edizione 2015 sono disponibili online al seguente indirizzo: http://www.eni.com/eni-award/ita/bandi.shtml Nella speranza che vogliate cortesemente divulgare e dare visibilit? all'iniziativa - nelle forme che riterrete opportune - ai docenti e allievi presenti nella vostra struttura, allego a questa comunicazione una locandina stampabile del Premio. Vi ringrazio anticipatamente per l'attenzione e la collaborazione e rimango a vostra disposizione per ulteriori informazioni. Cordiali saluti, Lorenzo Messaggi -- Lorenzo Messaggi THE ENI AWARD SCIENTIFIC SECRETARIAT Fondazione Eni Enrico Mattei C.so Magenta, 63 20123 Milano Tel: +39-02.52036934 switchboard +39-02.52036964 Fax: +39-02.48197724 e-mail: lorenzo.messaggi(a)feem.it

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Avviso di seminario :: Ratanov@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 24 Sep '14

24 Sep '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 2 Ottobre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma NIKITA RATANOV (Universidad del Rosario, Bogotà, Colombia) terrà un seminario dal titolo DOUBLE TELEGRAPH PROCESSES AND FINANCIAL MARKET MODELS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Summary The traditional versions of jump-telegraph market models are based on a Poisson process with deterministic alternating jump intensities. An alternating doubly stochastic Poisson process with random intensities of jumps is proposed as a new base. More precisely, I assume the switching intensities of the Poisson process to follow a telegraph process. The new telegraph process with underlying doubly stochastic Poisson process is studied. This corresponds to model which is subject to external influences changing the internal market situation. Martingale measures for this type of processes are completely described by using Girsanov’s transformation.

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XVI Workshop on Quantitative Finance - Parma January 29-30, 2015
by mariaelvira.mancino＠unifi.it 23 Sep '14

23 Sep '14

XVI WORKSHOP on QUANTITATIVE FINANCE *January 29-30,2015 * *Venue:* Department of Economics University of Parma Via J.F. Kennedy, 6 43125 Parma Italy The Workshop is the sixteenth edition of a successful initiative whose aim is to set a common forum of ideas and discussions among researchers and practitioners interested in Finance. It provides an excellent platform to present and discuss recent advances in mathematical modelling and numerical methods for quantitative finance. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management,Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous editions of the Workshop, we wish to particularly encourage an international participation of young researchers; both theoretical and applied contributions are welcome. There are no registration fees. *Contacts: * Marzia De Donno (xviwqf(a)gmail.com <mailto:xviwqf@gmail.com>), Phone: +39-0521-03-2481, Fax +39-0521-03-2385 *Scientific Committee:* Fabio Bellini (University of Milano Bicocca) - Andrea Consiglio (University of Palermo) - Gianluca Fusai (University of Piemonte Orientale) - Friedrich Hubalek (Vienna University of Technology) - Elisa Luciano (University of Torino) - Maria Elvira Mancino (University of Firenze) - Paola Modesti (University of Parma) - Massimo Morini (Banca IMI) - Mustafa Pinar (Bilkent University) - Simona Sanfelici (University of Parma) - Sergio Scarlatti (University of Roma Tor Vergata) - Carlo Sgarra (Polytechnic of Milano) - Peter Tankov (University Paris-Diderot) - Josef Teichmann (ETH Zurich) - Tiziano Vargiolu (University of Padova) *Local Committee:* Marzia De Donno, Gino Favero, Paola Modesti, Annamaria Olivieri, Simona Sanfelici, Federica Trani *Deadline for paper submission:*November 9^th , 2014. *Deadline for registration:*January 6^th , 2015. For more information, visit the Workshop website: www.qfinancexvi.altervista.org <http://www.qfinancexvi.altervista.org> We are looking forward to meeting you in Parma! On behalf of the Local Committee, Simona Sanfelici

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Seminario Eugenio PIASINI, UCL London (RGS & Matematica Applicata)
by Giacomo Aletti 23 Sep '14

23 Sep '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno mercoledì 1 Ottobre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, Eugenio PIASINI, University College London (UCL), London terra' una conferenza dal titolo Why do cerebellar granule cells have four dendrites? Abstract: The number of dendrites of the the most numerous neuron in the brain -the granule cell of the cerebellum- is remarkably conserved throughout evolution and across animal species. In this talk, I will illustrate how this anatomical feature is constrained by the function that the cerebellum is required to perform. Keywords: cerebellum, sparse coding, network structure, information theory, computational modelling, granule cell Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying mathematical approaches to the study of biological systems. Updates on our initiatives can be found at: https://sites.google.com/site/readinggroupseminar as well as by subscribing to our RGS group https://groups.google.com/forum/#!forum/neurocomp-rgs -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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Mini corso del prof. Carl Chiarella "Interest rate options" [presso DipInf - Verona]
by Luca di persio 23 Sep '14

23 Sep '14

Il Prof.Carl Chiarella [ UTS Business School, Sydney ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 6 al 10 Ottobre 2014 e terrà un mini corso [8 ore] intitolato ” *Interest rate options* “ ed articolato in tre lezioni, che si terranno nell'edificio Ca' Vignal 2 - Aula M, nei giorni - Lunedì 6 Ottobre [ 13:30-16:30 ] - Mercoledì 8 Ottobre [ 15:30-18:30 ] - Giovedì 9 Ottobre [ 13:30-15:30 ] con il seguente programma - *The Black-Scholes model with stochastic interest rate* - *The Hedging Portfolio* - *Solving for the Option Price* - *Change of Numeraire* - *Option Pricing under Stochastic Interest Rates* - *Change of Numeraire with Multiple Sources of Risk* - *Interest Rate Caps, Floors and Collars* - *Payoff Structure of Interest Rate Caps and Floors* - *Relationship to Bond Options* - *The Relationship between Interest Rates, Bond Prices and Forward Rates* - *Modelling Forward Rates* - *Arbitrage Models of the Term Structure* - *Some Specific Term Structure Models* - *The Heath-Jarrow-Morton Framework* - *Basic Structure* - *Arbitrage Pricing of Bonds* - *Arbitrage Pricing of Bond Options* - *Forward Risk Adjusted Measure* - *Reduction to Markovian Form* - *Some Special Models* Per informazioni contattare: luca.dipersio(a)univr.it __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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JOB - Warwick - Professor of Statistics and Data Science / Director of the Warwick Data Science Institute
by Spano, Dario 23 Sep '14

23 Sep '14

Cari Colleghi, con preghiera di diffusione. Cordiali saluti, Dario Spano` =============================== University of Warwick - Statistics New Vacancy: Professor of Statistics and Data Science / Director of the Warwick Data Science Institute http://www.jobs.ac.uk/job/AJP244/professor-of-statistics-and-data-science-d… Competitive salary An inspired individual is sought for this unique opportunity to lead the development of the Warwick Data Science Institute (WDSI) and to coordinate the efforts of substantial numbers of talented academic staff already working in this area. The position arises from the Department of Statistics' commitment, in collaboration with the Warwick Mathematics Institute and the Department of Computer Science, to a coherent methodological approach to the fundamentals of Data Science and the challenges of complex data sets (for example big data). The successful applicant will have knowledge of the current issues in Data Science and the drive to address them at a fundamental level while forging a collaborative team from researchers across the mathematical sciences at Warwick. The ability to win research funding will be essential. Applicants with career paths involving a substantial amount of time spent outside academia will also be viewed favourably. This is an opportunity to join one of the world's most prominent and most research-active departments of Statistics at a senior level and to lead an exciting new collaboration between the Mathematical Science departments at Warwick. Informal enquires can be addressed to any of Professors Saul Jacka (S.D.Jacka(a)warwick.ac.uk<mailto:S.D.Jacka@warwick.ac.uk>), Mark Steel (M.Steel(a)warwick.ac.uk<mailto:M.Steel@warwick.ac.uk>), David Firth (D.Firth(a)warwick.ac.uk<mailto:D.Firth@warwick.ac.uk>) or Gareth Roberts (Gareth.O.Roberts(a)warwick.ac.uk<mailto:Gareth.O.Roberts@warwick.ac.uk>), or to any other senior member of the Warwick Statistics Department. Start date: As soon as possible; by 1 June 2015 at the latest. Closing date: 27 October 2014 Interview date: 27 November 2014 You may apply by visiting the jobs.ac.uk website http://www.jobs.ac.uk/job/AJP244/professor-of-statistics-and-data-science-d… ------------------------------------------------------------- Dario Spano` Department of Statistics University of Warwick Coventry CV4 7AL United Kingdom Email: D.Spano(a)warwick.ac.uk Phone: +44(0)24 7657 5755 Fax: +44(0)24 7652 4532 -----------------------------------------------------------------

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2-days mini-course UniTo
by Roberta Sirovich 22 Sep '14

22 Sep '14

------------------------------------------------------------------------------------------------ Martedì 21 ottobre ore 11--13 e mercoledì 22 ottobre ore 11--13 presso il Dipartimento di Matematica G. Peano, Università di Torino Via Carlo Alberto 10, aula C *Tetiana Aksenova* Research Scientist CEA Grenoble terrà due lezioni dal titolo *Mathematical and Statistical Problems in Brain Computer Interfaces* ------------------------------------------------------------------------------------------------- Tutti gli interessati sono invitati a partecipare. -- --------------------------------------------------- Roberta Sirovich Department of Mathematics G. Peano University of Torino Via Carlo Alberto 10 10123 Torino (Italy) +390116702937 ---------------------------------------------------

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[Fwd: Avviso di seminario PROF. CLAUDIO MACCI]
by giuliano＠dm.unipi.it 22 Sep '14

22 Sep '14

Il Prof. Claudio Macci, dell'Universita' di Roma Tor Vergata, sara' ospite del Dipartimento di Matematica dell'Universita' di Pisa nei giorni 23, 24 e 25 settembre. Terra' un seminario dal titolo "Some recent large deviation results in statistics". Il seminario avra' luogo giovedi' 25 settembre alle ore 12 in Aula Seminari Tutti gli interessati sono invitati Rita Giuliano

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Avviso di seminario PROF. CLAUDIO MACCI
by giuliano＠dm.unipi.it 19 Sep '14

19 Sep '14

Il Prof. Claudio Macci, dell'Universita' di Roma Tor Vergata, sara' ospite del Dipartimento di Matematica dell'Universita' di Pisa nei giorni 23, 24 e 25 settembre. Terra' un seminario dal titolo "Some recent large deviation results in statistics". Il seminario avra' luogo giovedi' 25 settembre alle ore 12. L'aula sara' comunicata appena possibile. Tutti gli interessati sono invitati Rita Giuliano

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Avviso di seminario PROF. CLAUDIO MACCI
by giuliano＠dm.unipi.it 19 Sep '14

19 Sep '14

Il Prof. Claudio Macci, dell'Universita' di Roma Tor Vergata, sara' ospite del Dipartimento di Matematica dell'Universita' di Pisa nei giorni 23, 24 e 25 settembre. Terra' un seminario dal titolo "Some recent large deviation results in statistics". Il seminario avra' luogo giovedi' 25 settembre alle ore 12. L'aula sara' comunicata appena possibile. Tutti gli interessati sono invitati Rita Giuliano

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seminario Louis H. Y. Chen a Venezia il 24 Settembre
by Andrea COLLEVECCHIO 18 Sep '14

18 Sep '14

Cari Colleghi, vorrei segnalarvi il seguente seminario che si terrà Mercoledi 24 Settembre alle ore 11:45 Louis H. Y. Chen (National University of Singapore) On the error bound in a combinatorial central limit theorem Il seminario si terrà in aula Giuseppe Volpato . (Dipartimento di Management, Campus San Giobbe, Cannaregio 873, 30121 Venezia Venezia) Andrea Collevecchio ABSTRACT The notion of exchangeable pair is central to Stein's method. The use of concentration inequalities is an effective means for bounding the Kolmogorov distance in normal approximation. Let $\{X_{ij}: i, j = 1, \cdots, n\}$ be independent random variables with finite 3rd moments and let $\pi$ be a random permutation of $(1, \dots,n)$, independent of the $X_{ij}$. Let $U = \sum_{i=1}^n X_{i\pi(i)}$ and let $W = (U - \mathbb{E} U)/(\mathrm{Var}(U))^{\frac{1}{2}}$. In this talk we will use exchangeable pairs and the concentration inequality approach to obtain a 3rd-moment error bound on $|P(W \le x) - \Phi(x)|$, where $\Phi$ is the standard normal distribution function. This result includes the case where the $X_{ij}$ are constants and the case of sampling without replacement from independent random variables. This talk is based on joint work with Xiao Fang. -- Andrea Collevecchio, PhD Assistant Professor Department of Management Ca' Foscari University Venice - Italy webpage http://virgo.unive.it/collevec/home.html

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MiniWorkshop: Stochastic Processes, Orderings and Dependence. Contributions by Bruno Bassan and recent developments
by Nappo, Giovanna 18 Sep '14

18 Sep '14

Stochastic Processes, Orderings and Dependence Contributions by Bruno Bassan and recent developments October 8, 2014 Aula Picone, Department of Mathematics, University "La Sapienza", Rome ------------------------------------------------------------------------------------------------------------------------------- A Mini-Workshop on Stochastic Processes, Stochastic Orderings, Dependence among random variables and related topics will be held at the Department of Mathematics, Università di Roma "La Sapienza". The meeting will be devoted to discuss the scientific contributions of our colleague Bruno Bassan (1956-2004) and recent developments on these topics. The invited speakers are F. Durante (Libera Università di Bolzano), I.Meilijson (Tel Aviv University), E. Orsingher (Università di Roma "La Sapienza"), F. Pellerey (Politecnico di Torino), Y. Rinott (Hebrew University, Jerusalem), C. Sempi (Università di Lecce). The detailed program is given below. (see also http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/progra…) Besides the talks by the invited speakers, some time will be devoted to short contributions by other collaborators and friends of Bruno's. This event could also be of interest to scholars from different fields, who have had personal and professional interactions with Bruno. All interested persons are invited to attend the Mini-Workshop. The participation is free. Attendants are, however, kindly requested to complete the Registration Form enclosed. Please send the registration form to nappo(a)mat.uniroma1.it (Please specify in the Subject: Participation Mini-Workshop) The Organizing Committee Marilena Barbieri (Università di Roma 3) Clelia Di Serio (Università San Raffaele, Milano) Giovanna Nappo (Università di Roma "La Sapienza" ) Julia Mortera (Università di Roma 3) Mauro Piccioni (Università di Roma "La Sapienza" ) Marco Scarsini (Libera Università di Studi Sociali "Guido Carli", Roma) Fabio Spizzichino (Università di Roma "La Sapienza" ) _________________________________________________________________ Scientific Program October 8, 2014 Aula Picone, Dipartimento di Matematica Università "La Sapienza", Piazzale A. Moro 2, Roma 10.00 - 10.15 Opening 10.15 - 10.55 Yosef Rinott (Hebrew University, Jerusalem) On model selection 11.00 - 11.40 Fabrizio Durante (Free University of Bolzano) and Carlo Sempi (University of Lecce) The origin of the development of semi-copulas and their applications 11.45 - 12.30 Time for short contributions 12.30 - 14.30 LUNCH BREAK 14.30- 15.10 Franco Pellerey (Politecnico di Torino) Stochastic orders: a brief introduction and Bruno's contributions 15.15 - 15.45 Time for short contributions 15.45 - 16.15 Break 16.15 - 16.55 Enzo Orsingher (University of Rome, "La Sapienza") Random fields and processes at finite velocity 17.00-17.40 Isaac Meilijson (Tel Aviv University) Granule membranes play dice. The quantal nature of secretion 17.45 Closing remarks webpage: http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/BrunoB… Partially supported by Research Projects "Modelli e Algoritmi Stocastici: Convergenza e Ottimizzazione" and "Modelli Probabilistici, Analisi del Rischio e Confronti Stocastici", 2009 and 2013, at Università di Roma "La Sapienza". ____________________________________________________________ ABSTRACTS OF TALKS Fabrizio Durante, Libera Università di Bolzano, and Carlo Sempi, Università di Lecce The origin of the development of semi-copulas and their applications Abstract: The talk discusses the class of semi-copulas that originated from a seminal paper by Bassan and Spizzichino (2003) and, since then, have been applied in various fields of applied probability and fuzzy set theory. Isaac Meilijson, School of Mathematical Sciences, Tel Aviv University Granule membranes play dice. The quantal nature of secretion Abstract: Secretory cells contain small and large granules, but the functional significance of granule size is unclear. Attempts to understand the granule life cycle led us to establish a growth and elimination stochastic model that explains granule dynamics from the creation of unit granules, via aggregation of these unit granules into bigger ones, to their secretion out of the cell at some stage, by steady slow basal secretion or by occasional fast evoked secretion upon demand. Almost mimicking a Last-In-First-Out queue discipline, the unit granule is the most probable granule to be secreted under basal secretion, while larger granules, with longer shelf-life, function as inventory to be stored for emergency and secreted under evoked secretion. Granule fusion, either with each other to grow or with the cell membrane for secretion, is a fascinating drama played by SNARE proteins. The talk, a synopsis of this drama, will show evidence for granule aggregation and describe the information role it plays in the communication of the cell with its environment. Joint work with Ilan Hammel, Faculty of Medicine, Tel Aviv University. Enzo Orsingher , Università di Roma "La Sapienza". Random fields and processes at finite velocity Abstract: The distribution of maxima for some random fields will be analyzed in terms of Slepian's inequality. Some extensions of the telegraph process are also considered. Franco Pellerey, Politecnico di Torino Stochastic orders: a brief introduction and Bruno's contributions Abstract: The talk provides a short introduction to stochastic orders and their use in multivariate survival analysis, one of the scientific interest of Bruno Bassan. A description of his main results in this topic is also provided, together with an example of recent applications of his studies. Yosef Rinott, Hebrew University, Jerusalem On model selection Abstract: I will discuss the notion of a model in statistics and applied probability, and some models in Bruno's work. I will then briefly discuss criteria for model selection in statistics __________________________________________________________________________ __________________________________________________________________________ REGISTRATION FORM (http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/regist…) I wish to participate in the Mini-Workshop Stochastic Processes, Orderings and Dependence, October 8, 2014 Aula Picone, Department of Mathematics, University "La Sapienza", Piazzale Aldo Moro 2, Rome, -------------------------------------------- October 8, 2014 Morning Yes [ ] No [ ] October 8, 2014 Afternoon Yes [ ] No [ ] First name Surname Affiliation e-mail address We are planning to have lunch all together at "The Game - Globus" (more information later) Are you potentially interested? Yes [ ] (you will be asked to confirm your intention later) No [ ] ------------------------------------------------------------------------------------------------------------------------------------- Please, send to nappo(a)mat.uniroma1.it specifying Participation Mini-Workshop in the Subject. Deadline: Wednesday, 1st October. This form can be downloaded here: http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/regist…

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de Finetti risk seminar - settembre 2014
by emanuela.rosazza1＠unimib.it 18 Sep '14

18 Sep '14

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seminario Abdelhakim Necir
by Francesca Greselin 18 Sep '14

18 Sep '14

Il Dipartimento di Statistica e Metodi Quantitativi dell’Università di Milano Bicocca (Via Bicocca degli Arcimboldi, 8 MILANO) invita al seguente seminario. Venerdì 19 settembre, alle ore 11.30, nell'aula Consiglio della Scuola di Economia e Statistica 4° piano, Edificio U7, il Prof. Abdelhakim Necir terrà il seguente seminario: A Kaplan-Meier process for a heavy-tail distribution toward the tail index estimation under random censoring Abdelhakim Necir Laboratory of Applied Mathematics, University Mohamed Khider of Biskra, Algeria Abstract: In the case of complete data, weak approximations to tail empirical processes for heavy-tailed distributions have been established by many authors. In this paper, we consider the random censoring setting through a tail Kaplan-Meier process and define a new estimator of the extreme value index. Under mild conditions, we establish the consistency and asymptotic normality of the proposed estimator and, through an extensive simulation study, we investigate its performance and compare it to the adapted Hill estimator introduced by Einmahl et al. (2008). Our result will be of great interest to derive the limit distributions of many statistics based on extreme values for randomly censored data such as the estimators of tail indices, actuarial risk measures and goodness-of-fit functionals.

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Seminario Silvia Maggi, IIT (RGS & Matematica Applicata)
by Giacomo Aletti 16 Sep '14

16 Sep '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 22 Settembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, Silvia MAGGI, IIT Genova terra' una conferenza dal titolo Integrative Analysis of Electrophysiological and Behavioral Data in the After-hour Circadian Mouse Model Abstract: Physiological and behavioural changes can occur across different timescales. Circadian rhythms include a series of oscillations with approximately 24 hours periodicity and influence different functions in different domains. We have investigated the sleep-wake cycle and cognitive timing in the After-hours (Afh) mice, which carry a single point mutation in the Fbxl3 gene resulting in a substantial lengthening of the circadian period. The analysis of electroencephalogram (EEG) and electromyogram (EMG) signals, recorded under light-dark (LD) and dark-dark (DD) schedule revealed several differences in the sleep structure and sleep homeostasis between mutants and wild-type mice. Then, we investigated whether the alteration of circadian clock and sleep affected the estimation of short intervals and timing uncertainty in decision-making behavioral tasks over 24 hours. Differences in the daily distribution of sleep between Afh mutants and controls correlate with a reduced performance in mutants, suggesting that the mutation augments the effects of sleep inertia. A Generalized Linear model of our data provided a prediction of how the circadian clock and sleep affect behavioral/cognitive measures, uncovering novel dynamics between these two processes. Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying mathematical approaches to the study of biological systems. Updates on our initiatives can be found at: https://sites.google.com/site/readinggroupseminar as well as by subscribing to our RGS group https://groups.google.com/forum/#!forum/neurocomp-rgs -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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