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DGA-Inria PhD position at Sophia-Anitipolis, France. Deadline : April 29th 2018. Contact : Josiane ZERUBIA, Inria-SAM
by Marianne Clausel 21 Apr '18

21 Apr '18

*Application :* For more information and application, please contact before April 29 th , 2018: Josiane ZERUBIA, Inria-SAM http://www-sop.inria.fr/members/Josiane.Zerubia/index-eng.html email: Josiane.Zerubia(a)inria.fr *Title:* Stochastic Geometry for Multiple Object Detection and Tracking in High Resolution Multi-Source Data Sets for Wide Area Surveillance Applications *Abstract:* Unmanned aerial vehicles and low-orbit satellites, including cubesats, are increasingly used for wide area surveillance which results in large amounts of multi- source data (videos) that have to be processed and analyzed. These sensor platforms capture vast ground areas at roughly 2 frames per second. The number of moving objects in such data is typically very high, accounting for up to thousands of objects. Multiple objects tracking has traditionally been a major area of research in the computer vision field, but this type of data poses new, specific, tracking related challenges. The large number of small objects coupled with the reduced frame rate of the video, illumination changes and image registration provide significant sources of errors. Numerous motion models and state estimation methods like the Kalman filter or the particle filter have been proposed for object tracking. Classical trackers such as the Multiple Hypothesis Tracker or the Joint Probabilistic Data Association Filter have been employed to solve the data association problem between multiple detections. Both approaches work on a set of data association hypothesis. A strong limitation of these methods is that past decisions cannot be updated when new information is available. One way to cope with this problem is to use a sliding temporal window to perform tracking taking into account both past and future information and hence, removing the causality of the result. Recently, a new spatio-temporal marked point process model specifically adapted to the problem of multiple objects tracking has been developed by Craciun et al. [1]. Craciun et al. use ellipses to model the objects, boats or cars for instance, adding a non-geometric mark to facilitate the association between objects in different frames. Nevertheless one important drawback of the above-mentioned model is that constant velocity of the moving objects is a necessary prior hypothesis to deal with the corresponding density function to be optimized. In this PhD thesis we propose to get rid of this constraint by extending the previous model of Paula Craciun . [1] P. Craciun, M. Ortner, and J. Zerubia. Joint detection and tracking of moving objects using spatio-temporal marked point processes. Proc. IEEE Winter Conference on Applications of Computer Vision, 2015. *Candidate profile:* We encourage applications from outstanding candidates with strong academic backgrounds in Mathematics, Physics, Computer Science, Engineering and related fields. At Inria we seek to increase the number of women in areas where they are underrepresented and therefore explicitly encourage women to apply. Furthermore, we are committed to increasing the number of individuals with disabilities in its workforce and therefore encourage applications from such qualified individuals. *Important notice: to get PhD funding from DGA it is necessary to be a** **European citizen (EU and associated countries).*

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Kondratiev minicourse in Verona: cancelled
by Luca di persio 21 Apr '18

21 Apr '18

Dear all, I am regret to announce that the forecasted course of prof. Kondratiev http://www.di.univr.it/?ent=seminario&id=4253&lang=en has been cancelled due to serious health conditions of the speaker. Do not hesitate to contact me if you need further info. Best, LuCa -- __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <http://www.hpa8.com/>

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PhD Thesis : Towards hybrid and explainable recommender systems mixing content analysis and collaborative filterings, Project OLKI Lorraine Université d'Excellence, France
by Marianne Clausel 20 Apr '18

20 Apr '18

*General context* Over the last twenty years, an increasing attention has been paid to recommender systems, widely popularized by the Netflix Challenge. The main goal of a recommender system is to provide some users, with personalized products, taking into account their profile and preferences. Recent challenges are about the recommendation of products very complex to describe : jobs, partners... Their characteristics can mix heterogeneous features: quantitative (as ratings) and/or qualitative (as reviews). Moreover, new questions are emerging about explainability of algorithms. Nowadays, Artificial Intelligence algorithms are democratized in our erveyday life, and consumers want to understand the decision resulting from these algorithms (why this decision and not another one ?) as well as quantify the importance of each factor (element) in the decision process (which element is the most important/sensitive). They require more /explainability/ of AI algorithms. In addition, the new European legislation on data protection foresees to impose more /transparency/ to Artificial Intelligence algorithm. The law envisages to make compulsory the agreement of users for using personal data, which will reduce the amount of data that can be collected about users. The customer will also have to be informed about the way their personal data is used. From the algorithms point of view, the decrease of data will impact the quality of the recommmendations. All these changes, will impact shortly and significantly the design of algorithms. In this thesis, we aim at designing and implementing new explainable and transparent recommender systems for complex products, in the frame of data sparsity. *Scientific challenges and program* The challenges are four fold : - *Definition*, in a quantitative way, of the concept of transparency, and develop statistical methods to automatically quantify the transparency degree of an algorithm. - *Classification* of recommender systems from the literature, from the transparency point of view and/or robustness degree with respect to missing data - *Conception* of new hybrid and explainable recommender systems, robust to sparse data. The products being complex, the heterogeneous descriptions of the products, as well as the multi-sources of information, will be used to construct understandable explanation. Especially, natural language processing, and hybrid (content/social) approaches will be studied. The algorithms will also be able to quantify the weights and the sensitivity of each factor in the final decision. - *Constitution *of data sets, allowing to evaluate transparency of recommender systems *Application* \noindent The application should include a brief description of research interests and past experience, a CV, degrees and grades, a copy of Master thesis (or a draft thereof), motivation letter (short but pertinent to this call), relevant publications (if any), and other relevant documents. Candidates are encouraged to provide letter(s) of recommendation or contact information to reference persons. Please send your application *before 12 May 2018* in one single pdf to : armelle.brun(a)univ-lorraine.fr marianne.clausel(a)univ-lorraine.fr The application of the preselected candidates will be reviewed by the Doctoral School IAEM of University of Lorraine in June 2018 for completing the selection process. *Practical informations* *Duration: *3 years (full time position) *Starting date:* October, 2018 *Supervisors* A. Brun, University of Lorraine/LORIA, France, https://members.loria.fr/ABrun/ M. Clausel, University of Lorraine/IECL, France, https://sites.google.com/site/marianneclausel/ *Working Environment* The PhD candidate will work between the Probability and Statistic team of the IECL lab and the KIWI Team of the LORIA lab which are two leading institutions, respectively in Mathematics and Computer Science in France. The two labs are both located at Nancy, France on the same campus. The Probability and Statistic team of IECL is working on interdisciplinary projects involving probabilistic modeling and inference methods, with a focus on many applications as textual datas, biology, spatial datas... The KIWI team of LORIA is a dynamic group working on recommender system and connected scientific domains over 20 researchers (including PhD students) and that covers several aspects of the subject from theory to applications, including statistical learning, data-mining, and cognitive science. *Location* : Nancy, which is the capital of Lorraine in France, with excellent train connection to Luxembourg (1h30) and Paris (1h30). *Salary after taxes: *around 1600 euros.

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Fwd: 4th Barcelona Summer School on Stochastic Analysis
by Marco Romito 20 Apr '18

20 Apr '18

-------- Forwarded Message -------- Subject: 4th Barcelona Summer School on Stochastic Analysis Date: Fri, 20 Apr 2018 12:11:45 +0200 From: Bústia Difusions <crmdifusions(a)crm.cat> To: romito(a)dm.unipi.it We would like to bring your attention to the forthcoming *4th Barcelona Summer School on Stochastic Analysis* *A 2018 EMS Summer School* which will be held at the Centre de Recerca Matemàtica <http://www.crm.cat/en/About/General/Pages/LocationDirections.aspx>in Bellaterra (Barcelona) from *July 9^th to July 13^th , 2018*. The school is addressed to PhD students and young researchers mainly in stochastic analysis. The courses will be the following: * /Some stochastic models in eco-evolution/, by *Sylvie Méléard*(École Polytechnique, France) * /Zero sets of random functions, by**/*Mikhail Sodin*(Tel Aviv University, Israel) -Registration deadline: *June 1^st , 2018. * The period for submissions of proposals for poster presentations and contributed talks is currently open. The deadline is *May 1^st , 2018*.** We invite you to visit the homepage of the school www.crm.cat/2018/StochasticAnalysisBCN <http://www.crm.cat/2018/StochasticAnalysisBCN>to keep posted with the progress of and news about the organization. *Organizing Committee* Xavier Bardina (Universitat Autònoma de Barcelona) Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) Marta Sanz-Solé (Universitat de Barcelona) Josep Vives (Universitat de Barcelona) __________________ *Centre de Recerca Matemàtica* Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 *www.crm.cat* <http://www.crm.cat/>** *@CRMatematica* <https://twitter.com/CRMatematica>**

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Postdoc position in Geometric Methods for Deep and Reinforcement Learning at RIST
by Luigi Malagò 20 Apr '18

20 Apr '18

=========================================================== *Subject*: Postdoc position in Machine Learning (1 year, renewable up to 2.5 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*: 06 May 2018 (applicants are encouraged to apply earlier) *Salary*: around 2190 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 2.5 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 http://luigimalago.it/group.html, which performs research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, from the unifying perspective of Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST, where about 20 new postdoctoral research associates and research software developers will be hired by 2018. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in-deep- learning-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: 06 May 2018 (applicants are encouraged to apply earlier) best regards, Luigi Malagò

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Seminari SOYER e POLSON al CNR IMATI - Milano - 3 Maggio
by fabrizio＠mi.imati.cnr.it 20 Apr '18

20 Apr '18

Segnalo i seguenti seminari che si svolgeranno presso CNR IMATI, via Alfonso Corti 12, Milano, Aula Expo Giovedì 3 maggio 2018, ore 15:00 - 16:30 1) Refik Soyer, School of Business, George Washington University ore 15:00-15:45 BAYESIAN MODELING OF NON GAUSSIAN MULTIVARIATE TIME SERIES Abstract: Modeling of multivariate non Gaussian time series of correlated observations is considered. In so doing, we focus on time series from multivariate counts and durations. Dependence among series arises as a result of sharing a common dynamic environment. We discuss characteristics of the resulting multivariate time series models and develop Bayesian inference for them using particle filtering and Markov chain Monte Carlo methods. We illustrate application of the proposed approach using conditionally multivariate Poisson and gamma time series. Joint work with Tevfik Aktekin, University of New Hampshire and Nicholas Polson, University of Chicago 2) Nicholas Polson, Booth School of Business, University of Chicago ore 15:45-16:30 DEEP LEARNING: A BAYESIAN PERSPECTIVE Deep learning is a form of machine learning for nonlinear high dimensional pattern matching and prediction. By taking a Bayesian probabilistic perspective, we provide a number of insights into more efficient algorithms for optimisation and hyper-parameter tuning. Traditional high-dimensional data reduction techniques, such as principal component analysis (PCA), partial least squares (PLS), reduced rank regression (RRR), projection pursuit regression (PPR) are all shown to be shallow learners. Their deep learning counterparts exploit multiple deep layers of data reduction which provide predictive performance gains. Stochastic gradient descent (SGD) training optimisation and Dropout (DO) regularization provide estimation and variable selection. Bayesian regularization is central to finding weights and connections in networks to optimize the predictive bias-variance trade-off. To illustrate our methodology, we provide an analysis of international bookings on Airbnb. Finally, we conclude with directions for future research. Joint work with Vladimir Sokolov, Sistems Engineering and Operations Research, George Mason University -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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Seminario KYPRAIOS
by Matteo Ruggiero 20 Apr '18

20 Apr '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 27 Aprile 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Theodore KYPRAIOS (University of Nottingham) LATENT BRANCHING TREES: MODELLING AND BAYESIAN COMPUTATION In this talk a novel class of semi-parametric time series models will be presented, for which we can specify in advance the marginal distribution of the observations and then build the dependence structure of the observations around them by introducing an underlying stochastic process termed as 'latent branching tree'. It will be demonstrated how can we draw Bayesian inference for the model parameters using Markov Chain Monte Carlo methods as well as Approximate Bayesian Computation methodology. Finally a real dataset on genome scheme data will be fitted to this model and we will also discuss how this kind of models can be in other settings. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <http://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

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First announcement - workshop on BSDEs, Information and McKean-Vlasov equations, 10-12 Sept, Leeds
by Elena Issoglio 19 Apr '18

19 Apr '18

Dear colleagues, We are pleased to announce a Workshop on “BSDEs, Information and McKean-Vlasov equations”, which will take place on September 10th - 12th, 2018 at the University of Leeds, UK. The objective of the meeting is to disseminate recent results on these mainstream topics in stochastic analysis and bring together experts from many parts of Europe to promote the interplay of ideas and techniques. Additional information can be found on the website of the event https://conferences.leeds.ac.uk/bsdes2018/. Confirmed plenary speakers for the workshop are: Claudia Ceci, University of Pescara Dan Crisan, Imperial College London Samuel Cohen, University of Oxford Miryana Grigorova, University of Bielefeld Said Hamadene, University of Main Ben Hambly, University of Oxford Gechun Liang, University of Warwick  Huyen Pham, University of Paris Diderot Marie-Claire Quenez, University of Paris Diderot Francesco Russo, Ensta ParisTech Lukasz Szpruch, University of Edinburgh Participants can register via the following link https://conferences.leeds.ac.uk/bsdes2018/register/ Registration closes on July 16th, 2018. A registration fee of £70 will cover lunch and coffee breaks for the three days, and a buffet dinner on the first evening of the conference. There is a limited budget to cover expenses for young participants. All details are specified on the website. Submission of contributed talks is currently open. There will be also a poster session to allow young researchers working on these topics to present their ideas and results. If you wish to submit an abstract for a contributed talk or a poster please email Katia at k.colaneri(a)leeds.ac.uk or Elena at e.issoglio(a)leeds.ac.uk before June 25th, 2018. Notification of acceptance will be given by July 2nd, 2018. We hope very much that you will consider to participate in these events, and please feel free to forward this email to any interested people. We are looking forward to meeting you in Leeds. Best regards, The organizing committee Elena Issoglio and Katia Colaneri Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

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Seminario di Scotti a Firenze, lunedì 23 aprile 14.30: Branching Processes with applications in Finance
by Cecilia Mancini 19 Apr '18

19 Apr '18

Il giorno lunedì 23 aprile, ore 14.30 Simone Scotti, Università Diderot di Parigi (Parigi 7), terrà il seminario dal titolo Branching Processes with applications in Finance presso l'edificio D6, via delle Pandette 9, 50127 Firenze, del polo di Novoli, in aula D6/104. Tutti gli interessati sono cordialmente invitati a partecipare Abstract: I processi di Branching con immigrazione (CBI) sono una classe di processi ben studiati in probabilità. In particolare i lavori di Dawson e Li hanno fornito una scrittura esplicita per l'EDS di un CBI generale e provato l'unicità della soluzione. Utilizzeremo questa scrittura per proporre un estensione del modello CIR includendo una parte di salto nel meccanismo di Branching, considerando in particolare il caso alpha-stabile per la sua parsimonia e la coerenza con i dati statistici. Questo modello ha mostrato di essere capace di riprodurre la persistenza dei bassi tassi d'interesse malgrado la presenza di importanti grandi salti. L'applicazione principale a cui ci interesseremo è un estensione del modello di Heston includendo salti auto-eccitati sul processo di varianza. Studiamo in particolare il comportamento della volatilità implicita dei derivati dell'azione e di quelli dei variance swap. Testiamo il modello sui dati del VIX. Basato su piu lavori con Guillaume Bernis, Ying Jiao, Chunhua Ma, Carlo Sgarra e Chao Zhou.

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seminario presso l'Università di Milano-Bicocca, 4 maggio 2018
by daniela bertacchi 18 Apr '18

18 Apr '18

Il giorno 4 maggio alle ore 14:30 in aula 3014 del Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, la dottoressa Sophie Hautphenne dell'Università di Melbourne e Politecnico di Losanna, terrà un seminario dal titolo: The probabilities of extinction in a branching random walk on a strip Tutti gli interessati sono invitati a partecipare. Abstract. We consider a class of multitype Galton-Watson branching processes with countably infinite type set X whose mean progeny matrices have a block lower Hessenberg form. For these processes, we derive partial and global extinction criteria. Our approach involves embedding a finite-type explosive Galton-Watson process in a varying environment in the original infinite-type process, and then establishing asymptotic relationships between the two processes. We study the probability of extinction in sets of types A ⊆ X , q(A). In particular, we develop conditions for q(A) to be different from the global and partial extinction probability vectors. We present an iterative method to compute the vectors q(A), and investigate their location in the set of fixed points of the progeny generating vector.

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workshop Brescia 28, 29 September 2018
by Elena Vigna 17 Apr '18

17 Apr '18

Dear colleagues on 28 and 29 September 2018 a workshop will take place in Brescia on "LONGEVITY RISK MANAGEMENT, DIFFERENTIAL MORTALITY AND LIFETIME INEQUALITY" Theoretical and applied contributions on • longevity risk measurement and management • mortality risk measurement and management • affordability of pension schemes • risk management for pension funds • optimal pension time • differences in mortality rates: description, forecasting, risk management • best forecasting models for future actuarial measures • sources of lifetime inequalities: description, forecasting, risk management are welcome. More details attached. Regards, Elena Vigna -- Elena Vigna Università di Torino and Collegio Carlo Alberto https://sites.google.com/a/carloalberto.org/elena-vigna-web-page/home

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Ph. D. in Economics and Statistics, UNIMIB
by gianluca cassese 17 Apr '18

17 Apr '18

*Announcement* The Department of Economics, Management and Statistics (DEMS) of the University of Milano-Bicocca is happy to launch the new, four-year *PhD Program in Economics and Statistics* (ECOSTAT). Detailed information on program contents, available scholarships and application procedure for the academic year 2018-19 (cycle XXXIV) can be found here <http://www.unimib.it/unimib-international/phd/phd-programmes/ecostat>. ------------------------------------------------------------ --------------------------------------- -- *Gianluca Cassese* ------------------------------------------------------------------------------- Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa Università degli Studi di Milano-Bicocca via Bicocca degli Arcimboldi, 8 - 20126, Milan, Italy Building U7 - Room 2097 -------------------------------------------------------------------------------

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Avviso di Seminario del Prof. Claudio Macci
by Enrica Pirozzi 16 Apr '18

16 Apr '18

AVVISO di SEMINARIO Il giorno 19 Aprile 2018 ore 14:30 nella Aula E del terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli, il Prof. Claudio Macci del Dipartimento di Matematica, Università di Roma Tor Vergata, terrà un seminario dal titolo: "Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets" Abstract: We consider sequences of partial sums of iid Gaussian random sets (with respect to the Minkowski sum) and we study the asymptotic behavior of some hitting probabilities (of suitable sets of $R^d$) for these partial sums. We also illustrate the use of the importance sampling for the estimation of these hitting probabilities by Monte Carlo simulations. We obtain the analog of well-known results for level crossing probabilities of random walks, and we refer to a version of the classical Cramér's Theorem in large deviations for random compact sets existing in the literature. Joint work with Barbara Pacchiarotti. Tutti gli interessati sono invitati a partecipare. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminar announcement [ A. Zalinescu at UniTn Dept.Math. FBK-CIRM initiative ]
by Luca di persio 16 Apr '18

16 Apr '18

Dear all, this is to announce the following: *Joint Seminar*: Dipartimento di Matematica – Centro Internazionale per la Ricerca Matematica (CIRM) BSDEs with time-delayed generators and associated path-dependent nonlinear Kolmogorov equations Thursday, 19th of April 2018 *Place*: Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari "-1" Time: 10:30 *Speaker*: Adrian Zalinescu (Universitatea Alexandru Ioan Cuza - Iaşi, Romania) *Abstract*: We study the existence and uniqueness for a path-dependent nonlinear Kolmogorov equation. The result is obtained by a stochastic approach, by proving a new type of nonlinear Feynman–Kac representation formula associated to a backward stochastic differential equation with time–delayed generator which is of non–Markovian type. The initiative is funded by the Research in Pairs project [ FBK-CIRM - https://cirm.fbk.eu/research-pairs ] “PATH DEPENDENT PARTIAL DIFFERENTIAL EQUATIONS WITH NONLINEAR BOUNDARY CONDITIONS” ( L. Di Persio, L. Maticiuc, A. Zalinescu ) __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <http://www.hpa8.com/>

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Seminario Prof. Mercuri (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 16 Apr '18

16 Apr '18

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Venerdì 20 Aprile 2018, ore 15 ------------------------------------------------------------ ----------------- *Stanza 34Dipartimento di Scienze Statistiche* *Sapienza Università di Roma* Prof. Lorenzo Mercuri (Università di Milano) Estimation and Simulation of Higher Order CARMA and COGARCH Models Abstract: We show how to simulate and estimate Higher Order CARMA and COGARCH Models in the R package yuima. The usage of continuous time models allows us to manage irregularly spaced data (for example in financial time series due to weekends, holidays and breaks during the trading hours) without considering any missing data imputation method. Several routines for simulation and estimation are discussed. The flexibility of the package is due to the fact that the user is allowed to choose several parametric L\'evy distributions for the increments. Tutti gli interessati sono invitati a partecipare. Saluti Alessandro De Gregorio -- ___________________________________________ *Il tuo 5 diventa 1000* Fai crescere la tua università Dona il 5 per mille alla Sapienza Codice fiscale: *80209930587* https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin… <https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin…>

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Postdocs in NYU-Shanghai
by Roberto Fernandez 16 Apr '18

16 Apr '18

NYU Shanghai invites applications for a number of postdoctoral fellowship positions from candidates with teaching and research interest in mathematical sciences or related disciplines. The fellows will also be part of the NYU-ECNU Institute of Mathematical Sciences at NYU Shanghai. The main scientific themes include theories and applications of probability and nonlinear partial differential equations. The fellows will work closely with faculty mentors, and will interact with groups at NYU Shanghai, including visiting scholars, ECNU, and NYU. The fellows are expected to present their work in seminars and related workshops or conferences. These positions include teaching activities of up to 20 hours per week (averaged over the whole academic year), which may include leading recitation sections, holding office hours, grading, etc. The positions are available starting August 1, 2018, and a later starting date in some cases are also possible, with either one-year or two-year terms, with the possibility to extend. Compensation and benefits will be comparable to international standards and the fellows may also be eligible for small travel grants. Applications are requested as soon as possible, preferably during early March, 2018 and will be considered on a rolling basis as soon as they arrive. To be considered, applicants should submit a letter of intent, curriculum vitae, and the names and addresses of two or more individuals willing to provide letters of reference to mathpostdoc.shanghai(a)nyu.edu. Please visit our website at https://shanghai.nyu.edu/about/work/fellowships for more information and instructions on how to apply. If you have any questions, please email mathpostdoc.shanghai(a)nyu.edu. Roberto Fernandez Department of Mathematics Utrecht University http://www.staff.science.uu.nl/~ferna107 Present address: New York University Shanghai Room 1149-3, 1555 Century Avenue, +8621 2059 5192 Pudong, Shanghai, rf87(a)nyu.edu China 200122

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Expression of interest for Full Professorship in Venice
by Marco LI CALZI 14 Apr '18

14 Apr '18

Il Dipartimento di Management dell’Università Ca’ Foscari Venezia ha pubblicato un avviso per manifestazioni d’interesse ad una chiamata in prima fascia finanziata sui fondi MIUR di Eccellenza in relazione a temi di “Analytical Intelligence in Management”. Al candidato selezionato sarà successivamente affidata la selezione di due RTD-B per creare un gruppo di ricerca. Per maggiori dettagli si rinvia ai link https://www.akadeus.com/announcement,a3755.html <https://www.akadeus.com/announcement,a3755.html> https://inomics.com/job/call-for-expressions-of-interest-for-a-full-profess… <https://inomics.com/job/call-for-expressions-of-interest-for-a-full-profess…> Con preghiera di diffusione. Cordialmente, marco licalzi. ___________________________ Marco Li Calzi Department of Management Università Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://virgo.unive.it/licalzi -- Nota automatica aggiunta dal sistema di posta.

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Call for application! Master in Economics and Finance (IMEF) 2018/2019 - University Ca’ Foscari of Venice
by Roberto Casarin 13 Apr '18

13 Apr '18

Gentili colleghi, con preghiera di diffusione, invio la "call for applications" relativa all'International Master in Economics and Finance dell'Università Ca' Foscari di Venezia. cordiali saluti Roberto Casarin The 25th May 2018 is the deadline for the application to the new edition of the International Master in Economics and Finance (IMEF) - University Ca' Foscari of Venice. For more detailed information please visit: *www.unive.it/imef* *New Edition!** ** After 20 years of IMEF, we are pleased to announce that this new edition will include new courses, that will be still taught by the members of our *International Faculty* <http://www.unive.it/pag/33235/> * Students will benefit from new scholarship provided by our major sponsor: *Prometeia <https://www.prometeia.it/home> and Generali*. * Specialized 4th term and *internship-Prometeia* reserved to IMEF students recruited by Prometeia during the 2nd term. *Why choose IMEF?** *1) IMEF provides a highly qualified programme thanks to its prestigious *International Faculty* <http://www.unive.it/pag/33235/> 2) Students’ Placement is supported directly by IMEF Secretariat and the Director of the Programme. Please have a look to the Former students' experience. Over the past editions, the *Placement rate reached 100%*. See past students: *http://www.unive.it/pag/33229/* 3) Attending IMEF courses will introduce you to *high quality jobs*, which wouldn’t be achievable with only a Master’s Degree title. 4) Preparation for the admission to *PhD Programmes*. *For further information*: Monica Andrighetti <imef(a)unive.it>, tel. 041 234 9108. Best regards Roberto Casarin -- Roberto Casarin Professor of Econometrics IMEF Director University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Web: http://venus.unive.it/r.casarin/ IMEF: http://www.unive.it/imef/ -- Nota automatica aggiunta dal sistema di posta.

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DEC statistics seminars - April 19
by Sandra Fortini 13 Apr '18

13 Apr '18

Dear all, We are glad to announce the next DEC - Statistics Seminar Thursday, April 19 12:30 Meeting room 3-e4-sr03, Via Roentgen 1, 3rd floor Pietro Muliere (Bocconi University) The two-armed Bayesian nonparametric beta-Stacy bandit problem Kind regards, Raffaella Piccarreta and Isadora Antoniano The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar ATTENTION: 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. ****************************** ********************* Isadora Antoniano Villalobos Assistant Professor DEC - Department of Decision Sciences, Bocconi University, via Guglielmo Röntgen 1 (3rd floor, room D1-16). 20136, Milano. email : isadora.antoniano(a)unibocconi.it Web page: http://faculty.unibocconi.eu/isadoraantonianovillalobos *************************************************** --- Dai il tuo 5x1000 alla Bocconi. Aiuta gli studenti meritevoli a costruire il proprio futuro. CF 80024610158. www.unibocconi.it/5x1000 Please note that the above message is addressed only to individuals filing Italian income tax returns. 5x1000 is a percentage of Italian personal income tax that taxpayers can allocate to Universities, scientific research and non profit organizations. ---

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Avviso seminario_Giovanni Zanco_16 aprile 2018_ore 11:00
by Stefano Bonaccorsi 13 Apr '18

13 Apr '18

Carissimi, il Dipartimento di Matematica dell'Università di Trento invita gli interessati al seguente seminario: A mean-field model with discontinuous coefficients for interacting neurons *Lunedì 16 aprile 2018* *Luogo*: *Aula seminari (piano terra)* *Dipartimento di Fisica* *Ore*: 15:00 Relatore: - *Giovanni Alessandro Zanco* (IST Wien) Abstract: We propose a new stochastic model for a system of interacting neurons that follow an integrate-and-fire dynamics with interaction that depends on the (random) spatial configuration of neurons and with discontinuous coefficients. We prove strong well-posedness of the resulting system of SDEs and study the mean-field limit as the number of particles tends to infinity. We obtain a Fokker-Planck-type PDE and show that it has a unique weak function-valued solution, obtained as the limit of the laws of the empirical measures for the system of particles. *Referente:* Stefano Bonaccorsi

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Fwd: Sujet de thèse à diffuser
by RITA GIULIANO 13 Apr '18

13 Apr '18

Buongiorno. Informo i possibili interessati che Il Prof.Faïcel Chamroukhi, (Universita' di Caen) https://chamroukhi.users.lmno.cnrs.fr/ cerca studenti in tesi in statistica. Il soggetto di tesi e' disponibile all'indirizzo https://chamroukhi.users.lmno.cnrs.fr/phd-training-positions/These-DeepMoE-… Cordiali saluti Rita Giuliano

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rtd-a position in MAT/06 at the University of Trento
by Stefano Bonaccorsi 12 Apr '18

12 Apr '18

The Department of Mathematics of the University of Trento (henceforth referred to as "the Department") has just opened a call for a junior researcher position (Ricercatore a tempo determinato di tipo a) in the area of Probability/Stochastic Processes. Candidates are expected to hold a Ph.D. and to have a good publication record in the area of Probability/Stochastic Processes. The successful candidate is expected to participate in the activities of the research group in Stochastic Processes. The successful candidate will be required to provide lecturing and tutoring activities in the area of Probability and Mathematical Statistics (typically one course per year). The position is a fixed-term contract of employment for three years, renewable for a further two years. At the end of the period, the Department will have the opportunity to open a call for a tenure-track position in the same area. Applications should be submitted exclusively through the web sitehttp://www.unitn.it/ateneo/bando-dr-valcomp/50780/valutazione-comparativa-a-n-1-posto-di-ricercatore-a-tempo-determinato-tipo-a-l-2402010-settore-co The deadline is May 10 2018 at 13:00 CEST. Incomplete applications, or application submitted after that deadline, will not be considered. For information on the scientific aspects of the positions, please contact the Head of Department at direttore.maths(a)unitn.it (current Head is Professor Andrea Caranti) For information on preparing and submitting the application, please contact the Personnel Office for Professors and Researchers (by telephone on +39 0461 283348 or +39 0461 283306, by email at recruitment(a)unitn.it).

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Bayesian Inference and Approximations of High-Dimensional Network Models: PhD e postdoc all'Universita' del Sussex, UK
by Enrico Scalas 12 Apr '18

12 Apr '18

Car* collegh*, al Dipartimento di Matematica dell'Universita' del Sussex abbiamo due bandi aperti sul tema: Bayesian Inference and Approximations of High-Dimensional Network Models. 1. Research fellow http://www.sussex.ac.uk/about/jobs/research-fellow-in-mathematics-3077 2. PhD http://www.sussex.ac.uk/study/fees-funding/phd-funding/view/911-Bayesian-In… 3. Inoltre potrebbe interessare anche questa borsa di dottorato su Big Data Machine Learning for Human Behaviour Modelling http://www.sussex.ac.uk/study/fees-funding/phd-funding/view/912-Big-Data-Ma… Cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Dependence Modeling - Special Issue on Model Uncertainty and Robust Finance - REMINDER
by Emanuela Rosazza 11 Apr '18

11 Apr '18

DEPENDENCE MODELING (now covered by SCOPUS) SPECIAL ISSUE on Model Uncertainty and Robust Finance Guest Editors: Marco Frittelli, University of Milano Emanuela Rosazza-Gianin, University of Milano-Bicocca SCOPE Dependence Modeling will publish a special issue devoted to the workshop “Model Uncertainty and Robust Finance” with the plan to have it published in September 2018. Both original research contributions and survey papers are welcome. Topics covered by this Special Issue include, but are not limited to: • Model Risk • Systemic Risk • Robust Methods for Finance • Dependence Uncertainty • Axiomatic Theory of Risk Measures • Extremal Dependence Scenarios HOW TO SUBMIT All submissions to the special issue must be made electronically at http://www.editorialmanager.com/depmod/ and will undergo the standard peer review process. When submitting your paper please choose “SI: Model Uncertainty and Robust Finance”. The deadline for the submissions is May 15, 2018 but individual papers will be reviewed and published online on an ongoing basis. Contributors to this Special Issue will benefit from: • No article publication fees • No Copyright constraints • Unlimited and free Open Access for all readers • Fair and constructive peer review provided by experts in the field • Fast online publication of articles • Free language assistance for authors from non-English speaking regions We are looking forward to your submission. If you have any question, please contact us at demo.editorial(a)degruyter.com ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Applied Bayesian Statistics School
by Consonni Guido 11 Apr '18

11 Apr '18

This is a reminder that early-bird registration is still available for ABS18, the 15th Applied Bayesian Statistics Summer School. The daily programme is available on the website. web.mi.imati.cnr.it/conferences/abs18/index.html Topic: BAYESIAN STATISTICAL MODELLING AND ANALYSIS IN SPORT Dates: 4-8, June, 2018 Location: Villa del Grumello, Como, Italy Lecturer: Kerrie MENGERSEN, Distinguished Professor of Statistics, Queensland University of Technology, Brisbane, Australia. Practical sessions: Paul WU, Research Fellow, Queensland University of Technology, Brisbane, Australia. Fees (if paid before May 1, 2018): - EUR 300 (22% VAT included) students and postdocs - EUR 450 (368.85 + 22% VAT) people from academic and non-profit organisations - EUR 900 (737.70 + 22% VAT) all the others Italian public employees are exempt from VAT. Best regards Guido Consonni and Fabrizio Ruggeri ABS18 Directors Raffaele Argiento ABS18 Executive Director Dipartimento di Scienze Statistiche Università Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano; ITALY Ph: +39 02 7234 3049 https://sites.google.com/site/consonnibayes/home Master of Science in Statistical Actuarial Sciences/track in Data Analytics http://www.ucscinternational.it/graduate-programs/2-year-graduate-degrees-i… Master in Data Science for Management master.unicatt.it/datascience [http://Static.unicatt.it/layout/img/layout/5x1000.gif] Destina il tuo 5 per mille all'Università Cattolica CF 02133120150 www.unicatt.it/5permille<http://www.unicatt.it/5permille/>

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Senior lecturer position (teaching in German)
by Erika Hausenblas 11 Apr '18

11 Apr '18

There is a senior lecturer Position aviable at our department in applied mathematics. See http://www.unileoben.ac.at/de/3021/ (or attachment). For informal queries please contact erika.hausenblas(a)unileoben.ac.at Erika

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seminario Silvana Pesenti - 23 aprile 2018
by Emanuela Rosazza 10 Apr '18

10 Apr '18

Si avvisa che il giorno lunedì 23 aprile alle ore 16 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario: Speaker: Silvana Pesenti (Cass Business School, City, University of London) Titolo: “Cascade Sensitivity Measures” Abstract: In risk management, an internal model consists of three elements: (i) a random vector of input risk factors, (ii) a real valued aggregation function, and (iii) the output, which is a random variable obtained by applying the aggregation function to the vector of risk factors. Sensitivity analysis often requires evaluation of changes in the distribution of the output, when the distribution of risk factors is varied with reference to a baseline input distribution. We introduce a novel sensitivity measure termed cascade sensitivity, which quantifies the extent to which small changes (stresses) in an individual risk factor affect the output risk measure. The proposed method captures the direct impact on the output, as well as indirect effects via other risk factors that are dependent with the one being stressed. In this way, the dependence between risk factors is explicitly taken into account. Alternative representations of the cascade sensitivity measure are provided, requiring either knowledge of the aggregation function's gradient or additional evaluations of the model under alternative distributional assumptions. This is of particular interest in applications, where the distribution of the output is typically determined via simulation methods. Furthermore we give a representation of the proposed sensitivity measure that can be calculated from a single simulated sample starting from the baseline model, without the need to simulate under a different model specification or to explicitly study the properties of the aggregation function. This makes the proposed method attractive for practical applications, as is illustrated through numerical examples. Joint work with Pietro Millossovich and Andreas Tsanakas. Tutti gli interessati sono invitati a partecipare. Un saluto cordiale, Emanuela ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Advanced School on complexity and emergence: second announcement
by elisa mastrogiacomo 10 Apr '18

10 Apr '18

This is the *second** announcement* of the upcoming *Advanced School on complexity and emergence: ideas, methods, with a special attention to economics and finance (CEIM)* The School will be held in the magnificent Villa del Grumello, Como (Italy) along the Lake Como shore on July 22-27, 2018. The main courses will be given by L. Boi (EHESS – Paris), I. Capelli (Università dell’Insubria), I. Ekeland (Ceremade - Universitè Paris-Dauphine), F. Guerra (Sapienza Università di Roma), J. Jost (Max Planck Institute for Mathematics in the Sciences - Leipzig), Florent McIsaac, (Agence Française pour le Développement), F. Patras (Université de Nice Sophia-Antipolis), F. Riedel (Center for Mathematical Economics, Bielefeld University), F. Semboloni (Università degli studi di Firenze), R. Seri (Università dell’Insubria). The potential participants of the School are primarily master and doctorate students of mathematics, information sciences, theoretical physics, and economics, as well as research workers in those areas, who want to enlarge their spectrum of knowledge towards the area of complexity. The aim of the School is to provide these researchers useful instruments from the theory of complex systems, both on the theoretical level and the methodological ones, bridging the present disciplinary gap, and profiting from knowledge and insights from both communities. The School may have some (limited number of) financial supports. Details about the registration, the application for financial support are available at the website http://ceim.lakecomoschool.org/. We would be grateful if you could circulate this announcement among your PhD students, postdocs and colleagues. With our best regards, Sergio Albeverio Elisa Mastrogiacomo Fabio Minazzi Emanuela Rosazza Gianin Stefania Ugolini

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Seminario congiunto di Fisica Matematica e Probabilita' a Roma1
by Faggionato, Alessandra 09 Apr '18

09 Apr '18

Mercoledì 18 aprile, ore 16:30, aula di Consiglio, Dipartimento di Matematica, La Sapienza. Speaker: Fabio Toninelli (Université Lyon 1) *Title: Lozenge tiling dynamics and hydrodynamic equation* Abstract: We study a reversible continuous-time Markov dynamics on lozenge tilings of the torus, introduced by Luby et al. Single updates consist in concatenations of n elementary lozenge rotations at adjacent vertices, with rate 1/n. The dynamics can also be seen as a reversible stochastic evolution of a 2+1-dimensional interface. The dynamics is known to enjoy especially nice features: a certain Hamming distance between configurations contracts with time on average and the relaxation time of the Markov chain is diffusive. We present another remarkable feature of this dynamics, namely we derive, in the diffusive time scale, a fully explicit hydrodynamic limit equation for the height function (in the form of a non-linear parabolic PDE). The mobility coefficient μ in the equation has non-trivial but explicit dependence on the interface slope and, interestingly, is directly related to the system’s surface free energy. The derivation of the hydrodynamic limit is based on the so-called H^{-1} method due to Yau and Funaki-Spohn. Based on joint work with Benoit Laslier (Paris 7). -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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38th Finnish Summer School on Probability and Statistics (28.5-1.6.2018 in Lammi Finland)
by Elvira Di Nardo 08 Apr '18

08 Apr '18

Dear friends of Stochastics and Statistics, Registration <https://elomake.helsinki.fi/lomakkeet/87642/lomake.html> to the 38th Finnish Summer School on Probability and Statistics (28.5-1.6.2018 in Lammi Biological Research Station, Finland), is open! Please check the website https://fdnss.fi/summer-school/38th-summer-school/ Courses Ivan Nourdin <https://sites.google.com/site/ivannourdin/home> (U Luxembourg): *The Malliavin-Stein approach*Dylan Possamaï <https://sites.google.com/site/possamaidylan/> (Columbia U): *An introduction to backward SDEs and applications in finance and economics* Piotr Zwiernik <http://84.89.132.1/~piotr/> (U Pompeu Fabra): *Latent tree models* The Finnish Summer School on Probability and Statistics has a long tradition starting from the first summer school in Tuusula 1976. The mission of the summer school is to provide one-week intensive courses on active research topics in probability and statistics, lectured by leading scholars in the field. The school is targeted primarily for doctoral students in probability, statistics, and related areas. Researchers advanced MSc students and fresh postdocs are also encouraged to apply. The summer schools are currently organized by the Finnish Doctoral Education Network in Stochastics and Statistics (FDNSS). For enquiries, please contact Dario Gasbarra <https://wiki.helsinki.fi/display/mathstatHenkilokunta/Gasbarra,+Dario> PL 68 (Gustaf Hällströmin katu 2b) 00014 University of Helsinki, Finland Phone: +358 9 191 51407 Email: dario.gasbarra ‘at’ helsinki.fi -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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Corso KOLOKOLTSOV
by Matteo Ruggiero 06 Apr '18

06 Apr '18

Cari colleghi, nell’ambito del programma di Visiting Professors per la Laurea Magistrale in Stochastics and Data Science dell’Università di Torino, siamo lieti di annunciare il seguente corso: Vassili KOLOKOLTSOV (University of Warwick) MARKOV SEMIGROUPS AND DIFFUSION PROCESSES che si terrà nell’aula 12 di Corso Unione Sovietica 218/bis, 10134, Torino, secondo il seguente calendario: Apr 9: 9:15-11:15 Apr 10: 9:15-11:15 Apr 11: 4:00-6:00 Apr 12: 11:15-13:15 Apr 13: 9:15-11:15 Apr 16: 9:15-11:15 Apr 17: 9:15-11:15 Apr 18: 4:00-6:00 Il corso è rivolto agli studenti del primo anno della Laurea Magistrale, ma la partecipazione è libera agli interessati. Il programma completo di Visiting Professors si può consultare alla pagina http://www.master-sds.unito.it/do/home.pl/View?round=1&doc=visitingprofesso… Cordiali saluti, I coordinatori del Programma Laura Sacerdote e Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Summer School MATHEMATICS OF PLANET EARTH
by Enrico Scalas 06 Apr '18

06 Apr '18

Car* collegh*, vi segnalo la seguente scuola a Reading, UK. Cordiali saluti Enrico Scalas ---------------------------------------------------------------------------- Summer School MATHEMATICS OF PLANET EARTH April 23 -26, 2018 at University of Reading. Course Titles and Conveners: Freddy Bouchet (ENS de Lyon, Climate and Statistical Mechanics group): ``Dynamical system and statistical mechanics approaches to geophysical fluid dynamics and climate'' Mickael Chekroun (UCLA Athmospheric and Ocean science): ``Stochastic Dynamics and applications to weather'' Edriss Titi (Texas A&M University, Matematics and Weizmann Institute): ``Data Assimilation of GFD'' Each course consists of six lectures (45 mins each) and a one hour tutorial. The school is hosted and supported by the EPSRC Centre for Doctoral Training Mathematics for Planet Earth (MPECDT). The school is aimed at PhD students and early research scientists, but any researcher interested in participating is warmly welcomed. For further information consult the webpage: http://www.reading.ac.uk/maths-and-stats/news/Summer-School-MPE-2018.aspx Summer School Mathematics of Planet Earth - University of Reading <http://www.reading.ac.uk/maths-and-stats/news/Summer-School-MPE-2018.aspx> www.reading.ac.uk Summer School Mathematics of Planet Earth

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RtdA Mat06 Sapienza Roma
by Luisa Beghin 06 Apr '18

06 Apr '18

Con preghiera di diffusione: L'*Università* *Sapienza di Roma *ha pubblicato il bando per il reclutamento di un *RTD-A* nel settore *MAT/06, *presso il Dipartimento di Scienze Statistiche, per attività di ricerca nell'ambito dei processi aleatori e delle equazioni con operatori pseudodifferenziali. *Il bando scade il 5 maggio 2018* ed è disponibile al link http://www.dss.uniroma1.it/sites/default/files/Bando%20Beghin%20f.to_.pdf Cordiali saluti Luisa Beghin ***************************************************************** Luisa Beghin Dipartimento di Scienze Statistiche Fac. Ingegneria dell'Informazione, Informatica e Statistica "SAPIENZA" Università di Roma Piazzale Aldo Moro 5, 00185 Roma T (+39) 06 49910543 F (+39) 06 4959241 http://www.dss.uniroma1.it/?q=content/beghin-luisa ***************************************************************** -- ___________________________________________ *Il tuo 5 diventa 1000* Fai crescere la tua università Dona il 5 per mille alla Sapienza Codice fiscale: *80209930587* https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin… <https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin…>

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Logic, Uncertainty and Games Summer School
by hykel hosni 06 Apr '18

06 Apr '18

*FINAL CALL FOR APPLICATIONS* Logic, Uncertainty and Games Summer School (LUG2018) Lake Como School of Advanced Studies 9th-13th July 2018 Aims and structure ================== The goal of the Logic, Uncertainty and Games School is to contribute towards the creation of cross-disciplinary common grounds for research on rational reasoning and (interactive) decision making under uncertainty. To this end the School will feature three eight-hour tutorials delivered by leading experts in the fields of Logic, Uncertainty and Games. Each tutorial is followed by one (or more) example-class session aimed at developing in greater detail one specific topic (e.g. the full proof of a theorem or a generalisation of a notion which is being used in a particular case). Finally, graduate students and junior researchers will deliver Work-in-progress sessions. This will provide them a unique opportunity to receive feedback from the School lecturers, while developing strong inter-disciplinary communication skills. The summer school is co-located with the LOFT 2018 workshop, to be held on the following week (16-18 July) at Bocconi University, Milan Confirmed tutorial speakers =========================== Logic ~~~~~ Sophie Pinchinat (Department of Electrical Engineering and Computer Science, University of Rennes 1) Uncertainty ~~~~~~~~~~~ Sujoy Mukerji (School of Economics and Finance, Queen Mary London) Games ~~~~~ Burkhard C. Schipper (Department of Economics, University of California, Davis) Closing lecture ~~~~~~~~~~~~~~~ Joe Halpern (Computer Science Department, Cornell University) How to apply ============ We invite applications from up to 35 advanced postgraduate students and early career researchers from Economics, Computer Science, Philosophy, and related disciplines to participate. The application process will be competitive and participants will be selected according to research interests and, whenever meaningful, publications. To apply visit [http://lucg.lakecomoschool.org/application/] In case you intend to give a presentation, you should add to your application: - the title of your talk - one page abstract of your contribution Registration fees ================= There is a registration fee of 250 euro (VAT 22% included) which covers all lectures; course material; wi-fi connections; lunches and coffee breaks; social dinner. Limited financial support may be available for strong applicants who do not have access to funding, please see the application webpage for details. Deadlines ========= - Application: April 10, 2018 - Notification of acceptance: May 2, 2018 - Registration (only accepted students): May 15, 2018 School Directors ================ Pierpaolo Battigalli, Università Bocconi, pierpaolo.battigalli(a)unibocconi.it Hykel Hosni, Università degli studi di Milano and Università Bocconi hykel.hosni(a)unibocconi.it Massimo Marinacci, Università Bocconi, massimo.marinacci(a)unibocconi.it

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Seminario LISEO
by Matteo Ruggiero 06 Apr '18

06 Apr '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 13 Aprile 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Brunero LISEO (Università di Roma La Sapienza) MODELLING PREFERENCE DATA WITH THE WALLENIUS DISTRIBUTION The Wallenius distribution is a generalisation of the Hypergeometric distribution where weights are assigned to balls of different colours. This naturally defines a model for ranking categories which can be used for classification purposes. Since, in general, the resulting likelihood is not analytically available, we adopt an approximate Bayesian computational (ABC) approach for estimating the importance of the categories. We illustrate the performance of the estimation procedure on simulated datasets. Finally, we use the new model for analysing two datasets about movies ratings and Italian academic statisticians' journal preferences. The latter is a novel dataset collected by the authors. This is a joint work with Clara Grazian and Fabrizio Leisen. ------------------------------------------------ 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

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Seminar by Giacomo Livan, UCL April 19, 2018 11:00 AM @Bologna, Viale Filopanti 5 Aula Studio (ex Sala Biblioteca)
by Giacomo Bormetti 06 Apr '18

06 Apr '18

? Dear all, Thursday April 19, 2018 at 11:00 AM in Aula Studio (ex Sala Biblioteca) 1st floor, Viale Filopanti, 5 Bologna. Giacomo Livan University College London will present Detecting and measuring bias in online platforms: A Network Science approach The last few years have witnessed the rise of the Sharing Economy, a collection of decentralized online platforms whose users exchange knowledge, goods, and resources on a peer-to-peer basis. Sharing Economy platforms are often praised for their meritocratic approach, where all participants, regardless of their gender or ethnicity, receive the same opportunities to emerge through digital peer review mechanisms. Yet, they have recently come under fire due to reports of discriminatory behaviours and manipulations of their reputation systems. This raises an important question: are Sharing Economy platforms fair marketplaces, where all participants operate on a level playing field, or are they large-scale online aggregators of offline human biases? In this talk I will address this question on a number of examples, showing how online platforms can be represented in terms of networks, and how this allows to detect and measure some of the biases that might affect their users' behaviour. In particular, I will present clear evidence of avoidance between users from different ethnic backgrounds on Airbnb, and I will show how user reputation scores are distorted by the widespread practice of reciprocating highly positive ratings in a variety of platforms. I will conclude by discussing how these findings can be used to provide platform design recommendations, aimed at exposing and possibly reducing the biases we detect, in support of a fairer and more inclusive growth of Sharing Economy platforms. ? Feel free to forward this message to anyone who is potentially interested in. Best, Giacomo Giacomo Bormetti Professore associato Metodi matematici per l'economia e le scienze attuariali e finanziarie Dipartimento di Matematica, Università di Bologna?

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From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance
by Daniele Marazzina 06 Apr '18

06 Apr '18

Con preghiera di diffusione ________________________________ Da: qfinlab(a)polimi.it Oggetto: From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance Il Nicola Bruti Liberati Quantitative Finance Lab del Dipartimento di Matematica del Politecnico di Milano organizza nei giorni 9-10 maggio 2018 la conferenza >From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance La conferenza si svolge nell’ambito dell'iniziativa Polimi Fintech Journey grazie al supporto di Deloitte Consulting. Allego il programma in pdf. La conferenza si rivolge al mondo accademico e a quello dell’industria finanziaria con l’intenzione di fare il punto attorno a tre temi: aspetti tecnologici legati al mondo DLT e degli smart contracts, i risvolti economici e finanziari di questi strumenti, le potenziali applicazioni al mondo della finanza. La conferenza ha un taglio multidisciplinare con l’intervento di esperti informatici e del mondo della finanza, esponenti dell’industria finanziaria e delle autorità di regolazione, La conferenza sarà preceduta da un tutorial che intende fornire un’introduzione sulla tecnologia di questi strumenti. Per dettagli sul programma e per la registrazione si prega di consultare il sito https://www.mate.polimi.it/fintech/. Emilio Barucci

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[EVENT] Statalk2018@Polimi - REGISTRATION IS OPEN
by Matteo Fontana 06 Apr '18

06 Apr '18

Dear Random; The next StaTalk will be held in a month, on the 4th of May 2018 at Politecnico di Milano. The title of StaTalk@Polimi is "Complex Data and Real World Applications". StaTalks are one-day events organized by PhD students in statistics and related fields of different universities all around Italy. This time the StaTalk is organized and hosted by Department of Mathematics of Politecnico. StaTalk@Polimi is focused on giving a perspective on the modern challenges of applied statistics, combining novel statistical techniques with challenging problems in different application fields such as Neuroimaging, Smart Cities, Climate and Earth Sciences, and Administrative Data Analysis. You can have additional information about the schedule of the event, the topics and the speakers on the Statalk@Polimi website: https://statalk2018polimi.github.io/ Attendance is free but registration is required for organizational reasons. Save the date! For any additional information or questions you can contact us at statalk2018(a)polimi.it<mailto:statalk2018@polimi.it> Matteo Fontana for the StaTalk Organizing Committee

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Fwd: Avviso seminario_Carlo Orrieri _10 aprile 2018_ore 11:45
by Stefano Bonaccorsi 05 Apr '18

05 Apr '18

Carissimi, il Dipartimento di Matematica dell'Università di Trento invita gli interessati al seguente seminario:Controlled interacting particle systems *martedì 10 Aprile 2018* *Luogo: *Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari "-1" *Ore*: 11:45 *Relatore * - *Carlo Orrieri *(Università di Roma la Sapienza) *Abstract:* We want to connect the optimal control of Vlasov-type PDEs with large systems of controlled interacting particles. The main difference towards the classical mean-field theory is the presence of a central planner influencing the dynamic. In order to rigorously develop a limit theory for this problem we employ the concept of Gamma-convergence. We finally discuss some connections with large deviations theory. The talk is mostly based on a joint paper with M. Fornasier, S. Lisini and G. Savare. *Referente*: Stefano Bonaccorsi

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Seminar by Giacomo Livan, UCL April 19, 2018 11:00 AM @Bologna, Viale Filopanti 5 Aula Studio
by Giacomo Bormetti 05 Apr '18

05 Apr '18

Dear all, Thursday April 19, 2018 at 11:00 AM in Aula Studio (ex Sala Biblioteca) 1st floor, Viale Filopanti, 5 Bologna. Giacomo Livan University College London will present Detecting and measuring bias in online platforms: A Network Science approach The last few years have witnessed the rise of the Sharing Economy, a collection of decentralized online platforms whose users exchange knowledge, goods, and resources on a peer-to-peer basis. Sharing Economy platforms are often praised for their meritocratic approach, where all participants, regardless of their gender or ethnicity, receive the same opportunities to emerge through digital peer review mechanisms. Yet, they have recently come under fire due to reports of discriminatory behaviours and manipulations of their reputation systems. This raises an important question: are Sharing Economy platforms fair marketplaces, where all participants operate on a level playing field, or are they large-scale online aggregators of offline human biases? In this talk I will address this question on a number of examples, showing how online platforms can be represented in terms of networks, and how this allows to detect and measure some of the biases that might affect their users' behaviour. In particular, I will present clear evidence of avoidance between users from different ethnic backgrounds on Airbnb, and I will show how user reputation scores are distorted by the widespread practice of reciprocating highly positive ratings in a variety of platforms. I will conclude by discussing how these findings can be used to provide platform design recommendations, aimed at exposing and possibly reducing the biases we detect, in support of a fairer and more inclusive growth of Sharing Economy platforms. ? Feel free to forward this message to anyone who is potentially interested in. Best, Giacomo Giacomo Bormetti Professore associato Metodi matematici per l'economia e le scienze attuariali e finanziarie Dipartimento di Matematica, Università di Bologna

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Roma Tre 10-04-2018: Hubert Lacoin, Wetting and Layering for Solid-and-Solid
by Pietro Caputo 30 Mar '18

30 Mar '18

SEMINARIO Probabilita' Hubert Lacoin (IMPA, Rio de Janeiro, Brasil) Titolo: Wetting and Layering for Solid-and-Solid Martedi' 10 Aprile 2018 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - AULA 311 Abstract Solid-on-Solid (SOS) was introduced in the early 50s as a simplified model for lattice interfaces. It is believed to display the same low temperature behavior as three-dimensiona systems with phase coexistence while being considerably easier to analyze. The objective of this talk is to present the result we recently obtained for SOS interacting with a solid substrate, which is the problem associated with the following energy functional $$ V(phi)=eta sum_{xsim y}|phi(x)-phi(y)|-sum_{x}left(h{f 1}_{{phi(x)=0}}-infty{f 1}_{{phi(x)<0}} ight), $$ for $(phi(x))_{xin mathbb Z^2}$ (the graph of $phi$ representing the interface). We prove that for eta sufficiently large, there exists a decreasing sequence $(h^*_n(eta))_{nge 0}$, satisfying $lim_{n oinfty}h^*_n(eta)=h_w(eta)$, and such that: (A) The free energy associated with the system is infinitely differentiable on $mathbb R setminus left({h^*_n}_{nge 1}cup h_w( eta) ight)$, and not differentiable on ${h^*_n}_{nge 1}$. (B) For each nge 0 within the interval $(h^*_{n+1},h^*_n)$ (with the convention $h^*_0=infty$), there exists a unique translation invariant Gibbs state which is localized around height $n$, while at a point of non-differentiability, at least two ergodic Gibbs states coexist. The respective typical heights of these two Gibbs states are $n-1$ and $n$. The value $h^*_n$ corresponds thus to a first order layering transition from level $n$ to level $n-1$.

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[WORKSHOP] Stochastic Analysis, Geometry and Statistics at Imperial College London, June 21-22
by Brigo, Damiano 27 Mar '18

27 Mar '18

Workshop on Stochastic Analysis, Geometry and Statistics at Imperial College London, June 21-22, 2018. http://www.imperial.ac.uk/sagest-2018/ Invited speakers: Michael Betancourt (Symplectomorphic, LLC) David Elworthy (Warwick) Peter Friz (TU Berlin) Mark Girolami (Alan Turing Institute) Karen Haberman (Bonn) Martin Hairer (Imperial College London) Yves Le Jan (Université Paris-Sud) Xue-Mei Li (Imperial College London) Terry Lyons (Oxford) Nigel Newton (Essex) James Norris (Cambridge) Grigorios Pavliotis (Imperial College London) Giovanni Pistone (Turin) Amanda Turner (Lancaster) ORGANISING COMMITTEE John Armstrong (KCL) Damiano Brigo Thomas Cass CONFERENCE SECRETARIAT Claudio Bellani Emilio Rossi Ferrucci FUNDING BODIES CFM - Imperial Institute of Quantitative Finance Department of Mathematics, Imperial College London Department of Mathematics, King's College London London Mathematical Society CONTACTS AND REGISTRATION http://www.imperial.ac.uk/sagest-2018/contacts-and-registration/ ------ Prof. Damiano Brigo Chair at the Department of Mathematics Mathematical Finance and Stochastic Analysis Groups Imperial College London www3.imperial.ac.uk/people/damiano.brigo

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HFFE2018 CALL FOR PAPERS @ Scuola Normale Superiore
by Daniele Tantari 26 Mar '18

26 Mar '18

Dear colleagues, we are pleased to announce the workshop *Frontiers in High-Frequency Financial Econometrics * that will be held at Scuola Normale Superiore in Pisa (Italy) on 28-29 September 2018. The aim of the Workshop is to bring together leading experts and young researchers in the field of financial econometrics and mathematical finance with application to high-frequency finance. The main purpose is to listen to new ideas, and discuss about future perspective in the field. The organizers encourage submissions of papers on any topic within the overall theme of the conference with a special emphasis on the following areas: realized (co)variance estimation and forecasting, high-frequency finance, liquidity and price discovery, market microstructure analysis. The scientific committee of the workshop consists of: Giacomo Bormetti (University of Bologna), Fulvio Corsi (University of Pisa), Fabrizio Lillo (University of Bologna), Maria Elvira Mancino (University of Florence), Stefano Marmi (Scuola Normale Superiore), Davide Pirino (University of Rome "Tor Vergata"), Roberto Renò (University of Verona) *CALL FOR PAPERS* *Both papers and extended abstracts (max 4 pages) are accepted for presentation in a regular session or a poster session.* The final program of the workshop will include both submitted and invited papers. Our keynote speakers are: - *Yacine Ait-Sahalia *(Princeton University) - *Nikolaus Hautsch* (University of Vienna) - *André Lucas *(VU University Amsterdam) - *Mathieu Rosenbaum *(Ecole Polytechnique) For more information on submission and registration, see the attached flyer and the conference website https://www.hffe2018sns.com/ or contact hffe.workshop(a)gmail.com *Important dates:* Submission of a complete paper or extended abstract: May 31th, 2018 Decision: June 30th, 2018 Registration deadline: August 15th, 2018 On behalf of the organizing committee, Best Regards, Daniele Tantari

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Opening of a Post Doc position in Luxembourg
by Giovanni Peccati 26 Mar '18

26 Mar '18

Cari Colleghi, ho appena aperto un bando per un postdoc di due anni e mezzo (30 mesi) nel mio gruppo in Lussemburgo. La scadenza è il 30 aprile 2018, ed il postdoc dovrebbe iniziare tra il primo giugno 2018 (al più presto) e il primo dicembre 2018 (al più tardi). Qui sotto, trovate l'annuncio in inglese, con le necessarie istruzioni. Cordiali saluti, Giovanni Peccati --------------------------------- Dear Colleagues, I am happy to announce the opening of a new post-doc position in my group at *Luxembourg University, with specific focus on stochastic analysis and stochastic geometry. * The length is *2 years and a half* (30 months), starting anytime between *June 1st, 2018,* and *December 1st, 2018*. The deadline for applications is *April 30th, 2018.* The exact details of the position can be found here: http://emea3.mrted.ly/1ryuy The webpage also contains a link for online applications. Please, do not hesitate to share this announcement with your colleagues - in case they might be interested. With my best regards, Giovanni Peccati --------------------------------------- -- 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

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MSP 2018 - LAST CALL
by gianluca cassese 26 Mar '18

26 Mar '18

*LAST CALL FOR PAPERS* *The Mathematics of Subjective Probability - MSP 2018* The MSP 2018 Workshop will be held in September 3-5, at the University of Milan Bicocca. https://sites.google.com/view/MSP-2018 The workshop will host the following keynote speakers: - *Ehud Kalai*: *"Bayesian Learning with Economic Applications";* - *Rajeeva Karandikar*: *"Limit Theorems on Finitely Additive Probability Spaces"* ; - *Massimo Marinacci*: "*Uncertainty and All That*", - *Eugenio Regazzini*: "*Possible Effects of de Finetti's Coherence Principle on Statistical Reasoning*" - *William D. Sudderth*: "*Finite Additivity in Dubins-Savage Gambling and Stochastic Games *". MSP 2018 is open to contributions from all fields in which the subjective approach to probability is relevant, from Statistics to Economics and Game Theory. The list of potential topics includes (*but is not limited to*): - Ambiguity; Bayesian statistics; Coherence; Conditioning; Decision models under risk and uncertainty; Equivalent martingale measures; Finitely additive probabilities; Gambling; Game Theory; Limit theorems; Mass transportation; Merging of opinions; Multiple priors; Partial knowledge. The Springer Journal "*Decisions in Economics and Finance*" plans to devote a special issue to the workshop *Important dates* - *Paper submission -- April 31th* - *Notification of acceptance -- May 31st* - *Conference subscription -- June 30th* The organizing committee, --------------------------- Gianluca Cassese Pietro Rigo Barbara Vantaggi --------------------------

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[COURSE] RobustStatistics@MilanoBicocca - SAVE THE DATE
by Francesca Greselin 23 Mar '18

23 Mar '18

ROBUST STATISTICS: FOUNDATIONS AND RECENT DEVELOPMENTS *April 9-13, 2018University of Milano-BicoccaMilan, Italy* Lecturers: Antony Atkinson <https://www.researchgate.net/profile/Anthony_Atkinson3>, London School of Economics, UK Marco Riani <https://www.researchgate.net/profile/Marco_Riani>, University of Parma, IT Agustin Mayo-Iscar <https://www.researchgate.net/profile/Agustin_Mayo>, University of Valladolid, ES RobustStatistics@MilanoBicocca is focused on giving a perspective on the modern challenges of robust statistics, combining novel statistical techniques with challenging problems in different application fields. *Monday April 9* Introduction to robust statistics, *Antony Atkinson *(9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani *(2.30 - 5.30 p.m.) *Tuesday April 10* Robust regression analysis and transformations, *Antony Atkinson* (9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani* (2.30 - 5.30 p.m.) *Wednesday April 11* Robust multivariate analysis and transformations, *Antony Atkinson* (9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani* (2.30 - 5.30 p.m.) *Thursday **April 12* Introduction to robust clustering, *Agustin Mayo Iscar *(9 a.m.-1 p.m.) Applications in R and Matlab, *Agustin Mayo Iscar, Marco Riani *(2.30 - 5.30 p.m.) *Friday April 13 * Advances in robust clustering, *Agustin Mayo Iscar *(9 a.m.-1 p.m.) Applications in R and Matlab, *Agustin Mayo Iscar, Marco Riani *(2.30 - 5.30 p.m.) *For additional information please visit the course <http://www.cladag2017.unimib.it/robust-statistics-foundations-and-recent-de…> website <http://www.cladag2017.unimib.it/robust-statistics-foundations-and-recent-de…>.* *This course is supported by the Milano-Bicocca Department of STATISTICS and QUANTITATIVE METHODS <http://www.dismeq.unimib.it/en/>, within:* *The course is open to all people interested in the topic,we just ask to send an email to francesca.greselin(a)unimib.it <francesca.greselin(a)unimib.it> for organizational matters.*

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Seminars at Scuola Normale Superiore, 27-28 March 2018, Elisa Alos
by Giulia 23 Mar '18

23 Mar '18

Dear all, Prof. Elisa Alos (Universitat Pompeu Fabra) will hold the two following Seminars. =========================================================================================================================================================================================== On Tuesday, 27 March 2018 — at 11:00 — Room: Aula Fermi: Title : The implied volatility surface in modeling problems Abstract: In the Black-Scholes model, the volatility parameter is constant. But it is well-known that, if we compute this volatility parameter by inverting market option prices, the result (the implied volatility) will depend on the strike price (a variation described graphically as a smile or skew) and on time to maturity. Classical stochastic volatility models, where the volatility is allowed to be a diffusion process, can capture the observed smiles and skews, but they cannot easily explain the term structure. For instance, recent numerical analysis state that the skew slope is approximately $O((T )^{-k})$, for some positive $k$ and where $T$ denotes the time to maturity, while the rate for these stochastic volatility models is $O(1)$. In this talk, we will see how to construct new stochastic volatility models that can describe this phenomena. Towards this end, we will present short-time approximations for the implied volatility skew and smile. The obtained formulas will give us a useful tool to identify the volatilities that can explain this term structure. Based on this approach, some new models have been proposed recently (as, for example, rough volatilities). In this talk we will discuss on the state of the art of this modeling research, and we will discuss the main advantages and disavantages of these new models. =========================================================================================================================================================================================== On Wednesday, 28 March 2018 — at 14:00 — Room: Aula Bianchi Scienze Title : On the link between the Malliavin derivative operator and the implied volatility behaviour Abstract: We use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew and smile, in the context of stochastic volatility models. Our analysis does not requiere the volatility to be a diffusion or a Markov process. The obtained results will give us a tool to construct new models that can allow us to explain the empirical term structure of the implied volatility surface (joint works with J. León and J. Vives). =========================================================================================================================================================================================== Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminar at Scuola Normale Superiore, 27 March 2018, Elisa Alos
by Giulia 21 Mar '18

21 Mar '18

Dear all, On Wednesday, 27 March 2018 — at 11:00 — at the Scuola Normale Superiore (Room: Aula Fermi) Prof. Elisa Alos (Universitat Pompeu Fabra, Barcellona) will hold the following Seminar: Title : The implied volatility surface in modeling problems Abstract: In the Black-Scholes model, the volatility parameter is constant. But it is well-known that, if we compute this volatility parameter by inverting market option prices, the result (the implied volatility) will depend on the strike price (a variation described graphically as a smile or skew) and on time to maturity. Classical stochastic volatility models, where the volatility is allowed to be a diffusion process, can capture the observed smiles and skews, but they cannot easily explain the term structure. For instance, recent numerical analysis state that the skew slope is approximately $O((T )^{-k})$, for some positive $k$ and where $T$ denotes the time to maturity, while the rate for these stochastic volatility models is $O(1)$. In this talk, we will see how to construct new stochastic volatility models that can describe this phenomena. Towards this end, we will present short-time approximations for the implied volatility skew and smile. The obtained formulas will give us a useful tool to identify the volatilities that can explain this term structure. Based on this approach, some new models have been proposed recently (as, for example, rough volatilities). In this talk we will discuss on the state of the art of this modeling research, and we will discuss the main advantages and disavantages of these new models. Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminar at Scuola Normale Superiore, 28 March 2018, Elisa Alos
by Giulia 21 Mar '18

21 Mar '18

Dear all, On Wednesday, 28 March 2018 — at 14:00 — at the Scuola Normale Superiore (Room: Aula Bianchi Scienze) Prof. Elisa Alos (Universitat Pompeu Fabra, Barcellona) will hold the following Seminar: Title : On the link between the Malliavin derivative operator and the implied volatility behaviour Abstract: We use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew and smile, in the context of stochastic volatility models. Our analysis does not requiere the volatility to be a diffusion or a Markov process. The obtained results will give us a tool to construct new models that can allow us to explain the empirical term structure of the implied volatility surface (joint works with J. León and J. Vives). Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminario di Probabilità - Padova - Cambio aula
by Paolo Dai Pra 21 Mar '18

21 Mar '18

Vi invito al seguente seminario, già annunciato, di cui vi segnalo un cambio di aula. Martedì Venerdì 23 Marzo 2018 alle 11:30 in Aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Marco Zamparo AFFILIATION: Politecnico di Torino TITLE: Large Deviations Principles in Renewal Theory ABSTRACT: Cramér's theorem provides a large deviations principle for the empirical mean of independent and identically distributed random variables. In this seminar, I establish a generalization of Cramér's theorem for multivariate renewal-reward processes under optimal hypotheses. The way to attack the problem is the following. A large deviations principle is first obtained for renewal processes constrained by the event that one of the renewals occurs at a predetermined time. Then, results are transferred to standard renewal processes by resorting to conditioning. The constrained setting makes it possible to solve the problem by using an argument based on convexity and sub-additivity, which is inspired by the approach of Bahadur and Zabell to derive the modern form of the Cramér's theorem. Interestingly, with a different interpretation of the time coordinate, constrained renewal processes include important models of statistical mechanics, such as the pinning model of polymers and the Poland-Scheraga model of DNA denaturation. These models are briefly reviewed in the seminar. M. Zamparo, Large Deviations in Renewal Theory and Renewal Models of Statistical Mechanics, arXiv:1801.09941. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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