- Random - Mailing list — Dipartimento di Matematica, UniPI

Seminario F. Caravenna - Univ. Bocconi, Milano
by Antonio Lijoi 24 Sep '18

24 Sep '18

DEC-Statistics Seminar @ Bocconi University, Milano Thursday, September 27 12:30 Meeting room 3-e4-sr03, Via Roentgen 1, 3rd floor Francesco Caravenna (Universita' degli studi di Milano - Bicocca) Title: Local large deviations and the strong renewal theorem Abstract: We present two different, but related results for random walks with heavy tails (more precisely: in the domain of attraction of a stable law with infinite mean). The first result is a local large deviation upper bound, which improves on the classical local central limit theorem. The second result is the derivation of necessary and sufficient conditions for the so-called strong renewal theorem, which is the analogue of Blackwell's renewal theorem in the case of infinite mean. This solves a long standing problem, which dates back to a classical paper by Garsia and Lamperti (Comment. Math. Helv. 1962). (Based on joint work with Ron Doney) The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar ---------- Please note: If you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please communicate your participation by sending an email to arianna.colombo(a)unibocconi.it In addition, we suggest to print, fill out and send the attached form (to give your consent to personal data handling) via email to the same address. In this way, the check-in procedure at the entrance will be faster and easier.

1 0

Seminario di Lorenzo Taggi a Roma Tre il 3/10/18 h16
by Pietro Caputo 24 Sep '18

24 Sep '18

Annuncio di Seminario Speaker: Lorenzo Taggi (TU Darmstadt, Germania) Titolo: Conservative interacting particle systems: "Oil and Water" and "Activated Random Walk". Mercoledi' 03 Ottobre 2018 ORE 16:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 211 Abstract We consider two interacting particle systems, Activated Random Walk (ARW) and Oil and Water (OW). One of the main features of these systems is that the number of particles is conserved: This conservation law introduces hard-core constraints and long-range correlations which make the mathematical analysis particularly challenging. In this talk the main questions and results concerning these models are presented: In ARW, if the particle density is small enough, the activity dies out with time, while if the particle density is large enough the activity is sustained; moreover a non-trivial characterization of the critical density is available. Contrary to ARW, no phase transition occurs in OW: The activity dies out with time does not matter how large the particle density is. Based on joint works with E. Candellero and A. Stauffer.

1 0

avviso di seminario: Prof. N.N. Leonenko
by Enrica Pirozzi 24 Sep '18

24 Sep '18

-------------- AVVISO di SEMINARIO Fractional Pearson Diffusions and Continuous Time Random Walks Prof. N.N. Leonenko School of Mathematics, Cardiff University, UK Abstract: We define fractional Pearson diffusions by non-Markovian time change in the corresponding Pearson diffusions. They are governed by the time-fractional diffusion equations with polynomial coefficients depending on the parameters of the corresponding Pearson distribution. We present the spectral representation of transition densities of fractional Pearson diffusions, which depend heavily on the structure of the spectrum of the infinitesimal generator of the corresponding non-fractional Pearson diffusion. Also, we present the strong solutions of the Cauchy problems associated with heavy-tailed fractional Pearson diffusions and the correlation structure of these diffusions. Continuous time random walks have random waiting times between particle jumps. We define the correlated continuous time random walks (CTRWs) that converge to fractional Pearson diffusions (fPDs). The jumps in these CTRWs are obtained from Markov chains through the Bernoulli urn-scheme model and Wright-Fisher model. The jumps are correlated so that the limiting processes are not Lévy but diffusion processes with non-independent increments. The waiting times are selected from the domain of attraction of a stable law. Il seminario si terrà il giorno 27 Settembre 2018 ore 15:00 nella Aula G terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. 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

1 0

Seminar at Dep. of Economics - Verona, 27 September 2018, Giacomo Bormetti
by Alessandro Gnoatto 24 Sep '18

24 Sep '18

Dear all, On Thursday 27 September 2018 at 12.00 - Polo Santa Marta, Via Cantarane 24, Sala Vaona Prof. Giacomo Bormetti - University of Bologna will give the seminar "Modeling correlation dynamics with canonical Vines" Abstract: When modeling correlation dynamics, tackling the issue of positive definiteness is a challenging task. At high frequencies in a multivariate financial setting, observational noise and asynchronicity makes the goal even more difficult. After reviewing different observation-driven approaches available in literature, I will focus on a recently proposed modeling framework based on regular vines. Please also find attached the full list of our Finance seminars. Feel free to forward this announcement to your colleagues. Best Regards, -- 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 --------------------------------------------------

1 0

Position at Luxembourg University (repost)
by Giovanni Peccati 21 Sep '18

21 Sep '18

Dear All, I would like to announce once again the opening of a very attractive full professor position in data science at Luxembourg University. A detailed discussion can be found here https://wwwen.uni.lu/university/news/slideshow/university_receives_2_5_mill… together with a link to the application page. Best regards, GP -- Prof. Giovanni Peccati ------------------------------------------ UR en Mathématiques Faculté des Sciences, de la Technologie et de la Communication ------------------------------------------ Université du Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

1 0

Scaling limits & SPDEs, Cambridge, 10-14 dec 2018
by A. Giuliani 20 Sep '18

20 Sep '18

Dear colleague, this is an announcement of the workshop `Scaling limits & SPDEs: recent developments and future directions' which will be held at the Isaac Newton Institute (INI) for Mathematical Sciences in Cambridge, UK, from December 10 to 14, 2018, see http://www.newton.ac.uk/event/srqw03 [www.newton.ac.uk] We invite all the interested participants to register as soon as possible on the website. DEADLINE FOR APPLICATIONS IS **SEPTEMBER 30, 2018** There is limited financial support available for students and young researchers; if you wish to apply for a grant, please indicate it in the application form. The workshop is the closing event of the 4-months programme `Scaling limits, rough paths, quantum field theory', which will be held at INI from September 3, to December 21, 2018, see https://www.newton.ac.uk/event/srq [www.newton.ac.uk] The confirmed speakers are: Cedric Bernardin Iwan Corwin Jean-Dominique Deuschel Franco Flandoli Yan Fyodorov Christophe Garban Gianbattista Giacomin Alessandro Giuliani Martin Hairer Claudio Landim Pierre Le Doussal Ian Melbourne Eveliina Peltola Jeremy Quastel Remi Rhodes Slava Rychkov Makiko Sasada Hao Shen Panagiotis Souganidis Herbert Spohn Hendrik Weber Weijun Xu Please forward this announcement to all the potentially interested colleagues and students. Thanks and best regards, Patricia Goncalves Antti Kupiainen Felix Otto Jeremy Quastel

1 0

Spring school on Random Interfaces
by Luigi Amedeo Bianchi 19 Sep '18

19 Sep '18

Dear all, this is the first announcement for the spring school on Random Interfaces to be held at the University of Augsburg, Germany, for three full days from March 13th to March 15th, 2019. The school will focus on random interfaces, both continuous (approached by means of stochastic partial differential equations) and discrete (together with their hydrodynamic limits). The school will feature a main course by Tadahisa Funaki (Waseda University/University of Tokyo), a minicourse by Fabio Toninelli (Université Claude Bernard Lyon 1) and an invited lecture by Dimitra Antonopoulou (University of Chester). A poster session for participants is also foreseen. This spring school is intended for PhD students and young researchers, but open for everyone. Registration to the school is free, but compulsory for organisatorial purposes. Limited funds are available to offer financial support to some selected students and young researchers (post-docs). The deadline for application is 15th December 2018. More information and the registration form are available on the website https://www.math.uni-augsburg.de/de/prof/ana/Workshops_Tagungen/Spring-Scho… <https://www.math.uni-augsburg.de/de/prof/ana/Workshops_Tagungen/Spring-Scho…> We are looking forward to seeing you in Augsburg. The organisers, Lisa Beck, Luigi Amedeo Bianchi, Dirk Blömker, Franco Flandoli, Marco Romito, Dario Trevisan

1 0

I: Avviso di seminario
by Massimo Campanino 18 Sep '18

18 Sep '18

Il giorno 20 settembre alle ore 14 nell'Aula Seminario 2 del Dipartimento di Matematica dell'Università di Bologna in piazza Porta S. Donato 5 il prof. Pietro Rigo del Dipartimento di Matematica dell'Università di Pavia terrà un seminario dal titolo: CLASSICAL VERSUS COHERENT CONDITIONAL PROBABILITIES ABSTRACT: The standard (Kolmogorovian) notion of conditional probability is compared with the (de Finettian) notion based on the coherence principle. Each notion has both merits and drawbacks, and the talk aims to highlight them with special attention to the connection points. Various results, both old and new, are discussed and some open problems are mentioned. The talk is split into four parts. (i) Classical (Kolmogorovian) conditional probabilities; (ii) Disintegrability; (iii) Coherent (de Finettian) conditional probabilities; (iv) Some statistical implications.

1 2

Fwd: DEM Workshop in Financial Mathematics - Verona 31.10. (fwd)
by Tiziano Vargiolu 18 Sep '18

18 Sep '18

Dear All, We are pleased to announce the "DEM Workshop in Financial Mathematics?, taking place at the Department of Economics (University of Verona, Italy) on October 31st, 2018. Description: the workshop is organised by the PhD course "Dottorato in Economia e Management" (DEM). Speakers will present recent developments in financial mathematics with focus on numerical methods, xVA and commodity markets. Speakers: Giorgia Callegaro (University of Padova) Daniele Marazzina (Politecnico of Milan) Andrea Pallavicini (Banca IMI and Imperial College London) Christa Cuchiero (University of Vienna) Registration: Registration is free. Interested participants are requested to register via an E-Mail to alessandro.gnoatto(a)univr.it Website/Program: See http://dse.univr.it/demwfm/ Best Regards, Alessandro Gnoatto

1 0

Fwd: Fw: Job advert
by Marco Romito 18 Sep '18

18 Sep '18

ricevo e inoltro m. -------- Forwarded Message -------- Subject: Fw: Job advert Date: Thu, 13 Sep 2018 19:20:49 +0000 From: Pennanen, Teemu <teemu.pennanen(a)kcl.ac.uk> Dear Random, We would like to advertise the following position via your mailing list: Lecturer in Financial Mathematics King's College London https://my.corehr.com/pls/kingrecruit/erq_jobspec_version_4.jobspec?p_id=00… Deadline 14 October 2018. Please let me know if you require more info. Best, Teemu --------------------------------------------------------------------------------------------------- Professor of Mathematical Finance, Probability and Statistics Department of Mathematics King's College London http://www.mth.kcl.ac.uk/~teemu/

1 0

Concorso Ricercatore tipo B - Lecce
by Enrico Priola 17 Sep '18

17 Sep '18

Gentili colleghi, con l'invito a volerne dare la massima diffusione, vi segnalo che e' uscito il bando per una posizione da Ricercatore a tempo Determinato tipo B nel settore MAT/06 (Probabilità e Statistica Matematica) presso il Dipartimento di Matematica e Fisica "E. De Giorgi" dell'Università del Salento. https://www1.unisalento.it/c/document_library/get_file?p_l_i d=63872469&folderId=64317337&name=DLFE-355230.pdf Un saluto. Prof. Diego Pallara Dipartimento di Matematica e Fisica "E. De Giorgi" Università del Salento diego.pallara(a)unisalento.it

1 0

Eurocast 2019 – 30 years - Stochastic Models and Applications to Natural, Social and Technical Systems
by Antonio DI CRESCENZO 17 Sep '18

17 Sep '18

Dear Colleagues, we are pleased to inform you about the Conference Eurocast 2019 – 30 years 17th International Conference on Computer Aided Systems Theory Museo Elder de la Ciencia y la Tecnología. Las Palmas de Gran Canaria, Spain 17-22 February, 2019 http://eurocast2019.fulp.ulpgc.es/ Among the planned activities we point out the following workshop, that we hope you find of interest. An extended two pages abstract must be sent by the Abstract Submission form before November 15, 2018. *Stochastic Models and Applications to Natural, Social and Technical Systems (Nobile, Di Crescenzo)* The Workshop deals with theory and applications of probability in the modeling of random phenomena in the natural sciences, social sciences and technology, focusing on mathematical theory, analytical, algorithmic, experimental approaches and computational methods. Practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories, reliability, queueing theory, optimization and operations research are very welcome as well. Attention is given also to probabilistic methods in data science and related areas, and their applications to the treatment of big data. Many greetings, Amelia Nobile and Antonio Di Crescenzo

1 0

Special Issue “Applications of Stochastic Optimal Control to Economics and Finance” in Risks
by salvatore federico 14 Sep '18

14 Sep '18

[Risks] Feature Paper (Free of Charge) Invitation for Special Issue “Applications of Stochastic Optimal Control to Economics and Finance” – edited by Salvatore Federico (University of Siena), Giorgio Ferrari (University of Bielefeld) and Luca Regis (University of Siena). We are pleased to inform you that we are guest editing for a special issue entitled “Applications of Stochastic Optimal Control to Economics and Finance” which will be published in //Risks// (<http://www.mdpi.com/journal/risks>http://www.mdpi.com/journal/risks <http://www.mdpi.com/journal/risks>, ISSN 2227-9091). This special issue is now open to receive submissions of full research articles and comprehensive review papers for peer-review. Details can be found at the following link: http://www.mdpi.com/journal/risks/special_issues/Stochastic_Optimal_Control <http://www.mdpi.com/journal/risks/special_issues/Stochastic_Optimal_Control> We welcome your contribution that will be peer-reviewed. If accepted, your article will be published free of charge (in Open Access form). Let me know as soon as possible if you can contribute by sending a tentative title and short abstract by email. The submission deadline is *30 November 2018*but it can be extended upon request. We also encourage authors to send a short abstract or tentative title to the Editorial Office (risks(a)mdpi.com <mailto:risks@mdpi.com> <mailto:risks@mdpi.com><mailto:risks@mdpi.com> <mailto:risks@mdpi.com>). For further details on the submission process, please see the instructions for authors at the journal website (<http://www.mdpi.com/journal/risks/instructions>http://www.mdpi.com/journal/risks/instructions <http://www.mdpi.com/journal/risks/instructions>) //Risks//is fully open access. Open access (unlimited and free access by readers) increases publicity and promotes more frequent citations, as indicated by several studies. Open access is supported by the authors and their institutes. This year, 2018, Risks has been accepted for funding by the Knowledge Unlatched initiative (http://www.knowledgeunlatched.org <http://www.knowledgeunlatched.org/>). The Article Processing Charges (350 CHF) for papers published in the journal are fully covered via the Knowledge Unlatched crowd-funding mechanism. Please note this is a pilot program experimenting ways to support authors in the humanities and social sciences fields publishing in open access format. Thank you very much in advance for your consideration of this request. Salvatore Federico Giorgio Ferrari Luca Regis Guest Editors of Special Issue “Applications of Stochastic Optimal Control to Economics and Finance”

1 0

Luiss seminar, dott. Marco Bianchetti
by Sara 14 Sep '18

14 Sep '18

Dear all, on October 18 at 12 in Room 207, Marco Bianchetti, Unicredit, Head of Fair valuation and Financial risk models will give the following seminar: Title: "Bitcoin, Brexit and other Bubble Stories - Evidence from Quantitative Models" Abstract "We develop a bubble detection methodology based on a combination of quantitative models, calibration approaches, global stochastic optimization algorithms, and sentiment analysis. We apply such methodology to a variety of financial data related to cryptocurrency, Brexit and tech bubbles, confirming ex-ante a number of bubble events actually observed ex-post." -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

2 2

1year PostDoc position @ Scuola Normale Superiore
by Daniele Tantari 11 Sep '18

11 Sep '18

A call for a one-year postdoc is open at the Scuola Normale Superiore di Pisa, related to the project *“UNSUPERVISED LEARNING WITH MULTI-LAYER BOLTZMANN MACHINES: A STATISTICAL MECHANICS PERSPECTIVE”,* funded by Istituto Nazionale d'Alta Matematica. The topic of the research concerns Mathematical aspects of Data Mining through Neural Networks and applications, with emphasis to the study of phase transitions in inference and learning from a Statistical Mechanics perspective. The details of the call are at https://www.altamatematica.it/blog/2018/09/05/bando-di-concorso-a-n-1-asseg… The deadline is October 4, 2018. I would be grateful if you could forward this message to any potentially interested candidate. You can contact me for any further information. Thanks and all the best, Daniele Tantari

1 0

International Conference in Venice - CALL FOR PARTICIPATION
by Monica Billio 09 Sep '18

09 Sep '18

CREDIT2018 <http://www.greta.it/credit/credit2018/credit2018.htm> * * *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018.* * The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. * * The Conference, organised under the auspices of the *Department of Economics**of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association* and *European Investment Bank*, is the seventeenth of a series dedicated to various aspects of credit risk.** The Scientific Committee consists of: *Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair) *Monica Billio *(Ca’ Foscari University of Venice & GRETA) *Vasso Ioannidou *(Lancaster University & CEPR) *Helmut Kraemer-Eis *(European Investment Fund) *Jan Pieter Krahnen *(SAFE - Goethe University) *Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Guillaume Plantin*(Sciences Po & CEPR) *Stephen Schaefer *(London Business School) *Enrico Sette *(Bank of Italy) *Ludovic Thebault *(European DataWarehouse) Sponsors** *GRETA* <http://www.greta.it/> *EIF* <http://www.eif.org/index.htm> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> Auspices** *ABI* <http://www.abi.it/Pagine/default.aspx> *EIB* <http://www.eib.org/> <http://www.unive.it/pag/16892> **PROGRAMME ** *Thursday, September 27 2018* * 9.15 - 11.00 Session I: RECENT DEVELOPMENTS IN CREDIT RISK MEASUREMENT *- Chairman: *Hans Degryse* (KU Leuven, Halle Institute for Economic Research & CEPR) • *Key-note talk:* /Trade Credit - for Better or Worse: Contagion, Risk-sharing, and Pricing/, *Tor Jacobsen*(Sweden's Central Bank) • /Credit Risk Analysis Using Machine and Deep Learning Models/, Peter Martey Addo (French Development Agency & Laboratory of Excellence for Financial Regulation, Paris), *Dominique Guegan* (Laboratory of Excellence for Financial Regulation, Paris, University Paris 1 Pantheon Sorbonne & Ca’ Foscari University of Venice) and Bertrand Hassani(Laboratory of Excellence for Financial Regulation, Paris & Capgemini Consulting, Courbevoie) - Discussant: *Monica Billio *(Ca’ Foscari University of Venice & GRETA) • /Estimation of Probability of Default with Machine Learning Techniques: A Comparative Approach/, *Stefano Bonini *(Accenture Finance&Risk & University of Bologna) and Giuliana Caivano (Accenture Finance&Risk & University of Bologna) - Discussant: *Roberto Casarin *(Ca’ Foscari University of Venice & GRETA) *11.30 - 13.00 Session II: DISCIPLINING BANKS, BAILOUTS AND BAIL-INS *- Chairman: *Alain Monfort *(CREST & Bank of France) • /Unconventional Monetary Policy and Credit Rating Inflation/, Nordine Abidi (European Central Bank), *Matteo Falagiarda* (European Central Bank)and Ixart Miquel-Flores (European Central Bank) - Discussant: *Stephen Schaefer* (London Business School) • /Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins/, Thorsten Beck (University of London, CEPR & CESifo), Samuel Da-Rocha-Lopes(European Banking Authority & Nova School of Business & Economics, Lisbon) and *André F. Silva* (University of London & International Monetary Fund) - Discussant: *Hans Degryse* (KU Leuven, Halle Institute for Economic Research & CEPR) • /Does Size Matter? Bailouts with Large and Small Banks/, Eduardo Dávila (New York University & NBER) and*Ansgar Walther* (University of Warwick) - Discussant:*Guillaume Plantin *(Sciences Po & CEPR) *14.30 - 16.00 Session III: * *BANK LENDING POLICIES *- Chairman: *Stephen Schaefer* (London Business School) • /Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits/, Oscar Arce (Bank of Spain), Miguel García-Posada (European Central Bank), *Sergio Mayordomo* (Bank of Spain) and Steven Ongena(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) - Discussant:*Glenn Schepens* (European Central Bank) • /Loan Underwriting Time: A New Determinant of Bank Lending Standards/, Mikel Bedayo (Bank of Spain), *Gabriel Jiménez* (Bank of Spain), José-Luis Peydró(ICREA, Pompeu Fabra University, Barcelona Graduate School of Economics, Imperial College London & CEPR) and Raquel Vegas(Bank of Spain)- Discussant: *Mike Mariathasan* (KU Leuven) • /Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China/, Fabio Braggion(Tilburg University & CentER), *Alberto Manconi* (Bocconi University) and Haikun Zhu(Tilburg University & CentER) - Discussant: *Christoph Basten *(University of Zurich) *16.00 - 17.00 Poster Session 1* *17.00 - 18.00 Session IV: DEFAULTS: TIME AND CONTAGION *- Chairman: *Domenico Sartore *(Ca’ Foscari University of Venice & GRETA)** • /Disastrous Defaults/, Christinan Gouriéroux(University of Toronto & Toulouse School of Economics), Alain Monfort (CREST & Bank of France), Sarah Mouabbi (Bank of France) and *Jean-Paul Renne*(HEC Lausanne) - Discussant: *Andrea Giacomelli *(Knowshape & GRETA) • /Time Matters: How Default Resolution Times Impact Final Loss Rates/, *Jennifer Betz* (Regensburg University), Ralf Kellner (Regensburg University) and Daniel Rösch (Regensburg University) - Discussant: *Alain Monfort* (CREST & Bank of France) *Friday, September 28 2018* *9.00 - 11.00 Session V: ***DEFAULTS, DEFAULT RISK AND DERIVATIVES**- Chairman: *Helmut Kraemer-Eis *(European Investment Fund)** • /The European Venture Capital Landscape: an EIF Perspective/, Helmut Kraemer-Eis (European Investment Fund) and *Simone Signore*(European Investment Fund) /• Residential Mortgage Defaults and Positive Equity: Lessons from Europe/, Virginia Gianinazzi (Università della Svizzera Italiana & Swiss Finance Institute), Loriana Pelizzon (Ca' Foscari University of Venice & SAFE-Goethe University Frankfurt)and *Alberto Plazzi* (Università della Svizzera Italiana & Swiss Finance Institute)- Discussant: *Ludovic Thebault* (European DataWarehouse) • /Credit Default Swaps Around the World: Investment and Financing Effects/, Söhnke M. Bartram (Warwick Business School), Jennifer Conrad (University of North Carolina at Chapel Hill), Jongsub Lee (University of Florida) and *Marti G. Subrahmanyam* (New York University) - Discussant: *Yalin Günduz* (Deutsche Bundesbank) • /The Differential Impact of Leverage on the Default Risk of Small and Large Firms/, Lara Cathcart (Imperial College London), Alfonso Dufour (ICMA Centre & University of Reading), Ludovico RossiICMA Centre & University of Reading) and *Simone Varotto* (ICMA Centre & University of Reading) - Discussant: *Roberto Savona *(University of Brescia) *11.30 - 13.15 Session VI: ***BANKS, COLLATERAL AND ASYMMETRIC INFORMATION **- Chairman: *Davide Alfonsi *(Intesa Sanpaolo, Turin)** •*Key-note talk: *C/ustomers and Investors: A Framework for Understanding Financial Institutions/, *Robert Merton*(Massachusetts Institute of Technology & NBER) • /Collateral and Asymmetric Information in Lending Markets/, Vasso Ioannidou (Lancaster University & CEPR), *Nicola Pavanini*(Tilburg University & CEPR) and Yushi Peng (University of Zurich & Swiss Finance Institute) - Discussant: *Bogdan Stacescu* (BI Norwegian Business School) • /Lending Relationships and the Collateral Channel/, Gareth Anderson (Bank of England), Saleem Bahaj (Bank of England), *Matthieu Chavaz* (Bank of England), Angus Foulis(Bank of England) and Gabor Pinter (Bank of England) - Discussant: *Olivier De Jonghe* (National Bank of Belgium & Tilburg University) *14.30 - 16.00 PANEL Session***: SMALL BUSINESS RISK, FINANCIAL REGULATION AND BIG DATA ANALYTICS**- Moderator: *Fabrizio Galimberti* (Columnist, Il Sole 24 Ore) *_Participants:_* *D**avide Alfonsi *(Group Risk Manager, Intesa Sanpaolo, Turin) *Renzo Avesani* (Chief Risk Officer, Unipol Gruppo Finanziario, Bologna) *Francesco Giavazzi* (Full professor of Economics, Bocconi University, Milan) *Dale Gray* (Senior Risk Expert, International Monetary Fund, Washington) *Nina B. Shapiro* (former Vice President Finance and Treasurer, World Bank Group's International Finance Corporation, Washington) *16.00 - 17.00 Poster Session 2* *17.00 - 18.15 Session VII: BANKS AND INCENTIVES *- Chairman: *Ludovic Thebault* (European DataWarehouse) • *Key-note talk:* /Marking to Market versus Taking to Market/, *Guillaume Plantin*(Sciences Po & CEPR) • /Bank Bonus Pay as a Risk Sharing Contract/, *Matthias Efing*(HEC Paris), Harald Hau (University of Geneva, CEPR & Swiss Finance Institute), Patrick Kampkötter(University of Tübingen) and Jean-Charles Rochet (University of Geneva & Swiss Finance Institute) - Discussant: *Roman Goncharenko* (University of Vienna moving to KU Leuven) **REGISTRATION** To register for the Conference you are requested to complete the registration form that is available on our website (_http://www.greta.it/credit/credit2018/credit2018.htm_). Registration fees are: Academics: 300 Euro + VAT Practitioners: 1000 Euro + VAT PhD Students*: 130 Euro + VAT ** *VAT is currently 22%* *Students will have to provide valid proof of their student status. The registration fees cover: * Admission to all scientific sessions * Lunches and coffee service during the Conference * Conference kit The registration fees do not fully cover the conference dinner on September 27th, 2018, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm -- Nota automatica aggiunta dal sistema di posta.

1 0

1year PostDoc position (applications by September, 12th)
by Giacomo Aletti 05 Sep '18

05 Sep '18

Sorry for cross-posting. Public competition for one year type b fellowship for collaboration to research activities in the scientific area of mathematical and computer sciences (see attached file for detailed description). Please share these documents with possible interested candidates. Thank you, Giacomo Aletti -- ------------------------------- Giacomo Aletti, Full Professor (Probability Theory and Mathematical Statistics) Department of Environmental Science and Policy (ESP) ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Università degli Studi di Milano Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

1 0

(senza oggetto)
by Sara 04 Sep '18

04 Sep '18

Con preghiera di diffusione ------------------------------------------------------------------------------------------------------------------------------- Dear Colleagues, This is to announce the opening of a new post-doc position on " *Energy and capacity* prices " at LUISS University in Rome. The length is 3 years, starting in the first semester 2019 The deadline for applications is September 28th, 2018, h.14:00 Central European Time. Details and the application form at the following link http://economiaefinanza.luiss.it/en/node/5166 Please share this announcement with whoever might be interested Kindest regards, -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

1 0

Winter School on “Stochastic PDEs and Mean-Field Games” Bologna, January 15-16, 2019, First Announcement
by Alberto Lanconelli 03 Sep '18

03 Sep '18

We are pleased to announce the Winter School on “Stochastic PDEs and Mean-Field Games” to be held at the Department of Mathematics of the University of Bologna on January 15-16, 2019. This is a two-day scientific activity consisting of the following two courses: 1) Stochastic PDEs, by Franco Flandoli (Scuola Normale Superiore, Pisa, Italy) 2) Mean-Field Games, by François Delarue (Université Nice-Sophia Antipolis, Nice, France) The two courses, having an introductory nature, are mainly addressed to PhD students and young researchers. Participants are also given the opportunity to deliver talks. There is no participation fee. However, for organizational reasons, we kindly ask you to register. For more information please visit https://events.unibo.it/spde-mfg We look forward to meeting you in Bologna. Organizing Committee Andrea Cosso, Università di Bologna Alberto Lanconelli, Università di Bologna Stefano Pagliarani, Università di Udine Andrea Pascucci, Università di Bologna Antonello Pesce, Università di Bologna

1 0

MAM10 - Conference on Matrix Analytic Methods
by Federico Poloni 26 Aug '18

26 Aug '18

The Tenth International Conference on Matrix-Analytic Methods in Stochastic Models (MAM10) will be held in Hobart, Australia, on February 13-15, 2019. MAM10 aims to bring together researchers working on the theoretical, algorithmic and methodological aspects of matrix-analytic methods and the applications of such methods across a broad spectrum of research fields. MAM10 provides an international forum for: - Presenting recent results on theory, algorithms and applications of matrix-analytic methods; - Discussing methodologies and the related algorithmic analysis; - Improving collaborations among researchers in applied probability, engineering and numerical analysis; - Tracing the current state of the art and the lines of the future research, pointing out the main topics of interest. Informal proceedings comprised of the accepted abstracts will be distributed at the conference. Keynote Speakers (confirmed): Søren Asmussen, Jevgenijs Ivanovs, Giang Nguyen, Zbigniew Palmowski, and Phil Pollett. Sponsors: Australian Mathematical Sciences Institute (AMSI), ARC Centre of Excellence for Mathematical and Statistical Frontiers (ACEMS), Australian Laureate Fellow Professor Peter Taylor, Professor Andrew Bassom The organising committee is currently negotiating with the publishers of Stochastic Models, with a view to reserve a Special Issue of the journal to papers associated with MAM10. Research results presented at the conference can be submitted to that Special Issue, which will undergo an independent evaluation process according to the regular standards of Stochastic Models. A preliminary schedule of the conference and the publication process is as follows (TBC): Registration starts – August 2018 Short abstract (of the talk) submission deadline – September 15, 2018 Notification of short abstract acceptance – October 1, 2018 Extended abstract submission deadline – November 15, 2018 Conference – February 13-15, 2019 Special issue submission deadline – June 1, 2019 For full details, including LaTeX templates, please refer to the conference website. Conference Chair: Malgorzata O’Reilly, University of Tasmania, Australia Program Co-Chairs: Sophie Hautphenne, University of Melbourne, Australia Federico Poloni, University of Pisa, Italy MAM10 website: http://www.maths.utas.edu.au/People/oreilly/mam/mam10.html (To be updated.) -- --federico poloni Dipartimento di Informatica, Università di Pisa http://www.di.unipi.it/~fpoloni/ tel:+39-050-2213143

1 0

Esperti di matematica e statistica per Ercea
by Antonio DI CRESCENZO 24 Aug '18

24 Aug '18

L’Agenzia Esecutiva del Consiglio Europeo della Ricerca (ERCEA) seleziona agenti del Programma di Ricerca in Matematica e/o Statistica. Per questo, organizza un bando di concorso per la creazione di un elenco di riserva di massimo 15 candidati (riferimento: ERCEA/TA/164/2018). Le domande vanno presentate entro domenica 16 settembre 2018 alle 12 (ora di Bruxelles). link: https://www.epsoconcorsi.com/esperti-matematica-statistica-ercea/

1 0

Fwd: Assistant Professor with possible tenure track agreement (fwd)
by Tiziano Vargiolu 21 Aug '18

21 Aug '18

---------- Forwarded message --------- From: Eller, Brigitte <Brigitte.Eller(a)uibk.ac.at> Date: mar 7 ago 2018 alle ore 12:59 Subject: Assistant Professor with possible tenure track agreement The department of mathematics (at the faculty of mathematics, computer science and physics) at the University of Innsbruck seeks to fill the position of a full-time (40 hours per week) assistant professor as of February 01, 2019. The position is limited to 6 years. However, a tenure track agreement can be offered within the first year of employment. Upon positive evaluation the position is converted into a tenured associate professorship. MAIN TASKS The holder of the position is expected to do independent research in a modern field of mathematical statistics, to acquire third-party funding and to build up a research group. The holder of the position is expected to prepare and conduct teaching at university level within the study programs of the department of mathematics (in English and German). Participation in the teaching of students in other study programs and faculties is also expected. Moreover, the holder of the position is expected to supervise students. In addition to duties in research and teaching, the holder of the position is expected to initiate cooperations within the department of mathematics and the university and to take part in academic self-management. JOB REQUIREMENTS a) excellent doctoral degree in mathematics or in mathematical statistics b) postdoc experience, teaching experience at university level desirable c) relevant scientific achievements beyond dissertation/PhD level, in particular independent publication activity d) research experience in at least one modern field of mathematical statistics e) relevant research success documented via publications in leading international, refereed journals and lectures?at international conferences/workshops f) experience with third-party funding and with academic self-management g) experience in the acquisition of third-party funding would be an advantage h) mobility experience i) the ability to work in a team and communication skills SALARY For this position the minimum gross salary is ? 3.711 / month (14 times). There is a wage increase with relevant working experience. Furthermore the university offers numerous attractive corporate employee benefits. (https://www.uibk.ac.at/universitaet/zusatzleistungen/index.html.en ) APPLICATION DOCUMENTS The application has to be submitted in English or German. It has to include the following: curriculum vitae including a description of the scientific and professional career, a list of scientific publications in which all publications that can be assigned to the dissertation are marked, list of talks, list of courses taught and credentials. Please also submit a research and teaching statement (with a maximum of two pages each) and the names of at least three persons who are willing to write a letter of reference. We encourage applications of female scientists. We are looking forward to your online application (chiffre MIP 10008) by 14.09.2018 under the following link: https://orawww.uibk.ac.at/public/karriereportal.home (legally binding text in German) https://www.uibk.ac.at/public-relations/grafik_design/images/logo/download/ signaturen/institute/mathematik.jpg Universit?t Innsbruck Institut f?r Mathematik Brigitte Eller Technikerstra?e 13, ZiNr. 702, 6020 Innsbruck Telefon +43 512 507-53802 Fax +43 512 507-53899 E-Mail brigitte.eller(a)uibk.ac.at ____________________________________________________________________________ To unsubscribe from the EWM-ALL list, click the following link: https://www.jiscmail.ac.uk/cgi-bin/webadmin?SUBED1=EWM-ALL&A=1

1 0

Senior Lectureship in Statistics At Birkbeck, University of London (fwd)
by Tiziano Vargiolu 20 Aug '18

20 Aug '18

---------- Forwarded message --------- From: Sarah Hart <s.hart(a)bbk.ac.uk> Date: mer 8 ago 2018 alle ore 13:52 Subject: Senior Lectureship in Statistics At Birkbeck, University of London Dear all, We are recruiting for a Senior Lecturer in Statistics at Birkbeck (part of the University of London), to start January 2019 or as soon as possible thereafter. The job is full-time and permanent, with a salary range of ?54,268 - ?60,600. The closing date is August 31st. https://cis7.bbk.ac.uk/vacancy/senior-lecturer-in-statistics-361872.html We particularly encourage applications from women and other under-represented groups. The department of Economics, Mathematics and Statistics has around 30 faculty divided into four active research groups. Academics have at most 100 teaching contact hours each year, and these are concentrated into one or two three-hour blocks each week, meaning it?s possible to work very flexibly. Please circulate to anyone who might be interested. Sarah Sarah Hart Professor of Mathematics, and Head of the Department of Economics, Mathematics and Statistics Birkbeck, University of London ____________________________________________________________________________ To unsubscribe from the EWM-ALL list, click the following link: https://www.jiscmail.ac.uk/cgi-bin/webadmin?SUBED1=EWM-ALL&A=1

1 0

Giovanni Gallavotti: premio Poincare` (Il riconoscimento internazionale più importante per la fisica matematica)!!
by Francesca Romana Nardi 14 Aug '18

14 Aug '18

Cari colleghi, vorrei condividere con voi la bella notizia del premio vinto da Giovanni Gallavotti: ``Giovanni Gallavotti è il primo italiano ad aggiudicarsi il premio Poincarè, il riconoscimento più importante a livello mondiale per la fisica matematica. '' Dopo la notizia della ``Fields Medal'' vinta da Alessio Figalli, raddoppiamo con la il premio Poincare` vinta da Gallavotti :-). Vi indico sotto uno dei siti che hanno dato la notizia di cui riporto solo un primo stralcio: `` È il primo italiano vincitore del Premio Poincaré, considerato il ‘nobel’ per la fisica matematica: stiamo parlando di Giovanni Gallavotti che con i suoi studi sulla meccanica statistica di equilibrio e non, la teoria dei campi quantistici e la meccanica classica, è riuscito ad ottenere un risultato che inorgoglisce l’Italia intera.'' http://www.ilsussidiario.net/News/Scienze/2018/8/3/Giovanni-Gallavotti-vinc… Cercate in rete c'e` molto di piu`!! COlgo l'occasione per augurarvi buone vancanze e buon ferragosto Francesca R. Nardi

1 0

Postdoc position in Geometric Methods for Deep and Reinforcement Learning at RIST
by Luigi Malagò 02 Aug '18

02 Aug '18

=========================================================== *Subject*: Postdoc position in Machine Learning (1 year, renewable up to 2 years) *Institution*: RIST - Romanian Institute of Science and Technology, Cluj-Napoca *Keywords*: Deep Learning, Reinforcement Learning, Stochastic Optimization, Optimization over Manifolds, Information Geometry, Riemannian Geometry *Application deadline*: 15 August 2018 (applicants are encouraged to apply earlier) *Salary*: around 2200 euro net *Official announcement*: http://rist.ro/en/details/news/postdoc-positio ns-in-deep-learning-and-machine-learning.html =========================================================== Dear colleagues, the Romanian Institute of Science and Technology (RIST) has an opening for a postdoc position, in the context of the DeepRiemann project “Riemannian Optimization Methods for Deep Learning”, funded by European structural funds through the Competitiveness Operational Program (POC 2014-2020). The appointments will be for 1 year, with possible extensions up to 2 years. The DeepRiemann project aims at the design and analysis of novel training algorithms for Neural Networks in Deep Learning, by applying notions of Riemannian optimization and differential geometry. The task of the training a Neural Network is studied by employing tools from Optimization over Manifolds and Information Geometry, by casting the learning process to an optimization problem defined over a statistical manifold, i.e., a set of probability distributions. The project is highly interdisciplinary, with competences spanning from Machine Learning to Optimization, Deep Learning, Statistics, and Differential Geometry. The objectives of the project are multiple and include both theoretical and applied research, together with industrial activities oriented to transfer knowledge, from the institute to a startup or spin-off of the research group. The positions will be part of the new Machine Learning and Optimization group https://rist.ro/en/teams.html, which performs research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, using geometric methods based on Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in-deep-lea rning-and-machine-learning.html Informal inquiries can be sent to Dr. Luigi Malagò <malago(a)rist.ro>, principal investigator of the DeepRiemann project. Application deadline: 15 August 2018 (applicants are encouraged to apply earlier) best regards, Luigi Malagò

1 0

concorso prima fascia, mat06, pavia
by Rigo Pietro 30 Jul '18

30 Jul '18

Si informa che la g.u. del 27/7/2018 contiene un bando di concorso per professore di prima fascia, nel settore MAT06, presso il dipartimento di Matematica dell'università di Pavia. La scadenza di tale bando è il 26/8/2018. Pietro Rigo

1 0

RTD A in MAT/06
by c.costantini＠unich.it 27 Jul '18

27 Jul '18

Preannunciamo che a SETTEMBRE/OTTOBRE 2018 verra' bandito un posto di RTD A nel s.s.d. MAT/06 presso il Dipartimento di Economia dell'Universita' di Chieti-Pescara. La posizione e' aperta ai giovani ricercatori in tutte le aree della Probabilita'. Le aree in cui esiste gia' una ricerca attiva nel Dipartimento sono: controllo stocastico, filtraggio, modelli stocastici per la finanza e le assicurazioni; processi stocastici con condizioni di frontiera, problemi di martingala, convergenza di processi stocastici. La didattica si svolgera' nell'ambito dei s.s.d. MAT/06 e MAT/05, fino a un massimo di 60 ore annue, in un solo semestre (meta' settembre-dicembre o meta' febbraio-maggio). Nel semestre libero dalla didattica e' possibile trascorrere periodi per attivita' di ricerca, anche lunghi, presso altre istituzioni, italiane o estere. L'Universita' di Chieti-Pescara distribuisce ogni anno fondi di ricerca, sulla base di una valutazione delle pubblicazioni del quinquennio precedente (vengono valutate massimo 5 pubblicazioni). Nel 2017 i fondi assegnati all'area MAT del Dipartimento di Economia (attualmente 7 persone) sono stati di circa 31.000 euro. Tutti coloro interessati a ricevere ulteriori informazioni sono invitati a contattare via mail Cristina Costantini (c.costantini(a)unich.it) o Claudia Ceci (c.ceci(a)unich.it). Seguira' un avviso al momento della pubblicazione del bando. Claudia Ceci e Cristina Costantini

1 0

International Conference in Venice - CALL FOR PARTECIPATION
by Monica Billio 26 Jul '18

26 Jul '18

17^th INTERNATIONAL CONFERENCE CREDIT 2018 */SMALL BUSINESS RISK, FINANCIAL REGULATION/* */and BIG DATA ANALYTICS/* ** 27 – 28 September 2018 Palazzo Franchetti – Venice, Italy *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *seventeenth* of a series dedicated to various aspects of credit risk. The Scientific Committee consists of: ·*Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair)** ·*Monica Billio *(Ca’ Foscari University of Venice & GRETA) ·*Vasso Ioannidou *(Lancaster University & CEPR) ·*Helmut Kraemer-Eis *(European Investment Fund) ·*Jan Peter Krahnen *(SAFE - Goethe University) ·*Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) ·*Guillaume Plantin*(Sciences Po & CEPR) ·*Stephen Schaefer *(London Business School) ·*Enrico Sette *(Bank of Italy) ·*Ludovic Thebault *(European DataWarehouse) ** PROGRAMME *Thursday, September 27 2018* 09.00 - 09.15 _Welcome and Opening Remarks_ *Hans Degryse*(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair) 09.15 - 11.00 _Session I: RECENT DEVELOPMENTS IN CREDIT RISK MEASUREMENT_ ·*Key-note talk:*/Trade Credit - for Better or Worse: Contagion, Risk-sharing, and Pricing, /*Tor Jacobson* (Sveriges Riksbank, Stockholm) ·/Credit Risk Analysis Using Machine and Deep Learning Models, /Peter Martey Addo (French Development Agency & Laboratory of Excellence for Financial Regulation, Paris), *Dominique Guegan* (Laboratory of Excellence for Financial Regulation, Paris, University Paris 1 Pantheon Sorbonne & Ca’ Foscari University of Venice) and Bertrand Hassani (Laboratory of Excellence for Financial Regulation, Paris & Capgemini Consulting, Courbevoie) ·/Estimation of Probability of Default with Machine Learning Techniques: A Comparative Approach, /*Stefano Bonini*(University of Bologna) and Giuliana Caivano (University of Bologna) 11.30 - 13.00 _Session II: DISCIPLINING BANKS, BAILOUTS AND BAIL-INS_ ·/Unconventional Monetary Policy and Credit Rating Inflation, /Nordine Abidi (European Central Bank), *Matteo Falagiarda* (European Central Bank) and Ixart Miquel-Flores (European Central Bank) ·/Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins, /Thorsten Beck (University of London, CEPR & CESifo), Samuel Da-Rocha-Lopes (European Banking Authority & Nova School of Business & Economics, Lisbon) and *André F. Silva* (University of London & International Monetary Fund) ·/Does Size Matter? Bailouts with Large and Small Banks, /Eduardo Dávila (New York University & NBER) and *Ansgar Walther* (Imperial College London) 14.30 - 16.00 _Session III: BANK LENDING POLICIES_ ·/Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits, /Oscar Arce (Bank of Spain), Miguel García-Posada (European Central Bank), *Sergio Mayordomo* (Bank of Spain) and Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) ·/Loan Underwriting Time: A New Determinant of Bank Lending Standards, /Mikel Bedayo (Bank of Spain), *Gabriel Jiménez* (Bank of Spain), José-Luis Peydró (ICREA, Pompeu Fabra University, Barcelona Graduate School of Economics, Imperial College London & CEPR) and Raquel Vegas (Bank of Spain) ·/Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China, /Fabio Braggion (Tilburg University & CentER), *Alberto Manconi* (Bocconi University) and Haikun Zhu (Tilburg University & CentER) 16.00 - 17.00 _Poster Session 1_ 17.00 - 18.00 _Session IV: DEFAULTS: TIME AND CONTAGION_ ·/Disastrous Defaults/, Christinan Gouriéroux (University of Toronto & Toulouse School of Economics), Alain Monfort (CREST & Bank of France), Sarah Mouabbi (Bank of France) and *Jean-Paul Renne *(HEC Lausanne) ·/Time Matters: How Default Resolution Times Impact Final Loss Rates, /*Jennifer Betz*(Regensburg University), Ralf Kellner (Regensburg University) and Daniel Rösch (Regensburg University) *Friday, September 28 2018* 09.00 - 11.00 _Session V: INVESTMENT, FINANCING AND DEFAULT RISK_ ·/Residential mortgage defaults and positive equity: Lessons from Europe, /Virginia Gianinazzi (Università della Svizzera Italiana & Swiss Finance Institute), Loriana Pelizzon (Ca’ Foscari University of Venice & SAFE-Goethe University Frankfurt) and *Alberto Plazzi* (Università della Svizzera Italiana & Swiss Finance Institute) ·/The Differential Impact of Leverage on the Default Risk of Small and Large Firms, /Lara Cathcart (Imperial College London), Alfonso Dufour (ICMA Centre & Henley Business School), Ludovico Rossi (ICMA Centre & Henley Business School) and *Simone Varotto* (ICMA Centre & Henley Business School) ·/Credit Default Swaps Around the World: Investment and Financing Effects/, Söhnke M. Bartram (Warwick Business School), Jennifer Conrad (University of North Carolina at Chapel Hill), Jongsub Lee (University of Florida) and *Marti G. Subrahmanyam* (New York University) ·/The European Venture Capital Landscape: an EIF Perspective, /Helmut Kraemer-Eis (European Investment Fund) and *Simone Signore* (European Investment Fund) 11.30 - 13.15 /Session VI: BANKS, COLLATERAL AND ASYMMETRIC INFORMATION/ ·*Key-note talk:*/Customers and Investors: A Framework for Understanding Financial Institutions, /*Robert Merton* (Massachusetts Institute of Technology & NBER) ·/Collateral and Asymmetric Information in Lending Markets, /Vasso Ioannidou (Lancaster University & CEPR), *Nicola Pavanini* (Tilburg University & CEPR) and Yushi Peng (University of Zurich & Swiss Finance Institute) ·/Lending Relationships and the Collateral Channel, /Gareth Anderson (Bank of England), Saleem Bahaj (Bank of England), *Matthieu Chavaz* (Bank of England), Angus Foulis (Bank of England) and Gabor Pinter (Bank of England) 14.30 - 16.00 _PANEL SESSION_ 16.00 - 17.00 _Poster Session 2_ 17.00 - 18.15 _Session VII: BANKS AND INCENTIVES_ ·*Key-note talk:*/Marking to Market versus Taking to Market, /*Guillaume Plantin* (Sciences Po & CEPR) ·/Bank Bonus Pay as a Risk Sharing Contract, /*Matthias Efing*(HEC Paris), Harald Hau (University of Geneva, CEPR & Swiss Finance Institute), Patrick Kampkötter (University of Tübingen) and Jean-Charles Rochet (University of Geneva & Swiss Finance Institute) REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (_http://www.greta.it/credit/credit2018/credit2018.htm_). Registration fees are: Early registrationLate registration (within August 31^st )(from September 1^st on) Academics:250 Euro + VAT300 Euro + VAT Practitioners:800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter:500 Euro + VAT500 Euro + VAT PhD Students*:80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: Admission to all scientific sessions; Lunches and coffee service during the Conference; Conference kit. The registration fees do not fully cover the conference dinner on September 27^th , 20178, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES August 31, 2018: Deadline for sending final version of accepted papers August 31, 2018: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm -- -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en CREDIT 2018 http://www.greta.it/credit/credit2018/credit2018.htm -- Nota automatica aggiunta dal sistema di posta.

1 0

2 Lecturers in Statistics and Probability at Sussex, UK
by Enrico Scalas 26 Jul '18

26 Jul '18

Car* collegh*, al Dipartimento di Matematica dell'Universita' del Sussex (UK) abbiamo due posti permanenti di probabilita' e statistica. Per maggiori informazioni si puo' vedere l'annuncio on-line: https://www.sussex.ac.uk/about/jobs/lecturers-in-statistics-and-probability… https://www.jobs.ac.uk/job/BLO080/lecturers-in-statistics-and-probability-x… La scadenza per le domande e' il 24 agosto. Vi prego di diffondere l'informazione alle persone potenzialmente interessate. Cordiali saluti, Enrico Scalas

1 0

Postdoctoral Position in Financial Mathematics at Dublin City University
by Paolo Guasoni 26 Jul '18

26 Jul '18

Dear Colleague, Dublin City University has a Postdoctoral position (Two-year) in Financial Mathematics https://www.dcu.ie/sites/default/files/hr/postdoct_financial_maths_july_201… The closing date for the application is August 9th, 2018. With best regards, Paolo Guasoni

1 0

Assegno di ricerca 1 anno (scadenza iscrizione 12/09/2018)
by Giacomo Aletti 26 Jul '18

26 Jul '18

Sorry for cross-posting ================= All'indirizzo http://www.unimi.it/ricerca/assegni_ricerca/121827.htm è stato pubblicata l'istituzione di un assegno di ricerca della durata di un anno, presso UNIMI, nell’ambito del programma di ricerca dal titolo “Evaluation of CAP 2015-2020 and taking action”. Le attività da svolgersi sono sinteticamente qui riportate: 1) Data cleaning 2) Data integration 3) Model development 4) Code writing 5) Data Analysis 6) Reports/Papers writing La scadenza dell'iscrizione è il 12/09/2018. Allegato bando in italiano e inglese, si prega di dare massima diffusione a questa notizia. E' possibile contattarmi, in qualità di responsabile scientifico, per ulteriori informazioni. Cordiali saluti, Giacomo Aletti -- ------------------------------- Giacomo Aletti, Full Professor (Probability Theory and Mathematical Statistics) Department of Environmental Science and Policy (ESP) ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Università degli Studi di Milano Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

1 0

Seminario NAUDTS
by Matteo Ruggiero 26 Jul '18

26 Jul '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Giovedì 9 Agosto 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Jan NAUDTS (Universiteit Antwerpen) NON-COMMUTATIVE INFORMATION GEOMETRY Information geometry is concerned with the study of statistical manifolds. These are differentiable manifolds consisting of probability distributions. In the param- eterized case their geometry is described by a metric tensor and a pair of dually flat connections. In the more general non-parameterized case they are Banach manifolds. This area of research is still developing and has applications in many domains. My interest in this domain is twofold. The notion of an exponential family of statistical models can be generalized by introducing deformed exponential functions. More recently, I made some progress in the study of manifolds of quantum states, more specifically, states on a von Neumann algebra. I review what is known in the case of states on the algebra of N-times-N matrices and discuss the difficulties encountered when trying to generalize these results. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

1 0

Conference in Venice on Small Business Risk, Financial Regulation and Big Data Analytics - 27/28 September 2018
by Monica Billio 24 Jul '18

24 Jul '18

17^th INTERNATIONAL CONFERENCE CREDIT 2018 */SMALL BUSINESS RISK, FINANCIAL REGULATION/* */and BIG DATA ANALYTICS/* ** 27 – 28 September 2018 Palazzo Franchetti – Venice, Italy *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *seventeenth* of a series dedicated to various aspects of credit risk. The Scientific Committee consists of: ·*Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair)** ·*Monica Billio *(Ca’ Foscari University of Venice & GRETA) ·*Vasso Ioannidou *(Lancaster University & CEPR) ·*Helmut Kraemer-Eis *(European Investment Fund) ·*Jan Peter Krahnen *(SAFE - Goethe University) ·*Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) ·*Guillaume Plantin*(Sciences Po & CEPR) ·*Stephen Schaefer *(London Business School) ·*Enrico Sette *(Bank of Italy) ·*Ludovic Thebault *(European DataWarehouse) ** PROGRAMME *Thursday, September 27 2018* 09.00 - 09.15 _Welcome and Opening Remarks_ *Hans Degryse*(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair) 09.15 - 11.00 _Session I: RECENT DEVELOPMENTS IN CREDIT RISK MEASUREMENT_ ·*Key-note talk:*/Trade Credit - for Better or Worse: Contagion, Risk-sharing, and Pricing, /*Tor Jacobson* (Sveriges Riksbank, Stockholm) ·/Credit Risk Analysis Using Machine and Deep Learning Models, /Peter Martey Addo (French Development Agency & Laboratory of Excellence for Financial Regulation, Paris), *Dominique Guegan* (Laboratory of Excellence for Financial Regulation, Paris, University Paris 1 Pantheon Sorbonne & Ca’ Foscari University of Venice) and Bertrand Hassani (Laboratory of Excellence for Financial Regulation, Paris & Capgemini Consulting, Courbevoie) ·/Estimation of Probability of Default with Machine Learning Techniques: A Comparative Approach, /*Stefano Bonini*(University of Bologna) and Giuliana Caivano (University of Bologna) 11.30 - 13.00 _Session II: DISCIPLINING BANKS, BAILOUTS AND BAIL-INS_ ·/Unconventional Monetary Policy and Credit Rating Inflation, /Nordine Abidi (European Central Bank), *Matteo Falagiarda* (European Central Bank) and Ixart Miquel-Flores (European Central Bank) ·/Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins, /Thorsten Beck (University of London, CEPR & CESifo), Samuel Da-Rocha-Lopes (European Banking Authority & Nova School of Business & Economics, Lisbon) and *André F. Silva* (University of London & International Monetary Fund) ·/Does Size Matter? Bailouts with Large and Small Banks, /Eduardo Dávila (New York University & NBER) and *Ansgar Walther* (Imperial College London) 14.30 - 16.00 _Session III: BANK LENDING POLICIES_ ·/Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits, /Oscar Arce (Bank of Spain), Miguel García-Posada (European Central Bank), *Sergio Mayordomo* (Bank of Spain) and Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) ·/Loan Underwriting Time: A New Determinant of Bank Lending Standards, /Mikel Bedayo (Bank of Spain), *Gabriel Jiménez* (Bank of Spain), José-Luis Peydró (ICREA, Pompeu Fabra University, Barcelona Graduate School of Economics, Imperial College London & CEPR) and Raquel Vegas (Bank of Spain) ·/Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China, /Fabio Braggion (Tilburg University & CentER), *Alberto Manconi* (Bocconi University) and Haikun Zhu (Tilburg University & CentER) 16.00 - 17.00 _Poster Session 1_ 17.00 - 18.00 _Session IV: DEFAULTS: TIME AND CONTAGION_ ·/Disastrous Defaults/, Christinan Gouriéroux (University of Toronto & Toulouse School of Economics), Alain Monfort (CREST & Bank of France), Sarah Mouabbi (Bank of France) and *Jean-Paul Renne *(HEC Lausanne) ·/Time Matters: How Default Resolution Times Impact Final Loss Rates, /*Jennifer Betz*(Regensburg University), Ralf Kellner (Regensburg University) and Daniel Rösch (Regensburg University) *Friday, September 28 2018* 09.00 - 11.00 _Session V: INVESTMENT, FINANCING AND DEFAULT RISK_ ·/Residential mortgage defaults and positive equity: Lessons from Europe, /Virginia Gianinazzi (Università della Svizzera Italiana & Swiss Finance Institute), Loriana Pelizzon (Ca’ Foscari University of Venice & SAFE-Goethe University Frankfurt) and *Alberto Plazzi* (Università della Svizzera Italiana & Swiss Finance Institute) ·/The Differential Impact of Leverage on the Default Risk of Small and Large Firms, /Lara Cathcart (Imperial College London), Alfonso Dufour (ICMA Centre & Henley Business School), Ludovico Rossi (ICMA Centre & Henley Business School) and *Simone Varotto* (ICMA Centre & Henley Business School) ·/Credit Default Swaps Around the World: Investment and Financing Effects/, Söhnke M. Bartram (Warwick Business School), Jennifer Conrad (University of North Carolina at Chapel Hill), Jongsub Lee (University of Florida) and *Marti G. Subrahmanyam* (New York University) ·/The European Venture Capital Landscape: an EIF Perspective, /Helmut Kraemer-Eis (European Investment Fund) and *Simone Signore* (European Investment Fund) 11.30 - 13.15 /Session VI: BANKS, COLLATERAL AND ASYMMETRIC INFORMATION/ ·*Key-note talk:*/Customers and Investors: A Framework for Understanding Financial Institutions, /*Robert Merton* (Massachusetts Institute of Technology & NBER) ·/Collateral and Asymmetric Information in Lending Markets, /Vasso Ioannidou (Lancaster University & CEPR), *Nicola Pavanini* (Tilburg University & CEPR) and Yushi Peng (University of Zurich & Swiss Finance Institute) ·/Lending Relationships and the Collateral Channel, /Gareth Anderson (Bank of England), Saleem Bahaj (Bank of England), *Matthieu Chavaz* (Bank of England), Angus Foulis (Bank of England) and Gabor Pinter (Bank of England) 14.30 - 16.00 _PANEL SESSION_ 16.00 - 17.00 _Poster Session 2_ 17.00 - 18.15 _Session VII: BANKS AND INCENTIVES_ ·*Key-note talk:*/Marking to Market versus Taking to Market, /*Guillaume Plantin* (Sciences Po & CEPR) ·/Bank Bonus Pay as a Risk Sharing Contract, /*Matthias Efing*(HEC Paris), Harald Hau (University of Geneva, CEPR & Swiss Finance Institute), Patrick Kampkötter (University of Tübingen) and Jean-Charles Rochet (University of Geneva & Swiss Finance Institute) REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (_http://www.greta.it/credit/credit2018/credit2018.htm_). Registration fees are: Early registrationLate registration (within August 31^st )(from September 1^st on) Academics:250 Euro + VAT300 Euro + VAT Practitioners:800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter:500 Euro + VAT500 Euro + VAT PhD Students*:80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: Admission to all scientific sessions; Lunches and coffee service during the Conference; Conference kit. The registration fees do not fully cover the conference dinner on September 27^th , 20178, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES August 31, 2018: Deadline for sending final version of accepted papers August 31, 2018: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm -- -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en CREDIT 2018 http://www.greta.it/credit/credit2018/credit2018.htm -- Nota automatica aggiunta dal sistema di posta.

1 0

offerta "phd post" in Irlanda
by Claudio Macci 24 Jul '18

24 Jul '18

Inoltro la seguente segnalazione. Cordiali saluti a tutti. Claudio Macci. ---------- Forwarded message ---------- Date: Mon, 23 Jul 2018 13:04:27 +0000 From: Ken Duffy <Ken.Duffy(a)mu.ie> To: Ken Duffy <Ken.Duffy(a)mu.ie> Subject: Seeking candidates for a (42k Euro / year) Ph.D. position in Mathematical Biology. Dear Colleagues, I have a well funded Mathematical Biology Ph.D. post (42k/year wage, no fees for EU citizens, travel monies, etc.) for which I am seeking candidates. It is part of a Europe Union Marie Curie Training Network, QuanTII, so there are mobility restrictions that essentially exclude existing Irish-based candidates. Hence I'd sincerely appreciate it if you could pass this on to anyone suitable you know who might be interested. The research is multi-disciplinary and will be in collaboration with colleagues at the Walter and Eliza Institute of Medical Research. I am mainly looking for someone with a good numerate background, preferably including probability and statistics, with an interest in applications; they can learn the biology on the job. https://www.universityvacancies.com/maynooth-university/marie-curie-early-s tage-researcher-mathematical-biology-10067 Best regards, Ken ------------- Ken Duffy Professor Director, Maynooth University Hamilton Institute T: +353 1 708 6796 E: ken.duffy(a)mu.ie W: www.maynoothuniversity.ie/people/ken-duffy

1 0

International Conference in Venice - CALL FOR PARTECIPATION
by Monica Billio 23 Jul '18

23 Jul '18

CREDIT2018 <http://www.greta.it/credit/credit2018/credit2018.htm> * * *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018.* * The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. * * The Conference, organised under the auspices of the *Department of Economics**of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association* and *European Investment Bank*, is the seventeenth of a series dedicated to various aspects of credit risk.** The Scientific Committee consists of: *Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair) *Monica Billio *(Ca’ Foscari University of Venice & GRETA) *Vasso Ioannidou *(Lancaster University & CEPR) *Helmut Kraemer-Eis *(European Investment Fund) *Jan Pieter Krahnen *(SAFE - Goethe University) *Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Guillaume Plantin*(Sciences Po & CEPR) *Stephen Schaefer *(London Business School) *Enrico Sette *(Bank of Italy) *Ludovic Thebault *(European DataWarehouse) Sponsors** *GRETA* <http://www.greta.it/> *EIF* <http://www.eif.org/index.htm> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> Auspices** *ABI* <http://www.abi.it/Pagine/default.aspx> *EIB* <http://www.eib.org/> <http://www.unive.it/pag/16892> **PROGRAMME ** *Thursday, September 27 2018* * 8.30 – 9.00 Registration* * 9.00 - 9.15 Welcome and Opening Remarks*: *Hans Degryse* (KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair) * 9.15 - 11.00 Session I: RECENT DEVELOPMENTS IN CREDIT RISK MEASUREMENT* • *Key-note talk:* /TBA/, *Tor Jacobsen*(Sveriges Riksbank, Stockholm) • /Credit Risk Analysis Using Machine and Deep Learning Models/, Peter Martey Addo (French Development Agency & Laboratory of Excellence for Financial Regulation, Paris), *Dominique Guegan* (Laboratory of Excellence for Financial Regulation, Paris, University Paris 1 Pantheon Sorbonne & Ca’ Foscari University of Venice) and Bertrand Hassani(Laboratory of Excellence for Financial Regulation, Paris & Capgemini Consulting, Courbevoie) • /Estimation of Probability of Default with Machine Learning Techniques: A Comparative Approach/, *Stefano Bonini *(University of Bologna) and Giuliana Caivano (University of Bologna) *11.30 - 13.00 Session II: DISCIPLINING BANKS, BAILOUTS AND BAIL-INS* • /Unconventional Monetary Policy and Credit Rating Inflation/, Nordine Abidi (European Central Bank), *Matteo Falagiarda* (European Central Bank)and Ixart Miquel-Flores (European Central Bank) • /Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins/, Thorsten Beck (University of London, CEPR & CESifo), Samuel Da-Rocha-Lopes(European Banking Authority & Nova School of Business & Economics, Lisbon) and *André F. Silva* (University of London & International Monetary Fund) • /Does Size Matter? Bailouts with Large and Small Banks/, Eduardo Dávila (New York University & NBER) and*Ansgar Walther* (University of Warwick) *14.30 - 16.00 Session III: * *BANK LENDING POLICIES* • /Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits/, Oscar Arce (Bank of Spain), Miguel García-Posada (European Central Bank), *Sergio Mayordomo* (Bank of Spain) and Steven Ongena(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) • /Loan Underwriting Time: A New Determinant of Bank Lending Standards/, Mikel Bedayo (Bank of Spain), *Gabriel Jiménez* (Bank of Spain), José-Luis Peydró(ICREA, Pompeu Fabra University, Barcelona Graduate School of Economics, Imperial College London & CEPR) and Raquel Vegas(Bank of Spain) • /Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China/, Fabio Braggion(Tilburg University & CentER), *Alberto Manconi* (Bocconi University) and Haikun Zhu(Tilburg University & CentER) *16.00 - 17.00 Poster Session 1* *17.00 - 18.00 Session IV: DEFAULTS: TIME AND CONTAGION** * • /Disastrous Defaults/, Christinan Gouriéroux(University of Toronto & Toulouse School of Economics), Alain Monfort (CREST & Bank of France), Sarah Mouabbi (Bank of France) and *Jean-Paul Renne*(HEC Lausanne) • /Time Matters: How Default Resolution Times Impact Final Loss Rates/, *Jennifer Betz* (Regensburg University), Ralf Kellner (Regensburg University) and Daniel Rösch (Regensburg University) *Friday, September 28 2018* *9.00 - 11.00 Session V: ***DEFAULTS, DEFAULT RISK AND DERIVATIVES* * • /Residential mortgage defaults and positive equity: Lessons from Europe/, Virginia Gianinazzi (Università della Svizzera Italiana & Swiss Finance Institute), Loriana Pelizzon (Ca' Foscari University of Venice & SAFE-Goethe University Frankfurt)and *Alberto Plazzi* (Università della Svizzera Italiana & Swiss Finance Institute) • /The Differential Impact of Leverage on the Default Risk of Small and Large Firms/, Lara Cathcart (Imperial College London), Alfonso Dufour (ICMA Centre & Henley Business School), Ludovico Rossi(ICMA Centre & Henley Business School) and *Simone Varotto* (ICMA Centre & Henley Business School) • /Credit Default Swaps Around the World: Investment and Financing Effects/, Söhnke M. Bartram (Warwick Business School), Jennifer Conrad (University of North Carolina at Chapel Hill), Jongsub Lee (University of Florida) and *Marti G. Subrahmanyam* (New York University) •/TBA/ (European Investment Fund) *11.30 - 13.15 Session VI: ***BANKS, COLLATERAL AND ASYMMETRIC INFORMATION* * •*Key-note talk: *C/ustomers and Investors: A Framework for Understanding Financial Institutions/, *Robert Merton*(Massachusetts Institute of Technology & NBER) • /Collateral and Asymmetric Information in Lending Markets/, Vasso Ioannidou (Lancaster University & CEPR), *Nicola Pavanini*(Tilburg University & CEPR) and Yushi Peng (University of Zurich & Swiss Finance Institute) • /Lending Relationships and the Collateral Channel/, Gareth Anderson (Bank of England), Saleem Bahaj (Bank of England), *Matthieu Chavaz* (Bank of England), Angus Foulis(Bank of England) and Gabor Pinter (Bank of England) *14.30 - 16.00 PANEL Session* *16.00 - 17.00 Poster Session 2* *17.00 - 18.15 Session VII: BANKS AND INCENTIVES* • *Key-note talk:* /TBA/, *Guillaume Plantin*(Sciences Po) • /Bank Bonus Pay as a Risk Sharing Contract/, *Matthias Efing*(HEC Paris), Harald Hau (University of Geneva, CEPR & Swiss Finance Institute), Patrick Kampkötter(University of Tübingen) and Jean-Charles Rochet (University of Geneva & Swiss Finance Institute) **REGISTRATION** To register for the Conference you are requested to complete the registration form that is available on our website (_http://www.greta.it/credit/credit2018/credit2018.htm_). Registration fees are: Late registration (from September 1^st on) Early registration (within August 31^st ) Academics: 250 Euro + VAT 300 Euro + VAT Practitioners: 800 Euro + VAT 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT 500 Euro + VAT PhD Students*: 80 Euro + VAT 130 Euro + VAT ** *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: * Admission to all scientific sessions * Lunches and coffee service during the Conference * Conference kit The registration fees do not fully cover the conference dinner on September 27th, 2018, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). *IMPORTANT DATES* August 31, 2018: Deadline for sending final version of accepted papers August 31, 2018: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm *** Please accept our apologies for any crossed e-mails. -- Nota automatica aggiunta dal sistema di posta.

1 0

Research grant
by Marco Corazza 22 Jul '18

22 Jul '18

Dear All, a call for a research grant in Ca' Foscari on "Deep Reinforcement Learning for Financial Trading" is online ( http://static.unive.it/common2/file/download/assegni_ricerca/5b4f1833e5722). Deadline: August 8, 2018. Please, spread the information. Best regards, Marco Corazza -- 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 -- -- Nota automatica aggiunta dal sistema di posta.

1 0

Fwd: UPCOMING DEADLINE - IMT SCHOOL - 2018/19 PHD CALL :: PROGRAMMI DI DOTTORATO
by Irene Crimaldi 18 Jul '18

18 Jul '18

---------- Forwarded message ---------- From: <phdapplications(a)imtlucca.it> Date: Tue, Jul 17, 2018 at 4:56 PM Subject: UPCOMING DEADLINE - IMT SCHOOL - 2018/19 PHD CALL :: PROGRAMMI DI DOTTORATO To: irene.crimaldi(a)imtlucca.it [image: PhD Call 2018 Header] *2018/19* *CALL FOR PHD APPLICATIONS* *UPCOMING DEADLINE FOR 36 POSITIONS* *August 3rd, 2018 at 12:00 pm CEST* We are pleased to inform you about the IMT School for Advanced Studies Lucca's two PhD Programs and their specialized tracks Siamo lieti di annunciare i due Programmi di Dottorato della Scuola IMT Alti Studi Lucca e i loro track specialistici: Cognitive and Cultural Systems PhD Program - Analysis and Management of Cultural Heritage (AMCH) - Cognitive, Computational and Social Neurosciences (CCSN) Systems Science PhD Program - Computer Science and Systems Engineering (CSSE) - Economics, Networks and Business Analytics (ENBA) - No tuition fees, free room and access to IMT Canteen - Esenzione dalle tasse d'iscrizione, alloggio gratuito, accesso gratuito alla mensa - A grant of €15,300 gross/year - Importo lordo della borsa: €15.300/anno Candidates can apply if they obtain their (minimum) 4-year undergraduate degree NO LATER than October 31st, 2018 Possono fare domanda coloro che conseguano il titolo valido per l'ammissione entro e NON OLTRE il 31 ottobre 2018 MORE INFORMATION AND APPLICATION: phd.imtlucca.it The IMT School for Advanced Studies Lucca (www.imtlucca.it <http://imtlucca.it>), one of the six Schools of Excellence in Italy, is a research university within the Italian public higher education system. The IMT School's mission is characterized by the analysis and management of a plurality of economic, social, scientific, technological and cultural systems. La Scuola IMT Alti Studi Lucca (www.imtlucca.it <http://imtlucca.it>), una delle sei Scuole di Eccellenza in Italia, è un'istituzione universitaria pubblica di ricerca e alta formazione dottorale a ordinamento speciale, focalizzata sull'analisi e gestione dei sistemi economici, sociali, scientifici, tecnologici e culturali. Follow us on Facebook <https://www.facebook.com/IMT-School-for-Advanced-Studies-Lucca-187139651342…>, Twitter <https://twitter.com/IMTLucca>, YouTube <https://www.youtube.com/user/IMTAltiStudiLucca>, LinkedIn <https://www.linkedin.com/company/imt-lucca-institute-for-advanced-studies?t…> Please note that this account is used for outgoing e-mails only, and therefore your reply message will not be read. For inquiries regarding the 2018/19 IMT School PhD call, please write to phdapplications(a)imtlucca.it IMT School for Advanced Studies Lucca Piazza San Ponziano 6, 55100 Lucca - Italy Tel: +39 0583 4326 597, fax: +39 0583 4326 565 www.imtlucca.it <http://imtlucca.it> *PRIVACY NOTICE:* The new GDPR data and privacy guidelines, EU 2016/679, went into effect on May 25th 2018. Please note that your personal information (name, email address) will continue being managed by this office exclusively to communicate information about the IMT School PhD Programs. If you no longer wish to receive these messages, please send an email to phdapplications(a)imtlucca.it so that we can remove your email address from our list. For more information regarding the IMT School privacy guidelines (in Italian only), please see the following link: https://www.imtlucca.it/amministrazione-trasparente/ trasparenza:altri_contenuti:altri_contenuti_-_privacy . *Il 25 maggio 2018 e' entrato in vigore il nuovo Regolamento generale sulla protezione dei dati delle persone fisiche, UE 2016/679, comunemente indicato con l'acronimo GDPR. Si precisa che i suoi dati personali (nome, indirizzo mail) sono e continueranno ad essere trattati da questo Ufficio esclusivamente al fine di promuovere i Programmi di dottorato offerti dalla Scuola IMT Alti Studi di Lucca. Qualora non desideriate ricevere ulteriori comunicazioni sui Programmi di dottorato, siete pregati di inviare una mail al seguente indirizzo: phdapplications(a)imtlucca.it <phdapplications(a)imtlucca.it>. In tal modo provvederemo alla cancellazione dei vostri dati e non riceverete piu' nessuna comunicazione in merito. Per ulteriori informazioni si rimanda alla pagina di aggiornamento dell'informativa privacy della Scuola IMT Alti Studi di Lucca disponibile al seguente link: https://www.imtlucca.it/amministrazione-trasparente/trasparenza:altri_conte… <https://www.imtlucca.it/amministrazione-trasparente/trasparenza:altri_conte…>.*

1 0

Fwd: LYSM - Call for extended missions to Italy or France
by Pietro Caputo 18 Jul '18

18 Jul '18

ricevo e inoltro: %%%%%%%%%%% Dear collegues, as many of you already know, the Hypatie Laboratory of Mathematical Sciences (LYSM) is in full activity since one year and a half, and keeps funding scientific collaborations between Italy and France, as well as conferences with an Italian-French character. The standard activities that we fund are short missions (one or two weeks) or conferences (either participation or organization). For details, please refer to the website https://www.lysm.eu/ For funding applications, please use the web forms available on the website. With this message, we would like to advertize a new opportunity, namely the possibility of applying for funding of EXTENDED MISSIONS (more than 1 month, up to one academic year) from Italy to France, or viceversa. The maximal funding per month offered by LYSM is in line with the cost of life in these two countries: for details, please contact the coordinators of the lab. In order to apply, please use the `Missions' form on the LYSM website. The deadline for applications of proposals for the next academic year, 2018/19, is SEPTEMBER 15, 2018 In your application, please explain in detail the scientific reasons of your long-term missions, the research project that you intend to work on and the expected output of the research, as well as the detailed financial plan. With best regards, Viviane Baladi, Dario Bambusi,Cinzia Bisi, Benoit Claudon, Adriana Garroni, Alessandro Giuliani, Daniele Guido, Massimiliano Mella, Thierry Paul, Pierre Picco, Alessandra Sarti, Stephane Vassout

1 0

Fwd: [CvGmt News] Fwd: assegni (fwd)
by Tiziano Vargiolu 16 Jul '18

16 Jul '18

Date: Fri, 13 Jul 2018 16:37:17 +0200 From: GIUSEPPE BUTTAZZO <giuseppe.buttazzo(a)unipi.it> Subject: [CvGmt News] Fwd: assegni To: News <news(a)cvgmt.sns.it> Buongiorno, comunico che sono stati banditi https://www.unipi.it/ateneo/bandi/assegni/asse2018/mat/index.htm con scadenza 28/7 alle 13 i tre assegni di ricerca annuali di geometria e algebra, analisi e probabilit?, e storia della matematica. Saluti, Carlo -- Carlo Petronio Direttore Dipartimento di Matematica Universit? di Pisa _______________________________________________ Ordinari.dm mailing list Ordinari.dm(a)listgateway.unipi.it http://listgateway.unipi.it/mailman/listinfo/ordinari.dm

1 0

Conferenza Pubblica Nadia Robotti - Como - 24 luglio
by elisa mastrogiacomo 15 Jul '18

15 Jul '18

Nell’ambito della Lake Como School “*Advanced school on complexity and emergence: ideas, methods, with a special attention to economics and finance*” che si terrà a Villa del Grumello a Como dal 22 al 27 luglio, è stata organizzata la conferenza pubblica *“LA FONDAZIONE ALESSANDRO VOLTA INCONTRA”* *BRUNO PONTECORVO:* *DA PISA A DUBNA, UN VIAGGIO SENZA RITORNO* *Conferenza pubblica con Nadia Robotti* *24 luglio, ore 21* *Pinacoteca Civica di Como* Nuovo appuntamento con “*La Fondazione Alessandro Volta incontra*”, il ciclo di conferenze aperto al grande pubblico su scienza, letteratura, arte e musica. *Martedì 24 luglio* *alle 21.00 in Pinacoteca Civica a Como, *la professoressa *Nadia Robotti,* prima italiana storica della fisica, parlerà di* “Bruno Pontecorvo: da Pisa a Dubna, un viaggio senza ritorno”*. L’incontro è organizzato da FONDAZIONE ALESSANDRO VOLTA, PAROLARIO, DIPARTIMENTO DI ECONOMIA UNIVERSITÀ DELL'INSUBRIA, DIPARTIMENTO DI MATEMATICA STATALE DI MILANO E DIPARTIMENTO DI STATISTICA E METODI QUANTITATIVI UNIVERSITÀ DI MILANO BICOCCA. In collaborazione con il Comune di Como. Bruno Pontecorvo, fisico noto soprattutto per essersi trasferito nel 1950, in piena Guerra Fredda, in Unione Sovietica, è stato uno dei primi e più importanti allievi di Enrico Fermi a Roma, a via Panisperna. Utilizzando documenti originali d’archivio si cercherà di*ricostruire il suo percorso scientifico, culturale* *e umano* che lo ha portato da Pisa, sua città natale, a Roma e poi a Parigi, a Tulsa (Stati Uniti), a Montreal (Canada), ad Harwell (Inghilterra) e, infine e definitivamente, a Dubna (Unione Sovietica). Pontecorvo non è stato solo “*l’uomo dei neutrini*”, ma è stato durante tutto il corso della sua vita, l’uomo delle grandi scelte, tutte sempre autonome e profondamente motivate da considerazioni scientifiche e culturali. *Ingresso gratuito.Registrazione su www.pontecorvo.eventbrite.it <http://www.pontecorvo.eventbrite.it>* *Nadia Robotti* è professore ordinario di Storia della Fisica all’Università di Genova. I suoi interessi sono orientati alla ricostruzione dell’attività scientifica e accademica di Enrico Fermi, Ettore Majorana e Bruno Pontecorvo. È responsabile, insieme al fisico teorico Francesco Guerra, di un'indagine rivolta ai fisici di fama che contribuirono alla crescita della ricerca in Italia nel periodo fra le due Guerre dal titolo "I fisici italiani tra ricerca scientifica e impegno civile: dal Congresso di Vienna all'avvento della Repubblica" e fa parte del gruppo di esperti che si è occupato dei contenuti della mostra "Enrico Fermi: una duplice genialità tra teorie ed esperimenti", proposta con un grande successo di pubblico a Genova e Bologna, che sarà presto aperta in maniera stabile presso il complesso monumentale di via Panisperna. Nel 2017 è stata insignita del Premio Le Muse. Si prega di dare la massima diffusione presso tutti gli interessati. Cordiali saluti. Elisa Mastrogiacomo

1 0

save the date! - Second Italian Meeting on Probability and Mathematical Statistics
by Antonio Di Crescenzo 12 Jul '18

12 Jul '18

Dear Colleagues, following the success and the high scientific standard of the First Italian Meeting on Probability and Mathematical Stastistics (http://calvino.polito.it/~probstat/torino2017/index.html), it is a pleasure to announce preliminarly that the Second Italian Meeting on Probability and Mathematical Statistics will be held from June 17 to June 21, 2019, at the Lloyd's Baia Hotel, Vietri sul Mare (SA), www.lloydsbaiahotel.it/ Scope of the meeting is the scientific exchange between Italian researchers working on Probability and Mathematical Statistics in Italy or abroad. The participation of foreign researchers working in Italy is also welcome. Other information will be available soon. The Scientific Committee Claudia Ceci, Antonio Di Crescenzo, Franco Fagnola, Franco Flandoli, Paolo Dai Pra, Antonio Lijoi, Andrea Pascucci, Franco Pellerey, Laura Sacerdote --

1 0

Full Professor position at Luxembourg University
by Giovanni Peccati 12 Jul '18

12 Jul '18

Dear All, please take note of a very attractive full professor position in *Mathematical Statistics and Data Science* that just opened at Luxembourg University. See the official link: http://emea3.mrted.ly/1w64s Please, share this information with any potential candidate. All my best, Giovanni -- Prof. Giovanni Peccati ------------------------------------------ UR en Mathématiques Faculté des Sciences, de la Technologie et de la Communication ------------------------------------------ Université du Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

1 0

Selection announcement for the awarding of a research grant - Deadlne August 9, 2018
by Patrizia Piacentini - PhD 11 Jul '18

11 Jul '18

The Department of Statistical Sciences of the University of Padova, www.stat.unipd.it, announces the opening of a selection to award a 24 months research grant for innovative and excellent research projects proposed by young independent scholars within the framework of the Project of Excellence “Statistical methods and models for complex data”. The Department of Statistical Sciences is a department of excellence whose project “Statistical methods and models for complex data” has been financed by the Ministry of Education, Universities and Research (MIUR) at the beginning of 2018. The project will last for five years, from 2018 to 2022, and details on the project activities are available at this link http://www.stat.unipd.it/bandi . In particular, the Project of Excellence (PE) purpose is to develop novel skills for the analysis of complex data, according to the following progress lines: a) To the overcoming of deficiencies of the current statistical methods and models for data characterized by various forms of complexity; b) To meet the growing demand for solutions to complex problems in various application fields by developing and/or using innovative statistical tools, specifically designed to tackle the specific aspects of application fields and of data they might generate; c) To develop strategies for the management of novel data types as, for instance, those emerging from the contemporaneous presence of various elements of complexity; d) To contribute to the definition of general approaches for inference on complex data of different origin, that will become the methodological infrastructure for the developments of modelling, forecasting and classification strategies. The new position builds on the project “Statistical models for complex data” and the selected candidate will be involved in the development of the project activities. In the evaluation of the research proposals, adherence to the project topics is a necessary requirement. The candidates must be PhD graduates with at least one year of post-doctoral research experiences in Italian or international research institutes of recognized scientific quality. Candidates must have their degree by the selection announcement deadline and the PhD program in which they have been enrolled should have lasted for at least three years. For additional details on the requirements, limits, exclusions and further rules governing the selection, see http://www.stat.unipd.it/bandi. The research grant has an annual gross amount of 28.500 Euro covered by the Project of Excellence financial resources, is issued in accordance with the current Regulations Governing Research Grant Awards. The research has to be conducted at the Department of Statistical Sciences. In addition, the winning projects will be provided with financial contribution towards research expenses with an amount of 4000 Euro (for missions, translations and language revisions, durable materials). For further details on the call, the application procedure, and other formal requirements, see http://www.stat.unipd.it/bandi.

1 0

Avviso di Seminario: Prof. Orsingher
by Enrica Pirozzi 10 Jul '18

10 Jul '18

AVVISO di SEMINARIO Meander, excursion and last passage time of Brownian motion with drift Prof. Enzo Orsingher Dipartimento di Scienze Statistiche, Università La Sapienza, Roma Abstract: In this talk a generalized Brownian meander with drift is considered. The weak limit is studied and the tightness conditions investigated when the initial position converges to the lower bound of the meander. The maximal distribution is obtained and generalizes the distribution of the maximum of the driftless meander. We obtain a representation of the meander involving the last return to zero of the Brownian motion. In the same spirit also the excursion of the Brownian motion with drift is examined and its maximal distribution discussed. Il seminario si terrà il giorno 13 Luglio 2018 ore 12:30 nella Aula E terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. 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 --- Dona il 5 per mille all'Università Federico II per sostenere studenti e ricercatori Codice Fiscale Università degli Studi di Napoli Federico II 00876220633

1 0

CONFERENCE: Bayesian learning theory for complex data modelling
by Matteo IACOPINI 09 Jul '18

09 Jul '18

**** Apologies for cross postings **** Dear all, The second edition of the Italian French statistics seminar will be held in *Grenoble* on *6-7 September 2018*. This year the theme of the workshop will be “Bayesian learning theory for complex data modelling”. The workshop will give to young statisticians the opportunity to learn from and interact with highly qualified senior researchers in probability, theoretical and applied statistics, with a particular focus on Bayesian methods. There will be two junior sessions and a poster session with a call for abstract open until July 15. A particular focus will be given to researchers in the early stage of their career, or currently studying for a PhD, MSc or BSc. The junior session is supported by ISBA through travel awards. Keynote speakers • Nicolas Chopin, ENSAE, France • Arnoldo Frigessi, University of Oslo, Norway • Antonio Lijoi, University Bocconi, Milan, Italy • Sonia Petrone, University Bocconi, Milan, Italy Important Dates • July 15, 2018: Deadline for submissions • end of July, 2018: Notification on abstract acceptance • August 24, 2018: Registration closes Notice that the registration is free but mandatory. More details and to register: https://sites.google.com/view/bigworkshop/ <https://sites.google.com/view/bigworkshop/> For any questions, please send an e-mail to: Marta Crispino (marta.crispino(a)inria.fr <mailto:marta.crispino@inria.fr>) Julyan Arbel (julyan.arbel(a)inria.fr <mailto:julyan.arbel@inria.fr>) Matteo Iacopini (matteo.iacopini(a)unive.it <mailto:matteo.iacopini@unive.it>) Best, Marta Crispino, Julyan Arbel and Matteo Iacopini -- Nota automatica aggiunta dal sistema di posta.

1 0

CONFERENCE: Bayesian learning theory for complex data modelling
by Matteo IACOPINI 07 Jul '18

07 Jul '18

**** Apologies for cross postings **** Dear all, The second edition of the Italian French statistics seminar will be held in *Grenoble* on *6-7 September 2018*. This year the theme of the workshop will be “Bayesian learning theory for complex data modelling”. The workshop will give to young statisticians the opportunity to learn from and interact with highly qualified senior researchers in probability, theoretical and applied statistics, with a particular focus on Bayesian methods. There will be two junior sessions and a poster session with a call for abstract open until July 15. A particular focus will be given to researchers in the early stage of their career, or currently studying for a PhD, MSc or BSc. The junior session is supported by ISBA through travel awards. Keynote speakers • Nicolas Chopin, ENSAE, France • Arnoldo Frigessi, University of Oslo, Norway • Antonio Lijoi, University Bocconi, Milan, Italy • Sonia Petrone, University Bocconi, Milan, Italy Important Dates • July 15, 2018: Deadline for submissions • end of July, 2018: Notification on abstract acceptance • August 24, 2018: Registration closes Notice that the registration is free but mandatory. More details and to register: https://sites.google.com/view/bigworkshop/ <https://sites.google.com/view/bigworkshop/> For any questions, please send an e-mail to: Marta Crispino (marta.crispino(a)inria.fr <mailto:marta.crispino@inria.fr>) Julyan Arbel (julyan.arbel(a)inria.fr <mailto:julyan.arbel@inria.fr>) Matteo Iacopini (matteo.iacopini(a)unive.it <mailto:matteo.iacopini@unive.it>) Best, Marta Crispino, Julyan Arbel and Matteo Iacopini -- Nota automatica aggiunta dal sistema di posta.

1 0

announcement of vacancy (PhD position and postdoc)
by Daniela De Canditiis 07 Jul '18

07 Jul '18

Please find attached the announcement of a PhD position as well as a postdoctoral position available in Belgium -- Daniela De Canditiis, PhD Istituto per le Applicazioni del Calcolo "M.Picone" (CNR) via dei Taurini, 19 -- 00185 Roma, Italy tel: +39 06 49937342 fax: +39 06 4404306 http://www.iac.rm.cnr.it/~danielad/

1 0

concorso per un posto RTDB a Milano Statale - MAT/06
by Marco Alessandro Fuhrman 06 Jul '18

06 Jul '18

Presso l'Università degli Studi di Milano (Statale) è stato bandito un posto RTDB nel settore MAT/06 - Probabilità e Statistica Matematica. Il bando si trova alla pagina http://www.unimi.it/ateneo/valcomp/94001.htm (codice concorso: 3905; avviso pubblicato sulla G.U. 52 del 3 luglio 2018) La scadenza per la presentazione delle domande è il 3 agosto 2018 ore 12:00. Si prega di dare la massima diffusione presso tutti gli interessati. Cordiali saluti. Marco Fuhrman <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

1 0

Extended Deadline: DEF Call for Papers – Special Issue on “Quantitative developments in financial volatility - theory and practice"
by Maria Elvira Mancino 05 Jul '18

05 Jul '18

Dear colleagues and friends, We are delighted to inform that the journal of Decisions in Economics and Finance, the official publication vehicle of the Italian Association for Mathematics Applied to Social and Economic Sciences (AMASES), is now calling for papers for its special issue on "QUANTITATIVE DEVELOPMENTS IN FINANCIAL VOLATILITY - THEORY AND PRACTICE" _NEW DEADLINE 31TH AUGUST, 2018_ For more details, please visit the journal's webpage at https://www.springer.com/economics/economic+theory/journal/10203?detailsPag… Accepted papers will be published online individually prior to the final print publication. Please address all your inquiries concerning the submission to the special issue directly to us. We apologize if you receive the same email multiple times. Please kindly help us forward the call to your colleagues. We look forward to receiving your submissions. With best regards, Special issue co-editors Elisa Alos, Maria Elvira Mancino, and Tai-Ho Wang Decisions in Economics and Finance

1 0

Seminario di P. Pigato a Milano-Bicocca (13 luglio 2018)
by Francesco Caravenna 04 Jul '18

04 Jul '18

Venerdì 13 luglio alle ore 14:30 Paolo Pigato (WIAS Berlin) terrà un seminario dal titolo "Asymptotic analysis of rough volatility models" Aula 3014, Dipartimento di Matematica e Applicazioni (edificio U5, terzo piano, via Cozzi 55, Milano) Università di Milano-Bicocca Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%% Abstract: We will review some general facts on implied volatility and how they motivate the usage of rough (fractional) stochastic volatility models in finance, in particular from the point of view of pricing. We will discuss some recent results and ongoing projects on the short-time asymptotic behaviour of option prices and implied volatility under such models. %%%%%%%%%%%%%%%%%%%%%%%%%% -- _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

1 0

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random