Random June 2018

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36 participants
49 discussions

Polimi: Avviso di seminario
by Daniele Marazzina 05 Jun '18

05 Jun '18

Con preghiera di diffusione ________________________________ Si avvisa che in data 12/6/2018, alle ore 13:45 precise, presso il Dipartimento di Matematica del Politecnico di Milano, Aula Seminari Terzo Piano, nell'ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Titolo: Learning the Optimal Risk - Advanced Risk-Based Portfolio Management with Global Optimization Algorithms Relatore: Marco Scaringi, Intesa Sanpaolo

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[POSITION] Associate Professor in Statistics - Milan - Italy
by stefano iacus 04 Jun '18

04 Jun '18

[apologizes fo crossposting] The Centre of Excellence in Economics and Data Science ( http://ceeds.unimi.it ) of the Department of Economics, Management and Quantitative Methods (DEMM), University of Milan has open the following position of Associate Professor ("professore associato" in the Italian system) in STATISTICS: "n. 1 posto - s.c. 13/D1, ssd SECS-S/01 (Codice 3766), settore concorsuale 13/D1 - Statistica, SECS-S/01 - Statistica" Deadline: 29th June 2018, 12am (Italian local time) Particular attention will be given to candidates with an excellent research record and showing the potential to cooperate with the current members of the department in pursuing DEMM’s strategy in the development of Data Science and Economics. More information about the application procedure can ben found here: http://www.unimi.it/ateneo/valcomp/95799.htm Further contacts: datasciencelab(a)unimi.it, stefano.iacus(a)unimi.it ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of DSE - Master in Data Science & Economics http://www.dse.unimi.it CEO/CTO/Co-Founder VOICES from the Blogs http://www.voices-int.com Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en http://orcid.org/0000-0002-4884-0047 Master in Finance & Economics http://www.dse.unimi.it Twitter: @dseunimi Facebook: http://www.facebook.com/dseunimi Email and further information at: dse(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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prof Campi's seminar - LUISS June 7
by Sara 04 Jun '18

04 Jun '18

On June 7, at 12 pm room 305B prof Luciano Campi, the London School of Economics, will give the following seminar Title: N-player games and mean field games with absorption Abstract: We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding N-player games, the evolution of players' states is described by a system of weakly interacting Ito equations with absorption on first exit from a bounded open set. Once a player exits, her/his contribution is removed from the empirical measure of the system. Players thus interact through a renormalized empirical measure. In the definition of solution to the mean field game, the renormalization appears in form of a conditional law. We justify our definition of solution in the usual way, that is, by showing that a solution of the mean field game induces approximate Nash equilibria for the N-player games with approximation error tending to zero as N tends to infinity. This convergence is established provided the diffusion coefficient is non-degenerate. The degenerate case is more delicate and gives rise to counter-examples. The talk is based on a joint paper with Markus Fischer (Padua University). best regards -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Avviso seminario_Bernard Hanzon_ 5 giugno_ore 16:30
by Stefano Bonaccorsi 04 Jun '18

04 Jun '18

On Global Optimization of the Likelihood Function for Linear Time Series Models *Tuesday 5 June 2018* *Venue:* Department of Mathematics, via Sommarive, 14 - Povo (TN) - Seminar Room "-1" *At: *4:30 pm Speaker: - *Bernard Hanzon* (Dept Mathematics, University College Cork, Ireland) *Abstract:* We present an approach to find the global optimum of a linear time series model in state space form. By firstly applying a partial optimization step to the likelihood function the problem can be reduced to a problem of optimization of the likelihood over a set which has compact closure. By applying a regularization the resulting problem is that of finding the optimum of a Lipschitz continuous function on a compact set which is known to have a (constructive) solution. Techniques from the theory of parametrization of linear state space systems and some basic techniques from differentiable manifold theory are used to obtain these results. Furthermore the surprising fact is shown that the "crude" maximum likelihood estimator (without regularization and compactification) does not exist in the sense that the likelihood function has an infinite, typically unattained, supremum. Comments will be made about the effect of the regularization used on the outcome. *Contact person: *Stefano Bonaccorsi

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prof A. Minca's seminar - June 5, LUISS - Roma
by Sara 03 Jun '18

03 Jun '18

Please, find the announcement below. ---------- Forwarded message ---------- From: Dipartimento Economia e Finanza LUISS Guido Carli < economiaefinanza(a)luiss.it> Date: Tue, May 29, 2018 at 3:19 PM Subject: Research Seminars of the Dept. of Economics and Finance / agenda To: Dipartimento Economia e Finanza LUISS Guido Carli < economiaefinanza(a)luiss.it> The next Research Seminars of the Dept. of Economics and Finance are scheduled as follow: *June 5 from 12:00 to 13:00, room 104 viale Romania <https://maps.google.com/?q=104+viale+Romania&entry=gmail&source=g>.* *Speaker:* Andreea Minca (Cornell University) *Title:* Dynamic Leveraging-Deleveraging Games *Abstract:* We introduce a new mechanism for leverage dynamics, which results from a multi-period game of lenders with differentiated beliefs about the firm's fundamental returns. The game features strategic substitutability for low existing leverage and one-sided strategic complementarity for high existing leverage. The resulting leverage process exhibits a mean-reverting regime around a long-run level, as long as it stays below an instability level. Above the instability level, leverage becomes explosive. We validate our model empirically using aggregate returns of financial firms over the 10 year period 2001-2010. Our model predicts the leveraging/deleveraging of this period, and in particular the 2008 collapse in short term debt. *Dipartimento di Economia e Finanza* Viale Romania, 32 - 00197 Roma <https://maps.google.com/?q=Viale+Romania,+32+-+00197+Roma&entry=gmail&sourc…> *def(a)luiss.it <def(a)luiss.it>* t +39 06 85225550 <06%208522%205550> *www.luiss.it <http://www.luiss.it/>* [image: http://static.luiss.it/images_10/loghi/LS_BLU_RIDUZIONE_WEB.png] Il tuo 5x1000 alla LUISS: C.F. 02508710585 <02%205087%2010585> [image: http://www.luiss.it/images_10/icons/environment-icon.png] *Please consider the environment... do you really need to print this email?* -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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junior researcher position (RTD-A) in Probability in Pisa -- forthcoming deadline
by Marco Romito 01 Jun '18

01 Jun '18

Scrivo per ricordare che il bando per una posizione RTD-A nel settore MAT/06 presso il Dipartimento di Matematica dell'Università di Pisa, è in scadenza (4 giugno). Il bando è disponibile alla pagina https://alboufficiale.unipi.it/wp-content/uploads/2018/05/Bando_RTD_A_PICA-… ------------------- dear all I am writing to remind that the deadline for a junior researcher position (RTD-A) in Probability at University of Pisa is approaching (June 4). The official call (in italian) can be found at https://alboufficiale.unipi.it/wp-content/uploads/2018/05/Bando_RTD_A_PICA-… m.

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Call for interest -- Department of Economics and Finance -- University of Rome Tor Vergta
by Davide Erminio Pirino 01 Jun '18

01 Jun '18

Dear all, the "Department of Economics and Finance" of the University of Rome "Tor Vergata" has opened a call for interest for Senior (TenureTrack) Assistant Professor and Associate/Full Professor, in the field of Mathematical Finance. Please find attached a pdf with all the details of the call. Best Regards, Davide Pirino.

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Fwd: Workshop announcement: Renormalisation in QFT and in stochastic PDEs - Cambridge, 3-7 sept 2018 (fwd)
by Pietro Caputo 01 Jun '18

01 Jun '18

ricevo e inoltro: ---------- Forwarded message ---------- From: A. Giuliani <giuliani(a)mat.uniroma3.it> Date: Fri, Jun 1, 2018 at 6:57 AM Subject: Workshop announcement: Renormalisation in QFT and in stochastic PDEs - Cambridge, 3-7 sept 2018 (fwd) To: Caputo <caputo(a)mat.uniroma3.it> Dear colleague, this is an announcement of the workshop `Renormalisation in quantum field theory and in stochastic partial differential equations: a gentle introduction and some recent developments' which will be held at the Isaac Newton Institute (INI) for Mathematical Sciences in Cambridge, UK, from september 3 to 7, 2018, see https://www.newton.ac.uk/event/srqw01 We invite all the interested participant to register as soon as possible on the website: the DEADLINE FOR APPLICATIONS IS **JUNE 17, 2018** There is limited financial support available for students and young researchers; if you wish to apply for a grant, please indicate it in the application form. The workshop is the opening event of the 4-months programme `Scaling limits, rough paths, quantum field theory', which will be held at INI from september 3, to december 21, 2018, see https://www.newton.ac.uk/event/srq The invited speakers are: R. Bauerschmidt (Cambridge) M. Gubinelli (Bonn) M. Hairer (London) H. Knoerrer (Zurich) C. Kopper (Palaiseau) A. Kupiainen (Helsinki) T. Lyons (Oxford) V. Mastropietro (Milano) F. Otto (Leipzig) N. Perkowski (Berlin) G. Slade (Vancouver) L. Zambotti (Paris) The workshop will consist of 8 advanced talks and 2 mini-courses, each of which will be split in two parts (one mini-course on the Renormalization Group will be offered by A. Kupiainen and G. Slade; one mini-course on stochastic PDEs will be offered by F. Otto and L. Zambotti). Please forward this announcement to all the potentially interested colleagues and students. Thanks and best regards, Margherita Disertori Peter Friz Alessandro Giuliani Hendrik Weber

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RTD A SECS-S/01 STATISTICA Universita' Cattolica del Sacro Cuore
by Consonni Guido 01 Jun '18

01 Jun '18

L' Università Cattolica del Sacro Cuore - Facolta' di Economia- sede di Milano ha bandito un posto RTD-A di Statistica SECS-S/01 (D.Rettorale n. 4365) Il bando e tutte le altre informazioni sono reperibili all'indirizzo http://progetti.unicatt.it/progetti-ateneo-milano-brescia-piacenza-e-cremon… SCADENZA PRESENTAZIONE DOMANDE: 28/06/2018. Dipartimento di Scienze Statistiche Università Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano; ITALY [http://Static.unicatt.it/layout/img/layout/5x1000.gif] Destina il tuo 5 per mille all'Università Cattolica CF 02133120150 www.unicatt.it/5permille<http://www.unicatt.it/5permille/>

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