Random July 2021

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Online seminar by Matteo Brachetta (Polimi), July 14, 17:00
by Elisa Mastrogiacomo 01 Jul '21

01 Jul '21

*** Apologize for cross-posting *** On *July 14 at 17:00, Matteo Brachetta* (Department of Mathematics, Politecnico di Milano <https://scholar.google.com/citations?view_op=view_org&hl=it&org=39070900387…>) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. You can find the title and abstract below. Title: *Optimal Public Debt Management* Abstract: Public debt management is one of the most relevant topics in Economics, especially after economic crises due to wars, pandemics or economic recession. We discuss a class of debt management problems in a stochastic environment model. We propose a model for the Debt-to-GDP ratio where the government interventions (via fiscal policies) affect the public debt and the GDP growth rate at the same time. We allow for a stochastic interest rate on debt and possible correlation with the GDP growth rate. Indeed, both the interest rate and the GDP growth depend on a stochastic factor, which may represent any relevant macroeconomic variable, such as economic conditions. Moreover, shocks on debt and GDP can be correlated. We tackle the problem of a government whose goal is to determine the fiscal policy (quantity of surplus or deficit) in order to minimize a general functional cost. We prove that the value function is a viscosity solution to the Hamilton-Jacobi-Bellman equation and provide a Verification Theorem based on classical solutions. Then we discuss two applications, namely debt reduction and debt smoothing, providing explicit results. The seminar will be on *Zoom*. You can find the information to join below. Speaker: Matteo Brachetta Topic: Optimal Public Debt Management Time: July 14, 2021, 17:00 Rome Where: Zoom Link: https://us02web.zoom.us/j/84293514055?pwd=eFJSQitDTzZ0QUtsMUUzSlh0ZW43Zz09 ID riunione: 842 9351 4055 Passcode: jB3XTr After the talk, you are all invited to remain in the meeting for an informal aperitif and chat. Please forward to anyone interested. Kind regards, Emanuela Rosazza Gianin and Elisa Mastrogiacomo

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Research fellowship, Statistics, Bologna
by Sabrina Mulinacci 01 Jul '21

01 Jul '21

Dear Colleagues, a research fellowship is available at the Department of Statistics of the University of Bologna. Candidates must submit a reasearch project on one of the following topics: Stochastic differential equations, Copulas, Optimal transport, Multivariate dependence, Conditional expectations and their asymptotic behavior, Dynamic models (with time or space-time evolution) in economics, Computational and statistical methods for asset pricing and risk management, Interval analysis and multi-dimensional copulas, Application of special functions to probabilistic and financial models, Rough volatility models, Financial instruments for investment valuation. Deadline for application: July 7th 2021 Details and call for applications can be found at https://bandi.unibo.it/ricerca/assegni-ricerca?id_bando=53471 Best Regards Sabrina Mulinacci

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tenure-track position in probability at TU Vienna
by Prof. Fabio Toninelli 01 Jul '21

01 Jul '21

Dear colleagues, the Technical University of Vienna <https://www.tuwien.at/en/> is advertising a *tenure-track* *position in probability* (main focus: probabilistic methods in mathematical physics and related areas). The (earliest) starting date is March 1^st , 2022. The successful candidate will become member of the Mathematical Stochastics group, that I have been heading since 2020. I would be grateful if you could forward this message to any suitable candidates (the application deadline is *September 9th, 2021*). Applications can be submitted online via this link <https://jobs.tuwien.ac.at/Job/153800>. Candidates are encouraged to contact me <https://toninellifabio.wixsite.com/homepage> (fabio.toninelli(a)tuwien.ac.at) directly for any question related to this position. With best wishes and many thanks Fabio Toninelli -- Prof. Dr. Fabio Toninelli Technical University of Vienna Institut für Stochastik und Wirtschaftsmathematik Wiedner Hauptstrasse 8-10, 1040 Wien, Austria Office: 6th floor, green area. tel: +43-1-58801-10570 https://toninellifabio.wixsite.com/homepage

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