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Workshop Announcement
by Alessandra Micheletti 14 Jul '14

14 Jul '14

Workshop announcement Random Structures and Models in Medicine, Biotechnology, Materials Science and Environment https://sites.google.com/site/randomstructures/home September 12, 2014 Department of Mathematics Universita' degli Studi di Milano via Saldini 50, Milano, Italy This workshop is an activity of the ECMI Special Interest Group "Shape and Size in Medicine, Biotechnology and Materials Science" (see http://www.mat.unimi.it/users/shape/) and is aimed to give an overview to methods developed in Mathematical Morphology, Spatial Statistics, Stochastic Geometry, Numerical Analysis to model and to simulate random sets and functions with a spatial or geometrical structure. These models are useful in many applications where heterogeneous media, possibly evolving in time, appear, for instance materials, networks of vessels, evolution of pollutants, etc. Both theoretical and applied results will be discussed. All the talks are invited, but participation is free and encouraged. Registration of participants is required for organizing reasons by September 7, 2014. For further information please visit the web page of the workshop or contact shapeandsize.milan(a)gmail.com -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics Dept. of Mathematics Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 http://users.mat.unimi.it/users/michel <http://www.mat.unimi.it/users/michel>

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[Fwd: seminario Michael Woodroofe]
by Francesco Caravenna 11 Jul '14

11 Jul '14

> ---------------------------- Original Message ---------------------------- > Subject: seminario Michael Woodroofe > From: "Mauro Gasparini" <gasparin(a)calvino.polito.it> > Date: Fri, July 11, 2014 3:16 pm > To: sis(a)stat.unipg.it > -------------------------------------------------------------------------- > > > Cari soci, > > questo messaggio è per confermare il seminario di > Michael Woodroofe, J. Savage Professor of Statistics > alla University of Michigan, > > Martedi' 15 Luglio 2014 alle ore 12:00 > > dal titolo > > Quenched Versions of the Central Limit Theorem for a Stationary Process > > a conclusione del ciclo annuale di seminari > di Statistica, Probabilità e Ottimizzazione del > Politecnico di Torino > > http://calvino.polito.it/~probstat/seminars/seminars14.html > > Michael Woodrofe ha dato importanti contributi alla teoria > asintotica al confine tra Probabilità e Statistica Matematica; > un breve cv è disponibile al sito > > http://dept.stat.lsa.umich.edu/~michaelw/shtvita.html > > Sarei grato a quanti volessero partecipare al seminario e a un > pranzo in suo onore immediatamente successivo > (per il pranzo è gradito un email a questo indirizzo > entro Lunedì a mezzogiorno, email che troverà eventuale > conferma a stetto giro). > > grazie. > > > -- > Mauro Gasparini > Full Professor of Statistics > Editor of Biometrical Journal (2012-2015) > Dipartimento di Scienze Matematiche > Politecnico di Torino > Corso Duca degli Abruzzi 24 > I-10129 Torino, Italy > tel: +39 011 090 7546 > fax: +39 011 090 7599 > email: gasparini(a)calvino.polito.it > www: http://calvino.polito.it/~gasparin/

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mini-workshop "Young Researchers" a Milano-Bicocca
by Fabio Bellini 11 Jul '14

11 Jul '14

Il giorno giovedì 17 luglio alle ore 14.30 presso la Sala del Consiglio della Scuola di Economia e Statistica, al IV piano dell'edificio U7 in via Bicocca degli Arcimboldi 8, si terrà il mini-workshop "Young Researchers" con il seguente programma: 14.30 - 15.00 Annamaria Gambaro, Dottorato in Statistica e Matematica per la Finanza, Curriculum Matematica per la Finanza, Università di Milano-Bicocca Approximated pricing of swaptions in general interest rate models We propose a new lower bound on the prices of European-style swaptions for a wide class of interest rate models. This method is applicable whenever the joint characteristic function of the state variables is known in closed form or could be easily obtained with numerical PDE solution method. Our algorithm involves the computation of one dimensional Fourier transform indipendently from the swap length. Moreover the bound could be used as a control variable to reduce confidence interval of the Monte Carlo technique. We test our new lower bound on different affine models and on 2-factor quadratic gaussian model and the method is found to be fast and accurate (joint work with Ruggero Caldana and Gianluca Fusai). 15.00 - 15.30 Jacopo Corbetta, Dottorato in Matematica e Applicazioni, Università di Milano-Bicocca Smile asymptotics in a multiscaling stochastic volatility model We consider a stochastic volatility model which captures some relevant stylized facts of financial series, including the so-called multiscaling of moments. We obtain sharp large deviations estimates for the price, based on a large deviations principle for suitable functionals of a point process, which is of independent interest. This yields explicit asymptotic formulas for the price of European options, and for the related implied volatility, both in the small maturity and large strike regimes. In particular, we show that implied volatility for out-of-the-money options explodes as the maturity vanishes, with an explicit limiting shape (joint work with Francesco Caravenna). 15.30 - 16.00 Alberto Santangelo, Dottorato in Statistica e Matematica per la Finanza, Curriculum Matematica per la Finanza, Università di Milano-Bicocca Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors We measure diversification in terms of the "Effective Number of Minimum-Torsion Bets", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. In this way we introduce a novel notion of "absolute risk contributions", which generalizes the "marginal contributions to risk" in traditional risk parity. We discuss the advantages of the Minimum-Torsion Bets over the traditional approach to diversification based on marginal contributions to risk. We present a case study in the S&P 500. Fully documented code is available for download (joint work with Romain Deguest and Attilio Meucci). Tutti gli interessati sono invitati a partecipare. Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini

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Postdoc in Venice
by Marco LiCalzi 09 Jul '14

09 Jul '14

Announcement for one Postdoc position at the Department of Management, Università Ca' Foscari Venezia ----------------------------------------------------------------------------------------------------------------------------------------------- The successful candidate is expected to contribute to an ongoing research project on "Models of meaning negotiation” within a larger project on "Mathematics of Multi-Level Anticipatory Complex Systems" funded by the European Union (STREP). Keywords: language games, categorical reasoning, semantic bargaining, negotiation, cognitive maps, organizational economics. JEL Classification: C61, D23, D70, D83, D86, D60, D80, D81, L14, M14. Mathematics Subject Classification (MSC 2010): 06, 18, 60, 91. Prospective candidates must hold a PhD. Preferred fields of specialization are: mathematics, economics, decision science, applied mathematics and all related disciplines. Duration of the contract: 12 months, to begin around 15 September 2014. Stipend: The gross stipend for the recipient is Eur. 30,216.55 per year. Deadline for submission of applications: July 28th, 2014. An announcement in English can be found at http://www.unive.it/nqcontent.cfm?a_id=138305 More information and the official announcement (in Italian) are at http://www.unive.it/nqcontent.cfm?a_id=1538 __________________________________ Marco Li Calzi Department of Management Università Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://venus.unive.it/licalzi

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Seminario Alcuni aspetti dell'impostazione "Target-Based" alle funzioni di utilità nel caso di più "beni"
by Marco Isopi 08 Jul '14

08 Jul '14

Nell'ambito dei seminari previsti a completamento dell'attività svolta nell'ambito del Dottorato di Ricerca in Matematica XXVI Ciclo (curriculum Matematica Applicata) Fabio Fantozzi terrà un seminario dal titolo Alcuni aspetti dell'impostazione "Target-Based" alle funzioni di utilità nel caso di più "beni" Il seminario si terrà in Aula di Consiglio, Giovedi' 10 Luglio ore 16 Sunto: Verrà inizialmente richiamato il significato dell'impostazione Target-Based alla teoria dell'utilità nelle scelte economiche in condizioni di incertezza. Tale impostazione, dapprima introdotta nel caso di un singolo "bene" è stata, nell'ultimo decennio, estesa e sviluppata per il caso di n beni. Nel seminario verranno illustrate in particolare le caratteristiche fondamentali di tale caso e ne verrà introdotta una descrizione formale. In tale ambito saranno evidenziate le connessioni con le misure di insieme monotone, non necessariamente additive (capacità), su spazi finiti e relative estensioni. In particolare analizzeremo il significato di tali estensioni in termini di copule n-dimensionali atte a descrivere la dipendenza stocastica fra le componenti di un vettore aleatorio. Quest' ultimo interviene, con il significato di "target", nella formulazione delle funzioni di utilità stesse. In relazione ai problemi di scelte economiche analizzati, verranno anche brevemente illustrati degli aspetti relativi alla nozione di "stochastic precedence". *******************************************

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Workshop@DSS :: Recent methods... (errata corrige)
by Pierpaolo Brutti 08 Jul '14

08 Jul '14

...scusate, ovviamente la data esatta è lunedì 14 **luglio** e non febbraio... Pardon --P > ----------------------------------------------------------------------------- > W O R K S H O P > Recent methods for time-to-event and longitudinal data > ----------------------------------------------------------------------------- > Lunedì 14 Luglio, ore 11:00 - 13:00 > ----------------------------------------------------------------------------- > > Roma, Viale Regina Elena, 295 > Palazzina G, Piano 3, Aula 50 > > ----------------------------------------------------------------------------- > > Tutti gli interessati sono invitati a partecipare. > > Per maggiori informazioni: simona.iacobelli(a)uniroma2.it > > -----------------------------------------------------------------------------

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Workshop@DSS :: Recent methods for time-to-event and longitudinal data
by Pierpaolo Brutti 08 Jul '14

08 Jul '14

…ricevo & inoltro… ----------------------------------------------------------------------------- W O R K S H O P ----------------------------------------------------------------------------- Lunedì 14 Febbraio, ore 11:00 - 13:00 ----------------------------------------------------------------------------- Roma, Viale Regina Elena, 295 Palazzina G, Piano 3, Aula 50 ----------------------------------------------------------------------------- Competing Risks Predictions on Two Time Scales Jason Fine (Department of Biostatistics; Department of Statistics, UNC-Chapel Hill) Representation, estimation and prediction in multi-state models - the obstacles of multiple time scales Bendix Carstensen (STENO Diabetes Center; Department of Statistics, University of Copenhagen) Random coefficient based dropout models: a finite mixture approach Marco Alfò, Alessandra Spagnoli (Dipartimento di Scienze Statistiche, “Sapienza”, Università di Roma) ----------------------------------------------------------------------------- Tutti gli interessati sono invitati a partecipare. Per maggiori informazioni: simona.iacobelli(a)uniroma2.it -----------------------------------------------------------------------------

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annuncio conferenza
by Marco Romito 07 Jul '14

07 Jul '14

================================================================ 6 - 8 October 2014, Milano DAMES 2014 - the 4th International Conference on Data Analysis and Modeling in Earth Sciences The objective of the conference is to bring together researchers dealing with data analysis and modeling in all fields of Earth Sciences, promoting the exchange of knowledge on both methodological developments and Earth Science applications. http://dames.pik-potsdam.de/index.php?a=conference ================================================================ Renata Rotondi reni(a)mi.imati.cnr.it CNR IMATI tel +39 02 23699528 Via Bassini, 15 FAX +39 02 23699538 I-20133 Milano (Italy) http://www.mi.imati.cnr.it/~reni > >

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Professor position available in Graz
by daniela.bertacchi 04 Jul '14

04 Jul '14

Ricevo e inoltro questo avviso per chi fosse interessato, con preghiera di diffusione. Daniela Bertacchi ************************************************ Graz University of Technology: Faculty of Technical Mathematics and Technical Physics Professor of Stochastics and Actuarial Mathematics (Institute of Statistics, Succession of Prof. István Berkes) Permanent position of a full professor under private law (expected to start on October 1, 2015). A detailed description of this position can be found in the Mitteilungsblatt of TU Graz, July 2, 2014 (http://mibla.tugraz.at/13_14/Stk_19/19.html). For the English version, see http://www.stat.tugraz.at/bewerbung/ Applications must be sent in electronic form (preferably in PDF-format) until October 12, 2014 (date of email receipt) to the Dean of the Faculty of Technical Mathematics and Technical Physics at the Graz University of Technology, Prof. Dr. Wolfgang E. ERNST, Petersgasse 16, A-8010 Graz, Austria, bewerbungen.tmtph(a)tugraz.at. ___________________________________________________________

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Avviso di seminario
by Cristina Zucca 04 Jul '14

04 Jul '14

A tutti gli interessati. Mercoledì 9 luglio 2014 alle ore 14.30 in AULA C (Palazzo Campana - Dip. di Matematica"G. Peano" - Univ. di Torino) il Prof. François Delarue (Université Nice Sophia-Antipolis) terrà un seminario dal titolo: The Landau Equation for Maxwellian molecules and the Brownian Motion on the group of rotations. Abstract: We show that the spatially homogeneous Landau equation for Maxwellian molecules can be represented through the product of two elementary stochastic processes. The first one is the Brownian motion on the group of rotations. The second one is, conditionally on the first one, a Gaussian process. Using this representation, we establish sharp multi-scale upper and lower bounds for the transition density of the Landau equation, the multi-scale structure depending on the shape of the support of the initial condition. -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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