August 2022 - Random - Mailing list — Dipartimento di Matematica, UniPI

PhD course in Padova by C. Cuchiero and S. Svaluto-Ferro (signatures)!
by Giorgia Callegaro 26 Aug '22

26 Aug '22

Dear all, It is a pleasure to invite you to follow, in presence, in Torre Archimede (Department of Mathematics, Padova) or online, via Zoom, the PhD course lectures given by Profs Christa Cuchiero and Sara Svaluto-Ferro in September 2022. They will give a PhD course entitled : "*Signatures in finance: life, death, and miracles*", starting the 5th September 2022. Each lecture will last 90 minutes. More details can be found here: *https://www.math.unipd.it/~dottmath/corsi2022/CuchieroSvaluto-fuori%20catalogo.pdf <https://www.math.unipd.it/~dottmath/corsi2022/CuchieroSvaluto-fuori%20catal…>* and here: *https://dottorato.math.unipd.it/calendar/202209 <https://dottorato.math.unipd.it/calendar/202209>* Please send me an email in case you're interested in receiving the Zoom link. Lectures will not be recorded. Have a nice weekend, Giorgia Callegaro -- Giorgia Callegaro Associate Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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August 22: Deadline for Financial support for "Random processes in the brain: From experimental data to Math and back"
by Massimiliano Tamborrino 20 Aug '22

20 Aug '22

Dear all, I hope you are having a great summer. I am writing you to share some information (including an incoming deadline on August 22 for financial support!) with respect to the 6th Weeks Thematic Program "Random processes in the brain: From experimental data to Math and back<https://rpbihp.numec.prp.usp.br/index.php/Pathways_to_the_2023_IHP_thematic…>" which will be held at the Institut Henri Poincaré (IHP) Paris from the 27th February to the 7th April 2023. The program will include two workshops: * March 6-10, 2023: Structural learning by the brain (IHP, Paris)<https://indico.math.cnrs.fr/event/7794/> * March 27-31, 2023: Networks of spiking neurons (IHP, Paris)<https://indico.math.cnrs.fr/event/7793/> There will also be two Doctoral series of 5 lectures in the weeks preceeding the two workshops 1. Stochastic modeling of structural learning by the brain using electrophysiological and behavioral data. Five lessons course, February 27-March 3 2. 3. Systems of spiking neurons described by point processes with memory of variable length. Five lessons course, March 20-24 There will also be several Topical Days during the thematic program, but the precise schedule has not yet been fixed. In the meantime, we are organising a seminar series leading to the thematic program. You could find more information about the past and incoming seminars here https://rpbihp.numec.prp.usp.br/index.php/Pathways_to_the_2023_IHP_thematic… It is important to register in the IHP website before August 22 if you need financial support to attend the thematic program https://indico.math.cnrs.fr/event/7792/ Funding could be requested for attending the whole 6 weeks programmes as well as part of it (e.g. one of the weeks for the Workshops). Please feel free to get in touch if you have any additional questions. Best wishes, Massimiliano ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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Ph.D. position - Bielefeld University
by Nendel, Max 19 Aug '22

19 Aug '22

Bielefeld University's Collaborative Research Center (CRC) 1283 “Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications” has an open Ph.D. position in its project C7. The research in the project C7 focuses on the mathematical analysis of model uncertainty in economics and finance. A particular interest is given to the development of new solution concepts for classes of Hamilton-Jacobi-Bellman equations appearing in the context of optimal decision problems under uncertainty. On the other hand, the project aims to investigate connections to statistics and numerics as well as applications in actuarial science. The successful candidate is expected to have a scientific university degree in Mathematics, Mathematical Economics, Mathematical Finance or a related field and to have good knowledge in at least one of the following topics: (stochastic) optimal control, functional analysis and partial differential equations, topological aspects of measure theory, stochastic analysis. Starting date: at earliest convenience Application deadline: 15.09.2022 Salary level: part time 75% in the remuneration level 13 TV-L Contract: fixed-term limited until 30.06.2022 with possibilities for an extension thereafter Contact: Asst. Prof. Dr. Max Nendel, max.nendel(a)uni-bielefeld.de<mailto:max.nendel@uni-bielefeld.de> For further information see: https://uni-bielefeld.hr4you.org/job/view/1728/research-position?page_lang=…

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Fwd: Postdoc in Manchester
by Faggionato, Alessandra 17 Aug '22

17 Aug '22

Buongiorno, ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Sebastian Andres <sebastian.andres(a)manchester.ac.uk> Date: Wed, 17 Aug 2022 at 10:58 Subject: Postdoc in Manchester To: Faggionato, Alessandra <faggiona(a)mat.uniroma1.it> *Research Associate in Probability, Department of Mathematics, University of Manchester* Full job description: https://www.jobs.manchester.ac.uk/displayjob.aspx?jobid=23127 Applications are invited for a 24 month Postdoctoral Research Associate position, to start in March 2023, or at the earliest possible time thereafter. We are looking for academics of outstanding ability, who are seeking a friendly, supportive and collegial environment in which to develop as world-class researchers, and who will contribute to the continued development of the Probability & Statistics Group, Department of Mathematics, in the School of Natural Sciences. The post holder will work with Dr Sebastian Andres on his EPSRC Grant 'Homogenization of random walks: degenerate environments and long-range jumps'. In this project we aim to study random walks in random environment with long-range jumps and the associated partial differential differential equations involving non-local discrete operators describing the transition probabilities or heat kernels of such random walks. Priority will be given to applicants with expertise in probability, PDE analysis and other related fields. The successful candidate will have completed (or nearly completed) a PhD or equivalent in probability theory or a related area prior to their appointment, and will have demonstrated a capacity to produce world-class research. Further, you will be expected to work independently and in collaboration, engage with new ideas, and contribute new insights. The position comes with some travel funding and carries no teaching duties. *Applications should include:* - a motivation letter, - a CV including a list of publications, - contact details of at least two referees, - the academic transcripts for all university degrees. Please see the link above for further information. The closing date for applications is 30th September 2022. For further enquiries contact Dr Sebastian Andres: sebastian.andres(a)manchester.ac.uk -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Fwd: Research Fellow position in Applied Mathematics and Statistics at Birmingham
by Alejandra Avalos Pacheco 14 Aug '22

14 Aug '22

fyi ---------- Forwarded message --------- From: Panayiota Touloupou <p.touloupou(a)bham.ac.uk> Date: Fri, 12 Aug 2022 at 18:01 Subject: Research Fellow position in Applied Mathematics and Statistics at Birmingham To: Panayiota Touloupou <p.touloupou(a)bham.ac.uk> Cc: Joaquin Prada <j.prada(a)surrey.ac.uk> Dear colleagues, I hope you are well. I am writing to let you know that we are currently advertising a Research Fellow position in Applied Mathematics and Statistics to work with Dr Panayiota Touloupou (University of Birmingham) and Dr Joaquin M. Prada (University of Surrey) on the Task Force For Global Health funded project "Efficient post-elimination surveillance strategies for Neglected Tropical Diseases (NTDs)”. All the relevant information can be found at: *https://bham.taleo.net/careersection/external/jobdetail.ftl?job=220001HF <https://bham.taleo.net/careersection/external/jobdetail.ftl?job=220001HF>* Could you please circulate and passing this on to anyone who you think might be interested? Please note the closing date for applications is *25th August 2022*. Many thanks, Panayiota

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Ph.D. position in Statistics at TU Eindhoven (Netherlands)
by Elisa Perrone 09 Aug '22

09 Aug '22

Dear Colleagues, The Department of Mathematics and Computer Science of TU Eindhoven (NL) has a vacancy for a Ph.D. position in Statistics. We are looking for a motivated candidate with a solid theoretical background in Probability/Statistics to join our group and conduct theoretical research in the area of dependence modeling and copulas under my supervision. Application deadline: September 11, 2022. Job description: https://jobs.tue.nl/en/vacancy/phd-in-statistics-950429.html <https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fjobs.tue.…> I would appreciate it if you could forward this email to any potential candidate. Thanks and best wishes, Elisa --- Elisa Perrone, Ph.D. Assistant Professor Department of Mathematics and Computer Science Eindhoven University of Technology elisaperrone.info <http://elisaperrone.info/>

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2 PhD positions in Mathematics at Rome Tor Vergata, co-funded by Enel Global trading S.p.A.
by Lucia Caramellino 08 Aug '22

08 Aug '22

Dear all, a call for two PhD positions in Mathematics, co-financed by Enel Global Trading S.p.A. (https://globaltrading.enel.com <https://globaltrading.enel.com/>), is open at the University of Rome Tor Vergata. The main topics are the following: - Rough Paths and Signature Transforms; - Integrated Global Portfolios. The call (unfortunately only in Italian) is available at http://dottorati.uniroma2.it/Public/download/1010a7bd-1b57-428f-8d1e-2ca3cc… <http://dottorati.uniroma2.it/Public/download/1010a7bd-1b57-428f-8d1e-2ca3cc…> The application form is available at https://gestione.dottorati.uniroma2.it/application/default.aspx <https://gestione.dottorati.uniroma2.it/application/default.aspx> The deadline for applications is September 7 at 2:00pm (local time). I would be grateful if you could forward this message to any potentially interested candidate. For more information write to Lucia Caramellino <caramell(a)mat.unirtoma2.it <mailto:caramell@mat.unirtoma2.it>>. Best regards, Lucia +++++++++++++++++++++++++++++++++ Lucia Caramellino Dipartimento di Matematica Università di Roma “Tor Vergata” Web: http://www.mat.uniroma2.it/~caramell <http://www.mat.uniroma2.it/~caramell>

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Virtual Bernoulli Young Researcher Event 2022
by Imma Curato 05 Aug '22

05 Aug '22

Cari colleghi, vi inoltro l'annuncio di un workshop online, principalmente pensato per mettere in contatto giovani ricercatori e dottorandi, organizzato dalla Bernoulli Society. Cordiali Saluti Imma Curato ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Bernoulli Young Researcher Event 2022 July 20-21, 2022 (Virtual) Young members of the Bernoulli Society from all over the world active in the areas of Mathematical Statistics, High Dimensional Statistics, Probability and Machine Learning will present their recent contributions in an online event taking place on the 20th and 21st of July 2022 between 15:00-19:00 (CEST). The workshop is intended for a broad audience. The webinar is organized by the Young Researchers Committee of the Bernoulli Society. The list of speakers and the registration form can be found at the following link https://docs.google.com/forms/d/e/1FAIpQLScBLLqQFJ-hxq3ygGPUXTKzdixud1e0Ogu….

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avviso di seminario
by Barbara Martinucci 05 Aug '22

05 Aug '22

Università di Salerno Dipartimento di Matematica AVVISO DI SEMINARIO Martedì 19 luglio 2022, alle ore 15:00, nella sala del consiglio del Dipartimento di Matematica, edificio F2, si terrà il seguente seminario in presenza e online (su Teams): *On reduction-network Cox regression methods with applications* Dr. *Antonella Iuliano* Dipartimento di Matematica, Informatica ed Economia, Università della Basilicata ABSTRACT In this talk, the author presents a novel statistical approach based on the combination of reduction techniques and network-penalized Cox regression methods for the selection of significant covariates to perform suitable predictions. Finally, some applications to high-dimensional data are illustrated. link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_NzMyNzZjYTQtNTgzZC00… Gli interessati sono cordialmente invitati a partecipare, *Barbara Martinucci*

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Call for participation CREDIT 2022 Long Run Risks
by Monica Billio 05 Aug '22

05 Aug '22

21st INTERNATIONAL CONFERENCE CREDIT 2022 *Long Run Risks * Venice, Italy 22 –23 September 2022 * * *GRETA Associati* (Venice, Italy), *Algorand Foundation* (Republic of Singapore), *CRIF *(Bologna, 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 22-23, 2022. The Conference CREDIT 2022 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 2022 is the *twenty-first *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 *AIFIRM - Associazione Italiana Financial Industry Risk Managers*. The theme of this year’s conference brings the attention on long run risks, whose notion is multifaceted, but whose impact is becoming more and more evident and is receiving attention both at political and regulatory level. The SCIENTIFIC COMMITTEE for the Conference consists of: *• Stefano Giglio* (Yale School of Management, Programme Chair)* • Monica Billio* (Ca’ Foscari University of Venice & GRETA)* • Francesca Campolongo* (Joint Research Center, European Commission)* • Helmut Kraemer-Eis* (European Investment Fund)* • Jan Pieter Krahnen* (Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt)* • Elisa Luciano* (University of Torino & Collegio Carlo Alberto)* • Irene Monasterolo* (EDHEC and EDHEC-Risk Climate Impact Institute (ERCII))* • Steven Ongena* (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR)* • Stephen Schaefer* (London Business School)* • Claudio Tebaldi* (Bocconi University)* * PROGRAMME *Thursday, September 22, 2022** * *8.30 Registration* *09.00 Welcome and Opening Remarks* *09.15 Session I – CLIMATE RISK PRICING AND HEDGING** * * *Invited Talk: */TBA /- *Robert F. Engle*, New York University * /A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios/ - *Stefano Giglio*, Yale School of Management, New Haven * /Climate Linkers: Rationale and Pricing - /*Jean-Paul Renne*, University of Lausanne (join with Pauline Chikhani) *11.00 Coffee break* * * *11.30 Session II – CLIMATE CHANGE AND FINANCIAL STABILITY*/ / * /The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy - /*Dmitry Kuvshinov*, Pompeu Fabra University, Barcelona (join with Björn Richter and Kaspar Zimmermann) * /Asset-level Climate Physical Risk Assessment and Cascading Financial Losses - /*Giacomo Bressan*, Vienna University of Economics and Business (join with Anja Duranovic, Irene Monasterolo and Stefano Battiston) * /Accounting for Climate Transition Risk in Banks’ Capital Requirements - /*Lucia Alessi*, European Commission - Joint Research Centre (join with Erica Francesca Di Girolamo, Andrea Pagano and Marco Petracco Giudici) *13.00 Lunch* *14.15 Session III – DISCLOSURE AND ESG INFORMATION* * *Invited Talk*: /TBA - /*Lucrezia Reichlin*, London Business School * /TBA - /*Massimo Morini*, Algorand Foundation, Singapore * /Dynamic ESG Equilibrium - /*Andrea Tarelli*, Catholic University, Milan (join with Doron Avramov, Abraham Lioui, Yang Liu) *16.30 Coffee break and POSTER SESSION I* * * *17.15 Session IV – GREEN SECURITIES*/ / * /The Optimal Design of Green Securities/ - *Adelina Barbalau*, University of Alberta, Edmonton (join with Federica Zeni) * /Borrower ESG Risks and ESG Disclosure and COST of Loan/ - *Yaorong Liu*, University of Edinburgh Business School (join with Yi Cao and Yizhe Dong) * /When Green Meets Green/ - *Roman Goncharenko*, KU Leuven, Brussels (join with Hans Degryse, Carola Theunisz and Tamas Vadasz) *** ** **Friday, September 23, 2022* *09.00 Session V – LONG RUN RISK IN A MACRO PERSPECTIVE** * * *Invited Talk*: /The CO2 Question: Technical Progress and the Climate Crisis - /*Marcin Kacperczyk*, Imperial College London * /A Preferred Habitat Model of Repo Specialness - /*Marti G. Subrahmanyam*, New York University (join with Ruggero Jappelli and Loriana Pelizzon) * /Macro Trends and Factor Timing - /*Alessandro Melone*, Vienna Graduate School of Finance (join with Carlo A. Favero and Andrea Tamoni) *10.45 Coffee break* * * *11.15 PANEL Session 1 – LONG RUN RISKS AND THEIR IMPLICATIONS FOR THE BANKING, INSURANCE AND FINANCIAL SECTORS* *13.00 Lunch* *14.15 Session VI - LONG RUN PORTFOLIO CHOICE* * /Environmental Regulatory Risks, Firm Pollution, and Mutual Funds’ Portfolio Choices - /*Simon Xu*, University of California at Berkeley * /Climate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics - /*Mathijs Cosemans*, Erasmus University, Rotterdam (join with Xander Hut and Mathijs van Dijk) * /Long Horizon Multifactor Investing with Reinforcement Learning - /*Ruslan Goyenko*, McGill University & Financial Innovations and Risk Management Labs, Montréal (join with Chengyu Zhang) *15.45 Coffee break and POSTER SESSION II* *16.30 Panel Session 2 - SAVE ENERGY FOR A SAFE FUTURE* REGISTRATION To register for the Conference, you are requested to complete the registration form available on our website: https://www.greta.it/index.php/it/credit-2022 * **Participation is allowed both ONSITE and ONLINE.* For the Registration Fees and more detailed information, please visit the Conference website: https://www.greta.it/index.php/it/credit-2022.

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