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avviso di seminario - Univ. Milano-Bicocca
by Emanuela Rosazza 03 Oct '17

03 Oct '17

Si avvisa che il giorno mercoledì 11 ottobre alle ore 16 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- Sala del Consiglio) si terrà il seguente seminario: Speaker: Prof. Giorgio Ferrari (Università di Bielefeld, Germania) Titolo: “On a Class of Optimal Dividend Problems with Capital Injection” Abstract: In this talk I present some recent results on the optimal dividend problem with capital injection. That is the problem of a fund manager aiming at maximising the discounted dividend payments, net of the penalised discounted capital injections needed to avoid bankruptcy of the fund. In our model the surplus dynamics is driven by a general linearly controlled one-dimensional diffusion, that is reflected at zero. Moreover, we assume that the dividend payments are subject to surplus-dependent taxes/transaction costs. We show that depending on the properties of the surplus-dependent taxes/transaction costs we can have different kinds of optimal strategies for the dividend payments. Either it is optimal to follow a classical barrier strategy, or not paying dividend at all is the best thing to do. Tutti gli interessati sono invitati a partecipare. Un saluto cordiale, Emanuela ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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French-Italian Statistics Workshop
by Matteo IACOPINI 02 Oct '17

02 Oct '17

Dear all, it is our pleasure to announce the French-Italian workshop "New Challenges in Statistics for Social Sciences", which will take place on 16-17 October 2017 at Ca' Foscari University of Venice, Department of Economics (Meeting Room 1, Campus Economico, Fondamenta San Giobbe 873). This workshop aims at presenting recent developments in both theoretical and applied statistics for social sciences, with particular attention to economics and finance. The workshop will feature six presentations by international speakers and two tutorial classes will be offered: - Bayesian inference for Poisson processes, by prof. Fabrizio Ruggeri (CNR IMATI of Milan) - Introduction to Approximate Bayesian Computation by prof. Christian Robert (Université Paris Dauphine and University of Warwick). The sponsors of the event are: - Université Franco-Italienne (UFI) - GRETA research group - Dipartimento di Economia dell'Università Ca’ Foscari di Venezia All interested researchers, as well as PhD students, are invited to participate. The participation is free, but for organization reasons, people interested in attending the Workshop are kindly requested to contact the local organizers within October 7 via the following account: Matteo Iacopini: matteo.iacopini(a)unive.it <mailto:matteo.iacopini@unive.it> For further information please visit: http://sites.google.com/site/ifstatseminar/ <http://sites.google.com/site/ifstatseminar/> We apologize for cross-posting and look forward to seeing you in Venice! Best regards, Monica Billio, Roberto Casarin and Matteo Iacopini

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Fwd: 3-year post-doctoral fellowship in probability at Durham
by Pietro Caputo 02 Oct '17

02 Oct '17

---------- Forwarded message ---------- From: Andrew Wade <andrew.wade(a)durham.ac.uk> Date: Mon, Oct 2, 2017 at 11:05 AM Subject: 3-year post-doctoral fellowship in probability at Durham To: Dear colleagues, Apologies if you receive more than one copy of this message. Please allow us to draw your attention to the fact that Durham University is advertising for a 3-year post-doctoral fellowship (Willmore Fellowship) in probability or a closely related area of analysis (closing date 25 October 2017): https://recruitment.durham.ac.uk/pls/corehrrecruit/erq_ jobspec_details_form.jobspec?p_id=008217 Please pass this on to anyone who you think might be interested. Many thanks, Sunil Chhita Nicholas Georgiou Ostap Hryniv Mikhail Menshikov Andrew Wade

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Quantitative Finance Workshop 2018 - Call for Papers
by Davide Erminio Pirino 30 Sep '17

30 Sep '17

[image: Immagine incorporata 1] Dear Collegues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is 26 November 2017. Notification of acceptance will be given by 23 December 2017. The full paper for the discussant will have to be provided by 7 January 2018. Looking forward to seeing you in Rome! Best regards The organizing committee

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Call for abstracts - opening conference of the thematic semester on “Stochastic modeling” - Verona, Italy - December 18th to 21st, 2017
by Luca di persio 30 Sep '17

30 Sep '17

*Call for abstracts* *Opening conference of the thematic semester on* *“Stochastic modeling”* *December 18th to 21st, 2017* *Verona, Italy * We would like to invite both academics and practitioners to submit abstracts to the *opening conference of the thematic semester on “Stochastic modeling” taking place in Verona, Italy from December 18th to 21st, 2017. *The aim of the thematic semester, and in particular this opening conference, is to enhance existing connections and to foster new collaborations between researchers in the fields of stochastic modeling, financial mathematics, stochastic control and risk management. The scientific program will feature plenary lectures, invited and contributed talks, as well as poster sessions. *Confirmed plenary speakers are: * Paolo Baldi (Roma 2 University) Viorel Barbu (Romanian Academy) Alberto Bressan (Penn State university) Christa Cuchiero (Vienna university) Romuald Elie (Paris Est university) Damir Filipovic (EPFL and Swiss Finance Institute) Franco Flandoli (Pisa university) Marco Furhman (Milano university) Dylan Possamaï (Columbia university) Young researchers – especially PhD students and junior postdocs – are encouraged to submit their work for a contributed talk or a poster presentation. *Abstracts for contributed talks and posters must be in English and can be submitted at info(a)vpsms2018.org <info(a)vpsms2018.org> (Please indicate during submission if you are willing to do a poster presentation)* *The deadline for abstract submission is October 31st, 2017.* *Decisions on acceptance / rejection will be communicated to the authors by November 7th, 2017.Registration for Participation: November 15th, 2017 (Early registration)Registration fees: 120 euros (Early registration) - 170 euros (Regular registration)* For further information about the conference, please visit our *website:* http://vpsms2018.org/event/opening-conference/ If you have any queries, do not hesitate to *contact us at:* info(a)vpsms2018.org Warm wishes, The organizing committee Etienne Chevalier (Evry university) Luca Di Persio (Verona university) Idris Kharroubi (Paris 6 university) Sergio Pulido (ENSIIE Paris-Evry) __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <+39%20045%20802%207968> Head of R&D info(a)hpa8.com | www.hpa8.com

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Fwd: Postdoc positions at Luiss - Roma. A final reminder
by Fausto Gozzi 29 Sep '17

29 Sep '17

Sorry there was a mistake in the email below (sent this morning) the correct text is the following. Final reminder. Applications are open for three postdoc positions at LUISS on theÂ following topics: Proff. Marco SCARSINI, Marco DALLAGLIO Efficiency of equilibria in large games. Deterministic and stochastic viewpoints Deadline: October 16th, 2017 - 14:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Sara BIAGINI, Fausto GOZZI Stochastic control and duality methods to tackle model uncertainty in finance and insurance Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Giuseppe RAGUSA, Francesco SOBBRIO, Giovanna VALLANTI High-Dimensional Data: Applications to Economics Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Information can be found here: <http://economiaefinanza.luiss.it/en/node/5166>http://economiaefinanza.luiss.it/en/node/5166 >Date: Fri, 29 Sep 2017 10:17:47 +0200 >To: random(a)dm.unipi.it >From: Fausto Gozzi <faustogozziluiss(a)gmail.com> >Subject: Postdoc positions at Luiss - Roma. A final reminder > >Final reminder. > >Applications are open for three postdoc >positions at LUISS on theÂ following topics: > >Proff. Marco SCARSINI, Marco DALLAGLIO >Efficiency of equilibria in large games. >Deterministic and stochastic viewpoints > Deadline: September 30, 2017 - 12:00 p.m. - > Central European Summer Time (CEST), UTC +2 > > >Proff. Sara BIAGINI, Fausto GOZZI >Stochastic control and duality methods to tackle >model uncertainty in finance and insurance > Deadline: September 30, 2017 - 12:00 p.m. - > Central European Summer Time (CEST), UTC +2 > > >Proff. Giuseppe RAGUSA, Francesco SOBBRIO, Giovanna VALLANTI >High-Dimensional Data: Applications to Economics >Deadline: October 16th, 2017 - 14:00 p.m. - >Central European Summer Time (CEST), UTC +2 > >The application deadline is September 30. > >Information can be found here: > ><http://economiaefinanza.luiss.it/en/node/5166>http://economiaefinanza.luiss.it/en/node/5166 > >Fausto Gozzi >Dipartimento di Economia e Finanza >LUISS - Guido Carli >Viale Romania, 32 >00197 Roma >Italy >tel 06.85225723 (office) >FAX 06.86506513 >e-mail: fgozzi(a)luiss.it >webpage: http://docenti.luiss.it/gozzi/ > >old address, sometimes still used: > >Fausto Gozzi >Dipartimento di Matematica >Universita' di Pisa >Largo Bruno Pontecorvo n.5 >56127 Pisa >Italy >tel 050/2213270 >e-mail: gozzi(a)dm.unipi.it Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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Postdoc positions at Luiss - Roma. A final reminder
by Fausto Gozzi 29 Sep '17

29 Sep '17

Final reminder. Applications are open for three postdoc positions at LUISS on theÂ following topics: Proff. Marco SCARSINI, Marco DALLAGLIO Efficiency of equilibria in large games. Deterministic and stochastic viewpoints Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Sara BIAGINI, Fausto GOZZI Stochastic control and duality methods to tackle model uncertainty in finance and insurance Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Giuseppe RAGUSA, Francesco SOBBRIO, Giovanna VALLANTI High-Dimensional Data: Applications to Economics Deadline: October 16th, 2017 - 14:00 p.m. - Central European Summer Time (CEST), UTC +2 The application deadline is September 30. Information can be found here: <http://economiaefinanza.luiss.it/en/node/5166>http://economiaefinanza.luiss.it/en/node/5166 Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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Seminario BERESTYCKI
by Matteo Ruggiero 29 Sep '17

29 Sep '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 6 Ottobre 2017, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Julien BERESTYCKI (University of Oxford) BRANCHING BROWNIAN MOTION WITH ABSORPTION What does the genealogy of a population under selection look like? This question is crucial for ecology and evolutionary biology and yet it is not fully understood. Recently, Brunet and Derrida have conjectured that for a whole class of models of such populations, we can expect the genealogy to be described by a universal scaling limit: the Bollthausen-Sznitman coalescent. The purpose of this talk is to present several recent results which put this prediction on a rigorous footing. The model we chose is that of a one-dimensional branching Brownian motion in which particles are absorbed at the origin. A particle's position is interpreted as the fitness of an individual and the killing at zero correspond to the removal from the population of individuals whose fitness is too low. We assume that when a particle branches, the offspring distribution is supercritical, but the particles are given a drift μ towards the origin. Depending on the value of μ the process can be (sub/super)-critical. I will particularly focus on the critical case, for which I will present results concerning the extinction time and Yaglom-type limits for the behavior of the process conditioned to survive for an unusually long time, which both improve upon results of Kesten (1978). An important tool in the proofs of these results is the convergence of branching Brownian motion with absorption to a continuous state branching process. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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assegno di ricerca UNIFI - Post-doc position at UNIFI
by Maria Elvira Mancino 28 Sep '17

28 Sep '17

The call for a 12 month postdoc (assegno di ricerca) is open at University of Firenze (Dept of Economics and Management) The details of the call are at http://titulus.unifi.it/albo/viewer?view=files%2F002539689-UNFICLE-09683e1e… Deadline 20 October 2017

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Fwd: Lecturer in probability & stoch. processes @ Uni Melbourne
by pietro caputo 27 Sep '17

27 Sep '17

---------- Forwarded message ---------- From: Konstantin Borovkov <kostya.borovkov(a)gmail.com> Date: Sun, Sep 24, 2017 at 10:43 AM Subject: Lecturer in probability & stoch. processes @ Uni Melbourne To: Konstantin Borovkov <kostya.borovkov(a)gmail.com> Dear Colleagues, Our School of Maths & Stats (The University of Melbourne) has just announced a new position: Lecturer (level B, comparable to assist. prof. in the United States of North America) in probability & stochastic processes, please see http://jobs.unimelb.edu.au/caw/en/job/891641/lecturer-in-pro bability-and-stochastic-processes for more detail. We have got a pretty good (IMHO) and friendly probability group, including at the moment Aihua Xia, Nathan Ross, Mark Holmes and myself (plus, there are a few other people in the school with strong interests in probability theory & its applications). So now we are trying to attract the best candidates (as usual) and would be grateful if you could circulate the information as appropriate (and perhaps some of you might be interested in that position as well). Thanks! Best, kostya borovkov

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