October 2021 - Random - Mailing list — Dipartimento di Matematica, UniPI

Seminar by Francesca Biagini in Verona (Virtual)
by Alessandro Gnoatto 07 Oct '21

07 Oct '21

Prof. Francesca Biagini (LMU Munich) will give a virtual talk at our Department seminar. Date: 13 October 12:00 CEST. Title: "Reduced-form setting under model uncertainty with non-linear affine intensities" If you would like to attend via Zoom, please register at the following link, we will send you the details: https://docs.google.com/forms/d/e/1FAIpQLSe6_5W5PbKr9R3fufAahV1D4js4-6AAcEn… Abstract: In this talk we present a market model including financial assets and life insurance liabilities within a reduced-form framework under model uncertainty by following [1]. In particular we extend this framework to include mortality intensities following an affine process under parameter uncertainty, as defined in [2]. This allows both to introduce the definition of a longevity bond under model uncertainty in a consistent way with the classical case under one prior, as well as to compute it by explicit formulas or by numerical methods. We also study conditions to guarantee the existence of a càdlàg modification for the longevity bond’s value process. Furthermore, we show how the resulting market model extended with the longevity bond is arbitrage-free and study arbitrage-free pricing of contingent claims or life insurance liabilities in this setting. This talk is based on: [1] Francesca Biagini and Yinglin Zhang. Reduced-form framework under model uncertainty. The Annals of Applied Probability, 29(4):2481–2522, 2019. [2] Francesca Biagini and Katharina Oberpriller. Reduced-form framework under model uncertainty. accepted on Probability, Uncertainty and Quantitative Risk, 2021. [3] Tolulope Fadina, Ariel Neufeld, and Thorsten Schmidt. Affine processes under parameter uncertainty. Probability, Uncertainty and Quantitative Risk [link.springer.com] volume 4 (5), 2019. -- Prof Alessandro Gnoatto, PhD Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com E-mail: alessandro.gnoatto(a)univr.it -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

1 0

[MLfF] Call for contributions : MACHINE LEARNING FOR FINANCE, 3rd One-Day International Remote Workshop
by Marco Corazza 07 Oct '21

07 Oct '21

*3rd One-Day International Remote Workshop on* *MACHINE LEARNING FOR FINANCE* It is open the *call for contributions* for the *3rd One-Day International Remote Workshop on MACHINE LEARNING FOR FINANCE* *Workshop* - Date: December 17th, 2021 - Mode: Streaming via the Zoom platform offered by the Department of Economics of the Ca’ Foscari University of Venice - Attendance free of charge *Topics* Artificial Intelligence, Machine Learning and Soft Computing for Finance, Insurance and Actuarial Disciplines *Submission* - Proposal: Title, author(s) and abstract of about 200 words - Deadline: December 10th, 2021 - Send to: corazza(a)unive.it *Publications* Facultative submission of papers to the international journal *Mathematical Methods in Economics and Finance* (https://unive.it/m2ef) included in the MathSciNet list of journals and in the Italian National Agency for the Evaluation of Universities and Research Institutes one *Past editions* - One-Day International Remote Workshop on MACHINE LEARNING FOR FINANCE - October 3rd, 2019: https://www.unive.it/data/agenda/3/32112 - 2nd One-Day International Remote Workshop on MACHINE LEARNING FOR FINANCE - December 18th, 2020: https://www.unive.it/data/agenda/3/45054 Best regards, Marco Corazza P.S. - We apologize for possible multiple copies of this email. -- Marco Corazza, Ph.D. Department of Economics - Ca' Foscari University of Venice San Giobbe, Cannaregio 873 - 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it Editor-in-Chief: Mathematical Methods in Economics and Finance - www.unive.it/m2ef

1 0

(PMS)^2 online talk: Carlo Bellingeri, Monday October 11 at 17.30
by Carlo Orrieri 07 Oct '21

07 Oct '21

Dear colleagues, We are happy to announce the following online talk: Speaker: Carlo Bellingeri (TU Berlin) Title: Signatures and non commutative probability. Abstract: Given a smooth path X, the signature of a path is the infinite sequence of the iterated integral of X with itself. If X is a stochastic process with an integration structure (e.g. semimartingale), the corresponding signature is the key-object to understand the "lack of continuity" between the solution of a SDE driven by X and the process itself. In this talk, we will review the main properties of the signature and introduce the new notion of "non-commutative signature", which we tailored to study a new class of rough/stochastic differential equations arising in the context of non-commutative probability. Joint paper with Nicolas Gilliers (Université de Toulouse) and Yannick Vargas (Postdam Universität) Date and time: Monday October 11, 17:30-18:30 (Rome time zone) Zoom link: https://us02web.zoom.us/j/5772228296 <https://us02web.zoom.us/j/5772228296> This talk is the second of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. Participation is free and welcome! (though limited to 100 participants for technical reasons) Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

1 0

Postdoc position at the Scuola Normale Superiore on the project "Mean Field Games aspects of training residual networks”.
by Giulia Livieri 06 Oct '21

06 Oct '21

Dear all, A call for a 12 month research contract is open at the Scuola Normale Superiore, Pisa (Italy). The topic of the research is *“**Mean Field Games aspects of training deep neural networks and the use of deep neural networks for solving Mean Field Games”* and it is part of the project *“**Mean Field Games aspects of training residual networks”**.* In particular, the research will be focused on the study of the training of deep neural network via the Mean Field Games approach and/or on the use of deep neural network to solve Mean Fields Games problems. A special emphasis will be put on the mathematical aspects of the two approaches. The research will be developed under the direction of the scientific director Dr. Giulia Livieri. Duration of the contract: 1 year (estimated starting: November 2021) Annual gross remuneration, inclusive of all taxes: € 29,000 The details of the call (in Italian and English) are available at https://amministrazionetrasparente.sns.it/sites/default/files/bandi/assegni… The deadline is November 5, 2021. In case you need more information, please contact Giulia Livieri (giulia.livieri(a)sns.it) Thanks and all the best, Giulia Livieri

1 0

Urgente: Bando RTD-A - MAT/06 - Università di Milano
by Daniela Morale 05 Oct '21

05 Oct '21

Cari colleghi, vi segnaliamo che è appena uscito il bando per un posto di ricercatore a tempo determinato di tipo A nel settore MAT/06, per lo svolgimento di attività di ricerca vincolata su tematiche green e innovazione - DM 10 agosto 2021 n. 1062 presso il Dipartimento di Matematica Federigo Enriques, Università degli Studi di Milano *Scadenza della domanda: *19 Ottobre 2021, ore 12:00 Tutte le informazioni sono reperibili alla seguente pagina: Ricercatore Tipo A – DM 1062-21 - s.c.01/A3, ssd MAT/06 (Codice 4872) <https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele…> Vi preghiamo di dare ampia diffusione tra i vostri collaboratori interessati, considerata la scadenza a breve. Grazie Cordiali saluti Daniela Morale e Stefania Ugolini ___________________________________________________________ Daniela Morale Dept. Mathematics University of Milano Via C. Saldini, 50 20133 MILANO, Italy phone: +39 02 5031 6081 fax: +39 0250316090 email: Daniela.Morale(a)unimi.it URL: http://www.mat.unimi.it/users/morale/ ________________________________________________________ * "*Even if you are a minority of one, the truth is the truth *"Gandhi* "Everything should be made as simple as possible, but not simpler." *A. Einstein*

1 0

PhD position at Aarhus university
by Alessandra Cipriani 05 Oct '21

05 Oct '21

Ricevo ed inoltro. Alessandra Cipriani ============== 3-year PhD position at Aarhus University ============== The Department of Mathematics at Aarhus University invites applications for a 3-year PhD position in spatial random networks and topological data analysis starting in February 2022. The closing date of the vacancy is November 1, 2021. More details can be found in the official vacancy text: https://phd.nat.au.dk/for-applicants/open-calls/november-2021/spatial-rando…<https://urldefense.proofpoint.com/v2/url?u=https-3A__phd.nat.au.dk_for-2Dap…> For further inquiries about the position please contact Assoc. Prof. Christian Hirsch: c.p.hirsch(a)rug.nl<mailto:c.p.hirsch@rug.nl> Best regards, Christian Hirsch

1 0

Postdoc position at the Scuola Normale Superiore
by Fabrizio Lillo 04 Oct '21

04 Oct '21

Dear all, A call for a 15 month research contract is open at the Scuola Normale Superiore, Pisa (Italy). The topic of the research is “Algorithmic trading in energy markets with market microstructure methods” and it is part of a collaboration between A2A and Scuola Normale. The project will concern the development of quantitative methods for the analysis and modeling of the high frequency dynamics of price and of limit order book in energy markets. Specifically, the research will focus on: time series analysis and modeling in energy markets, short-term scenario generation of market evolution and development of market making and optimal execution strategies. The research activity will be done in close collaboration with the A2A quantitative team in Milan. The details of the call (in Italian and English) are available at https://amministrazionetrasparente.sns.it/bando/algorithmic-trading-nei-mer… The deadline is October 21. I would be grateful if you could forward this message to any potentially interested candidate. In case you need more information, please contact Fabrizio Lillo (fabrizio.lillo(a)sns.it) Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica, Università di Bologna Scuola Normale Superiore, Pisa ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

1 0

Bando RTD-B MAT/06, Università di Siena
by Lucia Caramellino 04 Oct '21

04 Oct '21

Cari tutti, informo che è uscito in Gazzetta Ufficiale un bando per RTD-B SC 01/A3 Analisi matematica, SSD MAT/06 Probabilità e Statistica matematica, presso il Dipartimento Ingegneria dell’Informazione e Scienze Matematiche dell'Università di Siena. Tutte le informazioni sono reperibili all'indirizzo https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/ricercatore-tempo… <https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/ricercatore-tempo…> (scadenza: 2 novembre 2021). Buona giornata, Lucia +++++++++++++++++++++++++++++++++ Lucia Caramellino Dipartimento di Matematica Università di Roma “Tor Vergata” Web: http://www.mat.uniroma2.it/~caramell <http://www.mat.uniroma2.it/~caramell>

1 0