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

Rtd-b Genova
by Eva Riccomagno 23 Mar '21

23 Mar '21

Buonasera a Tutti è stato pubblicato l'avviso relativo all'indizione di una procedura selettiva per 1 posto da Ricercatore a tempo determinato RTD-B in SECS-S/01 presso il Dipartimento di Matematica dell’Università degli Studi di Genova. Il bando è disponibile alla pagina concorsi del sito web di Ateneo all’indirizzo https://concorsi.unige.it/home/procedure/2768 <https://concorsi.unige.it/home/procedure/2768> La scadenza per la presentazione delle domande è il 19 aprile 2021 alle ore 12:00:00. Cordiali saluti, Eva Riccomagno

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Sussex probability seminar
by Enrico Scalas 23 Mar '21

23 Mar '21

Dear Colleagues, Next Monday 29th March at 11am, we’ll have an online probability seminar with a talk given by Nicholas Simm. Title: The characteristic polynomial of a random unitary matrix: from secular coefficients to holomorphic multiplicative chaos Description: I will begin by introducing some basic questions / historical tidbits regarding eigenvalue statistics of random matrices. Then I will discuss some recent work concerning limit theorems for secular coefficients of random unitary matrices, which are the Fourier coefficients of the characteristic polynomial. This draws on ideas from Gaussian multiplicative chaos on the one hand, but also combinatorial structures such as magic squares and random permutations make an appearance. This is joint work with Joseph Najnudel (Bristol) and Elliot Paquette (McGill) , pre-print: https://arxiv.org/pdf/2011.01823.pdf. If you are interested in attending, please write to Dr Minmin Wang ( minmin.wang(a)sussex.ac.uk) for the Zoom link. Best wishes, Enrico Scalas

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10th General AMaMeF Conference - Call for Contributed Talks
by Claudio Fontana 23 Mar '21

23 Mar '21

Dear all, This is the Call for Contributed Talks at the 10th General AMaMeF Conference, held on 22-25 June 2021. The 10th edition of the meeting will be hosted by the Department of Mathematics "Tullio Levi-Civita" at the University of Padova (Italy). The program consists of 8 plenary lectures, 9 invited sessions and several contributed sessions. We welcome submissions for contributed talks in mathematical finance and its applications, including but not limited to the following topics: • Algorithmic trading • Asset pricing under market frictions • Collateralization and XVA • Credit risk and interest rate modeling • Energy and commodity markets • Equilibrium models • Financial technology • Green and sustainable finance • Insurance mathematics • Machine learning in finance • Market microstructure • Mean-field games and stochastic control • Model uncertainty and model risk • Optimal transport and robust finance • Portfolio optimization • Risk measures • Stochastic volatility modeling • Systemic risk and financial networks Each contributed talk will be allocated a 30 minutes time slot (25 min. presentation + 5 min. Q&A). Submission: you can submit title and abstract of your talk, with complete indication of names and affiliations of all authors, together with at most five key-words. It is possible (but not required) to upload the pdf file of your paper or an extended abstract. Submission webpage: https://easychair.org/conferences/?conf=amamef-2021 <https://easychair.org/conferences/?conf=amamef-2021> Deadline: Monday 3 May 2021. Acceptance notifications will be sent before 15 May 2021. Format of the conference: we plan to organize the conference in a hybrid format, with the presence of a limited number of participants in Padova. For in person participation, we will follow a first-come-first-served rule, according to the date of registration to the conference (the opening of the registration will be announced in due time). In any case, every speaker will have the possibility of presenting remotely. If the conditions do not allow a hybrid format, we will rapidly switch to a fully online format. We expect to have precise information on the format of the conference in April. Fees for a virtual conference will be significantly less than for an in-person conference. Conference website: https://events.math.unipd.it/AMAMEF2021 <https://events.math.unipd.it/AMAMEF2021> Contact: any inquiry about submissions should be emailed to amamef2021(a)math.unipd.it <mailto:amamef2021@math.unipd.it> Best regards, The organising committee, Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu

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Post-Doc position at the Weierstrass Institute
by Robert I. A. Patterson 23 Mar '21

23 Mar '21

Dear colleagues, the Weierstrass Institute in Berlin has an immediate vacancy for a post-doc in the group “Interacting Random Systems”. This is a staff position where one would have some freedom to take on responsibility and start new projects. For more details please see https://short.sg/j/9473020 <https://short.sg/j/9473020> . The deadline for applications is 02 May. Kind regards, Robert Patterson

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International Conference in Venice on COMPOUND RISK - CALL FOR PAPERS
by Monica Billio 21 Mar '21

21 Mar '21

20th INTERNATIONAL CONFERENCE CREDIT 2021 *Compound Risk: Climate, Disaster, Finance, Pandemic * Venice, Italy 23 –24 September 2021 * * *GRETA Associati* (Venice, Italy), *European Datawarehouse *(Frankfurt, Germany), *European Investment Bank* (Luxembourg), *European Investment Fund *(Luxembourg) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 23-24, 2021. The Conference CREDIT 2021 will bring together academics, practitioners and PhD students working in various areas of financial and credit risk with the aim to create a unique opportunity for participants to discuss research progress and policy and industry-relevant insights as well as directions for future research. Credit 2021 is the *twentieth *in a series of events dedicated to various aspects of credit risk and organised under the auspices of the *Department of Economics* and *VERA - Venice centre in Economic and Risk Analytics for public policies - of the Ca’ Foscari University of Venice*, *ABI - Italian Banking Association*,***AIAF - Associazione Italiana per l'Analisi Finanziaria* and the *Joint Research Center, European Commission* (Ispra, Italy). The theme of this year’s conference is the relation between financial risk on the one hand and pandemic, climate and disaster risk, on the other hand, with particular attention to the possible compounding of different sources of risk. The past year, 2020, has been marked by the still-ongoing COVID-19 pandemic crisis, which has shown how fragile our economic systems can be when confronted with shocks that threaten public health and the closeness of the connections between economic and financial risks and public policy. Climate change is now widely recognized as a new source of financial risk which is relevant both at the level of households and individual institutions and the systemic level. In particular, the many central banks and financial institutions that have joined the Network for Greening the Financial System (NGFS) have issued recommendations on how to integrate climate considerations into risk management strategies and practices. However, risks such as pandemics and climate change do not occur in isolation but can also compound, as has already been seen in several countries. The compounding of risk, which is currently poorly understood, increases the complexity of risk assessment and risk management, and it has implications for socio-economic development, as well as for public debt sustainability. In the EU, these aspects have major implications for efforts to increase the resilience of the economy to future shocks and to “build back better”, and requires the alignment of COVID-19 recovery policies, such as those supported by the NextGenerationEU, and the EU Green Deal and the Paris Agreement targets. The organizers of CREDIT 2021 encourage submissions on a range of topics of relevance to this year’s theme including: finance and COVID-19; finance and climate risks; finance and compound COVID-19 and climate risks. In particular, submissions are welcome in the following areas: • INVESTMENTS: Sustainable Finance, Disaster risk finance; Finance 4 good; public finance; blended finance. • POLICIES: Climate Policies, European Green New Deal; Next Generation EU; Recovery Plan. • INFORMATION: Data gaps; modelling challenges; risk transmission channels; uncertainty; complexity. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Vittoria Colizza *(INSERM, France), *Robert Engle *(Stern Business School, New York University) and *Roberto Rigobon* (MIT Sloan School of Management) who will deliver keynotes, respectively on finance and on epidemics. The Conference will also feature panel discussions on researchers', practitioners' and policy makers’ views of the major issues at stake. The SCIENTIFIC COMMITTEE for the Conference consists of: • * Stefano Battiston *(Ca’ Foscari University of Venice & University of Zurich, Programme Chair) • * Monica Billio *(Ca’ Foscari University of Venice & GRETA) • * Francesca Campolongo *(Joint Research Center, European Commission) • *Vittoria Colizza* (INSERM, France) • * Helmut Kraemer-Eis* (European Investment Fund) • * Jan Pieter Krahnen* (Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt) • *Irene Monasterolo *(Vienna University of Economics and Business) • *Steven Ongena* (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) • *Roberto Rigobon* (MIT Sloan School of Management) • *Stephen Schaefer* (London Business School) CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *May 31, 2021 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 30, 2021*. The final version of accepted papers must be received by August 31, 2021. Please send papers to: GRETA Associati, San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - e-mail: credit(a)greta.it <mailto:credit@greta.it> More detailed information available on the Conference website: https://www.greta.it/index.php/it/credit-2021 <https://www.greta.it/index.php/it/credit-2021>

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Post-doc position in Luxembourg
by Giovanni Peccati 20 Mar '21

20 Mar '21

Dear Colleagues, here is the announcement for a post-doc position (2Y) in mathematics at the University of Luxembourg: http://emea3.mrted.ly/2nwqp Please, do not hesitate to forward the announcement to potentially interested candidates. Best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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bando RTD-B in SECS-S/01, Statistica, Univ. Verona, scadenza 22/3
by Cecilia Mancini 19 Mar '21

19 Mar '21

Segnalo un bando per un posto da RTD-B in SECS-S/01, Statistica, presso l'Università di Verona, Dipartimento di Scienze Economiche. Scadenza lunedì 22 ore 20. Il bando si trova all'indirizzo https://www.univr.it/it/concorsi/personale-docente/ricercatore/ricercatore-… Saluti Cecilia Mancini

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bando rtd-b in Fisica Matematica all'Aquila
by davide gabrielli 19 Mar '21

19 Mar '21

Segnalo un bando per un posto da rtd-b in Fisica Matematica presso l'Università dell'Aquila. Scadenza 15-04-2021. Il bando si trova all'indirizzo https://www.univaq.it/section.php?id=1532 Si prega di darne la massima diffusione cordiali saluti Davide Gabrielli

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Università di Verona: concorso RTDB in Statistica...
by Marco Minozzo 19 Mar '21

19 Mar '21

Carissime e carissimi, nella Gazzetta Ufficiale - IV Serie Speciale n. 14 del 19/02/2021 è stato pubblicato l'avviso relativo all'indizione di una procedura selettiva per 1 posto da Ricercatore a tempo determinato RTDB in SECS-S/01 Statistica (Cod. 2021rtdb034) presso il Dipartimento di Scienze Economiche dell'Università degli Studi di Verona. Il bando è disponibili all'Albo ufficiale e alla pagina concorsi del sito web di Ateneo all'indirizzo: https://www.univr.it/it/concorsi/personale-docente/ricercatore/ricercatore-… La scadenza per la presentazione delle domande è il 22 marzo 2021 alle ore 20.00. Un caro saluto, Marco Minozzo ------------------------------------------------------------------- Prof. Marco Minozzo, PhD Presidente Laurea in Economia e Commercio Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129 Verona (Italy) Tel: +39045 8028234 Fax: +39045 8028177 E-mail: marco.minozzo(a)univr.it<mailto:marco.minozzo@univr.it> -------------------------------------------------------------------

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LTI@Unito Webinars: March 1, Massimiliano Caporin | March 2, Roberto Renò
by Luca Regis 18 Mar '21

18 Mar '21

Dear colleagues, || |LTI@UniTO (www.carloalberto.org/lti <www.carloalberto.org/lti>) and Fondazione Collegio Carlo Alberto are pleased to invite you to the following webinars in Mathematical Finance: | | *March 1, 2021 | 17:00-18:00* *“Do jumps matter in Realized Volatility modeling and forecasting? Empirical evidence and a new model”* *Massimiliano Caporin, University of Padova* *Abstract*: Building on an extensive empirical analysis I investigate the relevance of jumps and signed variations in predicting Realized Volatility. I show that properly accounting for intra-day volatility patterns and staleness sensibly reduces the identified jumps. Realized Variance decompositions based on intra-day return size and sign improve the in-sample fit of the models commonly adopted in empirical studies. I also introduce a novel specification based on a more informative decomposition of Realized Volatility, which offers improvements over standard models. From a forecasting perspective, the empirical evidence I report shows that most models, irrespective of their flexibility, are statistically equivalent in many cases. This result is confirmed with different samples, liquidity levels, forecast horizons and possible transformations of the dependent and explanatory variables. *Zoom Link: https://us02web.zoom.us/j/82672618584?pwd=VWdNeWhEc1pyVjJCQ3pucEhtb1BxUT09 <https://us02web.zoom.us/j/82672618584?pwd=VWdNeWhEc1pyVjJCQ3pucEhtb1BxUT09>* Meeting ID: 826 7261 8584 Passcode: 599584 ------ *March 2, 2021 | 12:00-13:15 * *“V-shapes”* *Roberto Renò, University of Verona* *Abstract*: An insidious form of market inefficiency, by which prices lose their informativeness and wealth is distributed arbitrarily, translates into V-shapes, that is sudden changes of the sign of the price drift. We use this insight to develop a new tool for the detection of reverting drift, the V-statistic. We apply this tool to (i) quantify the extent of this kind of market inefficiency in the U.S. stock market during the Covid-19 pandemic; and (ii) show the harmful consequences of V-shapes on financial stability by estimating the huge loss suffered by Italian taxpayers (0.45B euros) in May 2018, when a transient crash hit the secondary bond market during a Treasury auction. /Joint with Maria Flora./ *Zoom link https://us02web.zoom.us/j/82590058916?pwd=VEowc2NUcm5rNmtFdWQ0MlMxUEVLQT09 <https://us02web.zoom.us/j/82590058916?pwd=VEowc2NUcm5rNmtFdWQ0MlMxUEVLQT09>* Meeting ID: 825 9005 8916 Passcode: 055411 We look forward to your participation! | -- Luca Regis Associate Professor Department of Economics and Statistics (ESOMAS) University of Torino sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti ||

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