- Random - Mailing list — Dipartimento di Matematica, UniPI

I: Pubblicazione Bando di Dipartimento per nr. 4 Assegni di Ricerca
by Massimo Campanino 04 Aug '14

04 Aug '14

________________________________________ Da: Oscar Lo Surdo per conto di Amministrazione Matematica Inviato: lunedì 4 agosto 2014 15.51 A: Dipartimento di Matematica — docenti della struttura; Dipartimento di Matematica — docenti di struttura e sottostrutture; Dipartimento di Matematica — Dottorandi; Dipartimento di Matematica-AssegnistiL.240-2010; Dipartimento di Matematica-Tutor Cc: Dipartimento di matematica - Direzione: Autorizzati Oggetto: Pubblicazione Bando di Dipartimento per nr. 4 Assegni di Ricerca Gentilissimi, si avvisa che con Prot. n. 245 del 31.07.2014 è stato pubblicato il Bando di cui in oggetto, con termine per la presentazione delle domande di partecipazione fissato al 30 settembre p.v. Su indicazione del Direttore di Dipartimento, si invita a darne massima diffusione e si rappresenta che il testo del Bando, in italiano e inglese, è raggiungibile dal sito web del Dipartimento, seguendo il percorso indicato nei seguenti link: - Avviso italiano: http://www.matematica.unibo.it/it/bandi/bando-per-4-assegni-di-ricerca-math… - Avviso inglese: http://www.mathematics.unibo.it/en/calls-of-competition/call-for-4-research… Entrambi gli avvisi indirizzano alla pagina internet di Aric, unico punto di accesso web istituzionale per i bandi in corso. Si segnala infine che, per la prima volta in tutto l’Ateneo, la domanda di partecipazione può essere presentata dal candidato esclusivamente mediante modalità telematica accedendo alla sezione “FrontOffice” dell’applicativo internet “Personale On-Line” indicato nelle istruzioni contenute nel Bando, e al cui perfezionamento il nostro dipartimento sta contribuendo in via sperimentale con Cesia e Apos. Cordialmente, La Segreteria Amministrativa ___________________________________ Alma Mater Studiorum - Università di Bologna Dipartimento di Matematica Segreteria Amministrativa Piazza di Porta San Donato, 5 Bologna (ITALY) Tel. +39 (0)51 20 94408 - Fax: +39 (0)51 20 94407

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Open position in Oslo: Associate Professor in insurance mathematics (fwd)
by Tiziano Vargiolu 02 Aug '14

02 Aug '14

---------- Forwarded message ---------- Date: Fri, 1 Aug 2014 11:45:32 +0200 From: Giulia Di Nunno <giulia.dinunno(a)gmail.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Open position in Oslo: Associate Professor in insurance mathematics Dear Tiziano, there is an open position in Insurance mathematics as associate professor at the University of Oslo. All details can be found here: http://uio.easycruit.com/vacancy/1197205/64285?iso=gb Could you please help diffuse the announcement? Thank you in advance. Best wishes Giulia ************************ Giulia Di Nunno Professor Centre of Mathematics for Application Department of Mathematics University of Oslo

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Bando per assegni di ricerca a Milano-Bicocca; scadenza 19 settembre 2014
by gianmario tessitore 01 Aug '14

01 Aug '14

Con la preghiera di diffusione tra i potenziali interessati. Segnalo la pubblicazione del bando per 3 assegni di ricerca, di cui - 2 assegni junior (candidati che abbiano conseguito il dottorato da non più di 4 anni e con meno di 35 anni d'età), - 1 senior (con almeno due anni di esperienza di attività scientifica), presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca. Si tratta di assegni di Dipartimento con tematica e possibili responsabili scientifici indicati dal candidato. Il bando è pubblicato alla pagina http://www.unimib.it/go/3176600705455076341 (si veda sotto la voce "Bando assegni di tipo A2") e la scadenza per la presentazione delle candidature è il 19/09/2014. Gli assegni non hanno argomenti specifici però lo studio dei processi stocastici è, a vario titolo, tra i temi di interesse nel dipartimento saluti Gianmario Tessitore -- Lei risulta iscritto alla Lista "Dipartimento di Matematica e Applicazioni - Seminari" (http://groups.google.com/group/matapp). Per diffondere un avviso di seminario, può inviare un messaggio a matapp(a)googlegroups.com, indicando nel titolo la data ed il nome del relatore. Per annullare l'iscrizione e non ricevere più messaggi, invii una e-mail a matapp-unsubscribe(a)googlegroups.com --- Hai ricevuto questo messaggio perché sei iscritto al gruppo "Dipartimento di Matematica e Applicazioni - Seminari" di Google Gruppi. Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matapp+unsubscribe(a)googlegroups.com. Per ulteriori opzioni, visita https://groups.google.com/d/optout.

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piccolo problema sul server della lista (risolto)
by Marco Romito 31 Jul '14

31 Jul '14

cari iscritti c'è stato un piccolo problema sul server della lista la cui spiegazione è (cito dal messaggio dell'assistenza IT): "Nello scorso fine settimana è avvenuto un attacco al sistema mail.dm.unipi.it che, oltre a comportare l'invio di migliaia di messaggi di spam, ha determinato conseguenze che sono andate ben oltre il perimetro del semplice servizio di posta. Una serie di demoni sono stati mandati in crash in modo non pulito e quello che si occupava della gestione locale delle mailing list e` stato uno di questi." alcuni dei messaggi inviati tra il 26 luglio (presumibilmente, l'ultimo messaggio che ieri risultava nell'archivio era del 25 luglio) e ieri potrebbero non esser stati recapitati. nel caso questi non siano ancora pervenuti consiglio di procedere nel modo seguente (valido in generale qualora spediate un messaggio e non otteniate immediatamente riscontro ricevendo il vostro messaggio dalla lista): * accedere agli archivi della lista: https://mail.dm.unipi.it/private/random/ (eventualmente richiedendo la vostra password che avrete debitamente dimenticato alla pagina: https://mail.dm.unipi.it/options/random ) * verificare se il messaggio sia già presente in archivio. in caso positivo il messaggio è stato inviato e presto vi giungerà. * in caso negativo contattare gli amministratori della lista. il terzo passo della procedura non sempre funziona, come testimoniato dal duplicato del messaggio che ho spedito e di cui mi scuso a presto m.

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prova
by Marco Romito 30 Jul '14

30 Jul '14

per favore, ignorare questo messaggio m.

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bandi per RTD e PA a Pisa
by Marco Romito 30 Jul '14

30 Jul '14

Sono appena usciti sulla pagina Web dell'Università di Pisa, e dovrebbero uscire nei prossimi giorni sulla Gazzetta Ufficiale, i seguenti bandi: - procedura per la selezione di n. 17 ricercatori a tempo determinato di tipo a) (Junior): di questi 1 posto è destinato al settore MAT/06 (Probabilità e Statistica Matematica). http://www.unipi.it/ateneo/bandi/ricercat/ricercator/sel172014/index.htm - procedura per la selezione di n. 46 professori di II fascia: di questi 2 posti sono destinati al settore MAT/03 (Geometria) e 2 posti sono destinati al settore MAT/05 (Analisi Matematica) http://www.unipi.it/ateneo/bandi/selezioni/procedure-/index.htm La scadenza di entrambi i bandi è fissata al 1 settembre 2014.

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Call for applications : PhD in Mathematics [ Trento - Verona ]
by Luca di persio 29 Jul '14

29 Jul '14

*Call for PhD applications * Doctoral School in Mathematics University of Trento in agreement with the University of Verona , 30th cycle Deadline: *20, August 2014* Further details can be found here: http://web.unitn.it/en/drmath/9047/doctoral-school-in-mathematics-in-agreem… http://www.unitn.it/en/ateneo/1956/announcement-of-selection Candidates interested in the area of stochastic processes and their applications, e.g. in finance, are welcome. __ 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 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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bandi per RTD e PA a Pisa
by Marco Romito 29 Jul '14

29 Jul '14

Sono appena usciti sulla pagina Web dell'Università di Pisa, e dovrebbero uscire nei prossimi giorni sulla Gazzetta Ufficiale, i seguenti bandi: - procedura per la selezione di n. 17 ricercatori a tempo determinato di tipo a) (Junior): di questi 1 posto è destinato al settore MAT/06 (Probabilità e Statistica Matematica). http://www.unipi.it/ateneo/bandi/ricercat/ricercator/sel172014/index.htm - procedura per la selezione di n. 46 professori di II fascia: di questi 2 posti sono destinati al settore 01/A2 (Geometria e Algebra) e 2 posti sono destinati al settore 01/A3 (Analisi Matematica, Probabilità e Statistica Matematica) http://www.unipi.it/ateneo/bandi/selezioni/procedure-/index.htm La scadenza di entrambi i bandi è fissata al 1 settembre 2014.

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[NUOVA INIZIATIVA - ANNUNCIO] Master in Economics & Finance
by stefano iacus 29 Jul '14

29 Jul '14

[sperando che sia ammissibile dal regolamento della lista] Are you (or your students) interested in Finance and do you (or your students) own a bachelor degree in Economics, Statistics, Mathematics, Engineering or the alike? Do you (or your students) think it is time to strenghen your knowledge in the field? Have a look at the new Master (laurea magistrale LM-16) in Economics & Finance (MEF) offered by the University of Milan http://www.mef.unimi.it Or contact us at: mef(a)unimi.it ----------------------------------- Stefano M. Iacus Director of MEF - Master in Economics & Finance http://www.mef.unimi.it Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en Master in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further informations at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html **************** Il 5 x mille alla nostra Università è un investimento sui giovani, sui loro migliori progetti. Sostiene la libera ricerca. Alimenta le loro speranze nel futuro. Investi il tuo 5 x mille sui giovani. Università degli Studi di Milano codice fiscale 80012650158 http://www.unimi.it/13084.htm?utm_source=firmaMail&utm_medium=email&utm_con…

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Research Grants - Economics and Statistical Sciences area - University of Padua, Italy
by Patrizia Piacentini - Dip 25 Jul '14

25 Jul '14

A selection announcement has been published for the awarding of n. 1 research grants for the research project entitled "Methodology of composite indicators and their use for the evaluation of performance of Municipalities and Universities", to be conducted at the Department of Statistical Sciences under the supervision of dott. Giovanna Boccuzzo, who is the Research Project Supervisor. Scientific area: n. 15 - Economics and Statistical Sciences Term of the research: 12 months *Deadline August 25, 2014* Announcement and application form at the page: http://www.stat.unipd.it/bandi -- Patrizia Piacentini Dipartimento di Scienze Statistiche Via C. Battisti, 241 35121 Padova tel 049 8274167 fax 049 8271524

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International Conference on "The New Financial Regulatory System: Challenges and Consequences for the Financial Sector" in Venice - Programme
by Monica Billio 25 Jul '14

25 Jul '14

12th INTERNATIONAL CONFERENCE C R E D I T 2014 *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector *Venice, Italy 25 - 26 September 2014 The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference this year focuses on *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector* and will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference is the *thirteenth* of a series dedicated to various aspects of credit risk. The *co-sponsors* of the Conference are *GRETA Associati* (Venice, Italy), *Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt* (Frankfurt, Germany) and *Intesa Sanpaolo *(Milan, Italy). The Conference is organised under the *auspices *of the *Department of Economics of the University Ca? Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank.* The Scientific Committee for the Conference consists of: *Jan Krahnen*, Goethe University,**Programme Chair, *Monica Billio*, Ca? Foscari University of Venice, *Steven Ongena*, University of Zurich, *Stephen Schaefer*, London Business School and *Kenneth Singleton*, Stanford University. PROGRAMME Thursday, September 25 2014 9.00 - 9.15_Opening Remarks _9.15 - 11.00_Session I: Bank risk taking, capital structure and credit risk_ * Key-note talk: /Countering Systemic Risk through Banking Regulation and Other Means - /*Franklin Allen* (University of Pennsylvania, Philadelphia & Imperial College London) * /Did CDS Make Banks Riskier? The Effects of Credit Default Swaps on Bank Capital and Lending - /Susan Chenyu Shan (Shanghai Jiao Tong University), Dragon Yongjun Tang (The University of Hong Kong) and Hong Yan (University of South Carolina, Columbia & Shanghai Jiao Tong University) * /Incentive Pay and Bank Risk Taking: Evidence from Austrian, German, and Swiss Banks - /Matthias Efing (University of Geneva & Swiss Finance Institute), Harald Hau (University of Geneva & Swiss Finance Institute), Patrick Kampkötter (University of Cologne) and Johannes Steinbrecher (Ifo Institute Branch Dresden) 11.30 - 13.00_Session II: New development in the banking markets_ * /Do LTV and DSTI Caps Make Banks More Resilient? - /Michel Dietsch (Banque de France & University of Strasbourg) and Cécile Welter-Nicol (Banque de France) * /Credit Growth and Bank Capital Requirements: Binding or Not? - /Claire Labonne (Banque de France) and Gildas Lamé (INSEE-CREST, Malakoff) * /Conditional Accounting Conservatism and Bank Risk Taking - /Manuel Illueca (Universitat Jaume I, Castellón de la Plana), Lars Norden (Erasmus University, Rotterdam) and Gregory F. Udell (Indiana University, Bloomington) 14.30 - 16.00_Session III: Capital regulation_ * /Bank Portfolio Choice, Uninsurable Risks and Regulatory Constraints - /Jochen Mankart (University of St. Gallen), Alexander Michaelides (Imperial College Business School, London, University of Cyprus & CEPR, London) and Spyros Pagratis (Athens University of Economics and Business) * /The Counter-Cyclical Capital Buffer of Basel III: Does It Affect Mortgage Pricing? - /Christoph Basten (ETH Zurich & Swiss Financial Market Supervisory Authority FINMA) and Catherine Koch (University of Zurich) * /The Limits of Model-Based Regulation - /Markus Behn (Bonn University & Deutsche Bundesbank), Rainer Haselmann (Bonn University) and Vikrant Vig (London Business School) 17.00 - 18.30_Session IV: Systemic risk_ * /Fire-Sale Spillovers and Systemic Risk - /Fernando Duarte (Federal Reserve Bank of New York) and Thomas M. Eisenbach (Federal Reserve Bank of New York) * /The Removal of Credit Ratings from Capital Regulation: Implications for Systemic Risk - /Kathleen Weiss Hanley (University of Maryland, College Park) and Stanislava Nikolova (University of Nebraska-Lincoln) * /Systemic and Systematic Risk - /Monica Billio (University of Venice), Massimilano Caporin (University of Padua), Roberto Panzica (University of Venice & Goethe University Frankfurt) and Loriana Pelizzon (University of Venice & Goethe University Frankfurt) Friday, September 26 2014 9.00 - 10.45_Session V: Financial markets regulation_ * Key-note talk: /Equilibrium Fast Trading - /*Thierry Foucault* (HEC Paris) * /Central Clearing and Collateral Demand - /Darrell Duffie (Stanford University & National Bureau of Economic Research), Martin Scheicher (European Systemic Risk Board) and Guillaume Vuillemey (Sciences-Po Paris & Banque de France) * /Sand in the Chips? Evidence on Taxing Transactions in Modern Markets - /Jean-Edouard Colliard (European Central Bank) and Peter Hoffmann (European Central Bank) 11.15 - 12.45_Session VI: Liquidity and credit_ * /Did Liquidity Providers Become Liquidity Seekers? Evidence the CDS-Bond Basis During the 2008 Financial Crisis - /Jaewon Choi (University of Illinois at Urbana-Champaign) and Or Shachar (Federal Reserve Bank of New York) * /Credit and Liquidity in Interbank Rates: a Quadratic Approach - /Simon Dubecq (European Central Bank & CREST), Alain Monfort (CREST, Malakoff, Banque de France & Maastricht University), Jean-Paul Renne (Banque de France) and Guillaume Roussellet (Banque de France, CREST, Malakoff & CEREMADE, Paris) * /Liquidity Risk and Distressed Equity - /Mamdouh Medhat (Copenhagen Business School) 14.15 - 16.00_Session VII: Banking Union_ * /Supervisory Incentives in a Banking Union - /Elena Carletti (Bocconi University, CEPR, London & IGIER, Milan), Giovanni Dell'Ariccia (International Monetary Fund & CEPR, London) and Robert Marquez (University of California, Davis) * /The Political Economy of Bank Bailouts - /Markus Behn (Bonn University & Deutsche Bundesbank), Rainer Haselmann (Bonn University), Thomas Kick (Deutsche Bundesbank) and Vikrant Vig (London Business School) * Key-note talk: /Ethics in Finance: a Banking Supervisor's Perspective - /*Ignazio Angeloni* (European Central Bank) 17.00 - 18.30_PANEL Session _ REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm>). Registration fees are: Early registrationLate registration (within August 24th)(from August 25th on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22% **Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 25, 2014, for which there is an extra charge of 80.00 Euro for each participant (conference attendees as well as accompanying persons). For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm> GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> website: _www.greta.it_ <http://www.greta.it/> -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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First Workshop on Computer-aided and bio-chemical strategies
by Antonella Bodini 15 Jul '14

15 Jul '14

IMATI-Milano organizes the 1st Workshop on Computer-aided and bio-chemical strategies for the design of stochastic experiments, on July, 31st. This Workshop will bring together scientists and engineers from industry and academia to identify current limitations, needs and trends in tackling experimental stochastic system in natural sciences. The workshop will consist of a number of keynote lectures, followed by breakout sessions focused on developing solutions to the challenges of method development, specifically advancing and accelerating methods for broad applications. The program with all information can be downloaded here http://www.mi.imati.cnr.it/iami/Workshop_Borrotti_2014_07_31.pdf Anyone interested to attend the Workshop is kindly invited to send an e-mail to Matteo Borrotti: matteo AT mi.imati.cnr.it We apologize for cross posting. -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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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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UPCOMING DEADLINE: IMT – 2014/15 PHD CALL FOR APPLICATIONS
by Irene Crimaldi 02 Jul '14

02 Jul '14

*UPCOMING DEADLINE - JULY 14TH 2014 - 6PM ITALIAN TIME* We are pleased to inform you about the IMT Institute for Advanced Studies Lucca's call for applications for PhD positions in the following specialized curricula - Economics - Management Science - Complex Networks - Computational Mechanics - Control Systems - Computer Science - Image Analysis - Analysis and Management of Cultural Heritage - No tuition fees (regional tax excluded), free room and access to IMT Canteen - A grant of €13,600 gross/year Candidates can apply if they obtain their (minimum) 4-year undergraduate degree NO LATER than October 31, 2014 *DEADLINE: July 14th, 2014* *MORE INFORMATIONS*: http://phd.imtlucca.it Learn more about the PhD program by participating in our interactive webinar. Go to http://brightrecruits.com/webinars to sign up. IMT Lucca (www.imtlucca.it) is a research university within the Italian public higher education system. IMT's research mission is characterized by the analysis and management of a plurality of economic, social, technological and cultural systems. Faculty carry out cutting edge methodological research to *generate* knowledge, to design projects to *apply* knowledge to resolve economic, industrial, social and cultural problems, and to *transmit* knowledge through highly-specialized graduate courses and seminars. Follow us on Facebook <https://www.facebook.com/pages/IMT-Institute-for-Advanced-Studies-Lucca/187…>, Twitter <https://twitter.com/IMTLucca>, YouTube <http://www.youtube.com/user/IMTAltiStudiLucca>, LinkedIn <http://www.linkedin.com/company/imt-lucca-institute-for-advanced-studies?tr…>. Please note that this account is used for outgoing e-mails only, and therefore your reply message will not be read. For inquiries regarding the 2014/15 IMT PhD call, please write to phdapplications(a)imtlucca.it. *Research, Planning and Organization Office* IMT Institute for Advanced Studies Lucca Piazza San Francesco, 19 55100 Lucca - Italy Tel: +39 0583 4326 745 Fax: +39 0583 4326 565 www.imtlucca.it -------------------------------------- The content of this message and of its attachments is under exclusive responsibility of the account owner and doesn't bind IMT anyhow with respect to the recipient or third parties.

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seminario di G. Zanco a Milano-Bicocca ore 10.30
by federica.masiero＠unimib.it 29 Jun '14

29 Jun '14

Mi scuso per il doppio invio dell'avviso di seminario, nel messaggio precedente mancava l'orario Venerdì 4 Luglio alle ore 10.30, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Dott. Giovanni Zanco dell'Università di Pisa, terrà un seminario dal titolo "Path-dependent Stochastic Differential Equations and Kolmogorov's PDEs" Abstract: I will show some recent results obtained in joint works with F. Flandoli and F. Russo about path-dependent stochastic differential equations, their formulation in infinite-dimensional spaces and the link with existence and uniqueness results for path-dependent PDEs. I will also show the connection between the framework developed in such papers and the functional calculus introduced by B. Dupire and R. Cont and D-A. Fournié. Tutti gli interessati son invitati a partecipare. Cordiali saluti, Federica Masiero

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seminario G. Zanco a Milano-Bicocca
by federica.masiero＠unimib.it 28 Jun '14

28 Jun '14

Venerdì 4 Luglio, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Dott. G. Zanco dell'Università di Pisa, terrà un seminario dal titolo "Path-dependent Stochastic Differential Equations and Kolmogorov's PDEs" Abstract: I will show some recent results obtained in joint works with F. Flandoli and F. Russo about path-dependent stochastic differential equations, their formulation in infinite-dimensional spaces and the link with existence and uniqueness results for path-dependent PDEs. I will also show the connection between the framework developed in such papers and the functional calculus introduced by B. Dupire and R. Cont and D-A. Fournié. Tutti gli interessati son invitati a partecipare. Cordiali saluti, Federica Masiero

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assegno di ricerca
by Paola Rancoita 27 Jun '14

27 Jun '14

Cari colleghi, vi inoltro la segnalazione della Prof.ssa Di Sero riguardo un assegno di ricerca in Statistica, presso il Centro di statistica per le scienze biomediche (CUSSB) dell'Università Vita-Salute San Raffaele. Cordiali saluti, Paola Rancoita ------------------------------------------------- Carissimi Colleghe e Colleghi, desidero segnalare a breve l'emissione di un bando per un assegno di ricerca su tematiche di metodologia statistica e computazionale per dati ad alta dimensionalità (clinici e genomici) in contesti di aging e neuroscienze. In attesa dell'emissione del Bando Ufficiale che segnalerò in seguito su questa lista, tutti gli interessati possono inviare il loro curriculum già da ora alla mia attenzione (diserio.clelia(a)unisr.it). L'assegno è annuale con rinnovo previsto fino a 3 anni. E' indirizzato a giovani in possesso di dottorato di ricerca preferenzialmente in scienze statistiche (o biostatistiche), informatiche e matematiche e prevede l'inserimento in progetti di ricerca internazionali già attivi. Restando a disposizione per qualunque dettaglio, vi invio un caro saluto Clelia Clelia Di Serio, PhD Associate Professor in Medical Statistics and Epidemiology Director of CUSSB (University Centre for Statistics in the Biomedical Sciences) Vita-Salute San Raffaele University 20132 Milan, Italy

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Seminario DANIELS
by Matteo Ruggiero 27 Jun '14

27 Jun '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 4 Luglio 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Michael J. DANIELS (University of Texas at Austin) A FLEXIBLE BAYESIAN APPROACH TO MONOTONE MISSING DATA IN LONGITUDINAL STUDIES WITH INFORMATIVE MISSINGNESS WITH APPLICATION TO AN ACUTE SCHIZOPHRENIA CLINICAL TRIAL Abstract: We develop a Bayesian nonparametric model for a longitudinal response in the presence of nonignorable missing data. Our general approach is to first specify a {\em working model} that flexibly models the missingness and full outcome processes jointly. We specify a Dirichlet process mixture of missing at random (MAR) models as a prior on the joint distribution of the working model. This aspect of the model governs the fit of the observed data by modeling the observed data distribution as the marginalization over the missing data in the working model. We then separately specify the conditional distribution of the missing data given the observed data and dropout. This approach allows us to identify the distribution of the missing data using identifying restrictions as a starting point. We propose a framework for introducing sensitivity parameters, allowing us to vary the untestable assumptions about the missing data mechanism smoothly. Informative priors on the space of missing data assumptions can be specified to combine inferences under many different assumptions into a final inference and accurately characterize uncertainty. These methods are motivated by, and applied to, data from a clinical trial assessing the efficacy of a new treatment for acute Schizophrenia. Joint work with Antonio Linero at the University of Florida Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

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Seminario: Luciano Campi - presso Dipartimento di Informatica, Università di Verona
by Luca di persio 26 Jun '14

26 Jun '14

Annuncio di Seminario Luciano Campi, London School of Economics, London Giovedi' 3 Luglio, presso il Dipartimento di Informatica, Università di Verona Strada le Grazie, 15 - Sala Verde ore 15:00 (14:45 rinfresco, 15:00 inizio seminario) Title: Utility indifference valuation for non-smooth payoffs with an application to power derivatives Abstract: We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a multivariate Black and Scholes model, while nontraded asset prices evolve as generalized Ornstein-Uhlenbeck processes. We provide a BSDE characterization of the utility indifference price (UIP) for a large class of non-smooth, possibly unbounded, payoffs depending simultaneously on both classes of assets. Focusing then on European claims and using the Gaussian structure of the model allows us to employ some BSDE techniques (in particular, a Malliavin-type representation theorem due to Ma (2002)) to prove the regularity of Z and to characterize the UIP for possibly discontinuous European payoffs as a viscosity solution of a suitable PDE with continuous space derivatives. The optimal hedging strategy is also identified essentially as the delta hedging strategy corresponding to the UIP. Since there are no closed-form formulas in general, we also obtain asymptotic expansions for prices and hedging strategies when the risk aversion parameter is small. Finally, our results are applied to pricing and hedging power derivatives in various structural models for energy markets. Contact Person: Luca Di Persio __ 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 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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post-doc positions (Assegni di ricerca)at Luiss-Roma and University of Pisa
by Fausto Gozzi 21 Jun '14

21 Jun '14

Dear all We would like to inform you about two post doc positions (assegni di ricerca). 1) The first one is a 2-year position (not renewable) at Luiss University, Roma, Department of Economics and Finance. Deadline: July 31 Starting time: January 2015 Supervisor: Fausto Gozzi Title: Mathematical Models for the management of renewable resources (Modelli matematici per lo studio di sistemi eterogenei e per la gestione di risorse rinnovabili) site (english) http://ricerca.economiaefinanza.luiss.it/en/news/2014/06/12/competition-by-… site (italian) http://ricerca.economiaefinanza.luiss.it/news/2014/06/11/bando-per-la-valut… Applications are welcome. Potentially interested people may contact fgozzi(a)luiss.it for further informations 2) The second one is a 1-year position (not renewable) at University of Pisa, Department of Mathematics. The announcement is not yet ready but will appear soon; the starting time of the grant is expected in December 2014 or January 2015. Supervisor: Franco Flandoli Keywords: stochastic differential equations and stochastic PDEs, optimal control of deterministic and stochastic infinite dimensional systems, stochastic models in fluid dynamics. Applications are welcome. Since the formal announcement is not yet ready, potentially interested people may contact flandoli(a)dma.unipi.it __________________________________________________________________ kind regards Franco Flandoli, Fausto Gozzi --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Seminario N. Leonenko a Padova- Mercoledì 2 luglio
by Marco Ferrante 21 Jun '14

21 Jun '14

Annuncio di seminario: Mercoledì 2 Luglio alle ore 12.00 in Aula 2BC30 del Dipartimento di Matematica dell'Università di Padova il Prof. Nikolai Leonenko dell'Università di Cardiff terrà il seminario Titolo: Fractional Pearson diffusions. Abstract: Pearson diffusions have stationary distributions of Pearson type. They includes Ornstein-Uhlenbeck, Cox-Ingersoll-Ross, and several others wellkown processes. Their stationary distributions solve the Pearson equation, developed by Pearson in 1914 to unify some important classes of distributions (e.g., normal, gamma, beta). Their eigenfunction expansions involve the traditional classes of orthogonal polynomials (e.g., Hermite, Laguerre, Jacobi). We develop fractional Pearson di¢ sions ([1],[2]), constructing by a non-Markovian inverse stable time change. Their transition densities are shown to solve a time-fractional analogue to the diffusion equation with polynomial coefficients. Because this process is not Markovian, the stochastic solution provides additional information about the movement of particles that di§use under this model. This is joint work with M.M. Meerschaert and A. Sikorskii (Michigan State Univeraity, USA). Anomalous diffusions have proven useful in applications to physics, geophysics, chemistry, and finance. Marco Ferrante -- Prof. Marco Ferrante Dipartimento di Matematica Universita' degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

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workshop "Dependence in Risk Measurement and Risk Management"
by giovanni.puccetti＠unifi.it 18 Jun '14

18 Jun '14

Dear colleague, the Department of Economics and Management of the University of Florence will organize the workshop Dependence in Risk Measurement and Risk Management on December 18-19, 2014. The participation in the Workshop will be free of charge with a mandatory registration. We welcome submissions of abstracts for contributed talks with the possibility to contribute to a special issue in Dependence Modeling to be published in early 2015. All the information about the event are available at the website https://sites.google.com/site/dependencerisk/ We would be pleased if you could forward this e-mail to anyone possibly interested and download/print the announcement from the above web-page to promote the event to your institution. We are looking forward to seeing you in Florence, best regards Giovanni Puccetti -- Assistant Professor School of Economics and Management University of Firenze Building D6/2.30 via delle Pandette 32 50127 Firenze ITALY https://sites.google.com/site/giovannipuccetti/

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Seminario Politecnico di Torino - 20 giugno
by Bertrand Lods 18 Jun '14

18 Jun '14

Dear Colleagues, this is a reminder for the two seminars on applications of Information Geometry that Luigi Malagò and Giovanni Pistone will give on coming Friday 20 June at DISMA Politecnico di Torino at 12 and 14:30 resp. Please find the abstracts at http://calvino.polito.it/~probstat/seminars/seminars14.html

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Seminario a Padova - Giovedì 26 giugno ore 16
by Marco Ferrante 18 Jun '14

18 Jun '14

Annuncio di seminario: Giovedì 26 giugno alle ore 16.00 in Aula 2AB40 del Dipartimento di Matematica dell'Università di Padova il Prof. Carles Rovira dell'Universitat de Barcelona terrà il seminario Titolo: Stochastic differential equations with non-negativity constraints driven by fractional Brownian Abstract: In this talk, we deal with existence and uniqueness result of solution for stochastic differential driven by a fractional Brownian motion with Hurst parameter $H$ and with reflection. The cases $H >\frac12$ and $H \in (\frac13,\frac12)$ must be considered separately. When $H>\1/2$, we first study an ordinary integral equation where the integral is defined in the Young sense and then we apply this result pathwise to solve the stochastic problem. On the other hand, when H $\in (\frac13,\frac12)$, we consider an existence and uniqueness result of solution for multidimensional delay differential equations with normal reflection and driven by a H\"older continuous function of order $\beta \in (\frac13,\frac12)$. Marco Ferrante

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Seminario N. Leonenko - Mercoledì 2 luglio ore 12 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '14

---------- Forwarded message ---------- Date: Tue, 17 Jun 2014 09:42:41 +0200 From: Marco Ferrante <ferrante(a)math.unipd.it> Subject: Seminario N. Leonenko - Mercoled? 2 luglio ore 12 Cari colleghi, il giorno Mercoledi 2 Luglio alle ore 12.00 in Aula 2BC30 il Prof. Nikolai Leonenko dell'Universita di Cardiff terra un seminario dal titolo: Fractional Pearson Diffusions (allego l'abstract). Grazie Marco -- Prof. Marco Ferrante Dipartimento di Matematica Universita' degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

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Statistics for Omics - Politecnico di Milano
by Laura M. Sangalli 17 Jun '14

17 Jun '14

Cari colleghi, abbiamo il piacere di invitarvi alla mattinata di seminari "Statistics for Omics" il 3 Luglio presso l'aula seminari "F. Saleri" del Dipartimento di Matematica, Politecnico di Milano. La mattinata si svolgerà secondo il seguente programma 09:00. Francesca Chiaromonte, The Pennsylvania State University, /Exploiting structure to reduce and integrate high dimensional, under sampled "omics" data/ 09:50. Giorgio Melloni, Istituto Italiano di Tecnologia, /DOTS-Finder: a comprehensive tool for assessing driver genes in cancer genomes/ 10:40. Break 11:10. Marzia Cremona e Alice Parodi, Politecnico di Milano, /Peak shape cluster analysis reveals novel biological insights/ 12:00. Kateryna Makova, The Pennsylvania State University, /Maternal Age Effect and Severe Germline Bottleneck in the Inheritance of Human Mitochondrial DNA/ 12.50. Marco Masseroli e Stefano Ceri, Politecnico di Milano, /Genometric query system as research enabler to discover genome properties/ Tutti gli interessati sono cordialmente invitati a partecipare. Piercesare Secchi -- Piercesare Secchi MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci, 32 20133 Milano - Italy tel. +39 02 2399 4592 fax. +39 02 2399 4568 e.mail: piercesare.secchi(a)polimi.it -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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XVI Workshop on Quantitative Finance - Parma January 29-30, 2015 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '14

(apologies for cross-postings) Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu -------------------------------------------------------------------------- XVI WORKSHOP on QUANTITATIVE FINANCE January 29-30, 2015 Venue: Department of Economics University of Parma Via J.F. Kennedy, 6 43125 Parma Italy The Workshop is the sixteenth edition of a successful initiative whose aim is to set a common forum of ideas and discussions among researchers and practitioners interested in Finance. It provides an excellent platform to present and discuss recent advances in mathematical modelling and numerical methods for quantitative finance. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management, Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous editions of the Workshop, we wish to particularly encourage an international participation of young researchers; both theoretical and applied contributions are welcome. There are no registration fees. Contacts: Marzia De Donno (xviwqf(a)gmail.com), Phone: +39-0521-03-2481, Fax +39-0521-03-2385 Scientific Committee: Fabio Bellini (University of Milano Bicocca) - Andrea Consiglio (University of Palermo) - Gianluca Fusai (University of Piemonte Orientale) - Friedrich Hubalek (Vienna University of Technology) - Elisa Luciano (University of Torino) - Maria Elvira Mancino (University of Firenze) - Paola Modesti (University of Parma) - Massimo Morini (Banca IMI) - Mustafa Pinar (Bilkent University) - Simona Sanfelici (University of Parma) - Sergio Scarlatti (University of Roma Tor Vergata) - Carlo Sgarra (Polytechnic of Milano) - Peter Tankov (University Paris-Diderot) - Josef Teichmann (ETH Zurich) - Tiziano Vargiolu (University of Padova) Local Committee: Marzia De Donno, Fabio Della Marra, Gino Favero, Paola Modesti, Annamaria Olivieri, Simona Sanfelici, Federica Trani Deadline for paper submission: November 9th, 2014. Deadline for registration: January 6th, 2015. For more information, visit the Workshop website: www.qfinancexvi.altervista.org We are looking forward to meeting you in Parma! On behalf of the Local Committee, Simona Sanfelici

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Seminario Dott. Bourguin - Roma Tor Vergata
by Claudio Durastanti 17 Jun '14

17 Jun '14

Giovedí 19 Giugno, alle ore 14.00 presso l'aula D'Antoni, Dipartimento di Matematica di Tor Vergata, il dottor Solesne Bourguin, Carnegie Mellon University - Pittsburgh, presenterá il seguente talk: Portmanteau inequalities on the Poisson space Abstract: The main object of this talk is to provide an introduction on how to combine Stein's method and Malliavin calculus on the Poisson space in order to obtain general quantitative limit theorems for functionals of a Poisson random measure. As an application, the case of the random disk graph isomorphism problem in stochastic geometry will be discussed. Based on joint work with Giovanni Peccati. Cordiali saluti Claudio Durastanti

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SINGULAR STOCHASTIC PDEs, summer school in Pisa
by Marco Romito 17 Jun '14

17 Jun '14

SINGULAR STOCHASTIC PDEs September 22-24, 2014 Centro di Ricerca Matematica Ennio De Giorgi, Pisa, Italy http://www.crm.sns.it/event/333/ The purpose of the School is to introduce and discuss recent development in the analysis of singular stochastic PDEs arising in Physics, such as the Kardar-Parisi-Zhang equation. In this class of problems the irregularity introduced by the driving noise does not allow to use classical methods from the theory of partial differential equations. The school is aimed at student and young researchers in the field of stochastic PDEs, as well as scholars coming from the fields of the theory of PDE and theoretical physics. The school consists in a series of lectures by Massimiliano Gubinelli, additional invited lectures by Harald Oberhauser, Hendrik Weber, Lorenzo Zambotti and short presentations by participants. REGISTRATION: http://www.crm.sns.it/event/333/registration.html In a few cases funding for local expenses for young participants might be available, but funds are limited. SCIENTIFIC & ORGANIZING COMMITTEE Lisa Beck (Augsburg) Dirk Blomker (Augsburg) Franco Flandoli (Pisa) Marco Romito (Pisa)

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bando per un corso di recupero
by Gabriele Stabile 14 Jun '14

14 Jun '14

Segnalo la pubblicazione di un bando *con scadenza 30 giugno *per n. 1 incarico individuale, con contratto di lavoro autonomo di natura occasionale, per lo svolgimento di un corso di recupero e sostegno (da tenersi a settembre) che fornisca i prerequisiti di Matematica, Statistica e Calcolo delle Probabilità agli iscritti 2014/15 alla Magistrale in Finanza e Assicurazioni, Sapienza Università di Roma Il bando è disponibile al link http://www.memotef.uniroma1.it/node/6575 <http://www.memotef.uniroma1.it/node/6575.>

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Avviso di seminario - Prof. G. Peskir
by Cristina Zucca 13 Jun '14

13 Jun '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedi' 16 giugno 2014 alle ore 16.00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Prof. Goran Peskir (University of Manchester) terrà un seminario dal titolo "Optimal Mean-Variance Portfolio Selection"* Abstract: I will present a dynamic formulation of the mean-variance portfolio selection problem and discuss possible ways of solving it. *Joint work with J. L. Pedersen (Copenhagen)

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seminario di Fabio Bellini presso Prometeia - Bologna
by Giacomo Scandolo 13 Jun '14

13 Jun '14

Il giorno Giovedi 19 Giugno 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Fabio BELLINI (Università di Milano-Bicocca) terra un seminario dal titolo "Risk management with expectiles" Abstract We discuss the main properties of the expectiles, a one parameter family of coherent risk measures introduced in the statistical literature by Newey and Powell (1987). Expectiles are the only coherent risk measures that are also elicitable, in the sense that they can be equivalently defined as the minimizers of an expected loss; this property provides a natural methodology to perform a consistent backtesting. In this talk we explore the potential applicability of expectiles in a capital regulation framework, as an alternative to VaR and CVaR.

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Seminar and mini-course by Luca Capriotti, June 19 - 20, SNS Pisa
by Giacomo Bormetti 13 Jun '14

13 Jun '14

Luca Capriotti (EMEA head of Quantitative Strategies Global Credit Products, Credit Suisse) will give a seminar at the Scuola Normale Superiore, Pisa on Thursday 19 June 2014, 13:00 Aula Bianchi. The title and abstract are Ulisse Dini, Adjoint Algorithmic Differentiation and the Efficient Risk Management of Credit Portfolios Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this talk I will show how AAD can be used to risk manage in real time credit products, both exotic and vanilla, whether valued with Monte Carlo or with semi-analytical methods. I will show how by combining adjoint ideas with the implicit function (Dini's) theorem one can avoid repeating multiple times the calibration of the hazard rate curves which, especially for flow products, often represent the bottle neck in the computation of spread and interest rate risk. This typically results in orders of magnitudes savings in computation time with respect to standard methods. The adjoint of the calibration step can be naturally combined with the adjoint of the pricing step. This allows one to compute the risk of portfolios of credit products faster than computing the portfolio value alone, thus making risk management in real time possible. Moreover on Friday 20 June 2014 he will give a mini-course on Real Time Risk Management with Adjoint Algorithmic Differentiaton The agenda is attached below. Interested people are invited to participate. For more information, contact Stefano Marmi (stefano.marmi(a)sns.it), Fabrizio Lillo (fabrizio.lillo(a)sns.it), or Giacomo Bormetti (giacomo.bormetti(a)sns.it). &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&& Friday June 20, Aula Bianchi, 11.00-12.30 Friday June 20, Aula Bianchi, 14.00-15.30 Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this minicourse I will introduce AAD and show how it can be used to implement the calculation of price sensitivities in complete generality and with minimal analytical effort. The focus will be the application to Monte Carlo methods - generally the most challenging from the computational point of view. With several examples I will illustrate the workings of AAD and demonstrate how it can be straightforwardly implemented to reduce the computation time of the risk of any portfolio by order of magnitudes. 1. Pathwise Derivative Method 2. Algebraic Adjoint Approaches  3. Adjoint Algorithmic Differentiation (AAD)  4. AAD as a Design Paradigm  5. AAD and the Pathwise Derivative Method 6. First Applications 7. Case Study: Adjoint Greeks for the Libor Market Model 8. Correlation Risk and Binning Techniques 9. Case Study: Correlation Greeks for Basket Default Contracts

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Fwd: post-doctoral position
by Faggionato, Alessandra 13 Jun '14

13 Jun '14

Applications are invited for a post-doctoral position in Probability at Marseille (Aix-Marseille Université). The position can start October 1st 2014. It is a two-years position, funded by the Fondation Universitaire AMIDEX d'Aix-Marseille, with a stipend of 1960 euros (and 2300 if more than 3 years experience after the thesis). Applicants should write BEFORE JULY 10th to Amine Asselah at amine.asselah(a)u-pec.fr attaching -CV -Research Projects -Letter of Recommendation. For information on the probability group members and activities at marseille please go to http://www.i2m.univ-amu.fr/Annuaire-de-l-equipe-240 Best Regards, Amine Asselah

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Fwd: avviso seminario del 19 giugno
by Gustavo Posta 13 Jun '14

13 Jun '14

Begin forwarded message: > From: "Bertini, Lorenzo" <bertini(a)mat.uniroma1.it> > Date: 12 giugno 2014 20.07.41 GMT+02.00 > Subject: avviso seminario del 19 giugno > > > Avviso di Seminario (con preghiera di diffusione) > > Giovedi' 19 giugno alle ore 14:30 > > In Aula C del Dipartimento di Matematica, Universita' di Roma La Sapienza > > Alessandra Bianchi (Univ. di Padova) > > terra' un seminario dal titlo > > A random walk in a Levy random environment > > > Saluti, > > Lorenzo Bertini > > Dipartimento di Matematica | Fax: +39 - 06 4470 1007 > Universita' di Roma La Sapienza | Tel: +39 - 06 4991 4974 > P.le A. Moro 2, 00185 Roma | E-mail: bertini(a)mat.uniroma1.it > Italy > > Home page: http://www.mat.uniroma1.it/people/bertini/ama/

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Forensic statistics: PhD@Losanna
by Giacomo Aletti 11 Jun '14

11 Jun '14

Chiedo scusa per invii multilpli, mi è stato segnalato che sono aperte posizioni PhD all'Ecole des sciences criminelles, UNIL https://applicationsinter.unil.ch/inter/noauth/php/Po/pooffres.php?poid=330… Scadenza bando a fine mese, laurea richiesta scienze forensi, statistica o matematica. Giacomo Aletti --

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PhD studentships in Statistics - University of Padova, Italy - Deadline 10 July, 2014
by Patrizia Piacentini - PhD 11 Jun '14

11 Jun '14

PhD Studentships in Statistics Department of Statistical Sciences University of Padova, Italy Seven PhD studentships are available at University of Padova for candidates interested in the area of Statistical Sciences Eligibility ----------- The studentship competition is open to applicants of any age or citizenship, holding a 2nd cycle degree or a single cycle degree from an Italian university or an equivalent qualification from other countries of at least four years' duration. Admission is decided on the basis of qualifications only and does not require an entry examination. Award --------- The award will be for three years, subject to satisfactory progress, at the following rate: annual grant of euros 13.638,47 with a start date of 1 November 2014. How to apply ------------------ The call is published at the page http://www.unipd.it/en/research/doctoral-degrees-phd-programmes (see Calls and Admissions) deadline 10th July 2014 Application has to be made following carefully the instructions therein. Further information ---------------------------- See http://www.stat.unipd.it/fare-ricerca/ammissione or contact phd(a)stat.unipd.it Kindest regards, Monica Chiogna PhD Course Coordinator

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seminario Zhuang Jiancang a Milano
by Elisa Varini 11 Jun '14

11 Jun '14

ANNUNCIO DI SEMINARIO venerdì 13 giugno 2014, ore 14:30 Sala Bassini, Piano Rialzato CNR – IMATI, Via Bassini 15, Milano RELATORE Dr ZHUANG Jiancang Institute of Statistical Mathematics, Tokyo TITOLO Testing significance of earthquake precursors against earthquake clustering models instead of against complete randomness ABSTRACT During the last 30 years, a number of algorithms have been developed that search for seismic anomalies in order to predict strong earthquakes. Examples of such algorithms are M8, RTP, RTL, PI, and LURR. In these algorithms, behaviour is usually deemed to be anomalous if seismicity rates change from the background activity, which is usually assumed stationary or, more strongly, a Poisson process. On the other hand, it is well known that seismicity is clustered and can be well described by the Epidemic-Type Aftershock Sequence (ETAS) model. Such anomalies detected in these conventional ways may be caused by earthquake clusters or improper declustering algorithms. This presentation illustrates, through examples, how to modify these algorithms for the testing of seismic anomalies against a clustering model (e.g., the ETAS model). -- ------------------------------------------------------------------- Elisa Varini CNR - Consiglio Nazionale delle Ricerche IMATI - Istituto di Matematica Applicata e Tecnologie Informatiche via Bassini 15 - 20133 Milano (Italy) Tel +39 02 23699 527 Fax +39 02 23699 538 Email elisa(a)mi.imati.cnr.it -------------------------------------------------------------------

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New journal "Market Microstructure and Liquidity"
by Fabrizio Lillo 09 Jun '14

09 Jun '14

Dear contributor to the field of market microstructure, This is just a short message to inform you that we are launching a new journal called "Market Microstructure and Liquidity". The website of the journal is http://www.worldscientific.com/worldscinet/mml and information can be found in the pdf file enclosed in this message. We hope you will be interested in reading it and contributing by sending your papers to this new journal ! Best regards, Fabrizio Lillo PS: Apologies for possible multiple sendings. any remark or comment is welcome ------------------------------------------------------------ Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159 web: https://sites.google.com/site/fabriziolillo9670/home

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Politecnico di Milano - Seminario J. S. Marron
by Laura M. Sangalli 09 Jun '14

09 Jun '14

Si avvisa che in data 17-06-2014, alle ore 15:00 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: J. S. Marron Dept. of Statistics and Operations Research University of North Carolina Titolo: OODA of TreeStructured Data Objects Using Persistent Homology Abstract: The field of Object Oriented Data Analysis has made a lot of progress on the statistical analysis of the variation in populations of complex objects. A particularly challenging example of this type is populations of tree-structured objects. Deep challenges arise, whose solutions involve a marriage of ideas from statistics, geometry, and numerical analysis, because the space of trees is strongly non-Euclidean in nature. Here these challenges are addressed using the approach of persistent homologies from topological data analysis. The benefits of this data object representation are illustrated using a real data set, where each data point is the tree of blood arteries in one person's brain. Persistent homologies give much better results than those obtained in previous studies. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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seminario di Luca Regis presso Prometeia - Bologna
by Giacomo Scandolo 09 Jun '14

09 Jun '14

Il giorno Giovedì 29 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Luca REGIS (IMT Lucca) terrà un seminario dal titolo "Longevity risk modelling and hedging via continuous-time cohort models" Abstract Longevity risk, i.e. the risk of unexpected changes in the survivorship of policyholders, is perceived as one of the major threats to the long-run solvency of annuity providers, such as pension funds. Continuous-time models represent a useful tool in the modelling of stochastic mortality. Non-mean reverting affine cohort processes (Luciano and Vigna, 2008) provide a parsimonious but accurate description of mortality tables. They are particularly suited to pricing and hedging purposes, due to their analytical tractability. I present applications of such models to the management of insurance portfolios. I focus on longevity risk hedging techniques, such as natural hedging, and reinsurance strategies. I will discuss the implementation and the effectiveness of such strategies, as well as the effects of different risk sources (interest-rate risk, investment risk) - along with longevity risk - on the solvency of insurers.

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