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RSS Applied Probability PhD Competition
by Tiziano De Angelis 21 Oct '21

21 Oct '21

Dear All, The message below from the Applied Probability Section of the Royal Statistical Society is addressed to junior researchers who have just completed or are about to complete a PhD in the UK. Please feel free to forward it to potentially interested students. Best wishes Tiziano -------------------------------- We invite applications for a new prize, awarded by the RSS Applied Probability Section for the best PhD thesis defended in the last two years. The winner of the competition will be given the opportunity to organise an RSS Applied Probability Section workshop on a topic of their choice, with the support of the APS committee. *Criteria:* To be eligible for the award, candidates should have completed a PhD at a UK university. The PhD defence should have taken place between 1 January 2020 and 28 February 2022. Applications will be judged on the contribution of their PhD thesis to the field of applied probability, broadly interpreted, and its potential for long term impact on applied probability and/or its potential to reach out into statistical science and other application areas, both established and novel. Further details on how to apply for the competition can be found on the RSS website: https://rss.org.uk/news-publication/news-publications/2021/section-group-re… Further information about the RSS Applied Probability Section can be found here: https://rss.org.uk/membership/rss-groups-and-committees/sections/applied-pr…

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(PMS)^2 in person and online talk: Carina Geldhauser
by Mario Maurelli 21 Oct '21

21 Oct '21

Dear colleagues, we are happy to announce the first *hybrid - that is, in person with online streaming -* talk of the (PMS)^2 series: Speaker: *Carina Geldhauser* (Lund University) Title: *Discrete models for atmospheric turbulence* Abstract: In this talk we discuss a family of discrete models for atmospheric turbulence, often called point vortex models. Point vortices provide an approximation of solutions to generalized surface quasi-geostrophic models, a family of fractional PDEs which interpolate between 2D Euler equations and the more irregular SQG equation. We state some of its basic properties and see how variational methods and tools from probability theory together can help us to obtain more information about turbulence phenomena. The content of this talk is based on work in collaboration with Marco Romito (Uni Pisa), the presentation tries to avoid technicalities and to be accessible to a mixed audience. Date and time: *Monday October 25, 14:30-15:30 (Rome time zone)*, mind the change with respect to previous talks Place: *Sala di Rappresentanza (ground floor), Dipartimento di Matematica, Università degli Studi di Milano, via Saldini 50, 20133 Milano* *Zoom link:* https://us02web.zoom.us/j/5772228296 This is a talk of the *(PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics* organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. For more information see the dedicated webpage: https://paviamilanoseminars.wordpress.com/ Participation is free and welcome! The number of participants in person is limited, but we expect the limit not to be reached. However we advise people who are not from Milan or Pavia to write to us if they want to participate in person. Participants in person need to have the "green pass" or the EU digital covid certificate; a scanner will measure body temperature at the entrance of the building. Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Bando Dottorato
by Tiziano Vargiolu 20 Oct '21

20 Oct '21

Carissimi, vi segnaliamo che e' appena uscito il bando per un posto di dottorato nel settore MAT/06, tipologia PON, per lo svolgimento di attivita' di ricerca vincolata su tematiche green - DM 10 agosto 2021 n. 1062 presso il Dipartimento di Matematica "Tullio Levi-Civita", Universita' di Padova. Titolo: Optimal dispatching in intraday electricity market when storage is possible Supervisore: Tiziano Vargiolu Corso di dottorato: Scienze Matematiche (curr. Mat. Computazionale) Scadenza della domanda: 4 Novembre 2021, ore 13:00 Tutte le informazioni sono reperibili alla seguente pagina: https://www.unipd.it/dottorato/innovazione-green (italiano) https://www.unipd.it/en/phd-innovation-green-issues (inglese) Vi preghiamo di dare ampia diffusione tra i vostri studenti interessati. Per maggiori dettagli, non esitate a scrivere (vargiolu(a)math.unipd.it) Cordiali saluti 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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Webinar Crimaldi @Bocconi
by Giacomo Zanella 20 Oct '21

20 Oct '21

We announce the following DEC Statistics webinar at Bocconi: Date: Thursday 21 October 2021, h12:00 (Italy time) Speaker: Irene Crimaldi (IMT School for Advanced Studies Lucca) Title: Interacting Reinforced Stochastic Processes Abstract: Randomly evolving systems composed by elements which interact among each other have always been of great interest in several scientific fields. We will present some studies about models of interacting stochastic processes with reinforcement. Generally speaking, by reinforcement in a stochastic dynamics we mean any mechanism for which the probability that a given event occurs has an increasing dependence on the number of times the same event occurred in the past. In particular, we will focus on the asymptotic synchronization phenomenon that could be roughly defined as the tendency of different components to adopt a common behavior. Moreover, we will deal with the relationship between the topology of the interaction network and the long-time synchronization. Indeed, the obtained results lead to the construction of asymptotic confidence intervals for the common limit random variable and of statistical tests to make inference on the topology of the network. Finally, we will discuss the question when, even if interaction among agents is present, absence of synchronization may happen. The webinar will be on zoom at: https://unibocconi-it.zoom.us/j/93329709153?pwd=TnZyNmV5QWZ1YjdHOHhEK2VZTmp… Meeting ID: 933 2970 9153 Passcode: 417065 Kind regards, Giacomo Zanella

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URGENTE: Bando Dottorato
by Stefania Ugolini 19 Oct '21

19 Oct '21

Cari colleghi, vi segnaliamo che è appena uscito il bando per un posto di dottorato nel settore MAT/06, tipologia PON, per lo svolgimento di attività di ricerca vincolata su tematiche green e innovazione - DM 10 agosto 2021 n. 1062 presso il Dipartimento di Matematica Federigo Enriques, Università degli Studi di Milano. Modellizzazione matematica e analisi dei dati per lo studio dell'impatto dei cambiamenti climatici e ambientali sul degrado dei Beni Culturali in ambienti interni ed esterni. Scadenza della domanda: 8 Novembre 2021, ore 14:00 Tutte le informazioni sono reperibili alla seguente pagina: https://www.unimi.it/it/corsi/corsi-post-laurea/corsi-di-dottorato-phd/aa-2… Vi preghiamo di dare ampia diffusione tra i vostri studenti interessati. Per avere maggiori dettagli sul progetto possono scrivere a stefania.ugolini(a)unimi.it, daniela.morale(a)unimi.it Grazie. Cordiali saluti, Stefania Ugolini e Daniela Morale.

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Seminar in Padova by Andrea Pallavicini, save the date (29 Oct. 2021)!
by Giorgia Callegaro 19 Oct '21

19 Oct '21

Dear all, it's a pleasure to announce the following seminar by Andrea Pallavicini, which will be **in presence and online**. Details are as follows: - *Title*: Chebyshev Greeks: Smoothing Gamma without Bias - *Date*: October 29, 2021 at 14:30 - *In presence*: Room 2BC30 (Torre Archimede, Padova) - *Online (Zoom):* the link will be available from the day before at this address https://www.math.unipd.it/~bianchi/seminari/ - *Abstract*: The computation of Greeks is a fundamental task for risk managing of financial instruments. The standard approach to their numerical evaluation is via finite differences. Most exotic derivatives are priced via Monte Carlo simulation: in these cases, it is hard to find a fast and accurate approximation of Greeks, mainly because of the need of a tradeoff between bias and variance. Recent improvements in Greeks computation, such as Adjoint Algorithmic Differentiation, are unfortunately uneffective on second order Greeks (such as Gamma), which are plagued by the most significant instabilities, so that a viable alternative to standard finite differences is still lacking. We apply Chebyshev interpolation techniques to the computation of spot Greeks, showing how to improve the stability of finite difference Greeks of arbitrary order, in a simple and general way. The increased performance of the proposed technique is analyzed for a number of real payoffs commonly traded by financial institutions. See you soon in Padova, thanks, Giorgia -- Giorgia Callegaro Associate Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Bandi RTDA Padova SECS-S/01 e SECS-S/05
by Alessandra Fabbri Colabich 19 Oct '21

19 Oct '21

Si segnalano due posizioni RTDA su fondi PON a tema green presso il dipartimento di Scienze Statistiche dell'Università di Padova. Scadenza: 2 novembre ore 13 https://www.stat.unipd.it/procedure-selettive-l%E2%80%99assunzione-di-n-68-… Alessandra Fabbri Colabich Management Secretariat Department of Statistical Sciences University of Padua

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Fwd: Postdoctoral/career development positions in Oxford
by pietro caputo 19 Oct '21

19 Oct '21

Ricevo e inoltro: ---------- Forwarded message --------- From: Christina Goldschmidt <christina.goldschmidt(a)gmail.com> Date: Mon, Oct 18, 2021 at 9:55 PM Subject: Postdoctoral/career development positions in Oxford To: Christina Goldschmidt <goldschm(a)stats.ox.ac.uk> Dear colleagues, The Department of Statistics at Oxford has just advertised three postdoctoral fellowship positions: two Bicentennial Florence Nightingale Fellows (closing date: noon on 15th November), with a preference for people working in Probability or Statistical Methodology, and a Glasstone Research Fellowship (closing date: noon on 12th November) in any area of Probability or Statistics. These are all 3-year fixed term jobs. The Florence Nightingale Fellowships are career development positions, intended to carry around half the teaching load of an ordinary Oxford faculty position. They can start on or before 1st October 2022. The Glasstone Research Fellowship has research as its primary goal (although the post-holder will be encouraged to gain some experience of teaching), and would normally start on 1st October 2022. More details can be found on the department’s vacancies page <http://www.stats.ox.ac.uk/vacancies/>, where there are links to detailed job descriptions and the online application form. (Candidates should please note that their referees should send their letters of reference by the closing date.) I would be very grateful if you could bring this to the attention of any suitable people that you know! If potential applicants have any questions about any of the posts, please ask them to contact me < goldschm(a)stats.ox.ac.uk> or Robin Evans <evans(a)stats.ox.ac.uk>, and we will be happy to answer them as fully as possible. Many thanks and best wishes, Christina. -- Christina Goldschmidt | http://www.stats.ox.ac.uk/~goldschm Department of Statistics and Lady Margaret Hall, University of Oxford

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URGENTE: bando RTDA-PON MAT06 a Napoli
by Enrica Pirozzi 18 Oct '21

18 Oct '21

Carissimi, vi segnalo nuovamente il bando per RTDA-PON MAT/06 a Napoli. Vi prego di darne AMPIA DIFFUSIONE. Il bando è alla pagina http://www.unina.it/ateneo/concorsi/concorsi-docenti-e-ricercatori/reclutam… trovate l'avviso http://www.unina.it/documents/11958/26912536/PON_GREEN_RTDA_2021_00_bando_5… relativo al bando per un posto di ricercatore a tempo determinato di tipo A nel settore MAT/06 (codice identificativo PON_GREEN_RTDA _2021_37), per lo svolgimento di attività di ricerca vincolata su tematiche Green presso il Dipartimento di Matematica e Applicazioni, Università degli Studi di Napoli Federico II. Scadenza della domanda: 20 Ottobre 2021, ore 15:00 Sono disponibile per ogni dubbio o chiarimento. Cari saluti Enrica Pirozzi -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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RTD B Università Roma Tre
by Julia Mortera 18 Oct '21

18 Oct '21

Cari tutti, con la presente vorrei annunciare l'emissione di un bando all’Università Roma Tre, Dipartimento di Economia per un Ricercatore a tempo determinato B - SECS-S/01 (Statistica) (2 Piano Straordinario MUR 2020). Il termine di scadenza delle domande di partecipazione è il 28/10/2021. Il bandointegraleèdisponibileal seguente indirizzo: http://www.albopretorionline.it/uniroma/alboente.aspx <http://www.albopretorionline.it/uniroma/alboente.aspx> e si trova al link: https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=1 <https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=1> con allegati al: https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=4 <https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=4> un caro saluto, Julia Mortera -- Julia Mortera, Professor of Statistics, Università Roma Tre Web page:https://juliamortera.wordpress.com/ http://tinyurl.com/ztj6ked

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INCONTRO SULLA DIDATTICA DELLA PROBABILITA' E DELLA STATISTICA - II annuncio
by Paolo Dai Pra 17 Oct '21

17 Oct '21

Vi invio il secondo annuncio dell’incontro in oggetto, allegando il programma definitivo. Prego gli interessati che non lo hanno già fatto di iscriversi. %%%%%%%% Il Gruppo UMI (Unione Matematica Italiana) PRobability In Statistics, Mathematics and Applications (PRISMA) è lieto di annunciare un incontro online sulla Didattica della Probabilità e della Statistica nei corsi di laurea degli Atenei Italiani Grazie al contributo di numerosi esperti, verranno discussi contenuti e modalità didattiche in molti ambiti, evidenziando per ciascuno le esigenze specifiche. A questo messaggio allego la locandina con il programma. Per aggiornamenti si rimanda alla pagina https://sites.google.com/view/prisma-didattica-probstat/ <https://sites.google.com/view/prisma-didattica-probstat/>, da cui si accede ad un breve modulo di iscrizione. L’indirizzo per la partecipazione all’incontro verrà poi inviato per posta elettronica a tutti gli iscritti. Paolo Dai Pra Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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Pubblicazione bando 2021RUAPON - Allegati SSD INF/01 - SSD MAT/06 e SSD MAT/08 - Scadenza presentazione domande 2.11.2021 ore 13.00 (fwd)
by Tiziano Vargiolu 15 Oct '21

15 Oct '21

Con preghiera di diffusione Cari colleghi, vi segnalo la pubblicazione del bando per 68 posti di ricercatore a tempo determinato di tipo A, di cui uno nel settore MAT/06, per lo svolgimento di attivita' di ricerca vincolata su tematiche green - DM 10 agosto 2021 n. 1062 presso il Dipartimento di Matematica "Tullio Levi-Civita", Universita' degli Studi di Padova. Data di scadenza: 2 novembre 2021 ore 13 Il bando generale e' disponibile alla pagina https://protocollo.unipd.it/albo/viewer?view=files%2F010970956-UNPD0Z9-ee88… mentre l'allegato per il posto MAT/06 e' disponibile alla pagina https://protocollo.unipd.it/albo/viewer?view=files%2F010970956-UNPD0Z9-ee88… Il bando, completo di tutti gli allegati, e' disponibile alla pagina https://protocollo.unipd.it/albo/viewer Per maggior informazioni, non esitate a contattarmi. 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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Florence-Paris Workshop on Mathematical Finance
by Maria Elvira Mancino 15 Oct '21

15 Oct '21

Dear All, The Department of economics and management (University of Firenze), ENSIIE, the University of Evry and the Institut Louis Bachelier are pleased to invite you to the streaming of the upcoming First Florence-Paris Workshop on Mathematical Finance, which will take place on October 27-29, 2021. For more information about the schedule of the workshop, go to: https://sites.google.com/unifi.it/florence-paris-workshop/home-page. Please find attached the tentative program. Register at https://docs.google.com/forms/d/e/1FAIpQLScGqi_sjwO7ZiJo-b3QK47Uf1XIeAAu2_u… in order to obtain the credentials to access the streaming. Best regards, The Organizing Committee -- Maria Elvira Mancino, PhD Professor of Mathematical Finance Head of the Department of Economics and Management University of Firenze Via delle Pandette, 9 50127 Firenze https://www.unifi.it/p-doc2-2014-0-A-2b333931392b-1.html

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Borse di Dottorato in Modeling and Data Science XXXVII CICLO (PON RICERCA E INNOVAZIONE) - Università degli Studi di Torino
by Elvira Di Nardo 15 Oct '21

15 Oct '21

Vi segnalo il BANDO DI CONCORSO PUBBLICO PER 6 BORSE DI DOTTORATO SU TEMATICHE “GREEN” E “INNOVAZIONE” PON RICERCA E INNOVAZIONE 2014-2020 (D.M. 1061/2021) XXXVII CICLO. nell'ambito del Dottorato in Modeling and Data Science <https://dottorato-mds.campusnet.unito.it/do/home.pl> (Università di Torino) *Deadline per la domanda: 28 ottobre 2021 ore 23.59 * Con preghiera di diffusione a potenziali interessati, vi segnalo - in particolare - i seguenti progetti: Titolo: *Sviluppo di un sistema di monitoraggio energetico aziendale * (MAT/06) Referente Scientifico: *Cristina Zucca <https://dipmath.campusnet.unito.it/do/docenti.pl/Alias?cristina.zucca#tab-p…> * Tematica: Il risparmio energetico e l'utilizzo di energie rinnovabili giocano un ruolo fondamentale nella ricerca di uno sviluppo aziendale sostenibile. Questo richiede che, da una parte le aziende si organizzino per l'utilizzo di energia rinnovabile e dall'altro individuino metodi di produzione volti al risparmio energetico. La multinazionale Agilent nella sede torinese si sta muovendo su entrambi questi fronti. Questo progetto di dottorato è in parte finanziato da Agilent ed è rivolto a un ripensamento dei processi produttivi introducendo il vincolo di minimizzare il consumo energetico. Occorre individuare i processi a maggior consumo energetico e studiare come ridurre i consumi o come ottimizzare i tempi di richiesta di energia, evitando momenti di picco energetico. Il progetto partirà dall’analisi statistica di dati esistenti a cui verranno affiancati i dati provenienti da nuovi sensori opportunamente collocati. Il target finale sarà la costruzione di modelli matematici predittivi del consumo energetico dei singoli macchinari e delle linee di produzione. Tali modelli serviranno a ridurre i consumi e ottimizzare la richiesta energetica. Background di fisica e matematica (master in matematica, fisica o ingegneria). Conoscenza del calcolo delle probabilità e della statistica (processi stocastici e serie storiche). Lingua inglese. Titolo: *Analisi di big data relativi alle risorse idriche sotterranee *(SECS-S/01; INF 01) Referente Scientifico: Stefano Ferraris <https://www.dist.unito.it/do/docenti.pl/Alias?stefano.ferraris#tab-profilo> Tematica: La prevenzione di eventi critici come la siccità agricola e potabile richiede un uso estensivo di dati di monitoraggio ambientale. Oggi è disponibile una quantità impressionante di dati e una varietà di strumenti statistici e informatici che possono essere applicati per lo studio di tali big data. Per il Piemonte disponiamo di informazioni nello spazio e nel tempo. Tali dati comprendono più di vent'anni di livello di acque sotterranee, portate fluviali, dati meteorologici di ARPA Piemonte e dati satellitari. Unendo modelli matematici specifici e un approccio di machine learning si prevede di valutare quantitativamente le risorse idriche disponibili in un contesto di cambiamento climatico. Inoltre, l'utilizzo di tali risultati suggerirà azioni di prevenzione al fine di limitare i rischi idrogeologici legati ai cambiamenti climatici. Background di fisica e matematica (master in matematica, fisica o ingegneria). Lingua inglese. Titolo: *Modellazione del bilancio idrico di bacini idrografici piemontesi * (SECS-S/01; INF 01) Referente Scientifico: Stefano Ferraris <https://www.dist.unito.it/do/docenti.pl/Alias?stefano.ferraris#tab-profilo> Tematica: Le inondazioni sono importanti conseguenze del cambiamento climatico e la prevenzione di tali eventi catastrofici è diventata un compito primario. L'attuale disponibilità di big data è un aiuto importante per lo sviluppo di modelli realistici o per l'utilizzo di metodi di machine learning. I modelli matematici possono quindi consentire di prevedere possibili rischi e suggerire interventi sul territorio quando ci si concentra su singoli bacini idrografici. Il progetto di dottorato mira a utilizzare i dati di monitoraggio ambientale disponibili per la prevenzione di eventi critici come alluvioni in aree specifiche del Piemonte. Oltre all'utilizzo dei dati disponibili nello spazio e nel tempo, la ricerca comprenderà lo sviluppo di una metodologia a scala di bacino (area di ordine 100 km2). Tale scala è importante per una corretta gestione del territorio e lo sviluppo di modalità adeguate di organizzazione dei dati acquisiti saranno uno degli obiettivi del progetto, con particolare riferimento al bacino della Regione Piemonte. L'utilizzo delle informazioni estratte dai dati consentirà di sviluppare la seconda parte della ricerca, che prevede lo sviluppo di modelli. Il funzionamento idrologico e idraulico di un bacino idrografico in Piemonte sarà studiato attraverso metodi statistici nel dominio del tempo o della frequenza, nonché con metodi di apprendimento automatico e approccio fisico. Particolare enfasi sarà dedicata all'analisi delle piene a scala di bacino con la simulazione di eventi piovosi potenzialmente critici, con e senza l'adozione di tecniche di mitigazione/prevenzione. I risultati, dopo essere stati implementati in WebGIS, consentiranno un'applicazione diretta da parte di decisori, amministratori locali e personale tecnico anche in altri bacini dell'arco alpino. Background di fisica e matematica (master in matematica, fisica o ingegneria). Lingua inglese. Titolo: *Monitoraggio delle portate fognarie come strumento di supporto nello sviluppo di strategie gestionali atte alla mitigazione dell'impatto dei cambiamenti climatici * (SECS-S/01; INF 01) Referente Scientifico: Rosa Meo <https://www.matematica.unito.it/do/docenti.pl/Alias?rosa.meo#tab-profilo> Tematica: Il cambiamento climatico provoca grandi esondazioni e la caduta improvvisa di enormi quantità d'acqua che provocano danni ingenti quali allagamenti superficiali se non ben indirizzate. Le reti fognarie di molte zone italiane sono vetuste e con condotti insufficienti a garantire il deflusso di grandi quantità d'acqua. Per affrontare questa criticità si propone la soluzione di studiare un modello di piano fognario e i possibili interventi per migliorarlo con l'azienda (BrianzAcque) che affianca il Gestore del servizio idrico. Con l'espletamento delle attività legate agli step di progetto, che prevedono la messa a punto di modelli predittivi, e i possibili interventi di correzione alla rete, si otterrà un “piano fognario integrato" che permette una visione globale, individua gli interventi di correzione, le priorità e il costo, utili ai fini della pianificazione degli interventi. Il dottorand* deve avere competenze di analisi dati, Data Mining o Machine Learning, per la creazione di modelli predittivi delle serie storiche, preferibilmente con conoscenza e background di processi stocastici. La conoscenza della lingua Inglese (lettura e scrittura) è indispensabile. Per ulteriori informazioni visitare il sito https://www.dottorato.unito.it/do/home.pl/View?doc=Bando_Green.html Cordialmente, Elvira Di Nardo -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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Invitation to Special Issue Measure of Information II - [Entropy] (IF: 2.524, ISSN: 1099-4300)
by francesco.buono3＠unina.it 14 Oct '21

14 Oct '21

Dear All, I would like to invite you to submit a paper to the Special Issue titled "Measures of Information II" for Entropy (ISSN 1099-4300, IF 2.524). Special Issue Homepage: https://www.mdpi.com/journal/entropy/special_issues/mea_inf_sec Submission deadline: 18 March 2022 Entropy is an open access journal which maintains a rigorous and fast peer-review system and accepted papers are immediately published online. Because it is an online and open access journal, papers published in Entropy will receive high publicity. /Entropy/ has received an increased Impact Factor of 2.524 (with a 6 years? contious increase) in the latest edition of the Journal Citation Reports®, published by Clarivate Analytics in June 2021, and continues to be indexed by Scopus, with a 2020 CiteScore of 4.0, which 8/67 (Q1) in 'Mathematical Physics'. An article processing charge of 1800 CHF will be applied to papers if accepted. Best regards, Francesco Buono

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bando per RTDA MAT06 - Sapienza Università di Roma
by Marco Isopi 14 Oct '21

14 Oct '21

Cari colleghi, vi segnalo la pubblicazio del bando per un posto di ricercatore a tempo determinato di tipo A nel settore MAT/06, per lo svolgimento di attività di ricerca vincolata su tematiche green - DM 10 agosto 2021 n. 1062 presso il Dipartimento di Matematica Guido Castelnuovo, Sapienza Università di Roma. Data di scadenza: 27 Ottobre 2021 Tutte le informazioni sono reperibili alla pagina: https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/181809 <https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/181809> Marco Isopi

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procedura selettiva Prof. di I fascia SECS-S/06, Dip. Memotef - Sapienza Roma
by Gabriele Stabile 13 Oct '21

13 Oct '21

Buonasera a tutti. Il Dipartimento di Metodi e Modelli per l'Economia, il Territorio e la Finanza (MEMOTEF), Facoltà di Economia, Università La Sapienza di Roma, ha bandito una procedura selettiva per la copertura di un posto di Professore di ruolo di prima fascia per il SSD SECS-S/06 Il bando è reperibile all'indirizzo https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/181838 La scadenza per la presentazione della domanda è l'11 novembre 2021. Cordiali saluti Gabriele Stabile -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega di non leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non si è il legittimo destinatario dello stesso. Qualora tale messaggio sia stato ricevuto per errore, si prega di restituirlo al mittente e di cancellarlo permanentemente dal proprio computer. The information contained in this e mail message is strictly confidential and intended for the use of the addressee only. If you are not the intended recipient, please do not read, copy, forward or store it on your computer. If you have received the message in error, please forward it back to the sender and delete it permanently from your computer system.

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PhD Bologna on "A mathematical-physics approach to improve energy efficiency in classical and quantum machine learning"
by giacomo.depalma＠sns.it 12 Oct '21

12 Oct '21

Dear all, The Department of Mathematics of the University of Bologna has an opening for a PhD Scholarship on the project "A mathematical-physics approach to improve energy efficiency in classical and quantum machine learning". The aim of the project is to reduce the computational complexity of machine learning devices, eliminate the enormous redundancy they come with, and drastically cut their energy consumption. The answer requires a paramount detailed knowledge on the principles those machines work on, nowadays still largely lacking. The statistical mechanics approach to the Boltzmann Machines is one of the major and most promising paths toward their clarification. The project plan to use one of the methods of coming from the theory of equilibrium, non-equilibrium, classical and quantum. The call for applications can be found at https://www.unibo.it/en/teaching/phd/new-call-for-applications-for-phd-addit ional-scholarships-on-innovation-and-green-topics,-funded-by-FSE-REACT-EU--- PON-ricerca-e-Innovazione-programme THE DEADLINE FOR THE APPLICATION IS OCTOBER 20 The call requires the candidates to get the MSc degree by October 31. Please feel free to forward this email to potentially interested candidates. Best regards, Giacomo De Palma

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PhD UniTn - PON 2014-2020 - Borsa di Dottorato aggiuntiva su tematiche Green e dell'Innovazione
by Luca Di Persio 12 Oct '21

12 Oct '21

Car* tutt*, a valere sul progetto: "PON 2014-2020 - Borse di Dottorato aggiuntive su tematiche Green e dell'Innovazione", che ha visto coinvolto anche il Dipartimento di Matematica di UniTn, è stata finanziata una borsa di Dottorato a valere sul progetto "Renewable Energy Forecasting for a green and sustainable development" la cui descrizione si può trovare a pag.33 del documento: https://www.unitn.it/alfresco/download/workspace/SpacesStore/d2234b74-f502-… le indicazioni per partecipare al relativo bando essendo reperibili (in fondo) alla pagina: https://www.unitn.it/bando-pon La scadenza è davvero molto stringente: 27 ottobre 2021, ore 16.00 (ora italiana) Vi sarei grato se poteste dare diffusione alla notizia. Non esitate a contattarmi per eventuali chiarimenti/dettagli. Grazie, LuCa __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Official UniVr spinoff: www.hpa.ai <http://www.hpa8.com>

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L’Aquila Expression of Interest Direct Call Programme
by Tobias Kuna 11 Oct '21

11 Oct '21

2021 Direct Calls Program at University of L'Aquila Expression of interest for positions in either of Computer Science/ Information Engineering/ Mathematics The Department of Information Engineering, Computer Science and Mathematics of the University of L’Aquila invites applications for academic openings at the Researcher, Associate, and Full Professor level in either of the fields of Computer Science, Information Engineering, and Mathematics. The positions will be covered through a Direct Call procedure (see below). Candidates are encouraged to apply by the end of October 31, 2021. Please note that this is not a permanent job vacancy advertisement. The expressions of interest received will contribute to the decision of the University of L’Aquila on whether or not to proceed with the request of positions to the Ministry of University and Research. For more details see https://www.disim.univaq.it/news/107/Expression%20of%20Interest%20for%20Pos…<https://eur03.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.disim…> Best regards, Tobias Kuna

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bando per RTDA MAT06 Univ. di Napoli
by Enrica Pirozzi 10 Oct '21

10 Oct '21

Carissimi, segnalo che alla pagina http://www.unina.it/ateneo/concorsi/concorsi-docenti-e-ricercatori/reclutam… trovate l'avviso http://www.unina.it/documents/11958/26912536/PON_GREEN_RTDA_2021_00_bando_5… relativo al bando per un posto di ricercatore a tempo determinato di tipo A nel settore MAT/06 (codice identificativo PON_GREEN_RTDA _2021_37), per lo svolgimento di attività di ricerca vincolata su tematiche Green presso il Dipartimento di Matematica e Applicazioni, Università degli Studi di Napoli Federico II. Scadenza della domanda: 20 Ottobre 2021, ore 15:00 Cari saluti Enrica Pirozzi -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Special Issue - Annals of Operations Research
by Claudio Fontana 09 Oct '21

09 Oct '21

Dear all, We want to bring to your attention the Call for papers for the Special Issue "Recent Advances in Mathematical Methods for Finance" of the journal Annals of Operations Research (https://www.springer.com/journal/10479 <https://www.springer.com/journal/10479>). We are targeting original contributions in mathematical finance, including theoretical aspects as well as computational techniques. Submitted papers will undergo a regular review process under the supervision of the Guest Editors (G. Callegaro, C. Fontana, M. Grasselli, W.J. Runggaldier, T. Vargiolu). The deadline for submissions is November 30, 2021. This Special Issue is connected to the themes of the 10th General AMaMeF Conference (June 22-26, University of Padova, https://events.math.unipd.it/AMAMEF2021/home <https://events.math.unipd.it/AMAMEF2021/home>) but paper submission is open to the research community and not restricted to the conference attendees. Here attached the Call for papers. Best wishes, G. Callegaro, C. Fontana, M. Grasselli, W.J. Runggaldier, T. Vargiolu >

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[owps] OWPS, October 21st: B. Derrida and Z. Shi on "Renormalisation and disorder: a simple toy-model" (fwd)
by Michele Gianfelice 08 Oct '21

08 Oct '21

Salve, ricevo ed inoltro p.c.. Cordialmente, m.gianfelice ---------- Forwarded message ---------- Date: Thu, 7 Oct 2021 19:16:53 +0200 From: One World Probability <ow.probability(a)gmail.com> To: owps(a)lists.bath.ac.uk Subject: [owps] OWPS, October 21st: B. Derrida and Z. Shi on "Renormalisation and disorder: a simple toy-model" Dear probabilists, We wish to thank you for participating in this OWPS session. The next session will be two weeks from now, on October 21sh, from 14:00 to 15:45 UTC. Bernard Derrida and Zhan Shi will talk about a simple toy-model for renormalization and disorder. Titles, abstracts and the Zoom link are below the signature, and can be found on the website https://www.owprobability.org/one-world-probability-seminar. Please feel free to circulate this email, the information for getting on the mailing list can be found there https://www.owprobability.org/mailing-list. Probabilistically yours, Bastien Mallein and Sébastien Martinea --------- Renormalisation and disorder: a simple toy model (I) Bernard Derrida (Collège de France) LPSM is inviting you to a scheduled Zoom meeting. Topic: OWPS Seminar October 21st Bernard Derrida & Zhan Shi Time: Oct 21, 2021 03:45 PM Paris Renormalisation and disorder: a simple toy model (II) Zhan Shi (AMSS, Chinese Academy of Sciences) After a short review of our understanding of how a weak disorder or a low density of impurities affect the universality class of a phase transition, we will discuss a simple tree-like toy model for which one can prove that, due to disorder, the depinning transition becomes an infinite order transition of the Berezinski-Kosterlitz-Thouless type. This toy model was introduced to understand the depinning transition of a line from a random substrate, one of the simplest problems in the theory of disordered systems. This depinning transition has a long history among physicists and mathematicians. Still the nature of the transition, one of the central questions of the problem, remains unsolved. Joint work with Xinxing Chen, Victor Dagard, Yueyun Hu and Mikhail Lifshits. Zoom-link: https://us02web.zoom.us/j/87978274605?pwd=NXFkc1JyTTNOWjJ2U1ZNYVBEMG16UT09 Meeting ID: 879 7827 4605 Passcode: 771185 If you are having trouble with zoom, or if the capacity of the zoom room gets exceeded, you can also access to the Youtube live stream at the channel of the seminar: https://www.youtube.com/channel/UCiLiEQGTp6bZEhuHDM-WNWQ

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Seminar in Statistics BAS KLEIJN
by Pierpaolo De Blasi 08 Oct '21

08 Oct '21

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 15 Ottobre 2021, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: *Bas Kleijn *(University of Amsterdam) Title: *Confidence sets in a sparse stochastic block model with two * *communities of unknown sizes* Abstract: In a sparse stochastic block model with two communities of unequal sizes we derive two posterior concentration inequalities, that imply (1) posterior (almost-)exact recovery of the community structure under sparsity bounds comparable to well-known sharp bounds in the planted bi-section model; (2) a construction of confidence sets for the community assignment from credible sets, with finite graph sizes. The latter enables exact frequentist uncertain quantification with Bayesian credible sets at non-asymptotic graph sizes, where posteriors can be simulated well. There turns out to be no proportionality between credible and confidence levels: for given edge probabilities and a desired confidence level, there exists a critical graph size where the required credible level drops sharply from close to one to close to zero. At such graph sizes the frequentist decides to include not most of the posterior support for the construction of his confidence set, but only a small subset of community assignments containing the highest amounts of posterior probability (like the maximum-a-posteriori estimator). It is argued that for the proposed construction of confidence sets, a form of early stopping applies to MCMC sampling of the posterior, which would enable the computation of confidence sets at larger graph sizes. Paper available at: https://arxiv.org/abs/2108.07078 ------------------------------------------------ In ottemperanza alle norme anti Covid, per partecipare in presenza è necessario prenotarsi tramite il seguente form online: https://forms.gle/ZpaUtXCEPeei98yE8 Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/85083283178?pwd=WUV4ZlUxc1c4NDJqbkpYNWw1eENSdz09> Meeting ID: 850 8328 3178 Passcode: 046282 Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats Cordiali saluti, Pierpaolo De Blasi --- University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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Fwd: Premio Cuozzo
by Lucia Caramellino 08 Oct '21

08 Oct '21

Buongiorno. Inoltro volentieri l’avviso del bando del premio Cuozzo 2021 (premio di dottorato in Matematica, bandito annualmente dal dipartimento di Matematica a Tor Vergata). Cari saluti, Lucia +++++++++++++++++++++++++++++++++ Lucia Caramellino Dipartimento di Matematica Università di Roma “Tor Vergata” Web: http://www.mat.uniroma2.it/~caramell <http://www.mat.uniroma2.it/~caramell> > Inizio messaggio inoltrato: > > Da: Filippo Bracci <fbracci(a)mat.uniroma2.it> > Oggetto: Premio Cuozzo > Data: 7 ottobre 2021 15:38:48 CEST > A: Filippo Bracci <fbracci(a)mat.uniroma2.it> > > Carissimi, > > vi informo che è uscito il bando del premio Cuozzo: > > https://www.mat.uniroma2.it/Docs_avvisi/Bando-cuozzo-2021 <https://www.mat.uniroma2.it/Docs_avvisi/Bando-cuozzo-2021> > > Il premio, di Euro 3000, giunto alla XIV edizione, è dedicato alla memoria di Michele Cuozzo: http://www.mat.uniroma2.it/~dott/cuozzo.html <http://www.mat.uniroma2.it/~dott/cuozzo.html> . > > Possono far domanda tutti coloro che hanno conseguito il titolo di Dottore di Ricerca in Matematica presso una Università o Istituzione Italiana nei 12 mesi precedenti alla scadenza del bando. La scadenza del bando è il 5 Novembre p.v. ore 12:00. > > Vi prego di dare diffusione della notizia tra gli interessati, > > grazie > > cari saluti > > Filippo Bracci > -- > ************************ > Prof. Filippo Bracci > Direttore > Dipartimento di Matematica > Universita' di Roma "Tor Vergata" > Via della Ricerca Scientifica 1 > 00133 Roma - ITALIA > Tel: (+39-)06-7259 4643/4105 > Fax: (+39-)06-7259 4699 > E-mail: fbracci(a)mat.uniroma2.it <mailto:fbracci@mat.uniroma2.it> > Web-page: www.mat.uniroma2.it/~fbracci <http://www.mat.uniroma2.it/~fbracci>

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Mini-course about Rough Volatility by Jim Gatheral CUNY
by Giacomo Bormetti 08 Oct '21

08 Oct '21

Dear all, in collaboration with Jim Gatheral from City University of New York we organize a mini-course about Rough Volatility. The course will take place only in presence in Bologna at the Department of Mathematics (Piazza di Porta San Donato 5). Below all the details. All interested people are kindly invited. Sincerely Giacomo Bormetti and Fabrizio Lillo Gio 14 Ottobre, 4:00-7:00 PM CET Aula Tonelli Jim Gatheral, Baruch College CUNY, New York Titolo: Rough volatility I Rough volatility connects the microstructure of financial markets with the large-scale behavior of volatility. This approach results in parsimonious models that are consistent across different time-scales and show remarkable agreement with econometric data. In this first lecture of two, we will focus on the econometric motivation of rough volatility and explore its consequences for pricing, focusing on the rough Bergomi model. As an application, we will show how to forecast realized variance and the forward variance curve. Gio 21 Ottobre, 4:00-7:00 PM CET Aula Tonelli Jim Gatheral, Baruch College CUNY, New York Titolo: Rough volatility II In this second lecture, we will present the microstructural foundation for rough volatility models. This leads to the class of affine forward variance (AFV models) and more recently to so-called super Heston models, a special case of which is the quadratic rough Heston model. We give a brief overview of recent developments, including numerical solution techniques. Numerical experiments are performed to give intuition for the effect of changing model parameters. Both lectures will be in the form of Jupyter notebooks that will be made available afterwards, including code to reproduce most of the computations.

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Call for 3 postdoctoral positions in MERC at the School for Advanced Studies of Naples
by Tiziano De Angelis 07 Oct '21

07 Oct '21

Dear All, There are 3 postdoctoral positions available in the MERC programme (Modelling and Engineering Risk and Complexity) at the School for Advanced Studies in Naples (Scuola Superiore Meridionale). The School is highly multidisciplinary and these posts could be of interest for candidates with a background in applied probability and stochastics (both theoretical and applied). Here is the link to the job advert http://www.ssm.unina.it/en/postdoctoral-fellowships-call-for-application-no… The deadline for applications is set for 1st December 2021. Please feel free to distribute the advert to your network. I would be happy to receive enquiries from potential candidates from the applied probability/stochastics area. Best wishes Tiziano

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Hooke Research Fellowships at the University of Oxford
by Marco Alessandro Fuhrman 07 Oct '21

07 Oct '21

A tutti gli interessati. Desidero comunicare questo avviso per posizioni presso l'Università di Oxford. Cordiali saluti a tutti. Marco Fuhrman ------------------- Hooke Research Fellowships Mathematical Institute, University of Oxford(https://www.maths.ox.ac.uk/ ) (https://www.maths.ox.ac.uk/node/39999 ) https://www.maths.ox.ac.uk/node/39999 Deadline: November 3, 2021 The Oxford Mathematical & Computational Finance Group(https://www.maths.ox.ac.uk/groups/mathematical-finance ) invite applications from talented researchers with interests in Stochastic analysis, Mathematical Finance or Data Science for a Hooke Research Fellowship(https://www.maths.ox.ac.uk/node/33994 ) starting September 2022. These prestigious Fellowships at the University of Oxford are full-time, fixed term up to 36 months starting September 2022 and provide an ideal opportunity for candidates to pursue an independent research programme. Successful applicants will be free to conduct their own research programme. To aid the development of their academic profile, Fellows will be required to contribute up to three hours of departmental teaching per week for the 24 weeks of each academic year, averaged over the period of the Fellowship to allow for extended visits elsewhere. Candidates will have, or be close to completing, a PhD in mathematics or a related discipline. They must show evidence of independence and the ability to undertake research of the highest academic standard, hold an outstanding record of papers published in major international journals (commensurate with career stage), and have a relevant research plan which would enhance the Mathematical Institute’s research profile. Additional information about the post, and a full list of selection criteria, are available here: https://www.maths.ox.ac.uk/node/39999 Please direct informal enquiries to the Recruitment Administrator (email: vacancies(a)maths.ox.ac.uk) quoting vacancy reference 153585. Applicants should read the job description before writing their application. You will be required to upload a supporting letter setting out how you meet the selection criteria, a curriculum vitae including full list of publications with top three papers starred, a statement of research interests including a plan for research during the Fellowship, and the names and contact details of two referees as part of your online application. NOTE: Applicants are responsible for contacting their referees and making sure that their letters are received by the closing date. Applications for this vacancy are to be made online. To apply for this post and for further details, including a job description and selection criteria, please click on the link below: https://my.corehr.com/pls/uoxrecruit/erq_jobspec_details_form.jobspec?p_id=… Only applications received before 12:00 noon UK time on 3 November 2021 can be considered. Committed to equality and valuing diversity. Vacancy Reference: 153585 Appointment Term: 3 years Closing Date: Friday, November 3, 2021 - 12:00 UK time

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Seminar by Francesca Biagini in Verona (Virtual)
by Alessandro Gnoatto 07 Oct '21

07 Oct '21

Prof. Francesca Biagini (LMU Munich) will give a virtual talk at our Department seminar. Date: 13 October 12:00 CEST. Title: "Reduced-form setting under model uncertainty with non-linear affine intensities" If you would like to attend via Zoom, please register at the following link, we will send you the details: https://docs.google.com/forms/d/e/1FAIpQLSe6_5W5PbKr9R3fufAahV1D4js4-6AAcEn… Abstract: In this talk we present a market model including financial assets and life insurance liabilities within a reduced-form framework under model uncertainty by following [1]. In particular we extend this framework to include mortality intensities following an affine process under parameter uncertainty, as defined in [2]. This allows both to introduce the definition of a longevity bond under model uncertainty in a consistent way with the classical case under one prior, as well as to compute it by explicit formulas or by numerical methods. We also study conditions to guarantee the existence of a càdlàg modification for the longevity bond’s value process. Furthermore, we show how the resulting market model extended with the longevity bond is arbitrage-free and study arbitrage-free pricing of contingent claims or life insurance liabilities in this setting. This talk is based on: [1] Francesca Biagini and Yinglin Zhang. Reduced-form framework under model uncertainty. The Annals of Applied Probability, 29(4):2481–2522, 2019. [2] Francesca Biagini and Katharina Oberpriller. Reduced-form framework under model uncertainty. accepted on Probability, Uncertainty and Quantitative Risk, 2021. [3] Tolulope Fadina, Ariel Neufeld, and Thorsten Schmidt. Affine processes under parameter uncertainty. Probability, Uncertainty and Quantitative Risk [link.springer.com] volume 4 (5), 2019. -- Prof Alessandro Gnoatto, PhD Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com E-mail: alessandro.gnoatto(a)univr.it -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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[MLfF] Call for contributions : MACHINE LEARNING FOR FINANCE, 3rd One-Day International Remote Workshop
by Marco Corazza 07 Oct '21

07 Oct '21

*3rd One-Day International Remote Workshop on* *MACHINE LEARNING FOR FINANCE* It is open the *call for contributions* for the *3rd One-Day International Remote Workshop on MACHINE LEARNING FOR FINANCE* *Workshop* - Date: December 17th, 2021 - Mode: Streaming via the Zoom platform offered by the Department of Economics of the Ca’ Foscari University of Venice - Attendance free of charge *Topics* Artificial Intelligence, Machine Learning and Soft Computing for Finance, Insurance and Actuarial Disciplines *Submission* - Proposal: Title, author(s) and abstract of about 200 words - Deadline: December 10th, 2021 - Send to: corazza(a)unive.it *Publications* Facultative submission of papers to the international journal *Mathematical Methods in Economics and Finance* (https://unive.it/m2ef) included in the MathSciNet list of journals and in the Italian National Agency for the Evaluation of Universities and Research Institutes one *Past editions* - One-Day International Remote Workshop on MACHINE LEARNING FOR FINANCE - October 3rd, 2019: https://www.unive.it/data/agenda/3/32112 - 2nd One-Day International Remote Workshop on MACHINE LEARNING FOR FINANCE - December 18th, 2020: https://www.unive.it/data/agenda/3/45054 Best regards, Marco Corazza P.S. - We apologize for possible multiple copies of this email. -- Marco Corazza, Ph.D. Department of Economics - Ca' Foscari University of Venice San Giobbe, Cannaregio 873 - 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it Editor-in-Chief: Mathematical Methods in Economics and Finance - www.unive.it/m2ef

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(PMS)^2 online talk: Carlo Bellingeri, Monday October 11 at 17.30
by Carlo Orrieri 07 Oct '21

07 Oct '21

Dear colleagues, We are happy to announce the following online talk: Speaker: Carlo Bellingeri (TU Berlin) Title: Signatures and non commutative probability. Abstract: Given a smooth path X, the signature of a path is the infinite sequence of the iterated integral of X with itself. If X is a stochastic process with an integration structure (e.g. semimartingale), the corresponding signature is the key-object to understand the "lack of continuity" between the solution of a SDE driven by X and the process itself. In this talk, we will review the main properties of the signature and introduce the new notion of "non-commutative signature", which we tailored to study a new class of rough/stochastic differential equations arising in the context of non-commutative probability. Joint paper with Nicolas Gilliers (Université de Toulouse) and Yannick Vargas (Postdam Universität) Date and time: Monday October 11, 17:30-18:30 (Rome time zone) Zoom link: https://us02web.zoom.us/j/5772228296 <https://us02web.zoom.us/j/5772228296> This talk is the second of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. Participation is free and welcome! (though limited to 100 participants for technical reasons) Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Postdoc position at the Scuola Normale Superiore on the project "Mean Field Games aspects of training residual networks”.
by Giulia Livieri 06 Oct '21

06 Oct '21

Dear all, A call for a 12 month research contract is open at the Scuola Normale Superiore, Pisa (Italy). The topic of the research is *“**Mean Field Games aspects of training deep neural networks and the use of deep neural networks for solving Mean Field Games”* and it is part of the project *“**Mean Field Games aspects of training residual networks”**.* In particular, the research will be focused on the study of the training of deep neural network via the Mean Field Games approach and/or on the use of deep neural network to solve Mean Fields Games problems. A special emphasis will be put on the mathematical aspects of the two approaches. The research will be developed under the direction of the scientific director Dr. Giulia Livieri. Duration of the contract: 1 year (estimated starting: November 2021) Annual gross remuneration, inclusive of all taxes: € 29,000 The details of the call (in Italian and English) are available at https://amministrazionetrasparente.sns.it/sites/default/files/bandi/assegni… The deadline is November 5, 2021. In case you need more information, please contact Giulia Livieri (giulia.livieri(a)sns.it) Thanks and all the best, Giulia Livieri

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Urgente: Bando RTD-A - MAT/06 - Università di Milano
by Daniela Morale 05 Oct '21

05 Oct '21

Cari colleghi, vi segnaliamo che è appena uscito il bando per un posto di ricercatore a tempo determinato di tipo A nel settore MAT/06, per lo svolgimento di attività di ricerca vincolata su tematiche green e innovazione - DM 10 agosto 2021 n. 1062 presso il Dipartimento di Matematica Federigo Enriques, Università degli Studi di Milano *Scadenza della domanda: *19 Ottobre 2021, ore 12:00 Tutte le informazioni sono reperibili alla seguente pagina: Ricercatore Tipo A – DM 1062-21 - s.c.01/A3, ssd MAT/06 (Codice 4872) <https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele…> Vi preghiamo di dare ampia diffusione tra i vostri collaboratori interessati, considerata la scadenza a breve. Grazie Cordiali saluti Daniela Morale e Stefania Ugolini ___________________________________________________________ Daniela Morale Dept. Mathematics University of Milano Via C. Saldini, 50 20133 MILANO, Italy phone: +39 02 5031 6081 fax: +39 0250316090 email: Daniela.Morale(a)unimi.it URL: http://www.mat.unimi.it/users/morale/ ________________________________________________________ * "*Even if you are a minority of one, the truth is the truth *"Gandhi* "Everything should be made as simple as possible, but not simpler." *A. Einstein*

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PhD position at Aarhus university
by Alessandra Cipriani 05 Oct '21

05 Oct '21

Ricevo ed inoltro. Alessandra Cipriani ============== 3-year PhD position at Aarhus University ============== The Department of Mathematics at Aarhus University invites applications for a 3-year PhD position in spatial random networks and topological data analysis starting in February 2022. The closing date of the vacancy is November 1, 2021. More details can be found in the official vacancy text: https://phd.nat.au.dk/for-applicants/open-calls/november-2021/spatial-rando…<https://urldefense.proofpoint.com/v2/url?u=https-3A__phd.nat.au.dk_for-2Dap…> For further inquiries about the position please contact Assoc. Prof. Christian Hirsch: c.p.hirsch(a)rug.nl<mailto:c.p.hirsch@rug.nl> Best regards, Christian Hirsch

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Postdoc position at the Scuola Normale Superiore
by Fabrizio Lillo 04 Oct '21

04 Oct '21

Dear all, A call for a 15 month research contract is open at the Scuola Normale Superiore, Pisa (Italy). The topic of the research is “Algorithmic trading in energy markets with market microstructure methods” and it is part of a collaboration between A2A and Scuola Normale. The project will concern the development of quantitative methods for the analysis and modeling of the high frequency dynamics of price and of limit order book in energy markets. Specifically, the research will focus on: time series analysis and modeling in energy markets, short-term scenario generation of market evolution and development of market making and optimal execution strategies. The research activity will be done in close collaboration with the A2A quantitative team in Milan. The details of the call (in Italian and English) are available at https://amministrazionetrasparente.sns.it/bando/algorithmic-trading-nei-mer… The deadline is October 21. I would be grateful if you could forward this message to any potentially interested candidate. In case you need more information, please contact Fabrizio Lillo (fabrizio.lillo(a)sns.it) Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica, Università di Bologna Scuola Normale Superiore, Pisa ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

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Bando RTD-B MAT/06, Università di Siena
by Lucia Caramellino 04 Oct '21

04 Oct '21

Cari tutti, informo che è uscito in Gazzetta Ufficiale un bando per RTD-B SC 01/A3 Analisi matematica, SSD MAT/06 Probabilità e Statistica matematica, presso il Dipartimento Ingegneria dell’Informazione e Scienze Matematiche dell'Università di Siena. Tutte le informazioni sono reperibili all'indirizzo https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/ricercatore-tempo… <https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/ricercatore-tempo…> (scadenza: 2 novembre 2021). Buona giornata, Lucia +++++++++++++++++++++++++++++++++ Lucia Caramellino Dipartimento di Matematica Università di Roma “Tor Vergata” Web: http://www.mat.uniroma2.it/~caramell <http://www.mat.uniroma2.it/~caramell>

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RTD B Università Roma Tre
by Julia Mortera 30 Sep '21

30 Sep '21

Cari tutti, con la presente vorrei annunciare l'emissione di un bando all’Università Roma Tre, Dipartimento di Economia per un Ricercatore a tempo determinato B - SECS-S/01 (Statistica) (2 Piano Straordinario MUR 2020). Il termine di scadenza delle domande di partecipazione è il 28/10/2021. Il bandointegraleèdisponibileal seguente indirizzo: http://www.albopretorionline.it/uniroma/alboente.aspx <http://www.albopretorionline.it/uniroma/alboente.aspx> e si trova al link: https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=1 <https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=1> con allegati al: https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=4 <https://www.albopretorionline.it/uniroma/download.aspx?ida=614591&pubb=1&n=4> Julia Mortera -- Julia Mortera, Professor of Statistics, Università Roma Tre Web page: https://juliamortera.wordpress.com/ http://tinyurl.com/ztj6ked

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special issue - Information Sciences
by Roy Cerqueti 30 Sep '21

30 Sep '21

Dear all, this is to point to your attention the call for papers for a special issue in Information Sciences on themes related to data science and finance. More detail can be found here: https://www.journals.elsevier.com/information-sciences/call-for-papers/big-… Thank you for your attention. Best regards, Roy Cerqueti -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega di non leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non si è il legittimo destinatario dello stesso. Qualora tale messaggio sia stato ricevuto per errore, si prega di restituirlo al mittente e di cancellarlo permanentemente dal proprio computer. The information contained in this e mail message is strictly confidential and intended for the use of the addressee only. If you are not the intended recipient, please do not read, copy, forward or store it on your computer. If you have received the message in error, please forward it back to the sender and delete it permanently from your computer system. -- Fai crescere i nostri giovani ricercatori dona il 5 per mille alla Sapienza *codice fiscale 80209930587*

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Francesco Russo's talk at the Torino seminar series in Stochastics and Mathematical Statistics
by Tiziano De Angelis 29 Sep '21

29 Sep '21

Dear all, We are glad to announce the first seminar of the *Torino seminar series in Stochastics and Mathematical Statistics. * Torino seminar series SMS is a monthly seminar series held at the Department of Mathematics G. Peano of the University of Turin. For more info and a list of future talks see https://sites.google.com/view/torinostochastics. *Date and time:** Friday 1 October*, 2021, h 17:00-18:00 *Location*: Aula Magna, Palazzo Campana, via Carlo Alberto 10, Torino *Speaker*: *Francesco RUSSO *(ENSTA Paris, Institut Polytechnique de Paris) *Title*: Fokker-Planck equations with terminal condition and related McKean probabilistic representation *Abstract**:* Stochastic differential equations (SDEs) in the sense of McKean are stochastic differential equations, whose coefficients do not only depend on time and on the position of the solution process, but also on its marginal laws. Often they constitute probabilistic representation of conservative PDEs, called Fokker-Planck equations; In general Fokker-Planck PDEs are well-posed if the initial condition is specified. Here, alternatively, we consider the inverse problem which consists in prescribing the final data: in particular we give sufficient conditions for existence and uniqueness. We also provide a probabilistic representation of those PDEs in the form of a solution of a McKean type equation corresponding to the time-reversal dynamics of a diffusion process. The research is motivated by some application consisting in representing some semilinear PDEs (typically Hamilton-Jacobi-Bellman in stochastic control) fully backwardly. This work is based on a collaboration with L. Izydorczyk (ENSTA), N. Oudhane (EDF), G. Tessitore (Milano Bicocca) Best regards, The organizers (Tiziano De Angelis, Giuseppe D'Onofrio, Elena Issoglio)

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Large N limits of Wilson loops in gauge theories
by Enrico Scalas 27 Sep '21

27 Sep '21

Care colleghe e colleghi, Vi puo' forse interessare questo seminario che si terra' giovedi' prossimo. Cordiali saluti, Enrico Scalas -- Dear all, This Thursday we kick off our Mathematical Physics seminar series for the new academic year with a talk by Antoine Dahlqvist (Sussex) on Large N limits of Wilson loops in gauge theories Abstract: Gauge theories are a type of field theory introduced and studied from the 70’s by physicists as a theoretical model describing the fundamental interactions between elementary particles. It quickly appeared to be a place where geometry and physics met and influenced each others. In this talk, I shall discuss some questions closer to probability and random matrix theory, inspired by the so-called large N limit regime of Euclidean field theories. I will present some old and new theorems about the Yang-Mills measure for two dimensional space-time geometries. The seminars are fortnightly on Thursdays 12:00 - 13:00 in 5C11 and can also be followed on Zoom https://universityofsussex.zoom.us/j/98075042563?pwd=VTBxSHVMVUl2Y0piblp4Y0… Passcode: 938719 The seminars are open for everyone with an interest in topics on the intersection of Mathematics and Physics The schedule for the seminars this term can be found at https://www.maths.sussex.ac.uk/seminars/mathphys.html To receive further announcements for our seminar series, please sign up to the mailing list 'mathphy_seminar' following the guidance at https://support.microsoft.com/en-us/office/distribution-groups-e8ba58a8-fab… Best wishes, Antoine, Michael, Xavier and Folkert

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PhD positions in Bern
by Fabio Bellini 27 Sep '21

27 Sep '21

>From Prof. Johanna Ziegel: ========================================== UNIVERSITY OF BERN INSTITUTE OF MATHEMATICAL STATISTICS AND ACTUARIAL SCIENCE 2 PhD POSITIONS We invite applications for 2 PhD positions in several areas of research pursued by professors of the institute. 1) Probability theory (with emphasis on stochastic geometry, point processes, stable laws; supervised by Ilya Molchanov). 2) Mathematical statistics (with emphasis on empirical processes and nonparametric statistics; supervised by Lutz Dümbgen). 3) Statistical data science (with emphasis on forecasting and kernel-based methods; supervised by David Ginsbourger and/or Johanna Ziegel). The salary will be at the level foreseen by the Swiss National Foundation, see http://www.snf.ch/SiteCollectionDocuments/allg_doktorierende_d.pdf There is a possibility to complement the salary by taking up teaching and statistical consulting duties in the department. The starting date is February 2022 or as can be arranged by mutual agreement. The applications should be submitted in a single pdf file, which includes a cover letter (indicating one of the areas mentioned above as the preferred field of research), CV, transcripts from Bachelor and Master Studies, and e-mail addresses of two academic referees. Please, also send a copy of your master thesis as a separate file. If you have not completed your master thesis yet, please provide an outline of your thesis topic and the expected date of completion. The evaluation of applications starts on the 10th of October 2021. Later applications will be also considered, if the positions are not filled by that time. Applications should be e-mailed to the institute at <office(a)stat.unibe.ch> and addressed to the Director of the Institute, Prof. Johanna Ziegel. Further information is available from Profs. Lutz Dümbgen, David Ginsbourger, Ilya Molchanov and Johanna Ziegel.

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INCONTRO SULLA DIDATTICA DELLA PROBABILITA' E DELLA STATISTICA
by Paolo Dai Pra 27 Sep '21

27 Sep '21

Il Gruppo UMI (Unione Matematica Italiana) PRobability In Statistics, Mathematics and Applications (PRISMA) è lieto di annunciare un incontro online sulla Didattica della Probabilità e della Statistica nei corsi di laurea degli Atenei Italiani Grazie al contributo di numerosi esperti, verranno discussi contenuti e modalità didattiche in molti ambiti, evidenziando per ciascuno le esigenze specifiche. A questo messaggio allego la locandina con il programma provvisiorio. Per aggiornamenti si rimanda alla pagina https://sites.google.com/view/prisma-didattica-probstat/, da cui si accede ad un breve modulo di iscrizione. L’indirizzo per la partecipazione all’incontro verrà poi inviato per posta elettronica a tutti gli iscritti. Paolo Dai Pra Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093 Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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INCONTRO SULLA DIDATTICA DELLA PROBABILITA' E DELLA STATISTICA
by Paolo Dai Pra 26 Sep '21

26 Sep '21

Il Gruppo UMI (Unione Matematica Italiana) PRobability In Statistics, Mathematics and Applications (PRISMA) è lieto di annunciare un incontro online sulla Didattica della Probabilità e della Statistica nei corsi di laurea degli Atenei Italiani Grazie al contributo di numerosi esperti, verranno discussi contenuti e modalità didattiche in molti ambiti, evidenziando per ciascuno le esigenze specifiche. A questo messaggio allego la locandina con il programma provvisiorio. Per aggiornamenti si rimanda alla pagina https://sites.google.com/view/prisma-didattica-probstat/, da cui si accede ad un breve modulo di iscrizione. L’indirizzo per la partecipazione all’incontro verrà poi inviato per posta elettronica a tutti gli iscritti. Paolo Dai Pra Paolo Dai Pra Dipartimento di Informatica Università degli Studi di Verona Strada Le Grazie 15, 37134 Verona, Italy Tel. +390458027093

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[owps] OWPS, October 7th: P. Diaconis and L. Miclo on "THE random graph" (fwd)
by Michele Gianfelice 24 Sep '21

24 Sep '21

Salve, ricevo ed inoltro p.c.. Cordialmente, m.gianfelice ----------------------------------------------------------------------- Michele Gianfelice, PhD Dipartimento di Matematica e Informatica Università della Calabria Telephone : +39 0984 496412 Campus di Arcavacata Fax : +39 0984 496410 Ponte P. Bucci - cubo 30B email: gianfelice(a)mat.unical.it I-87036 Arcavacata di Rende (CS) www.mat.unical.it/~gianfelice/ ----------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Thu, 23 Sep 2021 20:43:34 +0200 From: One World Probability <ow.probability(a)gmail.com> To: owps(a)lists.bath.ac.uk Subject: [owps] OWPS, October 7th: P. Diaconis and L. Miclo on "THE random graph" Dear probabilists, We are pleased to inform you that the OWPS will resume on October 7th, from 14:00 to 15:45 UTC. Persi Diaconis and Laurent Miclo will talk about THE random graph and random walk on it. Titles, abstracts and the Zoom link are below the signature, and can be found on the website https://www.owprobability.org/one-world-probability-seminar. We also inform you that, in accordance with the wishes expressed in the pooling, sessions will take place every other week (i.e. ~2 per month). Each session will consist of two talks of 45 minutes each. These two talks will be thematically unified. Please feel free to circulate this email. Probabilistically yours, Bastien Mallein and Sébastien Martineau -------- Persi Diaconis -- Probability theory for THE random graph Pick two Erdös-Renyi (n,1/2) graphs uniformly at random. What's the chance they are the same (isomorphic)? Small. How small? Well, at most n!/ 2^(n choose 2). When n= 100, that's less than 10^-1300. OK, now let n=infinity. The chance that the two graphs are isomorphic is one (!). This is THE random graph (the Rado graph R). I will review its many non-random models and many strange properties. ? It is a natural limit of the set of all finite graphs (a first order property is true for almost all finite graphs if and only if it holds with probability one in R) and this discontinuity is surprising. In joint work with with Sourav Chatterjee we tried to find finite manifestations: For finite n, the largest isomorphic induced subgraph of a pair has size 4log (n) -2loglog(n)-2log(4/e) +1 (within 1, all logs base 2 in probability when n is large). This matches data amazingly well (e.g. for n more than 30) and illuminates problems in constraint satisfaction. Laurent Mico -- A random walk on THE random graph R Let q(j) be a probability on N={0,1,2,...}. Let R be a model of THE random graph. A Markov chain on N starts at i and moves to one of its neighbor j in R with probability proportional to q(j). This Markov chain has a stationary distribution and we inquire about rates of convergence. Since each vertex is connected to half of the others and the diameter of R is 2, it seems likely that convergence is fast. In some models we show that log* (i) steps are necessary and sufficient for convergence. The proof uses a novel variant of Hardy's inequalities for trees. This is joint work with Sourav Chatterjee and Persi Diaconis. Zoom-link: https://us02web.zoom.us/j/81721277245?pwd=VjhadGFZcTVZamsvRkhZUExVbHAyZz09 Meeting ID 817 2127 7245 Passcode: 759491 If you are having trouble with zoom, or if the capacity of the zoom room gets exceeded, you can also access to the Youtube live stream at the channel of the seminar: https://www.youtube.com/channel/UCiLiEQGTp6bZEhuHDM-WNWQ

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Workshop "Deterministic and stochastic fractional diﬀerential equations and jump processes"
by Enrico Scalas 22 Sep '21

22 Sep '21

Care colleghe e cari colleghi, nell'ambito del programma "Fractional Differential Equations" ( https://www.newton.ac.uk/event/fde2/) che si terrà all'Isaac Newton Institute a Cambridge, organizzo una settimana di studi su "Deterministic and stochastic fractional diﬀerential equations and jump processes" (https://www.newton.ac.uk/event/fd2w01/) insieme a Jozsef Lorinczi e Vassili Kolokoltsov. L'evento avrà luogo tra il 21 febbraio e il 25 febbraio 2022 (ed è ora possibile registrarsi fino al 21 novembre 2021) e si terrà in modalità ibrida (online e con persone presenti, se possibile). La partecipazione online è gratuita. Per i dettagli potete consultare il sito seguente: https://www.newton.ac.uk/event/fd2w01/ Cordiali saluti, Enrico Scalas

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(PMS)^2 online talk: Hakima Bessaih, Monday September 27 at 17.30
by Margherita Zanella 22 Sep '21

22 Sep '21

Dear colleagues, we are happy to announce the following online talk: Speaker: Hakima Bessaih (Florida International University) Title: Numerical schemes for the 2d Stochastic Navier-Stokes equations. Abstract: We consider a time discretization scheme of Euler type for the 2d stochastic Navier-Stokes equations on the torus. We prove a mean square rate of convergence. This refines previous results established with a rate of convergence in probability only. Using exponential moment estimates of the solution of the Navier-Stokes equations and a convergence of a localized scheme, we can prove strong convergence of fully implicit and semi-implicit time Euler discretization and also a splitting scheme. The speed of convergence depends on the diffusion coefficient and the viscosity parameter. When the noise is additive, we are able to get strong convergence without localization. Date and time: Monday September 27, 17:30-18:30 (Rome time zone) Zoom link: https://us02web.zoom.us/j/5772228296 This is a talk of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. For more information see the dedicated webpage: https://paviamilanoseminars.wordpress.com/<http://paviamilanoseminars.wordpress.com/> Participation is free and welcome! (though limited to 100 participants for technical reasons). Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Seminars by Jim Gatheral, Baruch College CUNY New York
by Giacomo Bormetti 21 Sep '21

21 Sep '21

Dear all, Prof. Jim Gatheral is visiting the Department of Mathematics in Bologna for the next two months. On September 29 and October 13 he will deliver two seminars in presence in Bologna in Aula Cremona, main building of the Math Department. You are all kindly invited. It will be possible to follow the seminars online via Zoom too (please find below the links to connect). Sincerely, Giacomo Bormetti and Fabrizio Lillo 29-Sep-2021 16:00 (CET time) Aula Cremona, Department of Mathematics or Zoom https://unibo.zoom.us/j/99763851456?pwd=YzVBMTNxUXpRWngrNExaRWtMRjRkdz09 Title: Diamond trees and the forest expansion Abstract: I will present a “broken exponential martingale” G-expansion that generalizes and unifies our earlier exponentiation result (Alòs, Gatheral, and Radoičić) and the cumulant recursion formula of Lacoin, Rhodes, and Vargas. As one application, I show how to compute all terms in an expansion of the Lévy area. By reordering the trees in the G-expansion according to the number of leaves, our earlier exponentiation theorem can be recovered. As further applications, I will give model-free expressions for various quantities of interest under stochastic volatility. Finally, I will exhibit explicit computations of diamond trees under rough Heston. 13-Oct-2021 16:00 (CET time) Aula Cremona, Department of Mathematics or Zoom https://unibo.zoom.us/j/91206042957?pwd=d21ybkJQTEtkZHRWd25RLzJOQWV0QT09 Title: Pricing in affine forward variance models Abstract: The class of affine forward variance (AFV) models was defined in Gatheral and Keller-Ressel (2019); this class includes both the conventional Heston model and its celebrated extension, the rough Heston model of El Euch and Rosenbaum. The AFV characteristic function may be expressed in terms of the solution of a Volterra integral equation. I will present a rational approximation to the solution of this integral equation in the special case of the rough Heston model. Until now, simulation of AFV models using the Markovian approximation of Abi Jaber and El Euch has proved relatively complicated and time-consuming, I will present a new efficient and easy-to-implement method for simulating AFV models for general kernels. I will present numerical results using the rational approximation as a benchmark.

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virtual seminar in Insubria & Bicocca
by Emanuela Rosazza Gianin 21 Sep '21

21 Sep '21

Dear all, On *September 30 at 17:00, Giulia Di Nunno* (University of Oslo) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. You can find the title and abstract below. Title: Infinite dimensional Heston model and sensitivity analysis Abstract: We consider the infinite dimensional Heston stochastic volatility model for the price of a forward contract on a non-storable commodity. We give a representation formula for the forward price and then we consider options written on this. We analyse the sensitivity of the option price to the different parameters in the model with the aim at providing representation formulae for the so-called Greeks. However, being the parameter infinite dimensional, we need to reinterpret the meaning of the Greeks. In our work we use infinite dimensional Malliavin/Skorokhod calculus and a randomisation technique. The presentation is based on joint work with Fred Espen Benth and Iben Simonsen. The seminar will be on *Zoom*. You can find the information to join below. Speaker: Giulia Di Nunno (Univ. Oslo) Topic: Time: September 30, 2021 05:00 PM Rome Where: Zoom Link: https://us02web.zoom.us/j/86037568156?pwd=cHhvdmdiWUpVYXFjMEo2RWZxM09Rdz09 ID riunione: 860 3756 8156 Passcode: 086446 After the talk, you are all invited to remain in the meeting for an informal aperitif and chat. Please forward to anyone interested. Kind regards, Elisa Mastrogiacomo and Emanuela Rosazza Gianin ****************************************** Emanuela Rosazza Gianin Department of Statistics and quantitative methods University of Milano-Bicocca Via Bicocca degli Arcimboldi, 8 20126 Milano - Italy Phone (0039) 02 64483208 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

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Concorso RTDB MAT06 scadenza 30 settembre
by Gustavo Posta 20 Sep '21

20 Sep '21

Scusandomi per il breve preavviso inoltro il link relativo al bando in oggetto. > > https://web.uniroma1.it/trasparenza/sites/default/files/DR%202267_2021%20de… <https://web.uniroma1.it/trasparenza/sites/default/files/DR%202267_2021%20de…> ---------------------------------------------------------------- Gustavo Posta Dipartimento di Matematica Università di Roma "la Sapienza" P.le A. Moro 2, 00185 Roma Italy web: http://www1.mat.uniroma1.it/~posta e-mail: gustavo.posta(a)uniroma1.it phone: +39-06-4991-4969 ------------------------------------------------------------------ -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega di non leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non si è il legittimo destinatario dello stesso. Qualora tale messaggio sia stato ricevuto per errore, si prega di restituirlo al mittente e di cancellarlo permanentemente dal proprio computer. The information contained in this e mail message is strictly confidential and intended for the use of the addressee only. If you are not the intended recipient, please do not read, copy, forward or store it on your computer. If you have received the message in error, please forward it back to the sender and delete it permanently from your computer system. -- Fai crescere i nostri giovani ricercatori dona il 5 per mille alla Sapienza *codice fiscale 80209930587*

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[MAF2022] First call for paper - Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance
by Marco Corazza 20 Sep '21

20 Sep '21

Dear Colleague, we are writing for informing you that the *10th Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF2022* will take place at the University of Salerno (Italy), on April, 20-22, 2022, in a blended form. The main aim of the Conference is to present new theoretical and methodological results and significant applications in Insurance and Finance by means of the capabilities of the interdisciplinary mathematical-statistical approach. The web site of the Conference is *https://sites.google.com/unisa.it/maf2022/home-page <https://sites.google.com/unisa.it/maf2022/home-page>*. The Steering Committee of the Conference would appreciate very much if you could collaborate in the success of the conference by participating in some activities such as the organization of sessions and/or the presentation of contributions (also through a co-author). We hope to meet you at the conference. Best regards, Marco Corazza - Ca' Foscari University of Venice (Italy) Cira Perna - University of Salerno (Italy) Claudio Pizzi - Ca' Foscari University of Venice (Italy) Marilena Sibillo - University of Salerno (Italy) -- Marco Corazza, Ph.D. Department of Economics - Ca' Foscari University of Venice San Giobbe, Cannaregio 873 - 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it Editor-in-Chief: Mathematical Methods in Economics and Finance - www.unive.it/m2ef

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