Random March 2016

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Prof. Nils Hjort PhD short course on Confidence distributions
by Andrea Ongaro 10 Mar '16

10 Mar '16

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seminar announcement
by Marco Scarsini 10 Mar '16

10 Mar '16

SEMINAR IN DECISION SCIENCES DEPARTMENT OF ECONOMICS AND FINANCE March 15th from 14:30 to 15:30 in room 204 LUISS Viale Romania 32 00197 Roma (note the change of time and room) Title of the talk: Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach Speaker: Peter Tankov (Universite Paris Diderot -- Paris 7) Abstract We consider the problem of tracking a target whose dynamics is modeled by a continuous Ito semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the time-average control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided. Joint work with Jiatu Cai and Mathieu Resenbaum paper available at http://arxiv.org/abs/1510.04295 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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PhD positions in Probability at the University of Sussex, UK
by Enrico Scalas 08 Mar '16

08 Mar '16

Car* collegh*, al Sussex abbiamo due posizioni di dottorato per probabilist* piu' una serie di altre posizioni disponibili. Il link qui sotto dovrebbe condurre a una pagina dove tutte le posizioni sono descritte. http://www.sussex.ac.uk/study/pg/fees-and-scholarships/pgr2016/search?sent=… Vi prego di far circolare l'informazione tra gli studenti e le studentesse potenzialmente interessate. Cordiali saluti e a presto, Enrico Scalas

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de Finetti risk seminar - March 2016
by Emanuela Rosazza 08 Mar '16

08 Mar '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture TITLE: Set-valued portfolios and set-valued risks Ilya Molchanov University of Bern, Switzerland ABSTRACT: Using the concept of set-valued portfolios, it is possible to incorporate dependencies between the distribution of the multivariate gain and the exchange rules. The set-valued portfolio is considered acceptable if it possesses a selection (i.e. a random vector that alsmost surely belongs to it) with all individually acceptable components. The corresponding set-valued risk measure is said to be a selection risk measure. The talk surveys its main properties, discusses the primal and dual representation, gives examples, and shows how to approximate its values from below and from above using rather elementary arguments. Applications of selection risk measures to the practical risk assessment are also presented. A special attention is paid to applications of selection risk measures to risk assessment of financial groups. Joint work with I. Cascos (Madrid), A. Haier (Bern), M. Schmutz (Bern). LOCATION: The seminar will be held on Wednesday, March 16, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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1 posto di RTD di tipo a) del s.s.d. SECS-S/06 presso la Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 08 Mar '16

08 Mar '16

La Scuola Normale Superiore ha bandito un posto di RTD di tipo a nel ssd SECS-S/06 Le informazioni, il bando e il modello della domanda si trovano al link http://www.sns.it/bando/ricercatore -tempo-determinato-secs-s06-metodi-matematici-dell%E2%80%99economia-e-delle-scienze-attuariali-e-finanziarie-0 Il termine di scadenza delle domande è il prossimo 31 marzo 2016. Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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Annuncio Seminario - Hashorva - Tor Vergata
by Valentina Cammarota 08 Mar '16

08 Mar '16

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Mercoledì 16 marzo ore 14:30 Aula Dal Passo Dipartimento di Matematica Università di Roma Tor Vergata Speaker: ENKELEJD HASHORVA, Université de Lausanne Title: Extremes of Gaussian random fields. Abstract: This talk is concerned with tail asymptotics of supremum of Gaussian random fields. Our findings extend the classical results for homogeneous Gaussian random fields and Gaussian random fields with unique maximum point of the variance. The applications that will be discussed include extremes of Shepp statistics, expansions for the tail probability of maximum loss and span of stationary Gaussian processes. Tutti gli interessati sono invitati a partecipare. . Valentina Cammarota Department of Mathematics Universita` degli Studi di Roma Tor Vergata http://www.mat.uniroma2.it/english.php https://sites.google.com/site/valentinacammarota/

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seminar March 8 -- Brunero Liseo
by Marco Scarsini 06 Mar '16

06 Mar '16

SEMINAR IN DECISION SCIENCES DEPARTMENT OF ECONOMICS AND FINANCE LUISS Viale Romania 32 00197 Roma Title of the talk: A general theory for Bayesian inference with linked and duplicated data Speaker: Brunero Liseo (Sapienza Università di Roma) on March 8th from 12:00 to 13:00 in room 207 Abstract Record linkage is a statistical method which aims at identifying whether two or more records refer to the same statistical entity or not. Duplications of the same entity within one single source or across different files may be interpreted as “clusters of records”, showing strong similarities across their fields. In this paper we frame the record linkage process into a formal Bayesian clustering model and we investigate the role of species sampling models as prior distributions for the clustering structure. In fact the different latent entities underlying one or more data sources can be treated as the sampled species and the observed records as noisy measurements of their features. We also discuss an important issue in the clustering approach to entity resolution, that is the need to bound the clusters sizes even for large data sets. The proposed statistical models will be used both in a classical record linkage scenario and in the more complex framework of multiple duplications on the same data source and will serve as supporting models for Bayesian regression analyses with linked data. Key words: Species Sampling, Latent structure, Hit and Miss Algorithm, Clustering. References 1. Tancredi, A. and Liseo, B. (2015) Regression Analysis with linked data: Problems and possible solutions. Statistica, 75,1:19–35. 2. Lahiri, P. and Larsen, M.D., (2005). Regression analysis with linked data. Journal of the American Statistical Association, 100, pp. 222–230. 3. Tancredi, A., Liseo, B. (2011) A Hierarchical Bayesian Approach to Record Linkage and Population Size Problems. The Annals of Applied Statistics, Vol. 5, No. 2B, 1553–1585. 4. R.C. Steorts, R. Hall & S. Fienberg. (2013). A Bayesian approach to graphical record linkage and de-duplication. Journal of the American Statistical Association, (In Press) preprint arXiv:1312.4645.

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ARPM Bootcamp 2016
by Elisa Appolloni 04 Mar '16

04 Mar '16

Registration for the ADVANCED RISK AND PORTFOLIO MANAGEMENT BOOTCAMP (15-21 August 2016 - New York University) is open! Topics include portfolio construction, factor modeling, liquidity and execution, estimation risk/data mining, risk modeling, optimization, and much more. The program is delivered as theory, live simulations, review sessions and exercises. Plus... - Gala dinner and other networking opportunities - Renowned guest speakers. Past speakers included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more - Internships - Access to the ARPM Lab, with code and theory - Certifications: 40 GARP CPD, 40 CFA Institute CE credits, academic credit, ARPM Certificate® - 2-day Python and MATLAB conferences Discounts are available for early registration (before May 1st) and group. Contact us at arpm(a)bootcamp.co for groups' rates and further information. Visit also our website www.arpm.co. Please help us spread the news by forwarding this message to your students and colleagues. Thank you Elisa Appolloni *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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workshop in Pisa on "Singular Phenomena and Singular Geometries"
by Marco Romito 04 Mar '16

04 Mar '16

Singular Phenomena and Singular Geometries ---------------------------------------------------- The purpose of this workshop is to investigate possible connections between Rough Paths theory and sub-Riemannian geometry, as theories dealing with non-smooth mathematical structures. It will bring together experts and young researchers from both sides, to share knowledge and confront new ideas, tools and problems. The workshop will consist in two mini-courses and several thematic seminars. The courses will introduce some general aspects of rough path theory and sub-elliptic geometry. The seminars will be more focused on recent advances in sub-Riemannian Geometry. Invited Speakers: I. Bailleul, D. Barilari, G. Citti, B. Franchi, M. Gubinelli, P. Hajlasz, C. Litterer , F. Montefalcone, R. Monti, A. Pinamonti, S. Riedel, F. Serra Cassano Date: Monday, Jun 20, 2016 -- Thursday, Jun 23, 2016 Place: Department of Mathematics, University of Pisa more information on the workshop: https://sites.google.com/site/spsgpisa2016/ the organizers, V. Magnani, M. Romito, D. Trevisan

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Fwd: ARPM Bootcamp 2016
by Francesco Cesarone 04 Mar '16

04 Mar '16

---------- Forwarded message ---------- From: Alberto Santangelo <alberto.santangelo(a)symmys.com> Date: 2016-03-03 13:49 GMT+01:00 Subject: ARPM Bootcamp 2016 To: Francesco Cesarone <francesco.cesarone(a)uniroma3.it> Cc: Zorica Ivanovic <zorica.ivanovic(a)arpm.co> Dear Francesco, Registration for the ARPM Bootcamp 2016 is open! Please help us spread the news by forwarding this message to your students and colleagues. Thank you! Best regards, Alberto *ARPM* <http://www.arpm.co/>* - Advanced Risk and Portfolio Management**®* *Advanced Risk and Portfolio Management Bootcamp* <http://www.arpm.co/bootcamp/> *6-day intensive quantitative course* *15-20 Aug 2016 - New York University* *Registration* <http://www.arpm.co/bootcamp/registration/> for the *ARPM Bootcamp* <http://www.arpm.co/bootcamp/> is open: *6 days, 9 hours/day *(+2 days conference). Topics include *portfolio construction*, *factor modeling*, *liquidity* and execution, *estimation risk*/data mining, *risk modeling*, optimization, and much more. The *program* <http://www.arpm.co/bootcamp/program/> is delivered as theory, live simulations, review sessions and exercises. Plus... • Gala dinner and other *networking* opportunities • Renowned *guest speakers*. Past speakers included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more • *Internships* • Access to the *ARPM Lab*, with code and theory • Certifications: *40 GARP* CPD, *40 CFA* Institute CE credits, academic credit, ARPM Certificate® • 2-day *Python* and *MATLAB* conferences *Program <http://www.arpm.co/bootcamp/program/>* | *Registration* <http://www.arpm.co/bootcamp/registration/> | *Video <https://www.youtube.com/watch?v=BUnrgjNxBWk> | Linkedin Forum <https://www.linkedin.com/groups/3825142> | Facebook <https://www.facebook.com/ARPM.co/> | Twitter <https://twitter.com/ARPM_co>* -- -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it <francesco.cesarone(a)uniroma1.it> Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/ <http://dipeco.uniroma3.it/docenti.asp?id=164>

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