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PHD Lectures on Stochastic Processes
by Francesca Greselin 31 Jan '18

31 Jan '18

In the next two weeks, the Emeritus professor *Youri Davydov* will give lectures on* Stochastic Processes, * from Monday 5 till Thursday 15, February, from 9:30 to 12:30 in Room 2062, second floor, Building U7, Università degli Studi di Milano Bicocca. Prof. Davydov's Lectures will be given for the PhD curriculum in Statistics, Department of Statistics and Quantitative Methods. *PHD Lectures on Stochastic Processes* *Prof. Youri Davydov* *Emeritus Professor Laboratoire Painlévé - Université Lille 1,* *and St. Petersbourg State University, St. Petersbourg, Russia* Syllabus: Stochastic processes 1. Denitions and general notions 2. Examples 3. Processes with independent increments 4. Stationary processes 5. Gaussian processes 6. Martingales. *References* 1. Gikhman, I. I., & Skorokhod, A. V. (1969). Introduction to the theory of random processes. Philadelphia: WB Saunders. 2. Lamperti, J. (2012). Stochastic processes: a survey of the mathematical theory (Vol. 23). Springer Science & Business Media. 3. Resnick, S. I. (1992). Adventures in Stochastic Processes, Birkhauser, Boston. People interested to attend the lectures should send an e-mail to francesca.greselin(a)unimib.it for organizational purposes.

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A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS
by Francesca Romana Nardi 30 Jan '18

30 Jan '18

Carissimi, stiamo cercando di organizzare in Italia, sulla falsariga del M. Kac Seminar in Olanda, una serie di incontri di probabilita` e delle sue applicazioni alla Fisica, Biologia e Scienze sociali, per stimolare lo scambio di idee e offrire ai piu` giovani l'opportunita` di venire a contatto con un ampio panorama di temi di ricerca. E` con grande gioia che vi comunico che il primo di questi eventi si terra` venerdì 26 Maggio 2017 a Firenze, in un'aula universitaria vicino alla stazione di S. Maria Novella. Sara` un'occasione per goderci una giornata scientifica insieme e per esplorare le possibilita` e le modalita` piu` opportune per ripetere questo tipo di incontri. Di seguito trovate i dettagli della giornata del 26 Maggio, che vedra` come oratori R. Fernandez (University of Utrecht, Olanda) e R. Morris (IMPA Instituto Nacional de Matemática Pura e Aplicada Rio de Janeiro, Brazil). A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 26 May 2017 Lecturers: R. Fernandez (Utrecht) and R. Morris (IMPA). Location: Aula Magna di Via S. Gallo 10, Firenze Prof. Roberto Fernandez Title: Signal description: process or Gibbs? Abstract: The distribution of signals such as spike trains is naturally modeled through stochastic processes where the probability of future states depend on the pattern of past spikes. Mathematically, this corresponds to distributions *conditioned on the past*. From a signal-theoretic point of view, however, one could wonder whether a more efficient description could be obtained through the simultaneous conditioning of past *and* future. Furthermore, such a formalism could be appropriate when discussing string without a particular "time" order, such as the distribution of DNA nucleotides, or even issues related to anticipation and prediction in neuroscience. On the mathematical level this double conditioning would correspond to a Gibbsian description analogous to the one adopted in statistical mechanics. In this talk I will introduce and contrast both approaches ---process and Gibbsian based--- reviewing existing results on scope and limitations of them. Prof. Robert Morris Title: Monotone cellular automata Abstract: Cellular automata are interacting particle systems whose update rules are local and homogeneous. Since their introduction by von Neumann almost 50 years ago, many particular such systems have been investigated, but no general theory has been developed for their study, and for many simple examples surprisingly little is known. Understanding their (typical) global behaviour is an important and challenging problem in statistical physics, probability theory and combinatorics. In this talk I will outline some recent progress in understanding the behaviour of a particular (large) family of monotone cellular automata -- those which can naturally be embedded in d-dimensional space -- with random initial conditions. For example, in the case where a site updates (from inactive to active) if at least r of its neighbours are already active, these models are known as bootstrap percolation, and have been extensively studied for various specific underlying graphs. Apart from their inherent mathematical interest, the study of these processes is motivated by their close connection to models in statistical physics, and I will discuss some applications to a family of models of the liquid-glass transition known as kinetically constrained spin models. Program: 11.00-11.45 Introductory lecture: R. Fernandez 11.45-12.00 Break 12.00-12.45 Seminar: R. Fernandez 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: R. Morris 15.15-15.30 Break 15.30-16.15 Seminar: R. Morris Note pratiche: 1) E` importante prenotare il biglietto del treno il piu` presto possibile per poter usufruire di sconti!!!! 2) Stiamo prenotando un ristorante con un paio di menu fissi che possa ospitarci, ma ho bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati chiedo di mandare un email a francescaromana.nardi(a)unifi.it Resta fermo il fatto che saremo in pieno centro di Firenze, quindi ci sono moltissime altre possibilita` per mangiare se preferite regolarvi indipendentemente. Organizers: F. Caravenna N. Cancrini E.N.M. Cirillo P. Dai Pra A. De Masi D. Fanelli F. Flandoli C. Giardina` R. Livi F. Martinelli I.G. Minelli F.R. Nardi E. Presutti B. Scoppola E. Scoppola Vi aspettiamo, Francesca R. Nardi Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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Assegno annuale SSD: MAT/05 e MAT/06
by Faggionato, Alessandra 30 Jan '18

30 Jan '18

E' stato pubblicato sul sito web del Dipartimento il seguente bando per assegno di ricerca https://www2.mat.uniroma1.it/sites/default/files/bando2018-1.pdf n.1/2018 per il conferimento di n. 1 assegno annuale categoria B tip. II SSD: MAT/05 e MAT/06 scadenza: 1° marzo 2018 Responsabile scientifico: Dott.ssa Nadia Ansini -- ************************************************* 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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Workshop “One day in Stochastic Analysis” [Verona - Dept. Comp. Science]
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the workshop "One day in Stochastic Analysis", that will take place the next 5th of February, within the Verona Paris Stochastic Modeling Semester: vpsms2018.org Invited speakers and their contributions are: Sergio Albeverio ( Bonn University ) *S(P)DEs,asymptotics,singularities: emerging structures* Robert Dalang ( Ecole Polytechnique Fédérale de Lausanne ) *Hitting probabilities for systems of stochastic partial differential equations* Francesco Russo ( ENSTA ParisTech ) *Bsdes, Martingale problems, associated deterministic equations and applications* You can find more details here: vpsms2018.org/event/workshop-one-day-in-stochastic-analysis Do not hesitate to contact me if you need further info. LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Head of R&D info(a)hpa8.com | www.hpa8.com

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PhD opportunity at Verona - Stochastic geometric control and applications
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the opportunity for a PhD fellowship funded by the University of Verona, Department of Computer Science, and focused on stochastic geometric control, with particular emphasis about parameters estimation and random noise actions within the Lie group theory framework. Possible applications to real systems, e.g. in robotics, will be considered. Due to Department's constraints, we ask potential candidates to write their expression of interest, an email to the underwritten will be sufficient, *within next** two weeks.* Selections for the fellowship are foreseen between May/June 2018, while the PhD fellowship is supposed to effectively start in October. Every interested people are cordially invited to write me for further info. All the best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Head of R&D info(a)hpa8.com | www.hpa8.com

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PhD opportunity at Verona - Stochastic geometric control and applications
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the opportunity for a PhD fellowship funded by the University of Verona, Department of Computer Science, and focused on stochastic geometric control, with particular emphasis about parameters estimation and random noise actions within the Lie group theory framework. Possible applications to real systems, e.g. in robotics, will be considered. Due to Department's constraints, we ask potential candidates to write their expression of interest, an email to the underwritten will be sufficient, *within next** two weeks.* Selections for the fellowship are foreseen between May/June 2018, while the PhD fellowship is supposed to effectively start in October. Every interested people are cordially invited to write me for further info. All the best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Head of R&D info(a)hpa8.com | www.hpa8.com

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Marie Sklodowska-Curie Ph.D. studentship in Statistical Sciences at the University of Padova (Italy) - Deadline April 15, 2018 at 5PM CET
by Patrizia Piacentini - PhD 29 Jan '18

29 Jan '18

As a partner of the Marie Skłodowska-Curie European Innovative Training Network (ITN) named "/International Training Network of Statistics for High Energy Physics and Society/" (*INSIGHTS*), the INFN (Italian National Institute for Nuclear Physics) offers a *Ph. D. scholarship in Statistical Sciences at the University of Padova*. The early-stage researcher (ESR) recipient of the scholarship will be hired by INFN and enrolled in the three-year Ph. D. program offered by the Department of Statistical Sciences of the University of Padova. The ESR will conduct his or her research at the Padova section of INFN; the research will focus on statistical methods targeting the analysis of data from proton-proton collisions collected by the CMS experiment at the Large Hadron Collider operating at the CERN laboratory in Geneva, Switzerland, aiming at the detection of new physics phenomena. The research and training plan includes the participation to international doctoral schools, workshops, and conferences in Physics and Statistics, as well as month-long visiting periods to CERN and to other European institutions belonging to the Network, plus a three-month internship at a non-academic institution, for a stage centered on industry applications of Machine Learning tools. The trainee will work in close connection with a dozen ESR colleagues hired by the partners of the INSIGHTS network. The network vows to provide outstanding, interdisciplinary training and to provide the trainees with excellent employability, both within and outside the academic world. At the end of the three-year program the ESR will obtain a Ph. D. title from the University of Padova. * ELIGIBILITY CRITERIA *Candidates should have an at least four year full time university education degree in Statistics, Mathematics, Physics or related fields, *formally enabling them to embark in a doctorate program in the country where the degree was obtained*; in any case they should possess a strong background in Mathematics, Statistics and Statistical Learning. Additional favorable traits include good computing skills and an interest in the application of statistical methods to fundamental research. *The application of females is encouraged as INSIGHTS applies affirmative-action measures to ensure gender neutrality in the recruitment process*. In addition to the above, at the time of recruitment by INFN eligible candidates*must NOT have resided or carried out their main activity (work, studies, etc.) in Italy *for more than 12 months in the three years immediately preceding the recruitment date (short stays such as holidays are not taken into account). Eligible candidates must *NOT have been awarded a doctoral degree* and also be, at the time of recruitment, *in the first four years* (full-time equivalent) of their research careers. This is measured from the date when they obtained the degree which would formally entitle them to embark on a doctorate, either in the country in which the degree was obtained or in Italy. * CONDITIONS *The gross scholarship amounts to euro *3,318.37*/month; in addition to it, a gross mobility allowance of euro *600.00*/month is provided for, as well as a gross family allowance of euro *500.00*/month if applicable. The cost of enrolment in the Ph. D. school and of the doctoral courses, as well as all expenses related to travel to schools, workshops, and network-organized events and internships will be sustained by the network. * HOW TO APPLY*Applications shall be sent by e-mail to the address insights(a)pd.infn.it <mailto:insights@pd.infn.it> until the deadline, set to *April 15^th 2018 at 5PM CET*. Eligible applications shall be entirely written in English, and have as e-mail subject the text “/INSIGHTS application -/” followed by last name and first name of the applicant; in case of memory limitations, applicants may send the material in more than one e-mail by adding to the subject a proper numbering ("/part 1/", "/part 2/", etc.). E.g., “/INSIGHTS application – Doe, John (part 1)” /for the first e-mail, and/“INSIGHTS application – Doe, John (Part 2)/” for the second. The e-mail(s) shall include as attachments: -a properly filled *application form,* which can be downloaded at this link: http://www.pd.infn.it/%7Edorigo/INSIGHTS.docx -an exhaustive *curriculum vitae*; -scans of the original certificates for all titles (university degree, scholarships, etc.) claimed by the applicant in the application form; -a readable *passport scan*. Applications will be considered valid if *at least one, and no more than two reference letters* supporting the applicant are received before the above deadline by the already mentioned e-mail address. The subject of e-mails containing reference letters should be of the form “/Reference letter for INSIGHTS application of /” followed by the candidate’s last and first name.** * SELECTION PROCESS *After a preselection, the most promising candidates will be invited to a one-hour colloquium by video-conference with the selection committee in early May 2018; non-preselected candidates will be notified by e-mail of the result of the preselection. The selection committee will be formed by INFN and Padova University personnel. During the colloquia candidates will be asked to introduce themselves and shortly describe their past research experience. The outcome of the selection process will be notified to preselected candidates within two weeks. *The research activities and scholarship will start in the month of September 2018*, and the Ph. D. program courses are expected to start at the beginning of October 2018. The hired candidate is required to _take residence in the province of Padova_ for the full duration of the program. Further information on the position and on the program of the INSIGHTS training network can be obtained by visiting the network’s web site at https://www.insights-itn.euor by contacting by e-mail the ESR supervisor Prof. Bruno Scarpa at scarpa(a)stat.unipd.it <mailto:scarpa@stat.unipd.it>or the INFN PI dr. Tommaso Dorigo at dorigo(a)pd.infn.it <mailto:dorigo@pd.infn.it> *INSIGHTS ITN - Call for applications* https://lhcb.web.cern.ch/lhcb/lhcb_page/collaboration/jobs/INSIGHTS%20call%…

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Workshop “One day in Stochastic Analysis” [Verona - Dept. Comp. Science]
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the workshop "One day in Stochastic Analysis", that will take place the next 5th of February, within the Verona Paris Stochastic Modeling Semester: vpsms2018.org Invited speakers and their contributions are: Sergio Albeverio ( Bonn University ) *S(P)DEs,asymptotics,singularities: emerging structures* Robert Dalang ( Ecole Polytechnique Fédérale de Lausanne ) *Hitting probabilities for systems of stochastic partial differential equations* Francesco Russo ( ENSTA ParisTech ) *Bsdes, Martingale problems, associated deterministic equations and applications* You can find more details here: vpsms2018.org/event/workshop-one-day-in-stochastic-analysis Do not hesitate to contact me if you need further info. LuCa __ Luca Di Persio - PhD Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <+39%20045%20802%207968> Head of R&D info(a)hpa8.com | www.hpa8.com

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Fwd: Workshop "Interplay of Random Media and Stochastic Interface Models"
by Francesco Caravenna 26 Jan '18

26 Jan '18

Ricevo e inoltro. > Inizio messaggio inoltrato: > > Da: Sebastian Andres <sa836(a)cam.ac.uk> > Oggetto: Workshop "Interplay of Random Media and Stochastic Interface Models" > > Dear friends and colleagues, > > On the occasion of Jean-Dominique Deuschel’s 60th birthday we are organising the workshop "Interplay of Random Media and Stochastic Interface Models" taking place at TU Berlin on June 25-27, 2018. You can find more details and a list of speakers on the conference website > > http://www3.math.tu-berlin.de/stoch/RMSI2018/ <http://www3.math.tu-berlin.de/stoch/RMSI2018/> > > The registration will be opened in the upcoming days. On behalf of Jean-Dominique we most warmly invite you to participate in the event. We would also be most grateful if you could help us advertising the workshop by displaying the attached poster in your department. > > With best regards, > Sebastian Andres, Wolfgang König, Martin Slowik

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Seminario LEISEN
by Matteo Ruggiero 26 Jan '18

26 Jan '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 2 Febbraio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Fabrizio LEISEN (University of Kent) COMPOUND RANDOM MEASURES Compound Random Measures (CoRM's) have been recently introduced by Griffin and Leisen (2017) and represent a general and tractable class of vectors of Completely Random Measures. This talk aims to provide an overview about CoRM's by illustrating some recent developments about their use in Bayesian nonparametrics. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' 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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Bocconi summer school on "Graphical Models"
by Antonio Lijoi 23 Jan '18

23 Jan '18

** CALL FOR APPLICATIONS ** Bocconi Summer School in Advanced Statistics and Probability: “Graphical Models” July 9-20, 2018 http://asps.lakecomoschool.org We are pleased to announce that the 2018 edition of the Bocconi Summer School in Advanced Statistics and Probability, on "GRAPHICAL MODELS", will take place on July 9-20, 2018, at Villa del Grumello, on the shores of the Lake of Como, Italy. PROGRAM Graphical models yield a rich framework for encoding probability distributions over complex domains, involving large numbers of random variables that interact with each other. These representations rely on concepts from probability theory, graph algorithms, statistics, computer science and more. They are the basis for revolutionary methods in a wide variety of applications, such as medical diagnosis, image understanding, forensic genetics, speech recognition, natural language processing, machine learning problems, and much more. The course will present the fundamental theory and methodology, illustrated with applications and case studies. INSTRUCTORS Steffen Lauritzen (Department of Mathematical Sciences, University of Copenhagen) Robin Evans (Department of Statistics, University of Oxford, UK) Tutorials: Søren Wengel Mogensens (Department of Mathematical Sciences, University of Copenhagen) The Bocconi Summer School in Statistics and Probability is offered by Bocconi University, Milano, and is hosted by the Lake Como School of Advanced Studies. The aim of the School is to establish a track of high level courses on cutting-edge topics in Statistics and Probability. The school offers lectures delivered by internationally leading scholars on the specific designated topic, and supervised tutorials. The summer school is open to all interested scholars, but is especially addressed to PhD students, and possibly to brilliant MSc graduates/students interested in pursuing doctoral studies in Statistics, Probability, Data Science, Computer Science and related fields. APPLICATIONS: In order to foster active interaction among students and instructors, the School is targeted for a class of at most 30 qualified and selected participants. Applications can be submitted by March 15, 2018. REGISTRATION and FEES. The registration fee (450 euro) covers all the school activities and course material; wi-fi connection; all work-days lunches; welcome cocktail; accommodation for the 2 weeks (July 8-July 21, 2018). Admitted participants should register by April 20, 2018. For more information, please visit the school website http://aspas.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it

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Seminar at Scuola Normale Superiore, 15 February 2018, Luciano Campi
by Giulia 23 Jan '18

23 Jan '18

Dear all, On Thursday, 15 February 2018 — from 11:00 to 13:00 — at the Scuola Normale Superiore (Room: Mancini) Prof. Luciano Campi (London School of Economics) will hold the following Seminar: Title : Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications Abstract: We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities for the value functions and the optimal strategies of the two players. As an application, we study an impulse game with a one-dimensional state variable, following a real-valued scaled Brownian motion, and two players with linear and symmetric running payoffs. We fully characterize a Nash equilibrium and provide explicit expressions for the optimal strategies and the value functions. We also prove some asymptotic results with respect to the intervention costs. Finally, we consider two further non-symmetric examples where a Nash equilibrium is found numerically. 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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Workshop “Stochastic Models in Ecology and Evolutionary Biology” - second announcement
by Marco Formentin 22 Jan '18

22 Jan '18

Dear colleagues, we are glad to announce the workshop “Stochastic Models in Ecology and Evolutionary Biology” that will be held in Venice, 5-7 April 2018, at the Istituto Veneto di Scienze, Lettere ed Arti. Aim of the workshop is to bring together scientists with different background - people from biology, physics and mathematics - interested in stochastic models in ecology and evolutionary biology, to discuss issues and exchange methods and ideas. A partial list of topics includes: stochastic population dynamics, branching processes, robustness and adaptability of ecosystems, resilience and criticality of ecological systems, models and prediction of biodiversity, molecular evolution, and microbial community dynamics. Invited Speakers (in alphabetical order -*tbc): J.-F. Arnoldi, E. Baake, Otto X. Cordero, J. Dalmau, J. Friedman, J. Gore*, A. Lambert, M. Loreau, P. Metha, , T. Parsons*, A. Sanchez, B. Trubenova*. The cost for workshop attendance will be 90 Euro, which includes coffee breaks and workshop material. There are TWO registration free waivers for Ph.Ds / young Post-docs. Look in the website for instructions. We will also have contributed talks and posters sessions. The call of abstracts will close on March 2, 2018. For abstracts submission, information on accommodation and programme, please check http://www.pd.infn.it/~maritan/veniceworkshop/veniceworkshop.html Please help us to promote this meeting by forwarding this email to anyone you know might be interested, and especially bring this announcement to the attention of your students or post-docs, who are those most likely not to be on our mailing lists. Apologies for cross-posting. The organizers, Paolo Dai Pra Amos Maritan Marco Formentin Samir Suweis

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Reminder - mini-workshop on "Machine Learning and Big Data Analytics with MATLAB" at Roma Tre University
by Francesco Cesarone 19 Jan '18

19 Jan '18

Dear Colleagues, on 23 January 2018 from 14:00 to 17:00 (Computer Lab, ground floor, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma), Dr. Francesca Perino, Application Engineer at MathWorks, will hold a mini-workshop on "Machine Learning and Big Data Analytics with MATLAB". The attendance of the course is free, but for organizational reasons it is necessary to register to register on the following web page: https://it.mathworks.com/company/events/seminars/ml-da- with-matlab-2373496.html. *Overview* *At the heart of many financial applications are machine learning techniques used for risk classification, economic analysis, credit scoring, time series forecasting, estimating default probabilities, and data mining. Big data represents an opportunity for quantitative analysts and data scientists alike to impact the way organizations make informed business decisions. By building machine learning models that harness big data, a greater level of insight and confidence can be achieved.* *However, implementing and comparing machine learning techniques to choose the best method can be challenging. Furthermore, there is no single approach to solving the many challenges arising from working with big data. MATLAB minimizes these challenges by providing you with a number of built-in functions and tools for quick prototyping, integration, and scaling, to take you from initial prototype all the way to business-critical production system.* *In this session, we will introduce ways of working with big data systems, the different types of machine learning techniques in MATLAB, how to determine the best techniques for your problem by evaluating model performance, and rapidly deploying your machine learning models into production. We will cover several new workflows and data types in MATLAB and the toolboxes that have been designed to address the most common challenges with big data analytics and machine learning.* *Highlights* *Data management and integration with databases, live market data, and big data environments* *Efficient workflows for heterogenous time-series data using new data management capabilities* *Parallel Computing techniques to speed up long-running computations and deal with out-of-memory data* *Predictive modeling and using supervised machine learning techniques to build a credit rating engine* We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Reminder - ARPM mini-workshop on "Advanced statistical techniques across disparate asset classes" at Roma Tre University
by Francesco Cesarone 19 Jan '18

19 Jan '18

Dear Colleagues, on 24 January 2018 from 9:30 to 13:00 (Aula 8, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Dr. Angela Loregian, senior researcher at ARPM <https://www.arpm.co/>, will hold a min-workshop on "Advanced statistical techniques across disparate asset classes" ( http://disa.uniroma3.it/wp-content/uploads/2017/03/ARPM-mini-workshop-A3.pdf ). The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - ARPM mini-workshop. *About the Program.* *We introduce the concept of "risk driver" and **"invariant“, illustrating:* *- the asset-specific art of building risk drivers across the financial markets* *- the asset-agnostic science of applying statistics (econometrics and **machine learning) to extract the invariants and estimate their joint * *distribution. **Then, we translate the above statistical analysis into the asset-specific **joint distribution of instrument returns.* We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Seminario a RM1
by Faggionato, Alessandra 18 Jan '18

18 Jan '18

Seminario di Probabilita' Aula di Consiglio, Dipartimento di Matematica, La Sapienza Lunedi' 22 Gennaio, ore 16.00 Speaker: A. Chiarini (ETH Zurigo) Title: Invariance principle for the degenerate dynamic random conductance model. Abstract: After the brilliant result of Papanicolau and Varadhan (1979) in the case of bounded stationary and ergodic environments, there has been a recent upsurge in the research of quenched homogenization in random media. In particular, to identify the optimal conditions that a general stationary and ergodic environment must satisfy in order to obtain the convergence to a non-degenerate Brownian motion, is still an open problem. In this talk, we study a continuous-time random walk on Z^d in an environment of dynamic random conductances. We assume that the law of the conductances is ergodic and stationary with respect to space-time shifts. We prove a quenched invariance principle for the random walk under some moment conditions on the environment. The key result on the sublinearity of the corrector is obtained by the celebrated Moser’s iteration scheme. This is joint work with S. Andres, J-D. Deuschel and M. Slowik. ************************************************* 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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1st international conference on " Quantitative Finance and Financial Econometrics ", sponsored by SoFiE - Marseille - May 2018
by Monica Billio 18 Jan '18

18 Jan '18

-------- Messaggio Inoltrato -------- Oggetto: 1st international conference on " Quantitative Finance and Financial Econometrics ", sponsored by SoFiE - Marseille - May 2018 Data: Wed, 17 Jan 2018 21:14:38 +0100 Mittente: Sébastien Laurent <sebastien.laurent(a)univ-amu.fr> Rispondi-a: qffe2018(a)amse-aixmarseille.fr A: qffe2018(a)amse-aixmarseille.fr Dear colleagues, I am pleased to announce the organisation of the first conference on " Quantitative Finance and Financial Econometrics " (QFFE) that will be held in Marseille (France) from May 30^th to June 1^st , 2018. This conference received a scientific sponsorship from the Society for Financial Econometrics (SoFiE). Our guest speakers are *Andrew J. PATTON (*Duke University) and *Dick van DIJK (*Erasmus University Rotterdam). Prior to this conference we also organise a summer school made up by two courses delivered from May 28^th to May 30^th , 2018 by *Sébastien LAURENT* (Aix-Marseille University), on /Forecasting Risk with Intra-Day Data/ and *Andrew J. PATTON (*Duke University) on /Forecasting Risk with Intra-Day Data/ For more information (on submission, registration, accommodations, etc), see the attached call for papers and the conference website https://qffe2018.sciencesconf.org/ _Important dates:_ Submissions of a complete paper : February 28th, 2018 Decision : March 20th, 2018 Registration deadline for the conference and/or summer school: May 2nd, 2018 _Submissions on the following topics are welcome:_ • Big-data in finance • Empirical finance • High-frequency data • New methods in quantitative finance • Time series forecasting • Volatility and risk modeling On behalve of the conference chairs and the scientific committee, Best Regards Sébastien Laurent -- Nota automatica aggiunta dal sistema di posta.

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New Perspectives in Analysis, Probability and Applications
by Enrico Scalas 16 Jan '18

16 Jan '18

Dear Colleagues, On January 24-26 there will be a 3 day workshop at Sussex funded by the London Mathematical Society on New Perspectives in Analysis, Probability and Applications January 24: "Mathematics in Materials Science" (speakers: John Ball, Lucia Scardia and Konstantinos Koumatos) January 25: "Diffusions: Theory and Applications” (speakers: Michela Ottobre, Grigorios Pavliotis and Andrew Duncan) January 26: “Markov Chains” (speakers: Dmitry Korshunov, Denis Denisov and Vladislav Vysotsky) The venue is Room Pevensey 1A6 at the Falmer Campus and all details can be found here http://www.sussex.ac.uk/maths/research/perspectives Please do come along (coffee will be provided) and, if you know of anyone else who may be interested to attend, feel free to circulate this email. Kind regards, Enrico Scalas

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Bayesian Young Statisticians Meeting (BAYSM2018)
by Raffaele Argiento 16 Jan '18

16 Jan '18

The 4rd Bayesian Young Statisticians Meeting, BAYSM2018, will take place at University of Warwick, Coventry, UK (2-3 July 2018), as a satellite to the ISBA 2018 world meeting. BAYSM is dedicated to Ph.D. Students, M.S. Students, Post-Docs, Young and Junior Reseachers working in the field of Bayesian statistics, providing an opportunity to connect with the Bayesian community at large. Senior discussants will be present at each session, providing participants with advise and comments to their work. Recognized figures of the Bayesian community will also participate as keynote speakers, making an altogether exciting program. Registration is now open (https://warwick.ac.uk/baysm) and will be available with an early bird discount until April 30. The event will be hosted by the Department of Statistics of the University of Warwick ( https://warwick.ac.uk/statistics/). It will include social events, providing the opportunity to get to know other junior Bayesians. Young researchers interested in giving a talk or presenting a poster are invited to submit an abstract. The call for submissions is now open and closes March 26 (https://warwick.ac.uk/baysm/calldates/). Thanks to generous support of ISBA, a number of travel awards are available to support young researchers. Keynote speakers: Kerrie Mengersen (Queensland University of Technology) Igor Prünster (Bocconi University) Judith Rousseau (University of Oxford) Stephen Senn (University of Glasgow) Yee Whye Teh (University of Oxford) Discussants: Deborah Ashby (Imperial College) Bärbel Finkenstädt Rand (University of Warwick) Jim Griffin (University of Kent) Michele Guindani (University of California, Irvine) Amy Herring (Duke University) Jim Smith (University of Warwick) Mark Steel (University of Warwick) Sebastian Vollmer (University of Warwick) While the meeting is organized for and by junior Bayesians, attendance is open to anyone who may be interested. For more information, please visit the conference website: https://warwick.ac.uk/baysm On behalf of the BAYSM2018 organizing committee (https://warwick.ac.uk/baysm/organiserssponsors/) Raffaele Argiento -- Dr. Raffaele Argiento University of Torino and Collegio Carlo Alberto www.raffaeleargiento.it

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Seminari prof. Berger
by Brunero Liseo 16 Jan '18

16 Jan '18

A completamento dell'annuncio sul ciclo di seminari che il prof. James O. Berger terrà presso la facoltà di Economia Sapienza Università di Roma secondo il calendario seguente Bayesian Model Selection Aula 6B, piano terra F acoltà di Economia, Via del Castro Laurenziano, 9, Lunedì 22 gennaio ore 11-13 Martedì 23 gennaio ore 16.30-18 Mercoledì 24 gennaio 11.30-13 Mercoledì 24 gennaio 14.30-16 si allega abstract dei singoli seminari Abstract: These lectures address the Bayesian approach to hypothesis testing and model uncertainty, with extensive comparisons to the classical approaches to these subjects. The first lecture, "Introduction to Bayesian Hypothesis Testing," begins with a brief introduction to Bayesian analysis, for students who have not been exposed to the subject. The lecture then goes on to highlight the main issues, through a discussion of p-values (the classical approach to hypothesis testing) versus Bayes factors (the Bayesian approach), primarily done through pedagogical examples. The first lecture (after a break) will go on to present the formalism of Bayesian hypothesis testing, with examples. The second lecture "Interfaces Between Testing Paradigms," will take a step back to the historical development of statistics, and describe how the classical and Bayesian approaches of hypothesis testing developed, and show that there is currently methodology that is completely compatible with both perspectives. The third lecture "Essentials of Bayesian Model Uncertainty," extends the first two lectures to the subject of dealing with many possible statistical models. Interestingly, none of the basic methodology changes - it just becomes more difficult to implement. The final lecture focuses on "Variable Selection in the Linear Model," arguably the most important statistical problem, and discusses Bayesian resolutions that have amazing properties, as well as software that implements the methodology. -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *https://sites.google.com/a/uniroma1.it/bruneroliseo/ <https://sites.google.com/a/uniroma1.it/bruneroliseo/>* ============================================

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Fwd: Postdoc Position at Washington University in St. Louis
by Cecilia Mancini 15 Jan '18

15 Jan '18

-------- Messaggio Inoltrato -------- Oggetto: Postdoc Position at Washington University in St. Louis Data: Sun, 14 Jan 2018 21:05:03 +0000 Mittente: Figueroa-Lopez, Jose <figueroa-lopez(a)wustl.edu> A: Figueroa-Lopez, Jose <figueroa-lopez(a)wustl.edu> Dear Colleagues, I hope this email finds you well. My department has an opening for a Postdoc in statistics, probability, or a related area (including mathematical finance). Please encourage strong candidates to apply to MathJobs. Personal references of potential candidates are very much welcomed. The teaching load is 2 courses per semester and the official posting can be found at https://www.mathjobs.org/jobs/jobs/11299 Department of Mathematics, Washington University in St. Louis <https://www.mathjobs.org/jobs/jobs/11299> www.mathjobs.org Full service online faculty recruitment site for mathematical institutions worldwide, offered by the American Mathematical Society (AMS). Thank you very much and happy new year, Jose Enrique. J.E. FIGUEROA-LÓPEZ Professor of Mathematics Washington University in St. Louis One Brookings Drive, St. Louis, MO 63130-4899 Phone: (314)935-7539 E-mail: figueroa(a)math.wustl.edu

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PhD in Statistics @Bocconi
by Antonio Lijoi 15 Jan '18

15 Jan '18

------------------------------------------------------------- PhD in Statistics -- Bocconi University, Milano Call for applications for PhD student positions ------------------------------------------------------------- The PhD School of Bocconi University, Milano, offers four positions with scholarships for the PhD in Statistics. The scholarship amounts to 20.280 euro per annum in the 1st and 2nd year, and 13.838 euro per annum for the 3rd and 4th year. Further funding is available for teaching and research assistanships. Visit www.unibocconi.eu/admissionphd for all information. ** Applications are due by February 1, 2018. ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics provides a solid grounding for high level research, either theoretical or applied, in statistics, probability and data science. The curricula is organized over two years of courses and two years entirely devoted to research. Students acquire a deep mathematical and methodological preparation through the first-year courses, and more specialized competence, addressed to the doctoral dissertation, through the second-year courses. The third and forth years are entirely devoted to research. Both theoretical and applied research, including methods for machine learning and data science, are supported and encouraged. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The PhD in Statistics is designed for highly motivated students who wish to undertake first-rate research careers in theoretical or applied statistics and data science. Career opportunities also include central banks, financial institutions, governments and international organizations, and public health institutions. Highly qualified and motivated students with M.Sc. degrees in Statistics, Mathematics, Economics, Engineering, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. For more information about the PhD program in Statistics at Bocconi, visit our website www.unibocconi.eu/phdstatistics and please feel free to contact the PhD Director, Professor Sonia Petrone, at sonia.petrone(a)unibocconi.it or our Program Assistant at infophd(a)unibocconi.it ------------------------- PhD School - Università Bocconi Via Roentgen, 1 20136 Milano (Italia) Tel.+39-02.5836.3367 angela.baldassarre(a)unibocconi.it

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PhD studentship in Probability at University of Bath (UK)
by Alexandre Stauffer 12 Jan '18

12 Jan '18

The position will be held in the probability group at the University of Bath, under the supervision of Alexandre Stauffer. The project is flexible, but the main areas of interest are interacting particle systems, random walks, and Markov chain mixing time. Applications should be submitted through the online system (see http://www.bath.ac.uk/math-sci/postgraduate/). Interested candidates are encouraged to write to a.stauffer(a)bath.ac.uk to discuss their research interests. Best wishes, Alexandre

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Seminario di Probabilita' a RM1
by Faggionato, Alessandra 12 Jan '18

12 Jan '18

Giovedi' 18 Gennaio, ore 12.00, Aula C Speaker: M. Maurelli (WIAS, Berlin) Title: Enhanced Sanov theorem for Brownian rough paths and an application to interacting particles Abstract: We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations principle for the (k-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in turn implies a propagation of chaos result in rough path spaces and allows for a robust subsequent analysis of the particle system and its McKean-Vlasov type limit. The talk is based on a work in collaboration with J.D. Deuschel, P. Friz and M. Slowik -- ************************************************* 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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Seminario LA VECCHIA
by Matteo Ruggiero 12 Jan '18

12 Jan '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 19 Gennaio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Davide LA VECCHIA (University of Geneva) SADDLEPOINT TECHNIQUES FOR DEPENDENT DATA Saddlepoint techniques provide numerically accurate, higher-order, small sample approximations to the distribution of estimators and test statistics. While a rich theory is available for saddlepoint techniques in the case of independently and identically distributed observations, only a few results have been obtained for dependent data. In this talk, we explain how to fill this gap in the literature. Using the method of the tilted-Edgeworth expansion, we devise new saddlepoint density approximations and saddlepoint test statistics in the settings of time series (short or long memory) and spatial processes (panel data models, with fixed effects, time-varying covariates and spatially correlated errors). We compare our new approximations to the ones obtained by standard asymptotic theory, by Edgeworth expansion and by resampling methods. The numerical exercises illustrate that our approximations yield accuracy's improvements, while preserving analytical tractability. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' 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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ARPM min-workshop on "Advanced statistical techniques across disparate asset classes" at Roma Tre University
by Francesco Cesarone 11 Jan '18

11 Jan '18

Dear Colleagues, on 24 January 2018 from 9:30 to 13:00 (Aula 8, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Dr. Angela Loregian, senior researcher at ARPM, will hold a min-workshop on "Advanced statistical techniques across disparate asset classes". The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - ARPM min-workshop. *About the Program.* *We introduce the concept of "risk driver" and **"invariant“, illustrating:* *- the asset-specific art of building risk drivers across the financial markets* *- the asset-agnostic science of applying statistics (econometrics and **machine learning) to extract the invariants and estimate their joint * *distribution. **Then, we translate the above statistical analysis into the asset-specific **joint distribution of instrument returns.* For more details, see the attached pdf file. We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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min-workshop on "Machine Learning and Big Data Analytics with MATLAB" at Roma Tre University
by Francesco Cesarone 11 Jan '18

11 Jan '18

Dear Colleagues, on 23 January 2018 from 14:00 to 17:00 (Computer Lab, ground floor, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma), Dr. Francesca Perino, Application Engineer at MathWorks, will hold a min-workshop on "Machine Learning and Big Data Analytics with MATLAB". The attendance of the course is free, but for organizational reasons it is necessary to register to register on the following web page: https://it.mathworks.com/company/events/seminars/ml-da-with-matlab-2373496.… . *Overview* *At the heart of many financial applications are machine learning techniques used for risk classification, economic analysis, credit scoring, time series forecasting, estimating default probabilities, and data mining. Big data represents an opportunity for quantitative analysts and data scientists alike to impact the way organizations make informed business decisions. By building machine learning models that harness big data, a greater level of insight and confidence can be achieved.* *However, implementing and comparing machine learning techniques to choose the best method can be challenging. Furthermore, there is no single approach to solving the many challenges arising from working with big data. MATLAB minimizes these challenges by providing you with a number of built-in functions and tools for quick prototyping, integration, and scaling, to take you from initial prototype all the way to business-critical production system.* *In this session, we will introduce ways of working with big data systems, the different types of machine learning techniques in MATLAB, how to determine the best techniques for your problem by evaluating model performance, and rapidly deploying your machine learning models into production. We will cover several new workflows and data types in MATLAB and the toolboxes that have been designed to address the most common challenges with big data analytics and machine learning.* *Highlights* *Data management and integration with databases, live market data, and big data environments* *Efficient workflows for heterogenous time-series data using new data management capabilities* *Parallel Computing techniques to speed up long-running computations and deal with out-of-memory data* *Predictive modeling and using supervised machine learning techniques to build a credit rating engine* We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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[Forum SIS] : Seminari prof. Berger, Duke University
by Brunero Liseo 11 Jan '18

11 Jan '18

Avviso Ciclo di Seminari Il prof. James O. Berger, Duke University, https://en.wikipedia.org/wiki/Jim_Berger_(statistician) sarà ospite del Dipartimento MEMOTEF, Sapienza Università di Roma dal 22 al 26 gennaio 2018. Nel corso della settimana il prof. Berger terrà una serie di seminari su Bayesian Model Selection I seminari si terranno in Aula 6B, al piano terrà della facoltà di Economia, Via del Castro Laurenziano, 9, secondo il seguente orario: Lunedì 22 gennaio ore 11-13 Martedì 23 gennaio ore 16.30-18 Mercoledì 24 gennaio 11.30-13 Mercoledì 24 gennaio 14.30-16 I seminari sono rivolti ad un pubblico di dottorandi ma tutti gli interessati sono invitati a partecipare. Brunero Liseo -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *https://sites.google.com/a/uniroma1.it/bruneroliseo/ <https://sites.google.com/a/uniroma1.it/bruneroliseo/>* ============================================

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Correction: RISM School in Developements in SPDEs, first announcement
by gianmario tessitore 11 Jan '18

11 Jan '18

My pevious mail contained a missprint in the title of the school following is the correct announcement Gianmario Tessitore ======================================== Dear Colleagues, This is the first announcement of the upcoming sixth RISM school DEVELOPMENTS IN STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS in honor of Giuseppe Da Prato. It will take place in Varese during the week July 23-27, 2018 at the Riemann International School of Mathematics, Universita’ degli Studi dell'Insubria, and it will be directed by Martin Hairer. Please find the poster and further details at the link www.rism.it. The school will consist of three courses delivered by: Arnaud Debussche (Ecole Normale Superieure Rennes) Martin Hairer (Imperial College, London) Felix Otto (Max Planck Institute, Leipzig) and of three specialized talks aimed at presenting recent advances and challenges of contemporary research in SPDEs in connection with the work of Giuseppe Da Prato. Moreover young participants will be offered the possibility to present short communications on their own research. Interested people can register at the link http://www.rism.it/registration_rism5_45.html (a modest registration fee will cover 5 lunches and local transportations). IMPORTANT: PhD students, young researchers and postdocs are invited to apply for financial support towards lodging expenses by sending a CV to presidente(a)rism.it For organizing purposes we kindly ask participants to get registered as soon as possibe and, in any case, by the end of March 2018. With very best regards and wishes for a prosperous 2018, Scientific Committee: M. Hairer (Imperial College - London), S. Cerrai (University of Maryland), A. Debussche (ENS - Rennes), L. Zambotti (Universite Pierre et Marie Curie - Paris). Organizing Committee: D. Cassani (Univ. Insubria), M. Fuhrman (Univ. Milano), G. Guatteri (Politecnico di Milano), F. Masiero and G. Tessitore (Univ. Milano-Bicocca) -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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RISM School in Developements in SDEs, first announcement
by gianmario tessitore 11 Jan '18

11 Jan '18

Dear Colleagues, This is the first announcement of the upcoming sixth RISM school DEVELOPMENTS IN STOCHASTIC DIFFERENTIAL EQUATIONS in honor of Giuseppe Da Prato. It will take place in Varese during the week July 23-27, 2018 at the Riemann International School of Mathematics, Universita’ degli Studi dell'Insubria, and it will be directed by Martin Hairer. Please find the poster and further details at the link: www.rism.it. The school will consist of three courses delivered by: Arnaud Debussche (Ecole Normale Superieure Rennes) Martin Hairer (Imperial College, London) Felix Otto (Max Planck Institute, Leipzig) and of three specialized talks aimed at presenting recent advances and challenges of contemporary research in SPDEs in connection with the work of Giuseppe Da Prato. Moreover young participants will be offered the possibility to present short communications on their own research. Interested people can register at the link http://www.rism.it/registration_rism5_45.html (a modest registration fee will cover 5 lunches and local transportations). IMPORTANT: PhD students, young researchers and postdocs are invited to apply for financial support towards lodging expenses by sending a CV to presidente(a)rism.it For organizing purposes we kindly ask participants to get registered as soon as possibe and, in any case, by the end of March 2018. With very best regards and wishes for a prosperous 2018, Scientific Committee: M. Hairer (Imperial College - London), S. Cerrai (University of Maryland), A. Debussche (ENS - Rennes), L. Zambotti (Universite Pierre et Marie Curie - Paris). Organizing Committee: D. Cassani (Univ. Insubria), M. Fuhrman (Univ. Milano), G. Guatteri (Politecnico di Milano), F. Masiero and G. Tessitore (Univ. Milano-Bicocca) -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Fwd: 3 year postdoc at Oxford in economic complex systems modeling
by Fabrizio Lillo 10 Jan '18

10 Jan '18

Ricevo e inoltro ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica Università di Bologna ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159 <+39%20050%20509159> ---------- Forwarded message ---------- From: Doyne Farmer <Doyne.Farmer(a)inet.ox.ac.uk> Date: 2017-12-22 13:34 GMT+01:00 Subject: 3 year postdoc at Oxford in economic complex systems modeling To: Fabrizio Lillo <fabrizio.lillo(a)sns.it> We are seeking to appoint a Senior Research Associate to participate in the ‘Sensitive Intervention Points in the Transition to the Post-Carbon Society” project funded by the Oxford Martin School under the leadership of the Principal Investigators, Professor Doyne Farmer and Professor Cameron Hepburn. The project will study the transition to carbon neutral energy generation from economic, sociological and technological points of view. Key duties include playing a leadership role in managing the project, working closely with the principal investigators and the other members of the team to achieve the goals of the project; managing and undertaking academic research and write articles for publication in scientific journals; managing and co-ordinating research activities, administrative activities and grant reporting; playing a mentoring role, and act as a source of information and advice to other members of the group; disseminating research and presenting research outputs at conferences, workshops and to stakeholders; and developing ideas for generating research income and take a leadership role in finding additional sources of funding and making applications for research grants. The successful candidate will have ability to undertake interdisciplinary research, with strong skills in mathematics, programming, and large-scale data analysis; a PhD/DPhil in a field of quantitative science such as economics, mathematics, physics, computer science, social science, biology, statistics or engineering; fluency in written and spoken English; and a demonstrated track record in writing papers for publication. An ability to work in a demanding environment subject to deadlines and exacting professional and academic standards is essential. The appointment will be available for up to 36 months.

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Postdoctoral Research Associate position: "Postdoctoral Research Associate position “Laboratoire des Sciences du Climat et de l’Environnement” (LSCE, Gif-sur-Yvette, France) funded by CEA on "Event Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators" (fwd)
by Michele Gianfelice 10 Jan '18

10 Jan '18

Ricevo ed inoltro p.c. . Cordialmente, m.gianfelice p.s: Among the Skills & diploma requested, the successful candidate should possess: - A PhD in Statistics, Applied Mathematics or related fields; - Strong bases on stochastic models including their statistical inference; - An excellent knowledge of R (recommended) or Python (second choice) programming languages; - English proficiency and attitude to work in an international research environment. ---------- Forwarded message ---------- Date: Wed, 10 Jan 2018 14:05:07 +0100 (CET) From: Davide Faranda <davide.faranda(a)lsce.ipsl.fr> Cc: Mathieu Vrac <mathieu.vrac(a)lsce.ipsl.fr> Subject: Postdoctoral Research Associate position: "Postdoctoral Research Associate position ?Laboratoire des Sciences du Clima t et de l?Environnement? (LSCE, Gif-sur-Yvette, France) funded by CEA on "E vent Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators" Dear Colleague, (sorry for cross-posting) please circulate this announcement for a post-doctoral position at LSCE starting Spring 2018 for (at least) 16 months. Applications will be open untill January 31, 2018 Best Regards, Mathieu Vrac, Davide Faranda Postdoctoral Research Associate position ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE, Gif-sur-Yvette, France) funded by CEA on Event Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators Expected starting date: Spring 2018. Duration: 16 months Context of the position: There is an increasing interest worldwide in assessing the extent to which recent extreme weather and climate events can be solely linked to natural climate variability or be significantly altered in frequency or intensity by human-induced climate change (Stott, 2016). Examples are numerous: Paris flood in June 2016, drought in Central Europe in Summer 2015, or the extremely cold European winter of 2009/10. The usual question is to know to what extent such extremes are linked to climate change, and if they are becoming (or will become) more or less frequent. Therefore, the science of ?event attribution? is evolving rapidly. This postdoctoral position is part of the European ERA4CS ?EUPHEME? project, whose one of the main objectives is to develop state-of-the-art event attribution methods for a range of timescales, and new techniques for evaluating their reliability. The vision of the EUPHEME project is to place extreme weather events in the context of climate variability and change, thereby helping European citizens adapt to a changing climate and mitigate its worst effects. Scientific context: Event attribution relies on comparisons of various statistics of extreme events between a ?factual world? (i.e., the world as we observe it or at least with the real physical forcings) and a ?counter-factual world? (i.e., the world as it would be without one or several given forcings, as human-induced greenhouse gas emissions). Those comparisons are usually performed based on a very high number (1000s of runs) of climate model simulations. One issue is that General circulation models are generally too expensive to be run as long as needed to compute such statistics and at the demanded resolution. Stochastic weather generators (SWGs) are therefore a valid alternative: they are statistical models calibrated on past observations to simulate as many datasets as desired with the same statistical properties [Wilks, 2010, 2012]. Moreover, the dynamics of atmospheric motions depends on the observed atmospheric states. Recently, a technique to measure such state-dependent dynamical properties have been found [Faranda et al., 2017] by the computation of the so-called local dimensions (a measure of the state disorder) and the local persistence. Preliminary studies have shown that such information can be lumped with the statistical model to obtain ?conditional SWGs? (e.g., Wong et al., 2014) providing simulations with a realistic dynamics. Main goals: The goal of the postdoctoral research is to provide both a theoretical framework and a numerical tool to build conditional SWGs driven by dynamical systems properties. - The first step will be to introduce such properties and indicators in simple autoregressive models to mimic the dynamical properties of univariate time series of climate variables and simple dynamical systems. - Those state-dependent indicators will then be used to condition progressively more sophisticated SWGs (e.g., Vrac et al., 2007), up to spatial models (i.e., simulating fields) for climate variables as wind, temperature or precipitation. - At each stage, the different conditional SWGs developed will be applied in an event attribution purpose to evaluate the improvements achieved or still needed, depending on the extreme events of interest. Skills & diploma requested: The successful candidate should possess: - A PhD in Statistics, Applied Mathematics, Statistical Physics, Climate sciences or related field; - Strong bases on stochastic models including their statistical inference; - A basic knowledge of climate dynamics; - An excellent knowledge of R (recommended) or Python (second choice) programming languages; - A basic knowledge of dynamical systems framework will be a plus but is not mandatory; - English proficiency and attitude to work in an international research environment. Geographical location & scientific team: This postdoctoral position will be located at Gif-sur-Yvette (France), in the ?Extremes ? Statistics ? Impacts ? Regionalization? (ESTIMR) scientific research team of the ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE). The ESTIMR team develops a methodological research aiming to better understand the climate data: statistical analyses of observations and simulations in order to investigate the variability and identify the trends, modelling of extreme events, detection and attribution of their changes, downscaling, bias adjustment of simulations, uncertainty modelling of climate projections, etc. The ESTIMR team leads and participates to international projects, from pure to more applied science project. The main activity of the team relies on the use and development of advanced statistical models via a strong multidisciplinary interaction among climatology, modelling and statistics. How to apply: Applications will be open until January 31, 2018 (or until the position is filled) and have to be submitted by e-mail to M. Vrac (mathieu.vrac[at]lsce.ipsl.fr) and D. Faranda (davide.faranda[at]lsce.ipsl.fr) as soon as possible and must include: - a CV (max 2 pages + Publication list), - A statement of research interests describing why the candidate fits the position (max 2 pages), - The names of at least two references including e-mail addresses and telephone numbers. More information on the ?Extremes ? Statistics ? Impacts ? Regionalization? (ESTIMR) team: http://www.lsce.ipsl.fr/en/Phocea/Vie_des_labos/Ast/ast_groupe.php?id_group… More information on the ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE): http://www.lsce.ipsl.fr/ References: Davide Faranda, Gabriele Messori and Pascal Yiou. Dynamical proxies of North Atlantic predictability and extremes. Scientific Reports, 7-41278, 2017 Vrac, M., M. Stein, K. Hayhoe. Statistical downscaling of precipitation through nonhomogeneous stochastic weather typing. Climate Research, 2007, 34: 169-184, doi: 10.3354/cr00696 Wilks DS. Use of stochastic weather generators for precipitation downscaling. WIRES Clim Change 2010, 1(6):898?907 Wilks, D. S. (2012), Stochastic weather generators for climate-change downscaling, part II: multivariable and spatially coherent multisite downscaling. WIREs Clim Change, 3: 267?278. doi:10.1002/wcc.167 Wong, G., D. Maraun, M. Vrac, M. Widmann, J.M. Eden, and T. Kent, 2014: Stochastic Model Output Statistics for Bias Correcting and Downscaling Precipitation Including Extremes. J. Climate, 27, 6940?6959, https://doi.org/10.1175/JCLI-D-13-00604.1 -- Davide Faranda LSCE - CNRS http://www.lsce.ipsl.fr/Pisp/davide.faranda/

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Master programmes at the University of Kent
by Fabrizio Leisen 10 Jan '18

10 Jan '18

Con preghiera di diffusione. Contattami pure se avete bisogno di ulteriori informazioni. Cordiali saluti, Fabrizio Leisen A postgraduate degree in Statistics from the University of Kent can open many doors both in industry and research. The taught programmes in Statistics and Statistics with Finance provide exemption from the professional examinations of the Royal Statistical Society and qualification for Graduate Statistician status. The School of Mathematics, Statistics and Actuarial Science has a strong reputation for world-class research and a well-established system of support and training, with a high level of contact between staff and research students. Postgraduate students develop analytical, communication and research skills. Developing computational skills and applying them to mathematical problems forms a significant part of the postgraduate training in the School. The School encourages all postgraduate statistics students to take part in statistics seminars and to help in tutorial classes. The Statistics Group is forward-thinking, with varied research, and received high rankings in the Research Excellence Framework (REF) 2014 for research power and quality. An overview of the Statistics group activities can be found at https://www.kent.ac.uk/smsas/statistics/research/index.html For more information about postgraduate statistics programmes at Kent visit www.kent.ac.uk/smsas or contact the Admissions Officer: E: smsaspgadmissions(a)kent.ac.uk T: +44 (0) 1227 816050 Director: Fabrizio Leisen, F.Leisen(a)kent.ac.uk -- Fabrizio Leisen Reader in Statistics School of Mathematics, Statistics and Actuarial Sciences Sibson Building, University of Kent, Canterbury, CT2 7FS http://www.kent.ac.uk/smsas/statistics/our-people/profiles/leisen_fabrizio.… http://sites.google.com/site/fabrizioleisen/

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Seminario di Probabilità e Statistica Matematica a RM1
by Fabio Spizzichino 10 Jan '18

10 Jan '18

Il Prof. Yaakov Malinovsky (University of Maryland, Baltimore County) terra' un seminario dal titolo *Nested Group Testing Procedures and Generalized GT Problem* Giovedi' 11 Gennaio, ore 14:00, Aula B del Dipartimento di Matematica dell'Università La Sapienza, Piazzale A. Moro, 2 Tutte le persone interessate sono invitate ad intervenire Fabio Spizzichino ================ Abstract Group testing has its origins in the identi cation of syphilis in the US army during World War II. It is a useful method that has broad applications in medicine, engineering, and even in airport security control. Consider a finite population of N units, where unit i has a probability p to be defective. A group test is a simultaneous test on an arbitrary group of units with two possible outcomes: all units are good or at least one of the units is defective. The goal is to construct a procedure which classi fies all units in a given population, with as small as possible expected number of tests. In this talk I shall review previously known results in the group testing literature and present new results characterizing optimality of commonly used nested group testing procedures. In the second part of the talk, the generalized group testing problem (where unit i has a probability p_{i} to be defective) will be discussed as well. <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> Virus-free. www.avast.com <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> <#DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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mini corso di Mustafa Pinar su Combinatorial e Robust Optimization
by fabio bellini 09 Jan '18

09 Jan '18

Nei giorni 29-30-31/1 e 1-2/2, dalle ore 14 alle 17, il prof. Mustafa Pinar della Bilkent University di Ankara terrà un mini corso di dottorato su "Combinatorial and Robust Optimization". Le lezioni avranno luogo presso la Aula Seminari 2062 al secondo piano dell'edificio U7, in via Bicocca degli Arcimboldi 8. Tutti gli interessati sono invitati a partecipare; la partecipazione è libera; per motivi organizzativi occorre preiscriversi inviando una mail a nicoletta.alghisi(a)unimib.it. Saluti -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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MURF18 - Deadline for abstract submission: JAN 31, 2018
by Giovanni Puccetti 09 Jan '18

09 Jan '18

MURF18 - Deadline for abstract submission: JANUARY 31, 2018 Model Uncertainty and Robust Finance (II edition), University of Milano, MARCH 15-16, 2018 https://sites.google.com/site/murf2018/ CONFIRMED INVITED SPEAKERS Carole BERNARD (VUB & Grenoble EM) Roger COOKE (TU Delft) David LI (SAIF & SJTU Shangai) Massimo MARINACCI (Bocconi University) Walter SCHACHERMAYER (University of Vienna) Ludovic TANGPI (University of Vienna) FREE REGISTRATION FOR ACCEPTED CONTRIBUTED SPEAKERS (Deadline for abstract submission: JANUARY 31, 2018) DE FINETTI RISK SEMINAR on MARCH 14, 2018 (Lecture by W. SCHACHERMAYER and Welcome Reception) SPECIAL ISSUE in DEPENDENCE MODELING edited by Marco Frittelli and Emanuela Rosazza-Gianin

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Bando RTD-A presso Politecnico di Torino
by Franco Pellerey 09 Jan '18

09 Jan '18

A tutti gli interessati segnalo che presso il Politecnico di Torino e' stata indetta la procedura di selezione per la copertura di una posizione da Ricercatore Universitario a tempo determinato di tipo A, nell'SSD Mat/06, riservata a candidati che abbiano conseguito il Dottorato di Ricerca in data non antecedente al 01/01/2013. Il termine di scadenza per la presentazione delle domande alla predetta procedura di selezione è fissato per il giorno Giovedì 1° febbraio 2018. Il testo del bando e' reperibile al link https://www.swas.polito.it/services/concorsi/240.asp?id_documento_padre=147… Cordiali saluti, Franco Pellerey Dipartimento di Scienze Matematiche Politecnico di Torino

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de Finetti Risk Seminar - January 2018
by Emanuela Rosazza 09 Jan '18

09 Jan '18

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture David Hobson University of Warwick TITLE: Optimal stopping, time inconsistency and naive agents ABSTRACT: Many problems from finance and economics can be cast as optimal stopping problems. In the classical framework when we model agents as maximisers of expected utility the optimal stopping rule is a threshold rule. But what happens if we move beyond the standard setting? We discuss some examples from cautious stochastic utility and prospect theory. Then the problems become time-inconsistent and we must discuss how agents respond to time inconsistency. LOCATION: The seminar will be held on Wednesday, Januar 17, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) ****************************************************************************************** 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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Sapienza bando RTB/B SSD MAT/06
by Barbara Vantaggi 09 Jan '18

09 Jan '18

Con preghiera di diffusione a tutti gli interessati Si segnala l'uscita di un bando per un posto di RTD-B nel settore MAT/06 in Sapienza Università di Roma, presso il Dipartimento SBAI. Il bando ha scadenza 05/02/2018 ed è disponibile alla pagina https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/93601 Cordiali saluti Barbara Vantaggi

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REMINDER - January 15 deadline for Papers and Abstracts - 10th World Congress of the Bachelier Finance Society
by Paolo Guasoni 08 Jan '18

08 Jan '18

10th World Congress of the Bachelier Finance Society Dublin, July 16-20, 2018 Every two years, the World Congress of the Bachelier Finance Society brings together academics and practitioners in the Mathematical and Quantitative Finance community to exchange ideas, discuss the latest trends, and find new collaborations and employment opportunities. Submissions of papers and abstracts are open through January 15, 2018 at http://bacheliercongress2018.com/ Registration fees and accommodation options will be announced in the coming weeks on the website. Bachelier Finance Society Junior Scholar Award - sponsored by SIG At SIG, Quantitative Researchers explore the latest concepts in Financial Mathematics to solve problems found in the markets. Sponsored by SIG, this new award will honour the most outstanding contribution by a PhD student or postdoc with EUR 5000 (conditions apply). The award has been created to recognise scholars who share SIG’s passion for cutting-edge research. Conference participants will also have the opportunity to submit their CVs and potentially interview with our sponsors. For details on the Bachelier Finance Society Junior Scholar Award, see http://www.bachelierfinance.org/awards/junior-scholar-award.html Plenary Speakers René Aïd (Paris Dauphine), Hansjoerg Albrecher (HEC Lausanne), Bruno Bouchard (Paris Dauphine), J. Doyne Farmer (Oxford), Masaaki Fukasawa (Osaka), Xin Guo (Berkeley), Monique Jeanblanc (Evry), Charles-Albert Lehalle (Capital Market Fund), Walter Schachermayer (University of Vienna), José A. Scheinkman (Columbia), Mete Soner (ETH Zurich), Jianfeng Zhang (USC). Scientific Committee Pauline Barrieu (LSE), Erhan Bayraktar (University of Michigan), Michel Crouhy (Natixis), Jean-Pierre Fouque (Santa Barbara), Paolo Guasoni (Dublin City University), Takaki Hayashi (Keio), Vicky Henderson (Warwick), Alexander Lipton (Stronghold Labs), Andrew Lo (MIT), Jin Ma (USC), Huyên Pham (Paris VII), Jean-Charles Rochet (University of Zurich), Mathieu Rosenbaum (Ecole Polytechnique), Alexander Schied (Waterloo), Wim Schoutens (KU Leuven). -- *Séanadh Ríomhphoist/Email DisclaimerTá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://www4.dcu.ie/iss/seanadh-riomhphoist.shtml>This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://www4.dcu.ie/iss/email-disclaimer.shtml>* -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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Intensive Course in Optimization of Mustafa Pinar at Roma Tre University
by Francesco Cesarone 08 Jan '18

08 Jan '18

Dear Colleagues, on 15-16-17-18-19-22 January 2018 from 14:00 to 17:00 and on 23 January 2018 from 10:00 to 13:00 (Aula 18, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Prof. Mustafa Pinar of Bilkent University in Ankara will hold an intensive course on "Optimization in Economics and Finance". The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - course on Optimization. PROGRAM Optimization: theory and algorithms - Static optimization - Equality and inequality constraints. Lagrange multipliers, KKT conditions - The role of convexity and its generalizations in optimization - Lagrangian duality - Applications in Economics and Finance - Univariate uncostrained optimization - Multivariate unconstrained optimization (gradient-based methods, Newton's method and its variants) - Constrained optimization (penalty and barrier methods, augmented lagrangian method, sequential quadratic programming) - Optimization Software References - Optimization: Insights and Applications, J. Brinkhuis and V. Tikhomirov - Convex Optimization, S. Boyd and L. Vandenberghe - Convex Analysis and Optimization, Lecture Notes by A. Nemirovski We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Posto di ricercatore di Tipo A), Settore SECS-S/ 06èpresso la Luiss, Roma
by Fausto Gozzi 08 Jan '18

08 Jan '18

Vi segnalo che sono stati pubblicati in G.U. il 5 gennaio 2018 2 bandi (Ricercatore lett. a), settori SECS-S/06 e SECS-P/11). In particolare si segnala il bando seguente e si invitano tutti gli interessati a presentare domanda. 13/D4 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Pubblicato sulla Gazzetta Ufficiale in data 5 gennaio 2018 Settore scientifico-disciplinare SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie presso il Dipartimento di Economia e Finanza della LUISS Libera Università Internazionale degli Studi Sociali Guido Carli. Ricercatore art. 24, comma 3, lett. a) Codice concorso DEF-RIC-03/2018 Scadenza: 19 febbraio 2018 * <http://www.luiss.it/sites/www.luiss.it/files/BANDO_DEF-RIC-03-2018.pdf>Bando DEF-RIC-03/2018 Fausto Gozzi Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it

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Seminaio di N. Torri a Milano-Bicocca (11 gen 2018)
by Francesco Caravenna 08 Jan '18

08 Jan '18

Giovedì 11 gennaio 2018 alle ore 15:30 Niccolò Torri (Université Paris 6 - Pierre et Marie Curie) terrà un seminario dal titolo "Scaling limit of the prudent random walk" 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 %%%%%%%%%%%%%%%%%%%%%%%%%% The self-interacting self-avoiding random walk (ISAW) is a mathematical model introduced for studying the behavior of a polymer dipped in a repulsive solvent. In this model the possible spatial configurations of the polymer are provided by self-avoiding walk trajectories. However, self avoiding walks, especially in dimension 2 and 3, are complicated objects. This is the reason why, in the mathematical literature, the ISAW model was studied for sub-families of self-avoiding walks, as for instance the partially directed self-avoiding walk. A natural generalization of the partially directed self-avoiding walk is given by the so called "prudent random walk". A prudent path a non-directed self-avoiding path which cannot take a step towards a previously visited lattice site. The prudent self-avoiding walk has attracted the attention of the combinatorial and probabilistic community over recent years and already the 2-dimensional case presents challenging issues. In this talk we consider two of such issues, concerning the scaling limit as well as exponential growth rate of the set of prudent paths, making a link with the general context of the ISAW model. Joint work with N. Pétrélis and R. Sun %%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ 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/ _________________________________________

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Post-Doc research grant in Padova
by Tiziano Vargiolu 08 Jan '18

08 Jan '18

(sorry for possible cross-postings) Dear all, the Interdepartmental Centre "Giorgio Levi Cases" for Energy, Economics and Technology (University of Padova) issues a research grant on the topic "Capacity markets and the definition of the value of Reliability Options" to be performed at the Department of Mathematics under the supervision of Prof. Tiziano Vargiolu (as the scientific responsible), in cooperation with Prof. Fulvio Fontini, of the Department of Economics and Management. - duration: 27 month; - deadline: January 18, 2017 - topic: In energy markets, it is of particular interest the problem of a fair evaluation of Reliability Options (RO), namely, physical call options derived on electricity, issued by generators and acquired by a subject to hedge adequacy risk of power generation. The aim of this grant is to define a fair pricing of RO, which requires techniques which go beyond those classically used in financial markets to price and hedge derivative assets. - call for grant: http://www.math.unipd.it/it/news/?id=2152 The English version is at the bottom (2 downloadable files). The successful candidate will not have teaching duties (however, there is in principle the possibility to teach, if wanted) and will have access to the Department's fundings for travel. For further information, feel free to contact me (vargiolu(a)math.unipd.it). Please circulate -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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University of Leeds - one post for a Professor of Mathematics or Statistics
by Elena Issoglio 07 Jan '18

07 Jan '18

Dear All, I am glad to announce that the School of Mathematics at the University of Leeds is advertising one post for a Professor of Mathematics or Statistics. Please follow the link for details https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1074 Closing date: 31st January 2018. I would be most grateful if you could please forward this announcement to suitable candidates. Best wishes, Elena 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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European Geosciences Union: Mathematics of Planet Earth
by Tobias Kuna 05 Jan '18

05 Jan '18

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Call for Abstracts: StochMod 2018 at Lancaster University
by Cecchi, F. 04 Jan '18

04 Jan '18

On behalf of Peter Jacko. Dear colleagues, We would like to invite you to submit abstracts for presentation at the 7th Stochastic Modelling meeting (StochMod 2018), which will take place on 13-15 June 2018 at Lancaster University, UK. Abstract submission closes on 14 February 2018. The StochMod meeting is run biennially by the EURO working group on stochastic modelling, and its scope covers both the theory and applications of stochastic models. StochMod 2018 will include keynote talks from - Margaret Brandeau (Stanford University) - Kevin Glazebrook (Lancaster University) - Kalyan Talluri (Imperial College London) and a tutorial by - Warren B. Powell (Princeton University). We will also have a panel discussion on "Teaching of stochastic modelling in the era of business analytics and data science", chaired by Ger Koole (VU-Amsterdam). [X] For additional information about StochMod 2018, please visit the meeting's webpage: http://www.lancaster.ac.uk/staff/jacko/stochmod2018/ We look forward to welcoming you in Lancaster! Best regards, Peter Jacko and Rouba Ibrahim (StochMod 2018 co-chairs)

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Univ. Ca' Foscari: SCADENZA 15-01-2018 - RTDa in Econometria
by Roberto Casarin 04 Jan '18

04 Jan '18

Gentili Colleghi, Il Dipartimento di Economia dell’Università Ca' Foscari di Venezia ha aperto un bando per una posizione di ricercatore a tempo determinato, di tipo A, della durata di 3 anni, per il settore SECS P/05 - Econometria: http://intra.unive.it/plapps/bandi/common/file_bandi/28096.pdf Si segnalano tra gli ulteriori requisiti indicati nel bando: "Il ricercatore dovrà essere particolarmente competente nell'uso di software econometrici e statistici come R o Matlab, avere conoscenza approfondita di statistica, econometria e modelli e metodi per l'analisi delle serie storiche" Il termine di presentazione della domanda è il 15 gennaio 2018 (vedere dettagli nel bando). Vi chiedo la cortesia di diffondere la notizia ai potenziali interessati. Cordiali saluti, Roberto Casarin -- Prof. Roberto Casarin Director of IMEF - International Master in Economics and Finance 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://virgo.unive.it/imef/ -- Nota automatica aggiunta dal sistema di posta.

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Posizione Ricercatore tipo B in SECS-06 Sapienza
by Gabriele Stabile 02 Jan '18

02 Jan '18

Con preghiera di diffusione a tutti gli interessati Concorso per un posto di *RTD-B* nel settore *SECS-S/06* in* Sapienza Università di Roma*, presso il Dipartimento MEMOTEF, per attività di ricerca sul tema *Metodi quantitativi, modelli matematici e tecniche numeriche per il pricing di strumenti finanziari e per la valutazione del rischio. * Il bando ha *scadenza 22/01/2018 *ed è disponibile alla pagina https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/93163 Un saluto Gabriele Stabile

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Postdoctoral position in Probability (Paris)
by Paolo Dai Pra 28 Dec '17

28 Dec '17

Postdoctoral position in Probability (ANR grant SWiWS) We offer a 2-year postdoctoral position in Probability Theory beginning September 2018 and funded by the ANR grant SWiWS. All candidates with a background in Probability or Mathematical Physics, and interested in working on the mathematical aspects of polymer folding, interacting random walks and related topics, are encouraged to apply. The position is officially attached with Paris-Est, and collaboration is expected with members of the SWiWS project (see below). Eligibility criteria: Holding a PhD in Mathematics. The selection will be based on the excellence of previous scientific achievements and the quality of the scientific project. Members of SWiWS project: Amine Asselah, Quentin Berger, Francis Comets, Yueyun Hu, Julien Poisat, Bruno Schapira, Perla Sousi. Contract details: Funding will also be available to participate in scientific events related to the project. Research stays in Marseille and Cambridge are possible. Applications should be sent by email and include: a CV, a list of publications, a description of research project as well as 2 letters of recommendation. Contact : Any member of the SWiWS project. See the following webpage: http://perso-math.univ-mlv.fr/users/asselah.amine/anr.html <http://perso-math.univ-mlv.fr/users/asselah.amine/anr.html> 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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