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Fwd: Search for potential candidates (women or non-binary) for Assistant Senior lecturer (tenure track position)
by Carina Geldhauser 19 Feb '20

19 Feb '20

Cari tutti, segnalo questa ottima opportunita per una posizione tenure track in Svezia, versione html qui: https://www.europeanwomeninmaths.org/offer/search-for-potential-candidates-… Soci di "European Women In Mathematics" possono anche farsi segnalare tutti annunci via email, basta impostarlo sul vosto profilo. Cordiali saluti, Carina ---- The department of mathematics at Lund University <https://europeanwomeninmaths.us19.list-manage.com/track/click?u=ca40359a7fa…> is looking for *potential candidates of under-represented gender* (women or non-binary) for an assistant senior lectureship position in mathematics (equivalent to *assistant professor with tenure track* in the US system). The department will be competing with the other departments in the engineering faculty for funding, and therefore we would like to get in contact with potential candidates at an early stage, in order to write a competitive proposal. If funding for the position is granted, the position(s) will be advertised in the autumn of 2020, and a likely starting date will be in Autumn 2021. Prospective candidates in mathematics (including mathematical statistics and computer vision), with a research interest that matches research done at the Centre for Mathematical Sciences <https://europeanwomeninmaths.us19.list-manage.com/track/click?u=ca40359a7fa…> (see http://www.maths.lu.se/english/research/research-groups/ <https://europeanwomeninmaths.us19.list-manage.com/track/click?u=ca40359a7fa…>) are welcome to contact Sara Maad Sasane (sara_at_maths.lth.se), with a cv and a short expression of how you see yourself interacting with people in the centre. I will contact you with further information and instructions if we want to proceed and apply for funding for a position in this area. Ideally, the candidates should have some postdoc experience, but even if you don't have this yet, you are welcome to send in your cv, since we may consider you for next year instead or for other positions.

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Workshop announcement and call for presentation: ABC in Grenoble, March 19th-20th 2020
by Julyan Arbel 19 Feb '20

19 Feb '20

Dear all, The ABC in ... workshop series continues in Grenoble, France, on March 19-20 2020. We are still accepting contributions for oral presentations and posters, the deadline for submissions is on Feb. 21. The workshop is free but registration is mandatory, and the call for presentation is open until the end of the week. Register on the website: https://sites.google.com/view/abc-in-grenoble/ Confirmed speakers and sessions (more to come) are: Misspecified models --- Guillaume Dehaene (EPFL, Switzerland) TBA Gael Martin (Monash University, Australia) Focused Bayesian Prediction (joint with Ruben Loaiza-Maya, David T. Frazier) Tommaso Rigon (Duke University, USA) A generalized Bayes framework for probabilistic clustering (joint with Amy Herring and David Dunson) Neural network related techniques --- Flora Jay (Université Paris-Saclay, France) Deep learning for population size history inference: design, comparison and combination with approximate Bayesian computation Pierre-Alexandre Mattei (Inria Sophia Antipolis - Méditerranée, France) Partially Exchangeable Networks and Architectures for Learning Summary Statistics in Approximate Bayesian Computation (joint with Samuel Wiqvist, Umberto Picchini, Jes Frellsen) Advanced computational techniques --- Umberto Picchini (Chalmers University of Technology and University of Gothenburg, Sweden) Stratified sampling and bootstrapping for approximate Bayesian computation (joint with Richard G. Everitt) Dennis Prangle (Newcastle University, UK) Distilling importance sampling Hien D. Nguyen (La Trobe University, Melbourne, Victoria, Australia) ABC via the Energy Statistic (joint with Julyan Arbel, Hongliang Lü, Florence Forbes) Grenoble is the largest city in the French Alps, and easily accessible by train from Paris, Lyon, Geneva or Milan. Best regards, Julyan Arbel, Simon Barthelmé, Florences Forbes Julyan Arbel http://www.julyanarbel.com/ @JulyanArbel

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Probability Seminar: Alberto Chiarini (TU Eidhoven) [Padova 27/02, 11.30]
by alessandra bianchi 18 Feb '20

18 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 27. ________________________________________________________ Speaker: Alberto Chiarini (TU Eindhoven) Title: Entropic repulsion for the occupation-time field of random interlacements by disconnection. 27 FEBRUARY (Thursday) , 11:30, ROOM 430, Dip. di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: The model of random interlacements was introduced in 2007 by A.-S. Sznitman, motivated by questions about the disconnection of discrete cylinders or tori by the trace of simple random walk. Since then, it has gained popularity among probabilists due to its percolative properties and also because of its connections to the free field. Random interlacements on transient graphs can be constructed as a Poisson point process of doubly infinite trajectories. After reviewing this model, we will focus on the rare event that these trajectories disconnect a macroscopic body from infinity, in the strongly percolative regime. We will ask the following question: What is the most efficient way for random interlacements to enforce such disconnection? In other words, how do the trajectories of random interlacements look like conditionally on disconnection? All of you are very welcome. Best regards, Alessandra Bianchi -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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seminario Linard Hoessly
by Enrico Bibbona 17 Feb '20

17 Feb '20

Cari colleghi, giovedì 20 alle 13,40 in aula Buzano, DISMA Politecnico di Torino Linard Hoessly (Università di Copenhagen) terrà un seminario su Stationary distributions via decomposition of stochastic reaction networks https://arxiv.org/abs/1910.02871 Cordiali saluti, Enrico Bibbona Associate Professor of Statistics Probability, Statistics and Optimization group Department of Mathematical Sciences "G. L Lagrange" Politecnico di Torino

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Fwd: Demande de diffusion de l'annonce d'une offre de PHD et de postdoc à Oslo (fwd)
by Tiziano Vargiolu 17 Feb '20

17 Feb '20

---------- Forwarded message ---------- Date: Mon, 17 Feb 2020 09:48:54 +0100 From: monique.jeanblanc <monique.jeanblanc(a)univ-evry.fr> To: Sergio Pulido <serpul3374(a)gmail.com>, Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Fwd: Demande de diffusion de l'annonce d'une offre de PHD et de postdoc ? Oslo -------- Message transf?r? -------- Sujet : Demande de diffusion de l'annonce d'une offre de PHD et de postdoc ? Oslo Date : Mon, 17 Feb 2020 09:38:49 +0100 (CET) De : Bion-Nadal Jocelyne (Mme) <jocelyne.bion-nadal(a)polytechnique.edu> Pour : caroline hillairet <Caroline.Hillairet(a)ensae.fr>, monique jeanblanc <monique.jeanblanc(a)univ-evry.fr>, jean-francois chassagneux <jean-francois.chassagneux(a)univ-paris-diderot.fr> Chers Caroline, Monique et Jean-Fran?ois Est-ce que l'un de vous pourrait diffuser rapidement l'annonce de cette offre de phd et de postdoc ? Oslo ? la mailing liste du s?minaire Bachelier? (La date limite est ? la fin du mois). PostDoc position https://www.jobbnorge.no/en/available-jobs/job/182298/postdoctoral-research -fellow-in-stochastic-analysis-and-applications University of Oslo Deadline: February 29th, 2020 PhD position https://www.jobbnorge.no/en/available-jobs/job/182276/phd-research-fellow-i n-stochastic-analysis-and-applications University of Oslo Deadline February 29th, 2020 Je vous remercie par avance. Bien amicalement. Jocelyne

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Workshop in Bath
by Giuseppe Cannizzaro 14 Feb '20

14 Feb '20

Ricevo e inoltro. Dear Colleagues, we would like to invite you to take part in the Bath Mathematical Symposium on PDE and Randomness which will take place at the University of Bath 26th August - 4th September The Symposium will consist of two events: 1) Summer school, August 26-28th: The school is aimed for a broad audience of researchers in the probability theory and the analysis of PDEs including PhD students and Postdocs. It will consist of three mini courses: • Roland Bauerschmidt (University of Cambridge, UK) - Log-Sobolev inequality and the renormalisation group • Hugo Duminil-Copin (IHES, France and University of Geneva, Switzerland) - Marginal triviality of the scaling limits of critical 4D Ising and ϕ^4_4 models • Martin Hairer (Imperial College London, UK) - Stochastic Yang Mills 2) Workshop August 31st - September 4: The workshop aims to explore current trends of the probability theory and its connections to PDEs and will have around 23 talks. Topics will include: SPDEs (e.g. parabolic, dispersive, 2d KPZ); Interacting Particle systems; Stochastic Homogenization. Please visit our webpage https://sites.google.com/view/pderandombath/ for more information and registration. You are more than welcome to apply for both school and workshop but you can also apply separately to either of the events. We can provide a limited number of rooms on campus of the University of Bath (either for the duration of the whole event or only for the school/workshop). If you would like to be considered for the accommodation please register before *20*/04/20. Please see the webpage for details. Best wishes, Hendrik Weber, Andris Gerasimovics

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Postdoc in Probability in Oxford
by Enrico Scalas 14 Feb '20

14 Feb '20

Car* collegh*, vi invio questo annuncio da Christina Goldschmidt con preghiera di diffusione a persone potenzialmente interessate. Cordiali saluti, Enrico Scalas -- Dear colleagues, (With apologies for cross-posting!) The Department of Statistics at Oxford is currently advertising a 1-year postdoctoral position in probability, to work with me on a project concerning random graphs and their scaling limits. I would be very grateful if you could bring this to the attention of any suitable people that you know. Potential candidates should feel free to contact me directly. More details are available from the university's jobs page, where there are links to a detailed job description and the online application form. The start date is flexible, but must be no later than 1st September 2020. The closing date for applications is 12 noon (GMT) on 6th March 2020. (Candidates should please ask their referees to send their letters of reference by the closing date.) Many thanks and best wishes, Christina Goldschmidt. -- Christina Goldschmidt | http://www.stats.ox.ac.uk/~goldschm | she/her Department of Statistics and Lady Margaret Hall, University of Oxford

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SIdE-Ca' Foscari Summer Schools in Venice (Italy)
by Roberto Casarin UNIVE 14 Feb '20

14 Feb '20

Dear all, Applications are now open for our Summer Schools: /*Networks Econometrics* /(28 June - 3 July 2020)/* */Instructors: /Monica Billio, Roberto Casarin and Walter Quattrociocchi/ (Ca' Foscari University of Venice), /Matteo Iacopini/ (Scuola Normale Superiore, Pisa), /Sergio Petralia///(London School of Economics and Political Science), /Luca Rossini /(Vrije Universiteit Amsterdam, The Netherlands). /*Bayesian Multivariate Models and Forecasting in Economics and Finance*/ (August 24-28 2020) Instructors: /Gaetano Carmeci /(University of Trieste), /Roberto Casarin /(Ca’ Foscari University of Venice),///Matteo Ciccarelli///(European Central Bank, DG Research),///Francesco Ravazzolo///(Free University of Bozen-Bolzano). //Organization:// ////The courses for Master and PhD students are organized by the Italian Econometric Society (SIdE) in collaboration with the Venice centre in Economic and Risk Analytics for Public Policies (VERA) at Ca' Foscari University of Venice ///Venue: / The summer schools are hosted in the beautiful San Giobbe Campus at Ca' Foscari University of Venice, located at the heart of the city of Venice (Italy). The registration fees include full accommodation. /Further information:// /For further information on scope of the meeting, speakers, program, applications, deadlines, venue, etc. see the school web site https://www.side-iea.it/events/postgraduate-courses /Description (Networks Econometrics)// /The aim of the course is to provide the fundamentals of the econometrics network with particular reference to the Network mapping and visualisation, the Network Extraction Methods, Multi-layer Network Models and their applications to finance. The tutorials will develop applications to stocks, interest rates and commodities markets and to contagion analysis. Modelling of financial and commercial trade networks will be considered as well. /Description (Bayesian Multivariate Models and Forecasting in Economics and Finance)// /The course is advanced and covers state-of-the-art techniques and recent developments in Bayesian Multivariate Models, for structural analysis and forecasting, nonparametric methods and forecast combinations with a broad range of applications in economics and finance. The methods introduced in the lectures will be illustrated with hands-on applications in MATLAB. Please help us to promote this meeting by forwarding this email to anyone you know might be interested, and especially bring this announcement to the attention of your students or post-docs, who are likely not on our mailing lists. Apologies for cross-posting. The Organizers Roberto Casarin and Gaetano Carmeci -- Roberto Casarin, PhD Professor of Econometrics University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Web: http://venus.unive.it/r.casarin/ IMEF: http://www.unive.it/imef VERA: http://www.unive.it/vera ORCID: https://orcid.org/0000-0003-1746-9190

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Seminar of Francesco Morandin and Alessandro Montagnani, Padova 18/02/2020
by barbato＠math.unipd.it 13 Feb '20

13 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 18. Speaker: Francesco Morandin Title: Turbulence, shell models and critical exponents for dissipation Abstract: Shell models of turbulence are nonlinear dynamical systems inspired by fluid dynamics. They are idealized and simplified, but tailored to exhibit the same energy cascade behaviour of three dimensional Euler and Navier-Stokes equations. A typical feature of these models is in fact anomalous dissipation of energy, which in finite time "escapes" to infinity, yielding a blow-up and instantaneous loss in regularity. A dissipative term corresponding to viscosity can recover regularity, for some of these models, but in total generality one needs hyper-dissipation, with an exponent larger than the physical one. Recent results hint that in the more refined framework of tree (hierarchical) models the required exponent may be actually lower. Speaker: Alessandro Montagnani Title: A stationary solution for turbulence shell models. Abstract The focus of the talk is to study well-posedness, with respect to generic Gaussian distributed initial data, in turbulence shell models. In the of state-of-the-art results we have existence of solution for any finite energy initial conditions. Here we show the generic existence of solutions with respect to initial data distributed as Gaussian invariant measures, in "mixed" dyadic and tree-like shell models, extending the classical deterministic results. The existence is given thanks to compactness argument and techniques similar to the ones used by Albeverio and Cruzeiro for Euler equation (and more recently with a different approach by F. Flandoli), adapted to our model. Uniqueness is not provided, and the natural oscillating behaviour of the solutions obtained may suggests that it doesn't hold at all All of you are very welcome. Best regards, David Barbato

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13th European Summer School in Financial Mathematics, Vienna, Aug. 31- Sept. 4, 2020 (fwd)
by Tiziano Vargiolu 13 Feb '20

13 Feb '20

---------- Forwarded message ---------- Date: Tue, 11 Feb 2020 14:39:42 +0100 From: Christa Cuchiero <christa.cuchiero(a)univie.ac.at> To: christa.cuchiero(a)unvie.ac.at Subject: 13th European Summer School in Financial Mathematics, Vienna, Aug. 31- Sept. 4, 2020 Dear colleagues, we are pleased to announce the 13th European Summer School in Financial Mathematics on "Machine Learning in Finance" and "McKean-Vlasov Equations & Mean Field Games in Finance" which will be held at the University of Vienna, from August 31 to September 4, 2020. Mini-courses will be given by Lyudmila Grigoryevya Xin Guo Lukasz Szpruch Josef Teichmann Detailed information on the summer school and instructions for applications can be found at: https://www.univie.ac.at/summer_school_MathFinance/index.html The application deadline is April 30, 2020. Successful applicants will be sponsored for accommodation and (partly) travel expenses. Please bring the announcement to the attention of PhD-students and other researchers who may be interested to attend. Kind regards, Christa Cuchiero

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Postdoc in Financial Mathematics at Dublin City University
by Paolo Guasoni 13 Feb '20

13 Feb '20

Dear Colleague, Dublin City University has a Postdoctoral position (Two-year) in Financial Mathematics https://www.dcu.ie/sites/default/files/hr/rf1327_postdoctoral_researcher_fi… The closing date for the application is March 6th, 2020. With best regards, Paolo Guasoni -- * *Séanadh Ríomhphoist/Email Disclaimer* *Tá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://sites.google.com/view/seanadh-riomhphoist>* *This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://sites.google.com/view/dcu-email-disclaimer>* * -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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PhD Course, Tor Vergata (Matematica), Paolo Pigato
by Claudio Macci 13 Feb '20

13 Feb '20

Department of Mathematics, Univ. Roma Tor Vergata PhD Course held by Paolo Pigato (10 hours) Title: Fractional Brownian motion and non-Markovian modeling Schedule: March 03, 2020; h. 14-16. Room: Aula D'Antoni March 05, 2020; h. 14-17. Room: Aula D'Antoni March 10, 2020; h. 14-16. Room: Aula De Blasi March 12, 2020; h. 14-17. Room: Aula D'Antoni Abstract. In several applications of stochastic analysis (financial engineering, telecommunication networks, ...), it is desirable to model real-world quantities which are non-Markovian, for example because the noise process exhibits slowly decaying auto-correlations and long memory. In this course we will focus on fractional Brownian motion, a prototypical example of non-Markovian process. Such process is a generalisation of Brownian motion with Holder regularity possibly different than 1/2 and it is not a martingale. We will consider large deviations problems, simulation methods and some examples of application. Some other details can be found here: http://www.mat.uniroma2.it/~macci/corso-dottorato-pigato.htm Best regards. Claudio Macci.

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BAYSM 2020: Announcement on coronavirus
by Federico Camerlenghi 13 Feb '20

13 Feb '20

Dear all, as you may already be aware, there is a recent coronavirus epidemic going around in China, which may have raised concerns in attending the BAYSM 2020 meeting in China late June https://baysm2020.uconn.edu/ . As a satellite meeting of the 2020 ISBA World Meeting (Kunming, China, June 29-July 03), we would like to cite the email that ISBA Program Council just sent to ISBA members to address the coronavirus concerns and ISBA World Meeting in China: "We are keeping a close eye on the development. While at this point we are cautiously optimistic that the epidemic will not last till June, both as a result of the extraordinary measure that China is taking to contain the spread, and as cold-like coronaviruses generally don't spread effectively as temperature rises in spring. However, we want to stay cautious and keep options open, and will take the necessary actions to ensure the health and safety of our community." We are holding the same position as the ISBA Program Council and will keep you all updated of any changes in the plan of the meeting. Particularly, if the epidemic is not contained in the next couple of months, and thus the community participating in the meeting will be subject to health risk, we will consider alternatives such as postponing the BaYSM Meeting. For now, we have decided to extend the early registration deadline as follows. Deadline for submissions: May 1 2020 23:59 CST End of review process: May 23 2020 Early registration: June 01 2020 Late registration: June 15 2020 Thank you for your support of our BaYSM Meeting. We hope that the epidemic will be over soon and we will see you all in Kunming at the BaYSM this June. Best Regards, On behalf of the organizing committee Federico Camerlenghi -- Federico Camerlenghi Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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Seminar of Nicola Secomandi, Padova, Friday 21
by Tiziano Vargiolu 13 Feb '20

13 Feb '20

*** Apologies for cross-posting *** Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics, University of Padova (via Trieste, 63), on February 21 h. 15.30 room 1BC/45. -------------------------------------------------- NICOLA SECOMANDI Tepper School of Business, Carnegie Mellon University Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Abstract: This paper extends quadratic hedging from European to Bermudan options in discrete time when markets are incomplete and investigates its use for supporting exercise policy optimization. The key idea is to construct date specific approximate replicating portfolios. Hedging any given exercise policy can be done by solving a collection of stochastic dynamic programs. Optimizing the exercise policy based on the resulting martingale measure requires care. If this measure is risk neutral (RN), the value of an optimal such policy, which can be obtained by augmenting the hedging model with an exercise policy optimization step, is a no arbitrage one. Otherwise this approach must be refined by imposing time consistency on exercise policies, although the value of the resulting exercise policy may not be arbitrage free. Following the common pragmatic strategy of specifying quadratic hedging under an RN measure, e.g., one calibrated to market prices, avoids these issues. In particular, it provides a simple hedging policy with immediate practical applicability and is equivalent to exercise policy optimization under RN valuation, thus complementing it with a consistent hedging policy. A simple numerical example shows that this procedure generates effective hedging policies. Paper available at https://arxiv.org/abs/2001.05788?context=q-fin --------------------------- All the best 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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10 Ph.D. positions @ Luxembourg Unviersity
by Giovanni Peccati 13 Feb '20

13 Feb '20

Dear Colleagues, *10 Ph.D. positions* are currently open in the *Department of Mathematics of Luxembourg University*, in the framework of a transversal grant spanning several disciplines - geometry, number theory, probability and mathematical physics. Here is the official link, where all details can be found: http://emea3.mrted.ly/2ej0i With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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Commodity and Energy Markets Association - Annual Meeting 2020 - Madrid (fwd)
by Tiziano Vargiolu 12 Feb '20

12 Feb '20

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 --------------------------------------------------------------------------

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CREST Post-doc offer: green finance / quantitative economics (fwd)
by Tiziano Vargiolu 12 Feb '20

12 Feb '20

Apologies for cross-postings. ---------- Forwarded message ---------- Date: Wed, 12 Feb 2020 15:29:26 +0100 From: Peter Tankov <peter.tankov(a)polytechnique.org> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Dear Tiziano,would you be so kind as to distribute my post-doc offer (attached) on your mailing list? Best wishes Peter -- Peter Tankov Professor of quantitative finance, ENSAE ParisTech Phone: +33 1 70 26 68 73 www.lpma-paris.fr/pageperso/tankov/ Email: peter.tankov(a)ensae.fr

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New Post-Doc position @ Luxembourg University
by Giovanni Peccati 12 Feb '20

12 Feb '20

Dear Colleagues, a new *2 years post-doc position *is open at the *Department of Mathematics of Luxembourg University *- deadline is* March 15, 2020. * Here is the official link for the application: http://emea3.mrted.ly/2ez6c The position is actually related to a large research grant (bridging several groups in the department) on the general topic of *Geometry, Probability and its Synergies. * As a consequence, applications are particularly welcomed from researchers whose expertise bridges two or more of the following areas: *geometry, probability theory, number theory and mathematical physics.* Please, do not hesitate to share this message with potential candidates. With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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Summer school in Santander for Master students
by Maurizia Rossi 11 Feb '20

11 Feb '20

Dear all, I would like to advertise this Probability Summer School on Random and deterministic point configurations https://www.ub.edu/santalo20/ that will be held in Santander - July 13-17, 2020. The aim of this Summer School is to introduce Master students into the field of point configurations, with wide-view courses that will include a friendly exposition of the main results in the area and its applications. If you know someone who might be interested in joining this event, please let them contact the organizers (C. Beltran and J. Marzo). Best wishes, Maurizia -- Maurizia Rossi Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca https://mauriziarossi.wordpress.com

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PROBABILITY SEMINAR: Giovanni Conforti (CMAP, École Polytechnique ) [Padova, 21/02, 14.30]
by alessandra bianchi 10 Feb '20

10 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 21. ________________________________________________________ Speaker: Giovanni Conforti (CMAP, École Polytechnique ) Title: Understanding the most likely evolution of interacting particle systems 21 FEBRUARY (Friday), 14:30; ROOM 1BC45, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: An old question posed by Schrodinger may be rephrased as follows: what is the most likely evolution of an interacting particle system conditionally on the observation of its initial and final configurations? It is often the case that by means Large Deviation Principle this question is rigorously formulated as a (mean field) control problem in the space of probability measures. In the first part of this talk we will see if the space of probability measures is endowed with a Riemannian metric naturally induced by the form of the rate function, the equations governing the most likely evolution take the form of Newton's law. In some examples the Riemannian metric to be considered coincides with the Otto metric of optimal transport, but it is often the case that a different metric has to be chosen. In the second part of the talk we discuss how to use Newton’s laws to obtain convexity principles and dissipation estimates for entropy functionals along the most likely evolution. The interest of these estimates is twofold: on the one hand they imply a novel class of functional inequalities; on the other hand they allow to establish the turnpike property for the control problem defining the most likely evolution and to study its ergodic behaviour. Two concrete examples will be discussed in more detail: the exclusion process and systems of weakly interacting diffusions. Based on joint works with A.Chiarini, I.Gentil, J.Backhoff, C.Léonard, M.Pavon and L. Tamanini. All of you are very welcome. Best regards, Alessandra Bianchi tp://www.math.unipd.it/~bianchi/ <http://www.math.unipd.it/~bianchi/> -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Quantitative Finance @ WORK - Rome, April 24, 2020
by Davide Erminio Pirino 10 Feb '20

10 Feb '20

Dear Student, Dear Colleague, The *Master of Science in Finance and Banking -* *University of Rome Tor Vergata* are pleased to host the fourth edition of *QFin@Work on April 24, 2020. *The Workshop is on the practical use of quantitative methods in Finance and related fields. The goal of the Workshop is to get together leading experts, and especially finance professionals, to learn from their experiences, listen to new ideas, and discuss about future perspectives in the field. The 2020 schedule is now available at https://qfinatwork.com/2020 Registration is free but compulsory to anyone will attend the meeting. We hope to see you there, *The Scientific Committee* Rocco Ciciretti Katia Colaneri Annalisa Fabretti Stefano Herzel Marco Nicolosi Davide Pirino Alessandro Ramponi Sergio Scarlatti

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PhD course by Prof Antoine Jacquier (Imperial College London) in Padova
by Giorgia Callegaro 10 Feb '20

10 Feb '20

Dear all, this email is to announce the PhD course entitled "*A smooth tour around rough models in finance (From data to stochastics to machine learning)*" which will be given by Prof Antoine Jacquier (Imperial College, London) at the Department of Mathematics of University of Padova in March/April 2020. The course details (aim, contents and prerequisites) are available here: https://www.math.unipd.it/~dottmath/corsi2020/Jacquier.pdf and here is the schedule (lectures will be given in room *2BC30* in Torre Archimede, Dept of Mathematics, Via Trieste 63, 35121 Padova) 1. Thursday 19 March: 14-16 2. Friday 20 March: 14-16 3. Monday 23 March: 14-16 4. Thursday 26 March: 14-16 5. Friday 27 March: 14-16 6. Thursday 2 April: 14-16 7. Friday 3 April : 14-16 8. Monday 6 April : 14-16. Every lecture lasts 45 minutes, so in a slot of 2 hours please expect two lectures (for a total of 90 minutes) with a break. Everybody is welcome! See you in Padova, Giorgia Callegaro -- Giorgia Callegaro Assistant 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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avviso breve ciclo seminari
by Franco Flandoli 08 Feb '20

08 Feb '20

Si comunica che nei giorni *martedì 11 febbraio (aula Mancini) martedì 18 febbraio (aula Mancini) martedì 25 febbraio (aula Tonelli)* si terranno, presso la Scuola Normale Superiore di Pisa, i seguenti due cicli di seminari, con eventuale proseguimento da concordare: *ore 11-12 Sigurd Assing ore 12-13 Michael Goldman* Il tema dei seminari è brevemente descritto qui di seguito. Tutti gli interessati sono invitati a partecipare. ------------------------ *Sigurd Assing* (University of Warwick) TITLE: Bayesian Gaussian Process Latent Variable Model ABSTRACT: We introduce a variational inference framework for training the Gaussian process latent variable model and thus performing Bayesian nonlinear dimensionality reduction. The maximization of the variational lower bound provides a Bayesian training procedure that is robust to overfitting and can automatically select the dimensionality of the nonlinear latent space. ------------------------ *Michael Goldman* (Université Paris Diderot, CNRS) TITLE: A variational approach to regularity in optimal transport and applications to the optimal matching problem. ABSTRACT: In this course I will present the regularity theory for optimal transport maps recently developed together with M. Huesmann and F. Otto. The main point of the course is to show that as long as we are in a linearization regime, that is as long as the local displacement and the local distances of the two marginals to the Lebesgue measure are small, the displacement is quantitatively close to the gradient of the solution of a Poisson equation. We will see applications both to partial regularity and to (a variant of) the optimal matching problem. In particular, we will see how this theory allows to justify down to the microscopic scale some predictions made by Caracciolo and al for that problem.

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2-year post-doc position at the University of Padova
by Claudio Fontana 08 Feb '20

08 Feb '20

Dear all (and apologies for cross-posting), A 2-year post-doctoral position at the Department of Mathematics of the University of Padova (Italy) is available, within the STARS@UNIPD project PRISMA under the supervision of Claudio Fontana (personal webpage: https://sites.google.com/site/fontanaclaud <https://sites.google.com/site/fontanaclaud>). The primary goal of the PRISMA project is the development of new stochastic methods for the modelling of information in finance and insurance. We are looking for a highly motivated candidate with a solid background in stochastic analysis and mathematical finance. A PhD degree in these fields is a necessary requirement. We offer a stimulating research environment, an exciting research project, excellent working conditions. Salary is fixed at a top level for a post-doctoral position at the University of Padova, corresponding to about 2100 euros/month (net of taxes). Generous financial support is available for participation to international conferences and workshops. The selected candidate will not have mandatory teaching duties. The starting date can be arranged, but cannot be later than September 1st, 2020. To be considered, the application package has to arrive before March 2, 2020. The official call for the position and application instructions can be found at https://www.math.unipd.it/it/news/?id=2579 <https://www.math.unipd.it/it/news/?id=2579> For any further information and expressions of interest on this position, please contact Claudio Fontana directly at fontana(a)math.unipd.it <mailto:fontana@math.unipd.it> Best regards Claudio Fontana

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Corso di dottorato "Topics from the Gaussian World" a Milano-Bicocca
by Gianmario Tessitore 07 Feb '20

07 Feb '20

Buongiorno Tra marzo e maggio 2020, Francesco Caravenna e Maurizia Rossi terranno il corso di dottorato: *"Topics from the Gaussian World"* presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca. La prima lezione avrà luogo giovedì 5 marzo alle 14:30-17:00 in aula U5-3014. Per maggiori informazioni si veda la pagina http://staff.matapp.unimib.it/~fcaraven/did1920/phd/index.html Tutti gli interessati sono invitati a partecipare un cordiali saluto -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Call for Interest - Assegno di ricerca
by Daniele Marazzina 07 Feb '20

07 Feb '20

Con preghiera di diffusione Il Qfinlab, laboratorio di finanza quantitativa del Dipartimento di Matematica del Politecnico di Milano, sta valutando la possibilità di bandire assegni di ricerca su tematiche relative alla finanza quantitativa (calcolo stocastico, portfolio allocation, pricing, ma non solo), all'econometria e/o all'utilizzo di tecniche machine learning in finanza. Eventuali persone interessate possono inviare il loro cv all'indirizzo qfinlab(a)polimi.it<mailto:qfinlab@polimi.it> . Per informazioni sul gruppo, si rimanda a www.qfinlab.polimi.it<http://www.qfinlab.polimi.it/> Cordialmente Daniele Marazzina

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Seminario Karim Barigou in Bicocca
by Valeria Bignozzi 06 Feb '20

06 Feb '20

Si avvisa che il giorno Lunedì 10 Febbraio alle ore 15:30 presso l’Università di Milano-Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario: Speaker: Karim Barigou (University of Lyon) Title: Fair valuation of insurance liabilities: interplay between actuarial judgement and market-consistency Abstract: Insurance liabilities are in most cases (only) partially replicable by traded assets. This may be due to the fact that the payoffs of the underlying insurance contracts are defined in terms of a combination of hedgeable and unhedgeable claims (e.g. unit-linked insurance) or due to the existence of traded insurance-linked securities of which the payoff is correlated with the payoff of the insurance liability (e.g. CAT bonds). Since not all insurance claims can be perfectly replicated by traded assets, we face the problem of valuating claims in incomplete markets (i.e. markets in which some claims are not perfectly hedgeable). The main goal of this presentation is to introduce different valuation frameworks for the determination of a fair valuation for insurance liabilities. The objective of this valuation is to merge the traditional actuarial valuation based on pooling and diversification with a market-consistent approach based on hedging and replication. In particular, we define a fair valuation as a valuation which is market-consistent (marked-to-market for hedgeable claims) and actuarial (marked-to-model for claims independent of financial market evolutions). Among the different fair valuation frameworks, we introduce and investigate the class of `hedge-based valuations'. Under this approach, one unbundles the unhedgeable insurance claim in a hedgeable part and a remaining part. The fair value of the claim is then set equal to the sum of the respective values of the hedgeable and the unhedgeable parts, where the hedgeable part is valuated by the financial price of its underlying hedge, while the value of the remaining part is determined via an actuarial approach. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Valeria ******************************************************************************************* Valeria Bignozzi Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano e-mail: valeria.bignozzi(a)unimib.it <mailto:valeria.bignozzi@unimib.it> ******************************************************************************************* _______________________________________________ Random mailing list Per informazioni e per disiscriversi: https://fields.dm.unipi.it/listinfo/random <https://fields.dm.unipi.it/listinfo/random> Per contattare gli amministratori: random-admin(a)fields.dm.unipi.it <mailto:random-admin@fields.dm.unipi.it> Per inviare un messaggio alla mailing list: Random(a)fields.dm.unipi.it <mailto:Random@fields.dm.unipi.it> Archivio dei messaggi inviati: https://fields.dm.unipi.it/pipermail/random <https://fields.dm.unipi.it/pipermail/random>

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Research fellowship in Padova - "Stochastic processes on random structures and applications"
by alessandra bianchi 05 Feb '20

05 Feb '20

Cari colleghi con l'invito a volerne dare la massima diffusione, vi segnalo che, all'interno di un progetto congiunto UniBo-UniFi-UniPd denominato "Dinamiche stocastiche in ambienti disordinati ed applicazioni nelle scienze ", è uscito il bando per un assegno di ricerca su "Processi stocastici su strutture aleatorie e applicazioni" con sede presso il Dipartimento di Matematica "Tullio Levi-Civita " dell'Università di Padova. La descrizione e i dettagli per l'ammissione sono indicati di seguito. The Department of Mathematics "Tullio Levi-Civita" of the University of Padova invites applications for a Research fellowship of the duration of 12 months in the framework of a joint project with the University of Bologna and the University of Firenze, with subject "Stochastic processes on random structures and applications". Successful candidates will be recent PhDs in Mathematics, or graduates with a Master's degree, who have suitable and documented academic and professional experience. The gross amount of the research fellowship contract is 21.100 euro. The deadline for application is 2nd March 2020. To submit application please refer to the page https://www.math.unipd.it/news-files/2020/20200302-bianchi-bando.pdf For additional information, please contact: Alessandra Bianchi at bianchi(a)math.unipd.it Marco Lenci at marco.lenci(a)unibo.it Francesca Nardi at francescaromana.nardi(a)unifi.it <bianchi(a)math.unipd.it>-- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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seminar announcement
by Marco Scarsini 05 Feb '20

05 Feb '20

*Xavier Venel,* Paris School of Economics Sequential Competition and the Strategic Origins of Preferential Attachment <http://mailsender.luiss.it/lists/lt.php?id=cRpRAgYLSAQFAw1OVAVUAQAH> Thursday 6 February 2020, 12 noon Room 207 Department of Economics and Finance Luiss Viale Romania, 32 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Re: [Random] [forumppg] XXIV Brazilian Probability School /São Paulo School of advanced science
by Chiara Franceschini 04 Feb '20

04 Feb '20

Ricevo e inoltro per potenziali interessati. ---------- Forwarded message --------- Subject: Fwd: [forumppg] XXIV Brazilian Probability School /São Paulo School of advanced science Date: 2020-02-04 12:02 From: Patrícia Gonçalves <mophinha(a)gmail.com> To: Chiara Franceschini <chiara.franceschini(a)tecnico.ulisboa.pt> Can you distribute this in Italy? Thanks! ---- *XXIV EBP/ São Paulo School of advanced science on singular stochastic partial differential equations and their applications* It is a pleasure to announce the XXIV EBP/ São Paulo School of advanced science on singular stochastic partial differential equations and their applications. The São Paulo school is divided into two parts and will happen in the weeks of July 28 to August 8, 2020 at Campinas University. In the first week there will be two introductory mini courses (stochastic calculus and rough paths) that lay the foundations for the courses of the second week. In the latter ones newly developed theories and their latest developments in the field of singular SPDEs and related areas will be taught. The program will be complemented with several plenary talks, invited talks, a poster session and a visit to the LNLS laboratories, where the only particle accelerator of Latin America is located. The school will give full financial support for around 100 students (50 from Brazil and 50 from abroad). More informations under https://www.ime.unicamp.br/spas2020/ . The XXIV EBP will coincide with the second week of the São Paulo School. As in previous years, the XXIV EBP will consist of two mini courses, plenary talks, contributed talks and poster sessions, all presented in a relaxed atmosphere. This will be our first edition at IMECC-UNICAMP, which is home to one of Brazil's top ranked Mathematics departments. More information under https://www.ime.unicamp.br/bsp2020/. We would be grateful if you could advertise these events among your colleagues. On behalf of the organizing committee Dirk Erhard Adriana Neumann Christian Olivera -- Roberto Imbuzeiro Oliveira Professor, IMPA rimfo(a)impa.br, rob.oliv(a)gmail.com sites.google.com/view/roboliv -- Você recebeu essa mensagem porque está inscrito no grupo "forumppg" dos Grupos do Google. Para cancelar inscrição nesse grupo e parar de receber e-mails dele, envie um e-mail para forumppg+unsubscribe(a)impa.br. Para ver essa discussão na Web, acesse https://groups.google.com/a/impa.br/d/msgid/forumppg/CAN9Gp7asj9%3DEymWpDw2… <https://groups.google.com/a/impa.br/d/msgid/forumppg/CAN9Gp7asj9%3DEymWpDw2…> . -- Esta mensagem foi verificada pelo sistema de antiv�rus e acredita-se estar livre de perigo.

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two tenure track assistant professor position (Sao Paulo)
by Daniela Bertacchi 04 Feb '20

04 Feb '20

Ricevo e inoltro ---------- Forwarded message --------- Da: Fabio Machado <faprama(a)gmail.com> Date: lun 3 feb 2020, 19:46 Subject: two tenure track assistant professor positions To: Fabio Machado <faprama(a)gmail.com> Dear colleagues, please feel free to advertise to potential applicants. The Statistics Department of IME-USP has two tenure track assistant professor vacancies open for registration until March 24th. The contest will include, in addition to a memorial judgment, didactic evidence on basic Probability and Statistical Inference topics (in master's level), and project judgment in a wide range of research areas in Probability and Statistics. See message below and attached notice for further details. Do not hesitate to contact me for further clarification. Announce Math Hire https://mathhire.org/jobs/909 Science HR announcement https://www.science.hr/jobs/59528/assistant-professor-2-positions-statistic… Att Fábio Prates Machado -- *Fábio Prates Machado* - Professor Instituto de Matemática e Estatística Universidade de São Paulo, Brasil.

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Permanent research positions near Paris
by Guillaume Kon Kam King 04 Feb '20

04 Feb '20

Dear Colleagues, a call is open for two permanent positions, as a *Research Scientist in Statistics and stochastic algorithms for dynamic processes* and as a *Research Scientist in machine learning for text mining.* These are full research positions (no compulsory teaching), based at INRAE ( https://www.inrae.fr/en/about-us) and affiliated to Université Paris-Saclay. You may find the calls and instructions on how to apply at: https://jobs.inrae.fr/en/open-competitions/open-competions-research-scienti… and https://jobs.inrae.fr/en/open-competitions/open-competions-research-scienti… The application is in English and is fairly lightweight, it includes a CV, the 4 most significant publications and a 8-10 pages report detailing past research. The deadline is March 5, 2020, 5 p.m. Central European Time (UTC+01:00). If you would consider applying, please contact Elisabeta VERGU ( elisabeta.vergu(a)inrae.fr) for the position in Statistics and stochastic algorithms for dynamic processes, or Claire NEDELLEC ( claire.nedellec(a)inrae.fr)/Louise DELEGER (louise.deleger(a)inrae.fr) for the position in machine learning for text mining. Best regards, Guillaume KON KAM KING Université Paris-Saclay, INRAE, MaIAGE, 78350, Jouy-en-Josas, France https://sites.google.com/site/guillaumekonkamking/home

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Seminar Fabrizio Leisen @ Unimib
by Federico Camerlenghi 03 Feb '20

03 Feb '20

Dear all, we are glad to announce the next DEMS seminar: Wednesday, 12th February 2020 Time 12.00, Aula de Lillo, Department of Economics, Management and Statistics (DEMS) Building U7, II floor, University of Milano - Bicocca The speaker is Fabrizio Leisen from University of Kent. *Title:* *On a Class of Objective Priors from Scoring Rules* *Abstract:* Objective prior distributions represent an important tool that allows one to have the advantages of using a Bayesian framework even when information about the parameters of a model is not available. The usual objective approaches work off the chosen statistical model and in the majority of cases the resulting prior is improper, which can pose limitations to a practical implementation, even when the complexity of the model is moderate. In this talk we propose to take a novel look at the construction of objective prior distributions, where the connection with a chosen sampling distribution model is removed. We explore the notion of defining objective prior distributions which allow one to have some degree of flexibility, in particular in exhibiting some desirable features, such as being proper, or log-concave, convex etc. The basic tool we use are proper scoring rules and the main result is a class of objective prior distributions that can be employed in scenarios where the usual model based priors fail, such as mixture models and model selection via Bayes factors. In addition, we show that the proposed class of priors is the result of minimising the information it contains, providing solid interpretation to the method. This is a work in collaboration with C. Villa and S. G. Walker. Best wishes, Federico Camerlenghi -- Federico Camerlenghi Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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University of Oslo - open positions for PhD and Postdoc within stochastic analysis
by Giulia Di Nunno 03 Feb '20

03 Feb '20

Dear Colleagues, This is to bring to your attention the opening of a number of positions involving stochastic analysis, both at PhD and Postdoc levels at the Department of Mathematics, University of Oslo. See here: https://www.mn.uio.no/math/om/jobb/ <https://www.mn.uio.no/math/om/jobb/> Deadline for application: February 29. An application to each position of interest (also if multiple) is mandatory for being considered in the evaluation. See also the presentation of STORM - Stochastics for Time-Space Risk Models and its group of researchers: https://www.mn.uio.no/math/english/research/projects/storm/ <https://www.mn.uio.no/math/english/research/projects/storm/> Strong of its large group, the interests of STORM are broad within stochastic analysis and its applications and include random fields, SDEs, SPDEs, finite and infinite dimensions, models of dependencies in dynamic setting, stochastic control, mathematical finance, energy finance. We are interested in numerical methods and machine learning. Please help us distribute this information among colleagues and all possibly interested people. Best regards, Giulia Di Nunno Professor Department of Mathematics University of Oslo, Norway http://folk.uio.no/giulian/ <http://folk.uio.no/giulian/>

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annucnio cncorso dottorato
by Franco Flandoli 02 Feb '20

02 Feb '20

A call for applications for 7 PhD student fellowships in Computational Methods and Mathematical Models for the Sciences and Finance has now been issued, see https://www.sns.it/en/admissions/phd/how-to-apply-for-the-phd-courses for application instructions. The first deadline is February 27 (Spring session), the second one is August 27 (Autumn session).

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bando RTD-B a Siena (fwd)
by Tiziano Vargiolu 31 Jan '20

31 Jan '20

---------- Forwarded message ---------- Date: Mon, 27 Jan 2020 12:08:32 +0100 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: bando RTD-B a Siena The Department of Economics and Statistics of the University of Siena calls for a full time position for assistant professor, tenure track for associate professor (ricercatore a tempo determinato senior): Academic recruitment area code: 13/D4 (Mathematical Methods of Economics, Finance and Actuarial Sciences) Academic scientific field code: SECS-S/06 (Mathematical Methods of Economics, Finance and Actuarial Sciences) Application deadline: February 23, 2020 Call text and application form (also in English):https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/ricercatore-tempo -det-senior-3-anni-tempo-pieno-sc-13d4-metodi For further information: amministrazione.deps(a)unisi.it General requirements for candidates: Phd + 3 years post-doc position(s). Please, circulate this info. -- prof. Claudio Pacati Dean of the School of Economics and Management Director of the MSc. in Finance Department of Economics and Statistics University of Siena p.zza S. Francesco, 7 I-53100 Siena (Italy) tel. +39 0577 232772 https://docenti.unisi.it/it/claudiopacati

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Seminario di Filosofia della Matematica
by Stefania Ugolini 30 Jan '20

30 Jan '20

Segnalo questo interessante seminario di filosofia della matematica tenuto da un filosofo e matematico (probabilista).<signatureafterquotedtext></signatureafterquotedtext> Una Filosofia contemporanea della matematica contemporanea? Frederic Patras Dipartimento di Matematica, Università degli Studi di Milano, Martedì 4 Febbraio 2020, Aula 3, ore 14:30

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

[Link funzionante] Alla pagina web https://www.unimi.it/it/node/581/ <https://www.unimi.it/it/node/581/> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

Alla pagina web https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele… <https://www.unimi.it/it/ateneo-lavora-con-noi-reclutamento-ricercatori-sele…> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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PhD lectures by G. Peccati in Pisa
by Dario Trevisan 29 Jan '20

29 Jan '20

Dear all, this is to inform you that the second part of the PhD lectures on Stein-Malliavin Method, given by G. Peccati, will begin next week and are scheduled as follows: *Poisson part *(G. Peccati) February 3: 3-6 PM February 4: 2-5 PM They will take place in Sala Seminari, first floor, Dipartimento di Matematica, Università degli studi di Pisa. Regards, Dario -- Dario Trevisan, Università degli Studi di Pisa, Dipartimento di Matematica, Largo Bruno Pontecorvo 5, 56127 - Pisa (PI) Italy telephone: (+39) 050 2213832 mobile: (+39) 331 2899761 Skype: dario-trevisan e-mail: dario.trevisan AT unipi.it webpage: http://people.dm.unipi.it/trevisan/

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ECSO - CMS 2020 second Call for Papers
by Martina Nardon 28 Jan '20

28 Jan '20

* Apologies for cross-posting Second Announcement and Call for Papers Joint EUROPEAN CONFERENCE ON STOCHASTIC OPTIMIZATION and COMPUTATIONAL MANAGEMENT SCIENCE Conference Venice 1-3 July 2020 We invite you to participate and submit your contribution to the joint conference ECSO - CMS 2020. Venue: Department of Economics, Ca’ Foscari University of Venice San Giobbe Campus – Cannaregio 873, 30121 Venice, Italy Webpage: www.unive.it/ecsocms2020 IMPORTANT DATES Abstract submission: March 1, 2020 Notification of acceptance: April 1, 2020 Early registration: April 15, 2020 ECSO - CMS 2020 is jointly organized by the Department of Economics of Ca’ Foscari University of Venice, the CMS Journal and the EURO Working Group on Stochastic Optimization. ECSO 2020 is the 3rd edition of a stream of conferences organized by the EURO Working Group on Stochastic Optimization (EWGSO). The previous editions were held in Paris (2014) and Rome (2017). The scope of the conference is to bring together researchers and professionals in Stochastic Optimization and its applications in different fields spacing from economics and finance to supply chain, logistics, etc. CMS 2020 is the 17th edition of an annual meeting associated with the journal of Computational Management Science published by Springer. The aim of the conference is to provide a forum for theoreticians and practitioners from academia and industry to exchange knowledge, ideas and results in a broad range of topics relevant to the theory and practice of computational methods in management science. This joint event will provide a forum for fruitful discussions and interactions among researchers and professionals from industry and institutional sectors on decision making under uncertainty in a complex world. The conference will be within the scopes of both CMS and EWGSO and, in particular, it will focus on models, methods and computational tools in stochastic, robust and distributionally robust optimization and on computational aspects of management science with emphasis on risk management, valuation problems, measurement applications. Traditional fields of application, such as finance, energy, water management, logistics, supply chain management, and emerging ones, such as healthcare, climate risk and sustainable development, will be included. A Best Student Paper Prize of 600 euro will be awarded. Papers should be nominated via e-mail by the students’ supervisors (ecsocms2020(a)unive.it) Deadline for the submissions to the prize is May 15. The program will include a devoted session for presenting the best papers to compete for the prize, such that the jury could make the final choice. The paper does not have to be published. The papers should be principally authored by the student, but co-authors are permitted as long as their contributions are clarified. Only registered participants’ papers will be considered for the prize. Jury for the Student Best Paper Prize: Stein-Erik Fleten (NTNU Norwegian University of Science and Technology), Milos Kopa (Charles University of Prague), Francesca Maggioni (University of Bergamo), Ruediger Schultz (University Duisburg-Essen). PLENARY SPEAKERS DARINKA DENTCHEVA, Stevens Institute of Technology (USA) DAVID MORTON, Northwestern University (USA) GAH-YI BAN, London Business School (UK) DANIEL KUHN, École polytechnique fédérale de Lausanne (CH) GIORGIO CONSIGLI, Università di Bergamo (I) WARREN POWELL, Princeton University (USA) Conference Secretariat: ecsocms2020(a)unive.it Conference hashtag: #ecsocms2020 Best Regards, Diana Barro, Stein-Erik Fleten and Martina Nardon Organizing and Program Committee Chairs -------------------------------------- Dr. Martina Nardon Dipartimento di Economia Università Ca' Foscari Venezia San Giobbe - Cannaregio, 873 30121 Venezia, Italy tel. +39 041 234 7413 --------------------------------------

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corso di B. Zegarlinski a Pavia - Disuguaglianze funzionali
by Carbone Raffaella 28 Jan '20

28 Jan '20

Cari colleghi, vi annuncio che il prof. Boguslaw Zegarlinski (Imperial College, London) terrà un corso di Dottorato dal titolo ''Introduction to coercive inequalities with applications in analysis and probability theory'' presso il Dipartimento di Matematica dell'Università di Pavia. Il corso si svolgerà nel periodo 22 marzo - 24 aprile 2020, si prevedono 6 ore settimanali tenute (orario provvisorio) il martedì, mercoledì e giovedì mattina. Il corso è finanziato dal Progetto Dipartimenti di Eccellenza del MIUR (2018–2022) - Dipartimento di Matematica “F. Casorati", Università di Pavia. Informazioni più dettagliate seguiranno a breve. Il corso è aperto a tutti ma chiederò di segnalare l'iscrizione tramite mail per motivi organizzativi. Cordiali saluti, Raffaella Carbone -- Raffaella Carbone, PhD Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Polimi Finance Seminars Paolo Di Tella (TU-Dresden)
by Carlo Sgarra 27 Jan '20

27 Jan '20

On Tuesday, February 11, at 10:30 in the Seminar Room at the third floor of the Department of Mathematics (Politecnico di Milano), in the framework of the quantitative finance seminars, Paolo Di Tella (TU-Dresden) will give a talk with title: * Semistatic and sparse variance-optimal hedging. ABSTRACT We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy‐and‐hold) positions in other assets. We give general representations of the optimal strategy and the hedging error under the criterion of variance optimality and provide tractable formulas using Fourier integration in case of the Heston model. We also consider the problem of optimally selecting a sparse semistatic hedging strategy, i.e., a strategy that only uses a small subset of available hedging assets and discuss parallels to the variable‐selection problem in linear regression. The methods developed are illustrated in an extended numerical example where we compute a sparse semistatic hedge for a variance swap using European options as static hedging assets. (joint work with M. Haubold, M. Keller-Ressel). All people interested are kindly invited to attend the talk. Carlo Sgarra

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PhD in Statistics & Computer Science, Università Bocconi
by Antonio Lijoi 26 Jan '20

26 Jan '20

Cari tutti, ricordo la scadenza del *3 febbraio* per la presentazione delle domande di ammissione al dottorato di ricerca in Statistics and Computer Science presso l'Università Bocconi (a.a. 2020-2021). Vi sarei grato se voleste portare all'attenzione dei vostri studenti interessati la "call for applications", riportata di seguito. Saluti, AL **************************************************** PhD in Statistics and Computer Science Call for applications for PhD student positions **************************************************** The Bocconi PhD School provides 7 scholarships for the PhD in Statistics and Computer Science, and a position with tuition waiver. * Scholarship amount * 20.280 euro per annum in the 1st and 2nd year 15.343 euro per annum in the 3rd and 4th year Further funding is available through teaching and research assistantship. Visit www.unibocconi.eu/admissionphd<http://www.unibocconi.eu/admissionphd> for detailed information. ** Applications are due by 3 February, 2020 ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics and Computer Science is a high profile and rigorous doctoral program that develops strong mathematical, statistical, computational and programming backgrounds. The curriculum is structured into two tracks: Statistics and Computer science. The first year includes courses that are compulsory for all enrolled PhD students. The second-year features track-specific and elective courses that provide students with a more specialized competence and focus on topics that may be the object of the doctoral dissertation. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The Faculty includes internationally acknowledged top researchers in Statistics, Computer Science, Decision Theory, Statistical Physics and Machine Learning. The program also benefits from contributions of authoritative visiting professors who deliver short monographic courses. Highly qualified and motivated students with M.Sc. degrees in in Statistics, Mathematics, Computer Science, Economics, Physics, Engineering and related areas, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. For further information about the PhD program in Statistics and Computer Science at Bocconi, visit www.unibocconi.eu/phdstatscompscience<http://www.unibocconi.eu/phdstatscompscience> and feel free to contact: Antonio Lijoi, PhD program director (antonio.lijoi(a)unibocconi.it<mailto:antonio.lijoi@unibocconi.it>) Angela Baldassarre, PhD administrative assistant (angela.baldassarre(a)unibocconi.it<mailto:angela.baldassarre@unibocconi.it>) Antonio Lijoi Director, PhD program in Statistics and Computer Science Bocconi University http://mypage.unibocconi.it/antoniolijoi

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2020 Bocconi Summer School in Advanced Statistics and Probability
by Giacomo Zanella 23 Jan '20

23 Jan '20

Dear all, we are happy to announce the 2020 edition of the Bocconi Summer School in Advanced Statistics and Probability on the topic of "Reproducibility in Data Science". The main instructor of the course will be Chiara Sabatti, more information below. Please feel free to forward to any potentially interested student. Best regards, Giacomo Zanella ------------------------------------------- The Bocconi Summer School in Advanced Statistics and Probability, on "Reproducibility in Data Science", will take place on July 6-17, 2020, at Villa del Grumello, Lake of Como, Italy. The 2020 Edition of the school is organized by Bocconi University, Milan, in collaboration with the University of Oxford and Imperial College London. Instructors: Chiara Sabatti (Stanford University, USA) Tutorials Stephen Bates (Stanford University, USA) Matteo Sesia (Stanford University, USA) The 2-weeks summer school is open to all interested researchers, but is especially designed for PhD students and possibly briliant master graduates/final year students interested in doctoral studies. The deadline for applications is April 7, 2020. For more information: http://bocconi2020.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it, or sonia.petrone(a)unibocconi.it --------------

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Topics in Game Theory_Prof. Renault (TSE) at PhD EF Tor Vergata
by Davide Erminio Pirino 23 Jan '20

23 Jan '20

Dear all, on behalf of Professor Attar I am pleased to inform you that the PhD program in Economics and Finance <https://economia.uniroma2.it/phd/ef/> of the University of Rome Tor Vergata will host a course in “Topics in Game Theory”, taught by Professor Jérôme <https://www.tse-fr.eu/people/jerome-renault> <https://www.tse-fr.eu/people/jerome-renault>Renault <https://www.tse-fr.eu/people/jerome-renault> (Toulouse School of Economics). The course will be held next February. Professor Jérôme Renault is one of the best renowned mathematician of Game Theory of his generation. Lectures are scheduled in room A (1st floor, Bldg B) of the School of Economics <http://en.uniroma2.it/academics/schools-and-departments/school-of-economics/> as follows: - Mon. February 3, at 2.00 – 5.00 pm; - Tue. February 4, 2.00 – 4.00 pm; - Wed. February 5, 2.00-4.00pm; - Thu. February 6, 10.00 am – 1.00 pm; - Fri. February 7, 9.00 -11.00 am. Please find the Syllabus enclosed. Everybody is welcome to attend. Feel free to spread this information to potentially interested students and researchers. Best regards DP

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Workshop on Stochastic Analysis
by Stefania Ugolini 23 Jan '20

23 Jan '20

Geometry and Algebra in Stochastic Dynamics Department of Mathematics, Milano, 27-29 January 2020 http://users.mat.unimi.it/users/ugolini/workshop2020/ <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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Probability Seminar: Alessandra Cipriani (TU Delft) [Padova 31/01, 11.30]
by alessandra bianchi 21 Jan '20

21 Jan '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on January 31. ________________________________________________________ Speaker: Alessandra Cipriani (TU Delft) Title: Dynamical fitness models: evidence of universality classes for preferential attachment 31 JANUARY (Friday), 11:30; ROOM 1BC45, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: In this talk we study different variations of a particular class of random graphs called preferential attachment models with fitness. These are dynamic graphs in which, at every time step, a new node attaches itself to an older one with probability proportional to the degree and a random factor associated to the node, called the fitness. Motivated by learning mechanisms of real-life networks, we assume the fitness to be a Moving Average process MA(q) with positive increments. We study different properties of such models, for example the degree distribution, the attachment probability and the phenomenon of Bose-Einstein condensation. Finally we provide evidence that, tuning the parameters of the fitness process, we fall into two universality classes represented by the well-known Albert-Barabàsi model and Bianconi-Barabàsi model. This implies the robustness of heavy tails in the degree distribution under random perturbations of the attachment rule. All of you are very welcome. Best regards, Alessandra Bianchi -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures (fwd)
by Tiziano Vargiolu 21 Jan '20

21 Jan '20

---------- Forwarded message ---------- Date: Tue, 21 Jan 2020 12:27:19 +0000 From: Office Bachelier Finance Society <office(a)bachelierfinance.org> Subject: BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures 12th World Congress of the Bachelier Finance Society SPECIAL ISSUE OF MATHEMATICAL FINANCE AND RECONFIRMATION OF LECTURES Dear Tiziano Vargiolu We are pleased to announce that a special issue of Mathematical Finance has been arranged for papers presented at the BFS World Congress in Hong Kong. Details will be available through the website soon. We are also delighted to report that Robert Merton has reconfirmed his delivery of the Louis Bachelier Lecture and all the 9 plenary speakers have reconfirmed their participation at the Congress. The deadline, January 31, 2020, for submitting abstracts to the 2020 Bachelier World Congress is approaching fast (http://www1.se.cuhk.edu.hk/~bfs2020/) Finally, the reservation of the Conference Hotel at discounted rates is open (http://www1.se.cuhk.edu.hk/~bfs2020/accommodation/accommodation.html) We are looking forward to seeing you at this unique event in Hong Kong. Nan Chen, Duan Li, Xunyu Zhou Organizers of the 2020 BFS World Congress Hong Kong Copyright ? 2020 Bachelier Finance Society, All rights reserved. You are receiving this email because you opted in via our website. Our mailing address is: Bachelier Finance SocietyRaemistrasse 101 Z?rich 8092 Switzerland Add us to your address book Want to change how you receive these emails? You can update your preferences or unsubscribe from this list.

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Seminario all'IAC
by torrisi＠iac.rm.cnr.it 21 Jan '20

21 Jan '20

Si comunica che il 30 gennaio 2020 alle ore 14.00 presso l'Aula Riunioni dell'Istituto per le Applicazioni del Calcolo (sede di Roma) si terrà il seguente seminario: Relatore: Professor Alberto Lanconelli (Universita' di Bologna) Titolo: Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Ito SDEs Abstract: We investigate the regularity of the law of Wong-Zakai-type approximations for Ito stochastic differential equations. These approximations solve random differential equations where the diffusion coefficient is Wick-multiplied by the smoothed white noise. Using a criterion based on the Malliavin calculus we establish absolute continuity and a Fokker-Planck-type equation solved in the distributional sense by the density. The parabolic smoothing effect typical of the solutions of Ito equations is lacking in this approximated framework; therefore, in order to prove absolute continuity, the initial condition of the random differential equation needs to possess a density itself. -- *Giovanni Luca Torrisi Consiglio Nazionale delle Ricerche, Rome, Italy Homepage: http://www.iac.rm.cnr.it/~torrisi/* * *

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