Random February 2020

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Fwd: Demande de diffusion de l'annonce d'une offre de PHD et de postdoc à Oslo (fwd)
by Tiziano Vargiolu 17 Feb '20

17 Feb '20

---------- Forwarded message ---------- Date: Mon, 17 Feb 2020 09:48:54 +0100 From: monique.jeanblanc <monique.jeanblanc(a)univ-evry.fr> To: Sergio Pulido <serpul3374(a)gmail.com>, Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Fwd: Demande de diffusion de l'annonce d'une offre de PHD et de postdoc ? Oslo -------- Message transf?r? -------- Sujet : Demande de diffusion de l'annonce d'une offre de PHD et de postdoc ? Oslo Date : Mon, 17 Feb 2020 09:38:49 +0100 (CET) De : Bion-Nadal Jocelyne (Mme) <jocelyne.bion-nadal(a)polytechnique.edu> Pour : caroline hillairet <Caroline.Hillairet(a)ensae.fr>, monique jeanblanc <monique.jeanblanc(a)univ-evry.fr>, jean-francois chassagneux <jean-francois.chassagneux(a)univ-paris-diderot.fr> Chers Caroline, Monique et Jean-Fran?ois Est-ce que l'un de vous pourrait diffuser rapidement l'annonce de cette offre de phd et de postdoc ? Oslo ? la mailing liste du s?minaire Bachelier? (La date limite est ? la fin du mois). PostDoc position https://www.jobbnorge.no/en/available-jobs/job/182298/postdoctoral-research -fellow-in-stochastic-analysis-and-applications University of Oslo Deadline: February 29th, 2020 PhD position https://www.jobbnorge.no/en/available-jobs/job/182276/phd-research-fellow-i n-stochastic-analysis-and-applications University of Oslo Deadline February 29th, 2020 Je vous remercie par avance. Bien amicalement. Jocelyne

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Workshop in Bath
by Giuseppe Cannizzaro 14 Feb '20

14 Feb '20

Ricevo e inoltro. Dear Colleagues, we would like to invite you to take part in the Bath Mathematical Symposium on PDE and Randomness which will take place at the University of Bath 26th August - 4th September The Symposium will consist of two events: 1) Summer school, August 26-28th: The school is aimed for a broad audience of researchers in the probability theory and the analysis of PDEs including PhD students and Postdocs. It will consist of three mini courses: • Roland Bauerschmidt (University of Cambridge, UK) - Log-Sobolev inequality and the renormalisation group • Hugo Duminil-Copin (IHES, France and University of Geneva, Switzerland) - Marginal triviality of the scaling limits of critical 4D Ising and ϕ^4_4 models • Martin Hairer (Imperial College London, UK) - Stochastic Yang Mills 2) Workshop August 31st - September 4: The workshop aims to explore current trends of the probability theory and its connections to PDEs and will have around 23 talks. Topics will include: SPDEs (e.g. parabolic, dispersive, 2d KPZ); Interacting Particle systems; Stochastic Homogenization. Please visit our webpage https://sites.google.com/view/pderandombath/ for more information and registration. You are more than welcome to apply for both school and workshop but you can also apply separately to either of the events. We can provide a limited number of rooms on campus of the University of Bath (either for the duration of the whole event or only for the school/workshop). If you would like to be considered for the accommodation please register before *20*/04/20. Please see the webpage for details. Best wishes, Hendrik Weber, Andris Gerasimovics

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Postdoc in Probability in Oxford
by Enrico Scalas 14 Feb '20

14 Feb '20

Car* collegh*, vi invio questo annuncio da Christina Goldschmidt con preghiera di diffusione a persone potenzialmente interessate. Cordiali saluti, Enrico Scalas -- Dear colleagues, (With apologies for cross-posting!) The Department of Statistics at Oxford is currently advertising a 1-year postdoctoral position in probability, to work with me on a project concerning random graphs and their scaling limits. I would be very grateful if you could bring this to the attention of any suitable people that you know. Potential candidates should feel free to contact me directly. More details are available from the university's jobs page, where there are links to a detailed job description and the online application form. The start date is flexible, but must be no later than 1st September 2020. The closing date for applications is 12 noon (GMT) on 6th March 2020. (Candidates should please ask their referees to send their letters of reference by the closing date.) Many thanks and best wishes, Christina Goldschmidt. -- Christina Goldschmidt | http://www.stats.ox.ac.uk/~goldschm | she/her Department of Statistics and Lady Margaret Hall, University of Oxford

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SIdE-Ca' Foscari Summer Schools in Venice (Italy)
by Roberto Casarin UNIVE 14 Feb '20

14 Feb '20

Dear all, Applications are now open for our Summer Schools: /*Networks Econometrics* /(28 June - 3 July 2020)/* */Instructors: /Monica Billio, Roberto Casarin and Walter Quattrociocchi/ (Ca' Foscari University of Venice), /Matteo Iacopini/ (Scuola Normale Superiore, Pisa), /Sergio Petralia///(London School of Economics and Political Science), /Luca Rossini /(Vrije Universiteit Amsterdam, The Netherlands). /*Bayesian Multivariate Models and Forecasting in Economics and Finance*/ (August 24-28 2020) Instructors: /Gaetano Carmeci /(University of Trieste), /Roberto Casarin /(Ca’ Foscari University of Venice),///Matteo Ciccarelli///(European Central Bank, DG Research),///Francesco Ravazzolo///(Free University of Bozen-Bolzano). //Organization:// ////The courses for Master and PhD students are organized by the Italian Econometric Society (SIdE) in collaboration with the Venice centre in Economic and Risk Analytics for Public Policies (VERA) at Ca' Foscari University of Venice ///Venue: / The summer schools are hosted in the beautiful San Giobbe Campus at Ca' Foscari University of Venice, located at the heart of the city of Venice (Italy). The registration fees include full accommodation. /Further information:// /For further information on scope of the meeting, speakers, program, applications, deadlines, venue, etc. see the school web site https://www.side-iea.it/events/postgraduate-courses /Description (Networks Econometrics)// /The aim of the course is to provide the fundamentals of the econometrics network with particular reference to the Network mapping and visualisation, the Network Extraction Methods, Multi-layer Network Models and their applications to finance. The tutorials will develop applications to stocks, interest rates and commodities markets and to contagion analysis. Modelling of financial and commercial trade networks will be considered as well. /Description (Bayesian Multivariate Models and Forecasting in Economics and Finance)// /The course is advanced and covers state-of-the-art techniques and recent developments in Bayesian Multivariate Models, for structural analysis and forecasting, nonparametric methods and forecast combinations with a broad range of applications in economics and finance. The methods introduced in the lectures will be illustrated with hands-on applications in MATLAB. Please help us to promote this meeting by forwarding this email to anyone you know might be interested, and especially bring this announcement to the attention of your students or post-docs, who are likely not on our mailing lists. Apologies for cross-posting. The Organizers Roberto Casarin and Gaetano Carmeci -- Roberto Casarin, PhD Professor of Econometrics University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Web: http://venus.unive.it/r.casarin/ IMEF: http://www.unive.it/imef VERA: http://www.unive.it/vera ORCID: https://orcid.org/0000-0003-1746-9190

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Seminar of Francesco Morandin and Alessandro Montagnani, Padova 18/02/2020
by barbato＠math.unipd.it 14 Feb '20

14 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 18. Speaker: Francesco Morandin Title: Turbulence, shell models and critical exponents for dissipation Abstract: Shell models of turbulence are nonlinear dynamical systems inspired by fluid dynamics. They are idealized and simplified, but tailored to exhibit the same energy cascade behaviour of three dimensional Euler and Navier-Stokes equations. A typical feature of these models is in fact anomalous dissipation of energy, which in finite time "escapes" to infinity, yielding a blow-up and instantaneous loss in regularity. A dissipative term corresponding to viscosity can recover regularity, for some of these models, but in total generality one needs hyper-dissipation, with an exponent larger than the physical one. Recent results hint that in the more refined framework of tree (hierarchical) models the required exponent may be actually lower. Speaker: Alessandro Montagnani Title: A stationary solution for turbulence shell models. Abstract The focus of the talk is to study well-posedness, with respect to generic Gaussian distributed initial data, in turbulence shell models. In the of state-of-the-art results we have existence of solution for any finite energy initial conditions. Here we show the generic existence of solutions with respect to initial data distributed as Gaussian invariant measures, in "mixed" dyadic and tree-like shell models, extending the classical deterministic results. The existence is given thanks to compactness argument and techniques similar to the ones used by Albeverio and Cruzeiro for Euler equation (and more recently with a different approach by F. Flandoli), adapted to our model. Uniqueness is not provided, and the natural oscillating behaviour of the solutions obtained may suggests that it doesn't hold at all All of you are very welcome. Best regards, David Barbato

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13th European Summer School in Financial Mathematics, Vienna, Aug. 31- Sept. 4, 2020 (fwd)
by Tiziano Vargiolu 13 Feb '20

13 Feb '20

---------- Forwarded message ---------- Date: Tue, 11 Feb 2020 14:39:42 +0100 From: Christa Cuchiero <christa.cuchiero(a)univie.ac.at> To: christa.cuchiero(a)unvie.ac.at Subject: 13th European Summer School in Financial Mathematics, Vienna, Aug. 31- Sept. 4, 2020 Dear colleagues, we are pleased to announce the 13th European Summer School in Financial Mathematics on "Machine Learning in Finance" and "McKean-Vlasov Equations & Mean Field Games in Finance" which will be held at the University of Vienna, from August 31 to September 4, 2020. Mini-courses will be given by Lyudmila Grigoryevya Xin Guo Lukasz Szpruch Josef Teichmann Detailed information on the summer school and instructions for applications can be found at: https://www.univie.ac.at/summer_school_MathFinance/index.html The application deadline is April 30, 2020. Successful applicants will be sponsored for accommodation and (partly) travel expenses. Please bring the announcement to the attention of PhD-students and other researchers who may be interested to attend. Kind regards, Christa Cuchiero

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Postdoc in Financial Mathematics at Dublin City University
by Paolo Guasoni 13 Feb '20

13 Feb '20

Dear Colleague, Dublin City University has a Postdoctoral position (Two-year) in Financial Mathematics https://www.dcu.ie/sites/default/files/hr/rf1327_postdoctoral_researcher_fi… The closing date for the application is March 6th, 2020. With best regards, Paolo Guasoni -- * *Séanadh Ríomhphoist/Email Disclaimer* *Tá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://sites.google.com/view/seanadh-riomhphoist>* *This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://sites.google.com/view/dcu-email-disclaimer>* * -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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PhD Course, Tor Vergata (Matematica), Paolo Pigato
by Claudio Macci 13 Feb '20

13 Feb '20

Department of Mathematics, Univ. Roma Tor Vergata PhD Course held by Paolo Pigato (10 hours) Title: Fractional Brownian motion and non-Markovian modeling Schedule: March 03, 2020; h. 14-16. Room: Aula D'Antoni March 05, 2020; h. 14-17. Room: Aula D'Antoni March 10, 2020; h. 14-16. Room: Aula De Blasi March 12, 2020; h. 14-17. Room: Aula D'Antoni Abstract. In several applications of stochastic analysis (financial engineering, telecommunication networks, ...), it is desirable to model real-world quantities which are non-Markovian, for example because the noise process exhibits slowly decaying auto-correlations and long memory. In this course we will focus on fractional Brownian motion, a prototypical example of non-Markovian process. Such process is a generalisation of Brownian motion with Holder regularity possibly different than 1/2 and it is not a martingale. We will consider large deviations problems, simulation methods and some examples of application. Some other details can be found here: http://www.mat.uniroma2.it/~macci/corso-dottorato-pigato.htm Best regards. Claudio Macci.

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BAYSM 2020: Announcement on coronavirus
by Federico Camerlenghi 13 Feb '20

13 Feb '20

Dear all, as you may already be aware, there is a recent coronavirus epidemic going around in China, which may have raised concerns in attending the BAYSM 2020 meeting in China late June https://baysm2020.uconn.edu/ . As a satellite meeting of the 2020 ISBA World Meeting (Kunming, China, June 29-July 03), we would like to cite the email that ISBA Program Council just sent to ISBA members to address the coronavirus concerns and ISBA World Meeting in China: "We are keeping a close eye on the development. While at this point we are cautiously optimistic that the epidemic will not last till June, both as a result of the extraordinary measure that China is taking to contain the spread, and as cold-like coronaviruses generally don't spread effectively as temperature rises in spring. However, we want to stay cautious and keep options open, and will take the necessary actions to ensure the health and safety of our community." We are holding the same position as the ISBA Program Council and will keep you all updated of any changes in the plan of the meeting. Particularly, if the epidemic is not contained in the next couple of months, and thus the community participating in the meeting will be subject to health risk, we will consider alternatives such as postponing the BaYSM Meeting. For now, we have decided to extend the early registration deadline as follows. Deadline for submissions: May 1 2020 23:59 CST End of review process: May 23 2020 Early registration: June 01 2020 Late registration: June 15 2020 Thank you for your support of our BaYSM Meeting. We hope that the epidemic will be over soon and we will see you all in Kunming at the BaYSM this June. Best Regards, On behalf of the organizing committee Federico Camerlenghi -- Federico Camerlenghi Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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Seminar of Nicola Secomandi, Padova, Friday 21
by Tiziano Vargiolu 13 Feb '20

13 Feb '20

*** Apologies for cross-posting *** Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics, University of Padova (via Trieste, 63), on February 21 h. 15.30 room 1BC/45. -------------------------------------------------- NICOLA SECOMANDI Tepper School of Business, Carnegie Mellon University Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Abstract: This paper extends quadratic hedging from European to Bermudan options in discrete time when markets are incomplete and investigates its use for supporting exercise policy optimization. The key idea is to construct date specific approximate replicating portfolios. Hedging any given exercise policy can be done by solving a collection of stochastic dynamic programs. Optimizing the exercise policy based on the resulting martingale measure requires care. If this measure is risk neutral (RN), the value of an optimal such policy, which can be obtained by augmenting the hedging model with an exercise policy optimization step, is a no arbitrage one. Otherwise this approach must be refined by imposing time consistency on exercise policies, although the value of the resulting exercise policy may not be arbitrage free. Following the common pragmatic strategy of specifying quadratic hedging under an RN measure, e.g., one calibrated to market prices, avoids these issues. In particular, it provides a simple hedging policy with immediate practical applicability and is equivalent to exercise policy optimization under RN valuation, thus complementing it with a consistent hedging policy. A simple numerical example shows that this procedure generates effective hedging policies. Paper available at https://arxiv.org/abs/2001.05788?context=q-fin --------------------------- All the best Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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