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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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seminario prof Zhuang Jiancang (ISM, Tokyo)
by Elisa Varini 05 Jun '14

05 Jun '14

ANNUNCIO DI SEMINARIO venerdì 13 giugno 2014, ore 14:30 Sala Bassini (piano terra) 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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Seminario di Fabrizio Leisen a RM1
by Fabio Spizzichino 03 Jun '14

03 Jun '14

ll Prof. Fabrizio Leisen (Univ. of Kent, Canterbury, UK) terrà, presso il Dipartimento di Matematica dell'Universita' La Sapienza, un seminario dal titolo Dependent Vectors of Random Probability Measures Mercoledi' 4 giugno, Ore 14:30, Aula E Le persone interessate sono invitate a partecipare Abstract: The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. Indeed, they can be used for identifying the de Finetti mixing measure in the representation of the law of a partially exchangeable array of random elements taking values in a separable and complete metric space. In this talk we describe the construction of vectors of random probability measures based on the normalization of an exchangeable vector of completely random measures that are jointly infinitely divisible. The dependence can be achieved in many ways and in this talk will be shown some recent constructions based on Levy Copulas or the stick breaking representation. Finally, the dependence structure of the vectors is studied through some quantities of interest. This talk is a review of papers in collaboration with Antonio Lijoi, Federico Bassetti, Roberto Casarin, Weixuan Zhu and Dario Spano.

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[Fwd: 10 PhD positions in Math at GSSI L'Aquila Italy]
by davide gabrielli 03 Jun '14

03 Jun '14

---------------------------- Original Message ---------------------------- Subject: 10 PhD positions in Math at GSSI L'Aquila Italy From: "Pierangelo Marcati" <pierangelo.marcati(a)univaq.it> Date: Tue, June 3, 2014 3:24 am To: undisclosed-recipients:; -------------------------------------------------------------------------- *DO NOT REPLY* *For further informations *please contact info(a)gssi.infn.it *PLEASE DIFFUSE BETWEEN INTERESTED PEOPLE* *WE APOLOGIZE FOR MULTIPLE E-MAILS* *10 *fellowships at GSSI L'AQUILA Italy, for the PhD program of Mathematics in Natural, Social and Life Sciences *( in collaboration with SISSA International School for Advanced Studies, Trieste)* Core Topics: Stochastic Analysis, PDEs, Mathematical Modelling, Numerics *Online applications * http://www.gssi.infn.it/phd/ *Deadline June 22, 2014* *Download the* *call for applications* at http://www.gssi.infn.it/phd/docs/call_english_14-15.pdf *S*cholarships GSSI awards scholarships for* 3 years. * The yearly amount of the scholarship is of EURO 16.159,91 gross Facilities and benefits All PhD students *will receive free* accommodation on GSSI facilities, tuition fees waived, free luncheon vo * Pierangelo Marcati * Mathematics & Computer Science Division, Chair GranSasso Science Institute, INFN - L'Aquila - Italy http://www.gssi.infn.it http://www.gssi-aq.eu -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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LAST CALL : IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications
by Cristian Giardina 31 May '14

31 May '14

---------- Forwarded message ---------- From: random15 <random15(a)ihp.fr> Date: 2014-05-30 10:23 GMT+02:00 Subject: LAST CALL : IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications Dear Colleague, It is our pleasure to announce a programme on "Disordered systems, random spatial processes and some applications" organized by the Emile Borel Centre from the Henri Poincare Institute in Paris from January 5th to April 3rd, 2015. Organizers: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas * Deadline to apply for Random15 programme financial support has been postponed to June 10th, 2014* Information on the programme can be found on: www.ihp.fr/en/CEB/T1-2015 or * <http://random15.dm.unibo.it/>*http://random15.dm.unibo.it/schedule *Registration is free and recommended* *to participate to:* - the trimester + workshops on: www.ihp.fr/en/program/13698/colloques/register - workshop(s) only on: www.ihp.fr/en/program/13698/colloques/register/nosignupprogram During this trimester, a preschool is organized at the* CIRM* (Marseille) from January 5th to 9th, 2015: If you intend to participate in this event, it will be necessary to make a pre registration through the workshops session. We are looking forward to welcoming you! PS: do not hesitate to forward this email to your colleagues. **************************************************** Cher Collegue, Nous avons le plaisir de vous annoncer l organisation d un programme sur les " Systemes desordonnes, processus spatiaux aleatoires et certaines applications" au Centre Emile Borel de l Institut Henri Poincare a Paris, du 5 janvier au 3 avril 2015. Les organisateurs: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas Attention : * La date limite pour les demandes de support financier du programme Random15 est repoussee au 10 juin 2014* Vous pouvez consulter le programme a l adresse suivante: www.ihp.fr/fr/CEB/T1-2015 ou directement a cette adresse: * <http://random15.dm.unibo.it/>*http://random15.dm.unibo.it/schedule *L inscription au programme est gratuite et recommandee **sur l adresse suivante:* - pour le trimestre + conferences: www.ihp.fr/fr/program/13698/colloques/register - ou uniquement pour le/les conferences: www.ihp.fr/fr/program/13698/colloques/register/nosignupprogram Durant ce trimestre, une pre ecole est organisee au *CIRM* (Marseille) du 5 au 9 janvier 2015 Si vous avez l'intention de participer a ce programme en particulier une pre inscription est necessaire via les inscriptions aux conferences C est avec plaisir que nous vous accueillerons a Paris. PS: merci par avance de bien vouloir transmettre ce courriel a vos collegues. -- Claire Berenger Organisation Assistant random15(a)ihp.fr CNRS UPMC - Institut Henri Poincare Centre Emile Borel 11, rue Pierre et Marie Curie - 75005 Paris Bureau 206 Tel: 01 44 27 67 64 Fax: 01 44 07 09 37www.ihp.fr Decouvrez la chaine de l'institut Henri Poincare<http://www.youtube.com/user/PoincareInstitute> <http://www.youtube.com/user/PoincareInstitute>.

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Seminario Claudio Fontana a Padova
by Tiziano Vargiolu 29 May '14

29 May '14

Siamo lieti di annunciare il seguente seminario: Claudio FONTANA, "A general HJM framework for multiple curve modeling" (joint work with Christa Cuchiero and Alessandro Gnoatto) al Dipartimento di Matematica (via Trieste 63, Padova), aula 2AB/40 (secondo piano), venerdi' 29 maggio ore 12. Abstract -------- We propose a general HJM approach to the modeling of multiple yield curves. In a general semimartingale setting, we model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive HJM drift and consistency conditions ensuring absence of arbitrage and we show how to construct models such that spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is an affine process, we obtain a flexible Markovian structure which allows for simple valuation formulas for most interest rate derivatives.

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Postdoc on "Systemic risk in financial markets across time scales” at the Scuola Normale di Pisa
by Fabrizio Lillo 27 May '14

27 May '14

A call for a one-year postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is "Systemic risk in financial markets across time scales” and it is funded by the Scuola Normale. The details of the call are at http://www.sns.it/en/servizi/job/assegnidiricerca/assegno215/ The deadline is June 12. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ------------------------------------------------------------ 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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I: [tout-enseignants] Appel à candidature post-doctorat université de Cergy
by Massimo Campanino 26 May '14

26 May '14

__________ > ---------------------------------------- > From: Laurence Puechberty <laurence.puechberty(a)u-cergy.fr> > Sent: Mon, 5 May 2014 08:56:38 +0200 (CEST) > To: <tout-enseignants(a)ml.u-cergy.fr> > Cc: SERFATY Stéphane <Stephane.Serfaty(a)u-cergy.fr>, Présidence UCP <presidence(a)u-cergy.fr>, Frédéric Oliveau <frederic.oliveau(a)u-cergy.fr>, Bernard Fradin <Bernard.Fradin(a)u-cergy.fr>, Edite De Almeida <Edite.DaRochaDeAlmeida(a)u-cergy.fr> > Subject: [tout-enseignants] Appel à candidature post-doctorat université de Cergy > > > Chers Collègues, > > Vous trouverez ci-joint l'appel à candidature pour les post-doctorats de > l'université de Cergy pour 2014. > La date limite de retour des dossiers est fixée au mercredi 11 juin 2014 > à 12h à la DiRVED. > Pour toute question, n'hésitez pas à contacter Laurence Puechberty ou > moi-même. > Bien cordialement > > Stéphane Serfaty > Vice-Président Recherche Valorisation > ------------ > > *//* > > *Laurence PUECHBERTY -- *Directrice DiRVED** > > *Université de CERGY-PONTOISE*- Direction Recherche, Valorisation, > Etudes Doctorales > > Site des chênes - Jardin Tropical -- Bureau C 107 > > 33 boulevard du Port- 95011 Cergy-Pontoise cedex > laurence.puechberty(a)u-cergy.fr <mailto:laurence.puechberty@u-cergy.fr> > > Tel : 01 34 25 72 68Port : 06 78 85 37 95 > > */Pensez à l'environnement. N'imprimez ce courriel que si nécessaire./* > > > -- UniversitÃ© de Cergy-Pontoise http://www.u-cergy.fr Ce message et toutes les piÃ¨ces jointes sont confidentiels et Ã©tablis Ã l'intention exclusive de ses destinataires. Si vous recevez ce message par erreur, merci de le dÃ©truire sans en conserver de copie et d'en avertir l'Ã©metteur. L'intÃ©gritÃ© de ce message n'Ã©tant pas assurÃ©e sur internet, l'UniversitÃ© ne peut Ãªtre tenue responsable de son contenu. Toute utilisation ou diffusion non autorisÃ©e est interdite. Ensemble, faisons un geste pour l'environnement : n'imprimons nos mails que si nÃ©cessaire.

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de Finetti risk seminar - maggio 2014
by emanuela.rosazza1＠unimib.it 23 May '14

23 May '14

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Fwd: Corso di Monique Jeanblanc e Nicole El Karoui a Padova (Maggio 2014). (fwd)
by Tiziano Vargiolu 23 May '14

23 May '14

Ciao a tutti, scusandomi per il ritardo, vi segnalo un corso di dottorato tenuto in due parti (di contenuto disgiunto) da Nicole El Karoui e Monique Jeanblanc a Padova. La prima lezione della prof. Jeanblanc e' gia' stata tenuta, mentre il corso della prof. El Karoui inizia lunedi' pomeriggio. In allegato il programma con l'orario preciso (ovviamente l'esame e' previsto solo per i dottorandi di Padova). Cordiali saluti a tutti 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 --------------------------------------------------------------------------

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Symposium on return predictability in stock and real estate markets, 6 Giugno 2014 SNS, Pisa
by Giacomo Bormetti 23 May '14

23 May '14

Cari tutti, in collaborazione con Franco Nardini abbiamo organizzato per Venerdì 6 Giugno 2014 una giornata dedicata alla predicibilità dei mercati. Il titolo dell'evento, che si terrà nella Sala Azzurra del Palazzo della Carovana con inizio dei lavori alle 9:00, è "Symposium on return predictability in stock and real estate markets". La partecipazione è libera, tutti gli interessati sono benvenuti. Per maggiori informazioni scrivete a giacomo.bormetti(a)sns.it oppure franco.nardini(a)unibo.it. La locandina ed il programma dell'evento sono scaricabili al indirizzo http://mathfinance.sns.it. Di seguito il programma dettagliato 9:00 Prof. Javier Estrada, IESE Business School, Barcelona. The Return Decomposition Model: What It Is and What It Predicts Now 9:45 Prof. Fulvio Ortu, Bocconi University, Milano. Implications of Return Predictability across Horizons for Asset Pricing Models 10:30 Dr. Viviana Vieli, FactSet. Risk for Multi Asset Class Portfolios 11:00 Break 11:30 Prof. Roberto Dieci, Department of Mathematics, University of Bologna. Real estate markets and prices: Distinctive features and modeling issues 12:15 Prof. Tom Engsted, School of Economics and Management, Aarhus University. Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries 13:00 Lunch 14:00 Prof. Richard Stehle, School of Business and Economics, Humboldt University, Berlin. In Germany the CAPM is Alive and Well 14:45 Dr. Flavia Poma, Citi, London. Fama-French factors for the non-US investor 15:15 Dr. Anna Grazia Quaranta, Department of Mathematics, University of Bologna. Managers' Compensation, Capital Structure and REITs' Performance 16:00 Break 16:30 Dr. Luca Dondi, Nomisma, Bologna. Quadro congiunturale e prospettive del mercato immobiliare italiano Cordiali saluti, Giacomo

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bando seconda fascia Secs-S/06 universita di Firenze
by mariaelvira.mancino＠unifi.it 22 May '14

22 May '14

Segnalo la pubblicazione di un bando per la copertura di un posto di professore di seconda fascia presso l'Universita' degli Studi di Firenze nel settore concorsuale 13/D4, settore scientifico disciplinare SECS-S/06: http://www.unifi.it/vp-10130-selezioni-per-la-copertura-di-due-posti-di-pro…

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Lecturer or Senior Lecturer position in Financial Computing at UCL
by Guido Germano 22 May '14

22 May '14

Begin forwarded message: > From: "Aste, Tomaso" <t.aste(a)ucl.ac.uk> > Subject: Lecturer Senior lecturer position opening > Date: 22 May 2014 17:01:41 pm GMT+1 > > We are advertising a new position in our group: > > http://www.jobs.ac.uk/job/AIU153/lecturer-senior-lecturer-in-financial-comp… > Deadline for application June 16. > > We are looking to complement and strengthen our existing expertise in Financial Computing & Analytics by recruiting an outstanding researcher with expertise in computational finance and other related areas such as: financial risk modelling, statistical analysis of financial data and big data analytics, computational valuation of financial securities. Candidates should have demonstrated capability of initiating and conducting exciting world-class research. They will be evaluated chiefly on the significance and novelty of their research to date, their promise of leading a group in a fruitful program of research and their capability to teach computational finance related subjects. > > Members of the Financial Computing & Analytics group (http://fincomp.cs.ucl.ac.uk/) work in a broad area that includes algorithmic trading, valuation and hedging of derivatives, portfolio optimisation, risk modelling, high-frequency trading, financial data analytics, econophysics, complex systems, agent-based modelling. Furthermore, there is a growing activity in high-performance computing with both CPU and GPU clusters, as well as big data handling, sharing and processing. The group has ongoing collaborations with a large number of financial firms. Our Centre for Doctoral Training and our master programs (http://fincomp.cs.ucl.ac.uk/courses/) attract world-class students. The Computer Science Department at UCL is a very exciting environment for research with great facilities and strong tradition in interdisciplinary studies. > UCL has retained fourth place in the QS World University Rankings 2013/14 (http://www.topuniversities.com/university-rankings), making UCL one of the four UK universities in the top ten and the second ranked UK institution after the University of Cambridge. > > Please forward this mail to potentially interested applicants. > > Regards, > Tomaso > > ----------------------------------------------------------------------------------------------------------- > Tomaso Aste t.aste(a)ucl.ac.uk > UCL Computer Science http://www.cs.ucl.ac.uk/staff/tomaso_aste/ > Malet Place Tel. +44 20 7679 0430 > London WC1E 6BT Fax. +44 20 7387 1397 > ----------------------------------------------------------------------------------------------------------- > > New Publication: > http://www.nature.com/srep/2014/140404/srep04589/full/srep04589.html — Dr. Guido Germano Senior Lecturer, Financial Computing and Analytics Group Admissions Tutor, MSc Financial Risk Management Department of Computer Science, University College London Mail: Gower Street, London WC1E 6BT, UK Office: Room 6.02, Malet Place Engineering Building, London WC1E 7JE Tel. +44 20 7679 3697, fax +44 20 7387 1397, cell. +49 170 8090109 g.germano(a)ucl.ac.uk, www.cs.ucl.ac.uk/staff/g.germano Research Associate, LSE/UCL Systemic Risk Centre g.germano(a)lse.ac.uk, www.systemicrisk.ac.uk

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Fwd: PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore
by Marco Isopi 22 May '14

22 May '14

Begin forwarded message: > From: "crm(a)sns.it" <crm(a)sns.it> > Subject: PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore > Date: May 22, 2014 2:47:10 PM GMT+02:00 > To: destinatari-ignoti:; > > PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore > > Applications are invited for the PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore in Pisa (Italy). > > All positions are supported by fellowships (7 for Mathematics + 5 for Financial Mathematics). > Additionally, each PhD student is guaranteed funding for his/her research activity and for travel in Italy and abroad. > > The selection will take place in two stages, July and October. The students will start their activities on November 1, 2014. > > Deadlines: > > For the July selection: June 30, 2014 > For the October selection: September 15, 2014. > > About the PhD program in Mathematics > > The mathematical research at the Scuola Normale is concentrated on some of the most significant areas of mathematics at the international level: Calculus of Variations, Harmonic Analysis, Differential Geometry and Global Analysis, Algebraic Geometry, Number Theory, Dynamical Systems. > > Website: > > http://phd.sns.it/en/mathematics/ > > About the PhD program in Financial Mathematics > > The research activity is concentrated on the analytical and empirical study of financial markets at different time scales, using rigorous mathematical tools as well as quantitative methods. The areas of research include: high frequency finance, market microstructure, valuation and portfolio theory, correlation structures, networks, systemic risk, efficiency of financial markets. > > Website: > > http://phd.sns.it/en/financial-mathematics/ > -- > Centro di Ricerca Matematica > Ennio De Giorgi > Collegio Puteano > Scuola Normale Superiore > Piazza dei Cavalieri n.3 > 56126 - Pisa , Italy > > > e-mail:crm@sns.it

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IMT – 2014/15 PHD CALL FOR APPLICATIONS :: PROGRAMMA DI DOTTORATO
by Irene Crimaldi 21 May '14

21 May '14

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 Si informa che è aperto il nuovo bando di selezione per l'accesso al Programma di Dottorato di IMT Alti Studi Lucca per i seguenti curricula di specializzazione: - 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 Esenzione dalle tasse d'iscrizione (tranne la tassa regionale per il diritto allo studio), alloggio gratuito, accesso gratuito alla mensa IMT - A grant of €13,600 gross/year Importo lordo della borsa: €13.600/anno Candidates can apply if they obtain their (minimum) 4-year undergraduate degree NO LATER than October 31, 2014 Possono fare domanda coloro che conseguano il titolo di accesso entro e NON OLTRE 31 ottobre 2014 *DEADLINE: July 14th, 2014* Learn more about the PhD program by participating in our interactive webinar. Go to http://brightrecruits.com/webinars to sign up. Per maggiori informazioni sul programma di dottorato è possibile partecipare al webinar interattivo. Per aderire: http://brightrecruits.com/webinars 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. IMT Lucca (www.imtlucca.it) è un istituto universitario pubblico di ricerca e alta formazione dottorale a ordinamento speciale, focalizzato sull'analisi e gestione dei sistemi economici, sociali, tecnologici e culturali. I docenti e i ricercatori dell'Istituto svolgono attività di ricerca metodologica di alto livello scientifico per *generare* conoscenza, per *applicare* la conoscenza alla risoluzione di problemi d'interesse economico, industriale, sociale e culturale attraverso la realizzazione di progetti, e per *trasmettere* la conoscenza attraverso l'attività didattica. 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. If you no longer wish to receive emails from IMT Lucca, please send an email with the word UNSUBSCRIBE in the subject line to commev(a)imtlucca.it. *Research, Planning and Organization Office* IMT Institute for Advanced Studies Lucca Piazza San Ponziano 6, 55100 Lucca - Italy Tel: +39 0583 4326 745, fax: +39 0583 4326 565 www.imtlucca.it

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Assegno di Ricerca - Università di Padova
by Paolo Dai Pra 21 May '14

21 May '14

E’ indetta una selezione per il conferimento di n. 1 assegno per lo svolgimento di attività di ricerca nell’ambito del progetto di ricerca dal titolo “Correlazione, contagio, sincronizzazione: modelli stocastici per fenomeni complessi sociali e biologici” da svolgersi presso il Dipartimento di Matematica sotto la supervisione del Prof. Paolo Dai Pra, in qualità di responsabile scientifico del progetto di ricerca. Il bando è disponibile al seguente indirizzo: http://www.math.unipd.it/it/news/?id=1504 con scadenza 4 Giugno 2014 Paolo Dai Pra Paolo Dai Pra Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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PhD position available in "Statistical Methods for Geosciences" - Politecnico di Milano Dept. of Mathematics
by Simone Vantini 20 May '14

20 May '14

*Position:*PhD position in "Statistical Methods for Geosciences" in Mathematical Models and Methods in Engineering. *Institution:*Department of Mathematics, Politecnico di Milano, Milan, Italy. *Duration:*3 years, beginning November 1, 2014. *Monthly net income:*1.200 euro. *Deadline for applications: *14:00 (GMT+1:00), May 23, 2014. *Details for applications: *please click here <http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-…>. *Motivations and objectives of the research in this field:*Problems characterized by high-dimensional and complex data have become more and more common in engineering. Due to their complexity, in many situations these data contain redundant information since their underlying structure may involve only a reduced number of relevant features. This research aims at developing new methods for the detection of suitable subspaces where data (possibly spatially-dependent) can be represented, interpreted and analyzed. The interest extends also to the identification of suitable basis, which should capture the relevant geophysical features of the phenomenon under study and allow for computationally efficient statistical analysis. *Methods and techniques that will be developed and used to carry out the research:* The PhD program aims at training young researchers by providing them with a strong mathematical background and with ability to apply their knowledge to the solution of real-world problems in the areas of Statistics and Scientific Computing. *Educational objectives:*The PhD students carry their research both in the development of new mathematical methods and in the implementation and improvement of advanced techniques in connection with specific contexts and applications. Further information can be obtained by consulting the dedicated website http://www.mate.polimi.it/dottorato *Job opportunities:* Job opportunities are in companies and research agencies which are leaders in their respective fields. -- Simone Vantini MOX Laboratory for Modeling and Scientific Computing Dept. of Mathematics "F. Brioschi" - Politecnico di Milano Address: Piazza Leonardo da Vinci 32, 20133, Milan, Italy Phone: (+39) 02 2399 4554 Email: simone.vantini(a)polimi.it Website: http://mox.polimi.it/~vantini/

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Mini corso Prof. Luciano Campi
by Luca di persio 20 May '14

20 May '14

Il Prof. Luciano Campi[ London School of Economics ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 26 al 30 Maggio 2014 e terrà un mini corso dal titolo ” *A primer on stochastic control and portfolio optimization* “ *Abstract*: We will give a short introduction to stochastic control in continuous time with some applications to optimal investment problems. In particular, after giving some examples of control problem which are relevant in finance and insurance, we will turn to the dynamic programming principle (DPP), which is the main tool to obtain the Hamilton-Jacobi-Bellman (HJB) partial differential equation describing the local behaviour of the value function. Under some regularity conditions, solving this HJB pde gives a method to find (at least theoretically) the optimal solution. We will apply this approach to solve some problems of optimal investment, e.g. the classic Merton problem of optimal investment and consumption. articolato in tre lezioni che si terranno presso il Dipartimento stesso nei giorni di - Lunedì 26 Maggio [ Aula D, 14:30-16:30 ] - Martedì 27 [ Aula F, 14:30-16:30 ] - Mercoledì 28 Maggio [ Aula D , 14:30-16:30 ] Per informazioni contattare: luca.dipersio(a)univr.it __ 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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