Random April 2018

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Concorso da RTDb di MAT/06 a Padova - scadenza 25/8/2016
by Marco Ferrante 25 Jun '24

25 Jun '24

Cari colleghi, vi segnalo che il Dipartimento di Matematica dell'Università di Padova ha bandito un posto di ricercatore di tipo B nel settore MAT/06. Il bando è disponibile alla pagina http://www.math.unipd.it/it/news/?id=1898 La scadenza per la presentazione delle domande è il 25 agosto 2016. Marco Ferrante

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Seminario KOLOKOLTSOV @ UniTo
by Cristina Zucca 14 Oct '19

14 Oct '19

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedì 17 Aprile 2018 alle ore 15:00 in Aula Marro presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. *VASSILI KOLOKOLTSOV* terrà un seminario dal titolo *Recent developments in probabilistic and analytic methods for fractional differential equations * Abstract: We shall discuss recent achievements in solving fractional differential equations and their extensions arising from generalized fractional calculus. Probabilistic techniques will be derived from the notion of Markov processes interrupted on the attempt to cross the boundary. Analytic techniques will cover generalized operator-valued Mittag-Leffler functions and chronological Feynman-Kac formulas. Tutti gli interessati sono invitati a partecipare. -- 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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Call for Expression of Interest - Politecnico di Torino
by TRIVELLATO BARBARA 29 Apr '18

29 Apr '18

The Department of Mathematical Sciences of the Politecnico di Torino (DISMA) opens a call for expression of interest for a tenured Associate Professor position in the field of discrete or computational mathematics. The position is supported by a research grant obtained by DISMA as Dipartimento di Eccellenza 2018-2022. Full details and contacts can be found at http://www.polito.it/disma-excellence/EoIAssociateProfessor.html Saluti, Barbara Trivellato Dipartimento di Scienze Matematiche Politecnico di Torino Corso Duca degli Abruzzi, 24 10129 Torino, ITALY Tel: +39 011 564 7550 Fax: +39 011 564 7599 barbara.trivellato(a)polito.it

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Extended deadline - Advanced School on complexity and emergence
by elisa mastrogiacomo 29 Apr '18

29 Apr '18

This is the final* announcement* of the upcoming *Advanced School on complexity and emergence: ideas, methods, with a special attention to economics and finance (CEIM)* The School will be held in the magnificent Villa del Grumello, Como (Italy) along the Lake Como shore on July 22-27, 2018. The main courses will be given by L. Boi (EHESS – Paris), I. Capelli (Università dell’Insubria), I. Ekeland (Ceremade - Universitè Paris-Dauphine), F. Guerra (Sapienza Università di Roma), J. Jost (Max Planck Institute for Mathematics in the Sciences - Leipzig), Florent McIsaac, (Agence Française pour le Développement), F. Patras (Université de Nice Sophia-Antipolis), F. Riedel (Center for Mathematical Economics, Bielefeld University), F. Semboloni (Università degli studi di Firenze), R. Seri (Università dell’Insubria). The potential participants of the School are primarily master and doctorate students of mathematics, information sciences, theoretical physics, and economics, as well as research workers in those areas, who want to enlarge their spectrum of knowledge towards the area of complexity. The aim of the School is to provide these researchers useful instruments from the theory of complex systems, both on the theoretical level and the methodological ones, bridging the present disciplinary gap, and profiting from knowledge and insights from both communities. The School may have some (limited number of) financial supports. Details about the registration, the program and the application for financial support are available at the website http://ceim.lakecomoschool.org/. *Deadline for application: 14th May. * We would be grateful if you could circulate this announcement among your PhD students, postdocs and colleagues. With our best regards, Sergio Albeverio Elisa Mastrogiacomo Fabio Minazzi Emanuela Rosazza Gianin Stefania Ugolini

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A Winter Day in Probability and Statistical Physics
by Francesca Romana Nardi 27 Apr '18

27 Apr '18

Carissimi, stiamo preparando la prossima giornata di seminari del 16 Marzo 2018 (terzo incontro della serie di giornate sulla probabilita` e le sue applicazioni alla Fisica, Biologia e Scienze sociali). Ricordo che ciascuno oratore fara` una lezione introduttiva e divulgativa di 45 minuti pensata proprio per i non esperti, seguita da altri 45 minuti di tipo seminario (vedi programma). Per maggiori informazioni e aggiornamenti sulle giornate passate e future abbiamo istituito una pagina web che vi invitiamo a visitare periodicamente. http://web.math.unifi.it/users/fnardi/seminari/ A WINTER DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 16 March 2018 Lecturers: Frank den Hollander (Leiden) and Giovanni Peccati (Luxenbourg) Location: Aula Magna di Via S. Gallo 10, Firenze Prof. Frank den Hollander (Leiden University) Title: Large deviations for the Wiener sausage Abstract: The Wiener sausage is the 1-environment of Brownian motion. It is an important mathematical object because it is one of the simplest non-Markovian functionals of Brownian motion. The Wiener sausage has been studied intensively since the 1970's. It plays a key role in the study of various stochastic phenomena, including heat conduction, trapping in random media, spectral properties of random Schrödinger operators, and Bose-Einstein condensation. In these lectures we look at two specific quantities: the volume and the capacity. After an introduction to the Wiener sausage, we show that both the volume and the capacity satisfy a downward large deviation principle. We identify the rate and the rate function, and analyse the properties of the rate function. We also explain how the large deviation principles are proved with the help of the skeleton approach. Joint work with Michiel van den Berg (Bristol) and Erwin Bolthausen (Zurich). Giovanni Peccati (University of Luxembourg) Title: Stein's method and stochastic geometry Abstract: The so-called 'Stein's method' for probabilistic approximations is a collection of powerful analytical techniques, allowing one to explicitly assess the distance between the distributions of two random objects, by using caracterizing differential operators. Originally developed by Ch. Stein at the end of the sixties for dealing with one-dimensional normal approximations under weak dependence assumptions, Stein's method has rapidly become a crucial tool in many areas of modern stochastic analysis, ranging from random matrix theory and random graphs, to mathematical physics, geometry, combinatorics and statistics. In the first part of my talk, I will provide a self-contained introduction to Stein's method for normal approximations, by focussing on some connection with generalised integration by parts formulae, both in a continuous and discrete setting. In the second part of my talk, I will present some recent applications of Stein's method in stochastic geometry, with specific emphasis on the geometry of random fields, and on random geometric graphs. Program: 11.00-11.45 Introductory lecture: den Hollander 11.45-12.00 Break 12.00-12.45 Seminar: den Hollander 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: Peccati 15.15-15.30 Break 15.30-16.15 Seminar: Peccati Organizers: F. Caravenna, N. Cancrini, E.N.M. Cirillo, P. Dai Pra, A. De Masi, D. Fanelli, F. Flandoli C. Giardina`, R. Livi, D. Marinucci, F. Martinelli, I.G. Minelli, F.R. Nardi, E. Presutti, B. Scoppola, E. Scoppola Note pratiche: 1) E` importante prenotare il biglietto del treno il piu` presto possibile per poter usufruire di sconti!!!! 2) Stiamo prenotando un ristorante con un paio di menu fissi (di cui uno vegerariano) che possa ospitarci, ma ho bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati chiedo di mandare un email a francescaromana.nardi(a)unifi.it Resta fermo il fatto che saremo in pieno centro di Firenze, quindi ci sono moltissime altre possibilita` per mangiare se preferite regolarvi indipendentemente. Vi aspettiamo numerosi Francesca R. Nardi Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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[Polimi] From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance
by Daniele Marazzina 27 Apr '18

27 Apr '18

Il Nicola Bruti Liberati Quantitative Finance Lab del Dipartimento di Matematica del Politecnico di Milano organizza nei giorni 9-10 maggio 2018 la conferenza >From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance La conferenza si svolge nell’ambito dell'iniziativa Polimi Fintech Journey grazie al supporto di Deloitte Consulting. Allego il programma in pdf. La conferenza si rivolge al mondo accademico e a quello dell’industria finanziaria con l’intenzione di fare il punto attorno a tre temi: aspetti tecnologici legati al mondo DLT e degli smart contracts, i risvolti economici e finanziari di questi strumenti, le potenziali applicazioni al mondo della finanza. La conferenza ha un taglio multidisciplinare con l’intervento di esperti informatici e del mondo della finanza, esponenti dell’industria finanziaria e delle autorità di regolazione, La conferenza sarà preceduta da un tutorial che intende fornire un’introduzione sulla tecnologia di questi strumenti. Per dettagli sul programma e per la registrazione si prega di consultare il sito https://www.mate.polimi.it/fintech/.

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Seminario RAY
by Matteo Ruggiero 27 Apr '18

27 Apr '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 4 Maggio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Kolyan RAY (King’s College London) ESTIMATING THE MEAN RESPONSE IN A MISSING DATA MODEL We study semiparametric Bayesian estimation of the mean response in a binary regression model with missing observations. We allow some dependence between the missingness and response mechanisms, which we assume are conditionally independent given some measured covariates (i.e. unconfoundedness). This model has applications in biostatistics and causal inference. We show that the marginal posterior distribution for the mean response arising from product priors on the different model parameters satisfies a semiparametric Bernstein-von Mises theorem under some conditions. We also propose a more involved prior geared towards estimating this specific functional. This is joint work with Aad van der Vaart. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <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 <http://www.matteoruggiero.it/>

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seminario Dott. Luca Gonzato
by emanuela rosazza gianin 27 Apr '18

27 Apr '18

Si avvisa che il giorno mercoledì 2 maggio alle ore 14.30 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula seminari 4026) si terrà il seguente seminario: Speaker: Luca Gonzato (Dismeq, Università di Milano-Bicocca) Titolo: “ Filtering and Calibrating a Self-Exciting Jump Diffusion Model for Oil Price by a Particle Markov Chain Monte Carlo Method ” Abstract: In this paper we propose a self-exciting jump diffusion model for oil price dynamics based on a Hawkes-type process. In particular, the jump intensity is stochastic and path dependent; so a jump will increase the probability of observing a new jump and this feature of the model aims at explaining the jumps clustering effect. Our model is very similar to that proposed by Hainaut & Moraux (2017) for equity market, although we assume the jump size normally distributed. Moreover, our filtering and calibration method relies on a different procedure. Indeed, we filter the latent jump intensity and estimate the model parameters according to a Particle Markov Chain Monte Carlo method proposed by Andrieu, Doucet & Holenstein (2010), which is well suited for nonlinear non-Gaussian dynamical models. Finally, we provide numerical simulations in order to test our approach. Joint work with Carlo Sgarra. Tutti gli interessati sono invitati a partecipare. Un saluto e a presto, Emanuela ************************************************** 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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Quantitative Finance at Work, second edition.
by Davide Erminio Pirino 26 Apr '18

26 Apr '18

Dear all, the final schedule of the second edition of the Quantitative Finance at Work is now available. Please read below a reminder of the details of the event. Looking forward to seeing you in Rome “Tor Vergata”, The organizing committee Stefano Herzel Davide Pirino Rocco Ciciretti Sergio Scarlatti Alessandro Ramponi On May 3 and 4, 2018, the Department of Economics and Finance <http://economia.uniroma2.it/en/def/> and the Master of Science in Finance and Banking <http://economia.uniroma2.it/master-science/financeandbanking> of the University of Rome Tor Vergata <http://web.uniroma2.it/home/newlang/english> will host the second edition of Quantitative Finance at Work, a workshop on the practical use of quantitative methods in Finance. Find out more about the program, the venue and the registration form at the event website <https://www.qfinatwork.com/>. Please find here <https://docs.wixstatic.com/ugd/3e1e75_c72aef8e83d942439e9136419fb340f1.pdf> the flyer of the event. Registration *is** free but required to attend to the workshop*. It will be open until the maximum number of participants is reached. Speakers *Stefano Iacus *University of Milan *Douglas McKinley* Thomson Reuters *Attilio Meucci *Advanced Risk and Portfolio Management Andrea Pallavicini Banca IMI *Francesca Perino* MathWorks Pietro Rossi Prometeia *Reha Tutuncu *SECOR Asset Management Venue University of Rome Tor Vergata, School of Economics Classroom TL – Building A Via Columbia, 2 – 00133 Rome Dates May 3, 2018, 14:15-17:30 (pre-workshop) May 4, 2018, 9:15-16:45 (workshop) *Web*: https://www.qfinatwork.com

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Seminario di Jacopo Corbetta in Bicocca
by Francesco Caravenna 26 Apr '18

26 Apr '18

Martedì 8 maggio 2018 alle ore 11:00 Jacopo Corbetta (Zeliade System) terrà un seminario dal titolo "Robust calibration and arbitrage free interpolation of SSVI slices" Aula 4026, IV piano dell'edificio U7 Dipartimento di Statistica e Metodi Quantitativi Via Bicocca degli Arcimboldi 8, Milano Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%% We describe a robust calibration algorithm of a set of SSVI (Surface Stochastic Volatility Inspired) slices (i.e. a set of 3 SSVI parameters θ, ρ, ϕ attached to each option maturity available on the market), which grants that these slices are free of Butterfly and Calendar-Spread arbitrage. Given such a set of consistent SSVI parameters, we show that the most natural interpolation/extrapolation of the parameters provides a full continuous volatility surface free of arbitrage. The numerical implementation is straightforward, robust and quick, yielding an effective, parsimonious solution to the smile problem, which has the potential to become a benchmark one. %%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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