May 2017 - Random - Mailing list — Dipartimento di Matematica, UniPI

PANORisk : Offres d'allocations de thèses 2017 (fwd)
by Lucia Caramellino 17 May '17

17 May '17

Giro per conoscenza. Per ulteriori informazioni: http://ira.univ-lemans.fr/fr/recherche-1/offres-de-theses/candidatures-2017… Cari saluti, Lucia ================================== Lucia Caramellino Dipartimento di Matematica Universita` di Roma "Tor Vergata" Via della Ricerca Scientifica I-00133, Roma, Italy www.mat.uniroma2.it/~caramell ---------- Forwarded message ---------- From: Claude Martini <cmartini(a)zeliade.com> Subject: Fwd: PANORisk : Offres d'allocations de thèses 2017 Dear colleague, please find below (in french, with topics in english in the PDF) the announcement of a doctoral position within the PANORISK project in France (cf PDF attached). Thanks and regards Claude ---------------------------------------- Le projet de recherche PANORisk propose une allocation de thèse en 2017 pour un(e) doctorant(e). 7 sujets de thèses sont proposés, en économie ou mathématiques, les candidats peuvent postuler à un ou plusieurs sujets. Dépôt des candidatures : du 20 mai au 20 juin à these-panorisk(a)univ-lemans.fr (CV + relevé de notes Licence et Master + lettre de motivation) Auditions : début juillet. Recrutement : septembre-octobre 2017. Plus d'informations sur : http://ira.univ-lemans.fr/fr/recherche-1/offres-de-theses.html -------------------------------------------------- En vous remerciant d'avance. Je reste à votre disposition. Bien cordialement, -- Karine Fagotto Chargée de gestion administrative et d'aide au pilotage Projet PANORisk Tél : 02.43.83.31.11 Institut du Risque et de l'Assurance du Mans Université du Maine Bureau T202 UFR Droit, Sciences Economiques et Gestion Avenue Olivier Messiaen 72085 - LE MANS cedex 9 -- Claude Martini

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Probabilistic and statistical methods for networks
by Luigi Amedeo Bianchi 16 May '17

16 May '17

Volevo segnalare a tutti i potenziali interessati la scuola estiva "Probabilistic and statistical methods for networks” che si terrà alla Technische Universität Berlin dal 21 agosto al primo settembre 2017. La scuola è organizzata dalla University of Bath e dalla Berlin Mathematical School. Maggiori informazioni sono disponibili sulla pagina web: http://www.math-berlin.de/academics/summer-schools/2017/randgraph <http://www.math-berlin.de/academics/summer-schools/2017/randgraph> Luigi Amedeo Bianchi

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3-year postdoc position (RTDA) at Roma Tre
by Pietro Caputo 15 May '17

15 May '17

Dear Colleagues, we would like to advertise a 3-year postdoc position (Ricercatore RTDA, tempo definito) in Probability based at the Department of Mathematics and Physics of the University of Roma Tre, partially funded by the PRIN project "Probability in Large Scale Structures" (PI: Fabio Martinelli) of the Italian Ministry of Education. Interested candidates should have a strong background in mathematics in general and in probability theory in particular. The successful applicant will be expected to work within the group of Fabio Martinelli, Pietro Caputo and collaborators on topics related to the project. These include: Markov chain mixing, Interacting Particle Systems, Random graphs, and Random matrices. The candidate is also required to provide a small amount of teaching, most likely confined to elementary courses. Gross salary for this position is approximately 35,000 EUR per year. The 3-year appointment could start as early as next Fall (Sept. 2017-Dec. 2017, with some flexibility). Interested candidates should contact us directly via email at their earliest convenience. A full description of the PRIN project "Probability in Large Scale Structures" can be found at the web page: http://ricerca.mat.uniroma3.it/LSRS/ We would be grateful if you could bring this advertisement to the attention of any potential candidate. Thank you. With best regards, Pietro Caputo, Fabio Martinelli

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de Finetti seminar, 17 Maggio, Bayraktar
by Marco Maggis 15 May '17

15 May '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Erhan Bayraktar University of Michigan TITLE: MINI-FLASH CRASHES AND MODEL MISSPECIFICATION ABSTRACT: Why do mini-flash crashes occur? Human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation are often implicated. We develop a model which unifies aspects of the first three explanations. Our setup seems to reproduce a number of features of recent mini-flash crashes. For example, there are circumstances in which mini-flash crashes will not occur. When they do, even just before their onset, market participants may not know with certainty whether there will be a crash or spike or that such an event is imminent at all. We appear to observe mini-flash crashes can happen in both low and high trading volume regimes as well. To the best of our knowledge, we also introduce a new paradigm for studying model misspecification risks in an optimal trading context. Our approach is based on making an explicit distinction between reality and our agents’ models for reality. More precisely, each agent’s model for how a certain risky asset’s price will evolve is wrong in two ways: His understanding of how the price would move in his absence and how his actions affect prices are both imperfect. In fact, aside from a single trivial case, none of our agents ever know the correct price dynamics. We highlight how this framework differs from other common methods for addressing trading model misspecification risks including position limits, sensitivity analysis, Bayesian model averaging, the worst-case framework, and interpolations between the worst-case and classical setups. LOCATION: The seminar will be held on Wednesday, May 17, 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)

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Summer school in Acre on Stochastic Processes with Application to Physics and Biophysics
by Enrico Scalas 12 May '17

12 May '17

Car* collegh*, vi invio l'annuncio di una scuola che si terra' ad Acri tra il 25 e il 28 settembre quest'anno: Summer School 2017 Stochastic Processes with Application to Physics and Biophysics http://binaschools.ph.biu.ac.il/ Cordiali saluti, Enrico Scalas

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Assegno di ricerca al CNR-IMATI, Sede di Milano
by Antonella Bodini 12 May '17

12 May '17

Gentili colleghi, con preghiera di massima diffusione, vi informo che e' stato bandito un posto per un assegno di ricerca presso la sede di Milano dell'IMATI sul tema della *Modellazione stocastica e analisi statistica di dati* nell’ambito del Progetto “I-ZEB Verso Edifici Intelligenti a Energia Zero per la crescita della città Intelligente”. In collaborazione con esperti del settore, il candidato offrirà competenze di statistica a supporto della modellazione e dell'analisi sperimentale degli scambi di energia (termica ed elettrica) nell'edificio intelligente. Non è richiesta esperienza nello specifico settore applicativo. Il termine ultimo per la domanda e' il 12 giugno. Tutte le informazioni, incluso il bando, sono disponibili al sito: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/130527 Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) *** SI PRENDA NOTA CHE PER LAVORI DI RISTRUTTURAZIONE ATTUALMENTE L'ACCESSO E' DA VIA CORTI 12. *** tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Candidatura di Massimo Campanino alle elezioni del CS dello GNAMPA
by baldi＠axp.mat.uniroma2.it 12 May '17

12 May '17

In vista delle prossime elezioni del consiglio scientifico dello GNAMPA (si vota i prossimi 17, 18, 19 maggio) vi segnaliamo la candidatura di Massimo Campanino. Riteniamo sia importante che in questo consiglio siano presenti competenze di tutte le aree della matematica, e quindi anche di probabilita`. Conosciamo bene Massimo e sappiamo che, sia sul piano scientifico che su quello dell'impegno, garantirebbe un efficace lavoro in questo ambito. Paolo Baldi Alberto Barchielli Luisa Beghin Pietro Caputo Cristina Costantini Paolo Dai Pra Anna De Masi Franco Fagnola Franco Flandoli Marco Frittelli Marco Fuhrman Antonio Lijoi Domenico Marinucci Fabio Martinelli Enzo Orsingher Franco Pellerey Mauro Piccioni Maurizio Pratelli Pietro Rigo Laura Sacerdote Carlo Sempi

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avviso seminario di Matematica prof. Giuseppe Savaré (16.05.2017)
by Carina Geldhauser 12 May '17

12 May '17

-------- Forwarded Message -------- Subject: [Utenti] [Settimanale] avviso seminario di Matematica prof. Giuseppe Savaré (09.05.2017) Date: Fri, 5 May 2017 12:18:32 +0200 From: Valeria Giuliani <valeria.giuliani(a)sns.it> To: professori.sci(a)sns.it, professori.contratto.sci <professori.contratto.sci(a)sns.it>, ricercatori.sci(a)sns.it, ricercatori.td.sci(a)sns.it, Borsisti <borsisti(a)sns.it>, assegnisti.sci(a)sns.it, Perfezionandi Scienze <phd.sci(a)sns.it>, phd.extra.sci <phd.extra.sci(a)sns.it>, Studenti Scienze <allievi.sci(a)sns.it>, allievi.extra.sci <allievi.extra.sci(a)sns.it> CC: Sito SNS <sitosns(a)sns.it>, Portineria Carovana <portineria.carovana(a)sns.it>, Classi <classi(a)sns.it> SEMINARIO DI MATEMATICA Martedì 16 maggio 2017 ore 15:00 _Scuola Normale Superiore_ Pisa Aula Fermi *_ _* * **Giuseppe Savaré*** /(Università di Pavia)/ */ /* terrà un seminario dal titolo: *“**Optimal transport in competition with reaction**”*** * * *Abstract:* We discuss a new notion of distance on the space of finite and nonnegative measures,which can be seen as an inf-convolution of the well-known Kantorovich-Wasserstein and Hellinger distances. Starting from a dynamic approach (inspired to Benamou-Brenier), we will discuss various equivalent formulations, their geometric properties and their link with optimal transport problems. Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it <mailto:valeria.giuliani@sns.it> E-mail: classi(a)sns.it <mailto:classi@sns.it> -- Hai ricevuto questo messaggio perché sei iscritto al gruppo "Matematici.Esterni.SNS" di Google Gruppi. Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matematici.esterni.sns+unsubscribe(a)sns.it <mailto:matematici.esterni.sns+unsubscribe@sns.it>. Per postare in questo gruppo, invia un'email a matematici.esterni.sns(a)sns.it <mailto:matematici.esterni.sns@sns.it>. Per visualizzare questa discussione sul Web, visita https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9… <https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9…>.

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PhD position in applied probability at INRIA, Bordeaux
by Tommaso Nesti 12 May '17

12 May '17

Dear colleagues, I would like to share an announcement for a PhD position in applied probability at INRIA, Bordeaux. The topic is *Stochastic control and resource allocation in large-scale distributed systems* For more information about the position, please see https://www.inria.fr/institut/recrutement-metiers/offres/doctorants/doctora… Sincerely, Tommaso Nesti

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Fwd: avviso Seminario di Finanza Quantitativa, prof. Claude Martini (19.05.2017)
by Fabrizio Lillo 12 May '17

12 May '17

---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 - SEMINARIO DI FINANZA QUANTITATIVA *Venerdì 19 maggio 2017* ore 11:00 *Scuola Normale Superiore* Pisa Aula Mancini *Claude Martini * *(**Zeliade e INRIA**)* Terrà un seminario dal titolo: *“**Martingale measures with prespecified marginals: extremal points, cycles and perturbations**”* *Abstract:* *The characterization of the extremal points of the set of measures with two given marginals goes back to works by Denny, Letac and Mukerjee in the 70s-80s. The set of martingale measures with given marginals attracted recently a lot of people in the context of robust finance, where the model is known only through the prices of vanilla options conveyed by the market. We investigate in detail, in the discrete space case, the properties of extremal points of this set, and exhibit several classes of interest, altogether with a useful necessary conditions for a point to be extremal. We also discuss a candidate analogous of the no-cycle property in the non martingale case and its relations to perturbations. We illustrate our results in low cardinality situations (joint work with Luciano Campi, LSE).* Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it E-mail: classi(a)sns.it

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Seminario S. Menozzi @ UniTo
by Cristina Zucca 11 May '17

11 May '17

A tutti gli interessati. Martedì 16 maggio alle ore 15:30 in aula 5 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. S. Menozzi (Evry) terrà un seminario dal titolo: "Ergodic approximation of invariant measures for diffusions " Abstract: We present non-asymptotic estimates for the approximation of invariant measures for diffusion processes. We consider an Euler scheme with decreasing step where the occupation measure converges towards the invariant measure. The final estimates can be seen as a non-asymptotic extension of central limit type theorems obtained by Lamberton and Pages (Bernolulli 2002). Our approach combines probabilistic techniques (increments of martingales) and analytic arguments (Schauder's estimates for the associated Poisson process). -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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Fwd: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis)
by Carina Geldhauser 10 May '17

10 May '17

-------- Forwarded Message -------- Subject: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis) Resent-Date: Wed, 10 May 2017 17:19:42 +0200 Resent-From: geldhauser(a)iam.uni-bonn.de Date: Wed, 10 May 2017 17:19:26 +0200 From: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> Reply-To: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> To: EWM-ALL(a)JISCMAIL.AC.UK Dear colleagues, The *Faculty of Mathematics*of Bielefeld University invites applications for the positions of *Professor of Mathematics (W3), with the preferred area of Probability Theory (*starting as soon as possible) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… and *Professor of Mathematics (W3), with the preferred area of Stochastic Analysis (*starting April 1, 2019) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… (Please find the English version of the announcement attached.) ____________________________________________________________ Barbara Gentz Faculty of Mathematics, University of Bielefeld, Germany office: V5-103 phone: +49 521 106 4788 fax: +49 521 106 6481 e-mail: gentz(a)math.uni-bielefeld.de <mailto:gentz@math.uni-bielefeld.de> web: http://www.math.uni-bielefeld.de/~gentz

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Summer School on “Latent Markov Models with Applications"
by Rosaria Simone 09 May '17

09 May '17

Con preghiera di diffusione tra tutti i possibili interessati, Cordialmente, Rosaria Simone -------------------------------------------------------------------- We are glad to announce the Summer School on “Latent Markov Models with Applications” Saturday- Wednesday, 16th-20th September, 2017 University of Milano-Bicocca, Milano “The course aims at developing your expertise and skills on the main basic theory of the latent Markov models for the analysis of longitudinal data. A deep insight of the underlying assumptions, which are based on stochastic processes will be provided. Basic and advanced parameterizations to formulate latent Markov models will be explained also when explanatory variables are available. The inferential procedures will be explained in detail both from a classical and Bayesian inferential perspective. Models for drawing inference from longitudinal and multilevel data will be considered with reference also to incomplete data. During the course, many case studies and applications will be presented by using some suitable R libraries.” Scientific Committee: Francesco Bartolucci - University of Perugia Alessio Farcomeni - Sapienza University of Rome Silvia Pandolfi - University of Perugia Fulvia Pennoni - University of Milano-Bicocca Application deadline: July 16th Application deadline for scholarship: May 31st Program and further information: UNIMIB website: *http://www.summerschoolbicocca.com/017-11-markov-models-course.php* <http://www.summerschoolbicocca.com/017-11-markov-models-course.php> Italian Statistical Society website: http://new.sis-statistica.org/ wp-content/uploads/2017/03/brochure_Milano_2017_-EN_last_v1.pdf ------------------------------ Rosaria Simone Ricercatore in Statistica Dipartimento di Scienze Politiche Università degli Studi di Napoli Federico II

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Seminario Prof. Idris Kharroubi (Paris Dauphine) al Politecnico di Milano
by Fulvia Confortola 08 May '17

08 May '17

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Fulvia Confortola -------------- Si avvisa che il giorno giovedì 11 maggio 2017 alle ore 11:15 nella Sala Maestrale, Tender, piano -1 del Dipartimento di Matematica (Edificio La Nave) del Politecnico di Milano, Via Bonardi 9, Milano, si terrà il seguente seminario Relatore: Prof. Idris Kharroubi, Università Paris Dauphine. Titolo: Information uncertainty related to marked random times and optimal investment Abstract: We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent. This talk is based on a joint work with Ying Jiao (Université Lyon I).

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Call for abstracts: Special Session AMASES XLI The Theory and Practice of Financial Volatility
by Giacomo Bormetti 08 May '17

08 May '17

Dear Colleagues, we organize a session entitled "The Theory and Practice of Financial Volatility" during the AMASES Annual Conference, which will be held in Cagliari, September 14-16, 2017. We are pleased to invite you to submit an extended abstract following the instruction available at ?https://www.dropbox.com/s/p4y78ctkdlre9hb/AMASES%20XLI%20Session%20Theory%20Practice%20Financial%20Volatility.pdf?dl=0 If you need any further information, do not hesitate to contact us Giacomo Bormetti (giacomo.bormetti(a)unibo.it<mailto:giacomo.bormetti@unibo.it>) Giulia Livieri (giulia.livieri(a)sns.it<mailto:giulia.livieri@sns.it>) Maria Elvira Mancino (mariaelvira.mancino(a)unifi.it<mailto:mariaelvira.mancino@unifi.it>) Davide Erminio Pirino (davide.erminio.pirino(a)uniroma2.it<mailto:davide.erminio.pirino@uniroma2.it>) We are looking forward to see you in Cagliari! Sincerely, Giacomo Bormetti, Giulia Livieri, Mavira Mancino, and Davide Pirino??

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Fwd: International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica BILLIO 08 May '17

08 May '17

16th INTERNATIONAL CONFERENCE CREDIT 2017 *INTEREST RATES, GROWTH and REGULATION *Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca' Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *sixteenth* of a series dedicated to various aspects of credit risk. Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented new monetary policies (low interest rates, quantitative easing, forward guidance...). The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: - Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. - Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. - Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. - New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 <041%20523%208178> - Fax : +39 041 5286166 <041%20528%206166> e-mail: credit(a)greta.it REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website ( http://www.greta.it/credit/credit2017/credit2017.htm). Registration fees are: Early registration Late registration (within August 31st) (from September 1st on) Academics: 250 Euro + VAT 300 Euro + VAT Practitioners: 800 Euro + VAT 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT 500 Euro + VAT PhD Students*: 80 Euro + VAT 130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 28th, 2017, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers August 31, 2017: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 CREDIT 2017 http://www.greta.it/credit/credit2017/credit2017.htm

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Assegno di ricerca alla Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 07 May '17

07 May '17

The call for a 18 month postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is Financial networks: statistical models, inference, and shock propagation The details of the call are at Italian *http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-di-ricerca-%E2%80%9Cnetwork-finanziari-modelli-statistici-inferenza-e-propagazione-di <http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-d…>* English *http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfinancial-networks-statistical-models-inference-and <http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfin…>* The deadline is May 26. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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PhD Position (Scientific Employee) Ulm University (Germany), Mathematical Finance Institute
by Imma Curato 05 May '17

05 May '17

---------- Forwarded message ---------- From: Robert Stelzer <robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de>> The Institute of Mathematical Finance at the Faculty of Mathematics andEconomics of Ulm University invites applications for one non-permanent position as a Scientific Employee (50%) starting October 1st, 2017, according to the rules of the German law for non-permanent scientific positions (Wissenschaftszeitvertragsgesetz). Prerequisite is a very good master degree in a mathematical field of study or a comparable degree ( Finance, Economathematics, Probability, Stochastics and related fields ), and interest in future research in at least one of the areas Financial Mathematics, Financial Econometrics, Statistics of Stochastic Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic Processes or Time Series Analysis. The opportunity for further scientific qualification (in particular PhD) is given. The duties include contributing to the teaching activities of the institute. For the position, the teaching duty is two hours per week during the teaching period. The language of the courses is usually English. Thus no knowledge of German is initially necessary. The contract duration will be in accordance with the qualification aim. A future increase in the percentage of the position (by third party means) is aimed for. Ulm University is committed to increasing the share of women in research and teaching positions and therefore explicitly encourages female candidates to apply. The salary is determined by group 13 of the collective agreement (13 TV-L) Please send your application with the usual documents until May 21st, 2017, preferably in electronic form to Ulm University Prof. Dr. Robert Stelzer Institute of Mathematical Finance Helmholtzstraße 18 89081 Ulm Germany E-Mail Please indicate the index number 38 on the envelope or in the reference line of the email. Physically disabled applicants receive favorable consideration when equally qualified. The appointment is made by the central university administration. _______________________________________________ St-net mailing list St-net(a)zib.de<mailto:St-net@zib.de> https://listserv.zib.de/mailman/listinfo/st-net --------------------------------------------------------------------------- Dies ist das ST-NET, der (moderierte) Mail-Verteiler der DMV-Fachgruppe Stochastik e.V. Weitere Informationen finden Sie auf unserer Homepage: http://www.fg-stochastik.de This is ST-NET, the (moderated) mailing list of the DMV-Fachgruppe Stochastik e.V. For further information, please refer to our homepage: http://www.fg-stochastik.de Please note the guidelines for posting at http://www.fg-stochastik.de/beitraege-verschicken.html --------------------------------------------------------------------------- -- +++++++++++++++++++++++++++++++++++++++++ Prof. Dr. Robert Stelzer Institute of Mathematical Finance Ulm University Helmholtzstraße 18 89081 Ulm Germany Phone: +49 731 50 23520 Fax: +49 731 50 31096 Email: robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de> http://www.uni-ulm.de/mawi/finmath/people/stelzer.html

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(senza oggetto)
by Piccioni, Mauro 05 May '17

05 May '17

Seminario di probabilità e statistica matematica Lunedì 15 maggio, ore 16 Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo T.G. Kurtz, University of Wisconsin-Madison, "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Seminario DELLAPORTAS
by Matteo Ruggiero 05 May '17

05 May '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 12 Maggio 2017, alle ore 11.00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Petros DELLAPORTAS (University College London) HIGH DIMENSIONAL JUMP PROCESSES WITH STOCHASTIC VOLATILITY We deal with the problem of identifying jumps in multiple financial time series using the stochastic volatility model combined with a jump process. We develop efficient MCMC algorithms to perform Bayesian inference for the parameters and the latent states of the proposed models. In the univariate case we use an homogeneous compound Poisson process for the modelling of the jump component. In the multivariate case we adopt an inhomogeneous Poisson process, with intensity which is also a stochastic process varying across time and economic sectors and markets. A Gaussian process is used as prior distribution for the intensity of the Poisson process. This model is known as doubly stochastic Poisson process or Gaussian Cox process. The efficiency of the proposed algorithms is compared with existing MCMC algorithms. Our methodology is tested through simulation based experiments and applied on 600 stock daily returns of Euro STOXX index over a period of 10 years. 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. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Call for papers: Networks and Big Data in Economics, Finance, and Social Systems @ AMASES 2017
by Fabrizio Lillo 04 May '17

04 May '17

Dear Colleagues, we organize a session entitled “Networks and Big Data Analysis in Economics, Finance, and Social Systems" during the AMASES Annual Conference, which will be held in Cagliari in the period September 14-16, 2017. It is a great pleasure to invite you to submit an extended abstract following the instruction in the attached call. For information, please contact: Elisa Letizia (elisa.letizia(a)sns.it) Fabrizio Lillo (fabrizio.lillo(a)sns.it) Michele Tumminello (michele.tumminello(a)gmail.com) I am looking forward to meeting you in Cagliari. Best regards Elisa Letizia, Fabrizio Lillo, Michele Tumminello ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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seminario Tom Kurtz - Pescara 11/5
by c.costantini＠unich.it 03 May '17

03 May '17

Giovedi' 11 maggio 2017, ore 16 (16:15 effettive) presso il Dipartimento di Economia, sede di viale della Pineta 4, aula seminari il prof. T.G. Kurtz, University of Wisconsin-Madison, terra' un seminario dal titolo: "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono cordialmente invitati a partecipare. Cristina Costantini

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seminario Ben Goldys - Milano Bicocca 9/5
by federica.masiero＠unimib.it 03 May '17

03 May '17

Il giorno 9 Maggio, alle ore 10.45, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Prof. Ben Goldys, The University of Sydney, terrà un seminario dal titolo "Heat equation perturbed by boundary noise" Abstract: We will consider a fairly general Cauchy-Dirichlet problem with noise entering through the boundary. The case when the noise is white in space and time is also included. The question how to give a meaning to such an equation was first formulated by Da Prato and Zabczyk in 1994 and still remains largely open. We will show that the proper framework for this problem is a certain non-standard weighted $L^p$-space.This is a joint work with Szymon Peszat and Giorgio Fabbri. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Federica Masiero

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Seminario di probabilità al Politecnico di Milano
by Fabio Zucca 02 May '17

02 May '17

Si avvisa che in data 5/5/2017, alle ore 10:30 precise, presso Aula seminari del III piano del Dipartimento di Matematica del Politecnico di Milano, nell'ambito delle iniziative della sezione di Probabilità e Statistica Matematica, si svolgerà il seguente seminario: Titolo: Invariance under quasi-isometries of subcritical and supercritical behavior in the Boolean model of percolation Relatore: Cristian Coletti, Universidade Federal do ABC, Santo André - Sao Paulo, Brasil Abstract: We study the Poisson Boolean model of percolation in locally compact Polish metric spaces and we prove the invariance of subcritical and supercritical phases under mm-quasi-isometries. More precisely, we prove that if a metric space M is mm-quasi-isometric to another metric space N, and the Poisson Boolean model in M exhibits any of the following: (a) a subcritical phase; (b) a supercritical phase; or (c) a phase transition, then the same does the Poisson Boolean model of percolation in N. We use these results in order to understand the phase transition phenomenon in a large family of metric spaces. Tutti gli interessati sono invitati a partecipare Fabio Zucca

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Borse Dottorato - PhD Fellowships - Politecnico di Milano
by Laura M. Sangalli 02 May '17

02 May '17

Prego la massima diffusione presso i potenziali interessati ITA E' uscito il bando di ammissione al 33esimo ciclo di dottorato presso il Politecnico di Milano, con scadenza il ** 26 maggio alle ore 14 ** http://www.dottorato.polimi.it/it/entra-al-dottorato/concorso-di-ammissione… Presso il Dipartimento di Matematica sono disponibili 16 borse, di cui 5 borse a tema nell'area Statistica / Data Science, ed ulteriori 7 borse non a tema, che possono essere speficicate nell'area Statistica / Data Science. ENG The Department of Mathematics at Politecnico di Milano has 16 PhD fellowships, among which 5 are in the area of Statistics / Data Science, and further 7 fellowships are in the generic field of Mathematics and Statistics, and can be targeted to Statistics / Data Science. http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-… Deadline for applications: 26 May, at 2pm. -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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