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

23 Mar '18

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

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

21 Mar '18

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

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

21 Mar '18

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

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

21 Mar '18

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

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Workshop `Randomness and Symmetry’, UCD, June 18-22, 2018
by Bisi, Elia 21 Mar '18

21 Mar '18

Ricevo e inoltro. ________________________________ From: Randomness & Symmetry Workshop <randsym18(a)ucd.ie> Sent: 21 March 2018 11:56 To: Bisi, Elia Subject: Workshop `Randomness and Symmetry’, UCD, June 18-22, 2018 Dear colleagues, This is a preliminary announcement for the workshop `Randomness and Symmetry’, to be held at University College Dublin, June 18-22, 2018. Confirmed speakers include - Elia Bisi (Warwick), Philippe Bougerol (Paris), Jeremie Bouttier (Saclay), Manon Defosseux (Paris), Persi Diaconis (Stanford), Nick Ercolani (Arizona), Jonathan Novak (San Diego), Satya Majumdar (Orsay), Dan Romik (Davis), Gregory Schehr (Orsay), Craig Tracy (Davis), Pierre Van Moerbeke (Leuven), Balint Virag (Toronto), Paul Zinn-Justin (Melbourne). There is limited space available (and some funding for PhD students and young researchers) to participate in this workshop. To apply / register your interest, please email randsym18(a)ucd.ie<mailto:randsym18@ucd.ie> before May 1, 2018. Further details are available on the workshop web page http://www.maths.ucd.ie/~noconnell/randsym18/main.html With best wishes, on behalf of the organisers, Fabio Deelan Cunden Antoine Dahlqvist Neil O’Connell

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MSCA Master Class 2018 @ POLIMI
by Daniele Marazzina 20 Mar '18

20 Mar '18

Con preghiera di diffusione >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Politecnico di Milano is launching a pilot Master Class (MSCA EF MASTER CLASS 2018 @ POLIMI) for potential applicants to the MSCA - European Individual Fellowship call 2018. https://www.polimi.it/en/faculty-and-staff/calls-and-competitions/call-for-… The aim of the call is to attract and train young and talented researchers to successfully applying for MSCA European Fellowship with the Politecnico di Milano as host institution. Applications are open for the published 30 "Supervisors project proposals". Among those 30 projects, we announce the following Risk and Potentialities of Cryptocurrencies<https://www.polimi.it/fileadmin/user_upload/Lavora-con-noi/MSCA_EF_Master_C…> https://www.polimi.it/fileadmin/user_upload/Lavora-con-noi/MSCA_EF_Master_C… Candidates will be pre-selected based on their expression of interest, CV and motivation. Promising candidates will be invited to the Politecnico di Milano for 3 days (11-13 June 2018) to meet with their supervisors, to visit laboratories and facilities, to attend an in depth training course on the proposal writing and to make use of full support in the application writing process by POLIMI advisors. Candidate fellows and supervisors will be guided throughout the whole application process with deadline on 12th September 2018. Only those who get funding through the European Commission’s MSCA IF program will be admitted to Politecnico di Milano.

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Lectures on "Neural Networks for Time Series Analysis" - University of Verona, Italy - March 21, 23, 28, 29, 2018
by Luca di persio 17 Mar '18

17 Mar '18

Dear all, this is to announce a minicourse on "Neural Networks for Time Series Analysis" that will take place at Ca'Vgnal 2 College of Mathematics - Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona located here https://goo.gl/maps/Yx2JU Speaker Oleksandr Honchar [HPA – University of Verona] Program, Abstract and timetable Lecture 1: Introduction to machine learning and time series analysis Lecture 2: Data preparation and feed-forward neural networks Lecture 3: Convolutional and recurrent neural networks Lecture 4: Building a trading strategy and further applications Abstract In this mini-course we will study artificial neural networks as a tool for time series classification and forecasting. We will review theoretical concepts of feed-forward, convolutional and recurrent neural networks, their modern architectures and implement them in Python. The emphasis of the mini-course is on practical applications, so we will use before mentioned algorithms to forecast stock prices movements and build a real asset trading strategy and backtest it. After attending this course, students will understand basic pipeline of machine learning based time series analysis: data preprocessing, fitting the model, evaluation of results and will be able to use their own models for building algorithmic trading strategies. 21/3 – 15:30-17:30 – Meeting Room – 2nd floor 23/3 – 15:30-17:30 – Meeting Room – 2nd floor 28/3 – 15:30-17:30 – Meeting Room – 2nd floor 29/3 – 15:30-17:30 – Meeting Room – 2nd floor The initiative is organised within the framework of the Stochastic Semester VPSMS18 [VPSMS2018.org] , see also: http://www.di.univr.it/?ent=seminario&id=4262&lang=it http://vpsms2018.org/event/minicourse-neural-networks- for-time-series-analysis/ Do not hesitate to contact me for further info. Best, LuCa __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968

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Seminario ENRICO SCALAS @ UniTo
by Federico Polito 16 Mar '18

16 Mar '18

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Lunedì 26 Marzo 2018 alle ore 14:30 in Aula A presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. ENRICO SCALAS (Department of Mathematics, University of Sussex, UK) terrà un seminario dal titolo A STYLIZED MODEL FOR WEALTH DISTRIBUTION Abstract: The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive the wealth distribution using discrete and continuous stochastic processes (random exchange models) as well as related Boltzmann-type kinetic equations. In this literature, the usual concept of equilibrium in Economics is either replaced or completed by statistical equilibrium. In order to illustrate this activity with a concrete example, we present a stylised random exchange model for the distribution of wealth. We first discuss a fully discrete version (a Markov chain with finite state space). We then study its discrete-time continuous-state-space version and we prove the existence of the equilibrium distribution. Finally, we discuss the connection of these models with Boltzmann-like kinetic equations for the marginal distribution of wealth. This paper shows in practice how it is possible to start from a finitary description and connect it to continuous models following Boltzmann's original research program. https://arxiv.org/abs/1609.08978 Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Fwd: COFUND Parigi : 20 borse di dottorato
by Marco Romito 16 Mar '18

16 Mar '18

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Seminario di Probabilità - Padova
by Paolo Dai Pra 16 Mar '18

16 Mar '18

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

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Master programmes at the University of Kent
by Fabrizio Leisen 15 Mar '18

15 Mar '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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Call for PhD positions at University of Oslo
by Giulia Di Nunno 15 Mar '18

15 Mar '18

Dear Colleagues, this is to draw your attention to the call for two PhD positions at the University of Oslo in stochastic analysis and its applications to finance, insurance, energy and risk. Specifically one position is in the scopes of to the project STORM “Stochastics for Time-Space Risk Models" http://www.mn.uio.no/math/english/research/projects/storm/index.html <http://www.mn.uio.no/math/english/research/projects/storm/index.html> Description and call: https://www.jobbnorge.no/en/available-jobs/job/149487/phd-research-fellowsh… <https://www.jobbnorge.no/en/available-jobs/job/149487/phd-research-fellowsh…> The other one is in Stochastic Analysis and its Applications Description and call: https://www.jobbnorge.no/en/available-jobs/job/149496/phd-research-fellowsh… <https://www.jobbnorge.no/en/available-jobs/job/149496/phd-research-fellowsh…> For both the deadline of application is April 15th, 2018. You can also find a number of other open positions that can be interesting for a wider audience: http://www.mn.uio.no/math/om/jobb/ <http://www.mn.uio.no/math/om/jobb/> Please help to advertise these calls and bring them to the attention of your colleagues and possible candidates. Thank you in advance! Best wishes Giulia --- Giulia di Nunno Professor Department of Mathematics University of Oslo http://folk.uio.no/giulian/ <http://folk.uio.no/giulian/>

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Bocconi summer school on "Graphical models" - deadline extension
by Antonio Lijoi 14 Mar '18

14 Mar '18

** DEADLINE EXTENSION FOR APPLICATIONS ** Bocconi Summer School in Advanced Statistics & Probability: “Graphical Models” http://asps.lakecomoschool.org July 9-20, 2018 La scadenza per inoltrare le domande di partecipazione alla Bocconi Summer School in Advanced Statistics & Probability su "Graphical Models" e' stata posticipata al ** 28 marzo 2018 ** La Summer School si svolgera’ presso la Lake Como School of Advanced Studies, e le lezioni saranno tenute da: Steffen Lauritzen (University of Copenhagen) Robin Evans (University of Oxford) Si ricorda che il Bocconi Institute of Data Science (BIDSA) conferira’ due BIDSA Awards a candidati meritevoli, che copriranno le registration fees. Cogliamo anche l’occasione per annunciare nuove iniziative all’interno della scuola. In particolare, quest'anno avremo il piacere di ospitare due seminari: Julia Mortera (Universita' di Rome Tre): "Graphical Models in Forensic Science" Fabio Corradi (Universita' di Firenze): "On the Probability of Causation for Querying the Cause of an Effect, and its Fundamental Conditions" Informazioni piu' dettagliate saranno rese disponibili quanto prima sul sito della Summer School. Inoltre, sono anche previsti seminari informali in cui i partecipanti, che ne facciano preventivamente richiesta, possono presentare la propria ricerca su temi attinenti la scuola. Ulteriori dettagli sono disponibili su http://asps.lakecomoschool.org o possono essere richiesti a bss.statistics(a)unibocconi.it

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[short conference with courses]: NETWORKING BIOSTATISTICS
by Paola Rancoita 14 Mar '18

14 Mar '18

*NETWORKING BIOSTATISTICS* Networking Biostatistics is a short international COSTNET conference organized by Italian and Dutch International Biometric Society (IBS) regions to promote networks among IBS regions, networks among biostatisticians, early career researchers and PhD students, and collaboration among biomedical researchers and biostatisticians in general, looking for network procedures and statistical methods for a real contribution in modelling modern biomedical data. The conference includes five parts: 1. *Invited speaker sessions* on advanced methods for biomedical data. 2. *Short poster presentations*: poster contributions will be introduced with a 5 minutes flash presentation. 3. *Posters session with awards*. 4. *Round table* with spontaneous contributions on “Networking modern biomedical researchers and biostatisticians: from big Data to Big information” 5. *Two short courses on network modelling*: - “Co-data learning: the group-regularized ridge and elastic net” (Mark van de Wiel) - “Introduction to graphical models and applications to genomics” (Paola Vicard/Francesco Stingo) Confirmed invited speakers are: Bianca Papi, Rotterdam (NL) Francesco Stingo, Università degli Studi di Firenze (IT) Luca Tardella, Sapienza Università di Roma (IT) Maria Grazia Valsecchi, Università degli Studi di Milano-Bicocca (IT) Mark van de Wiel, VU University Medical Center (NL) Veronica Vinciotti, Brunel University London (UK) Ernst Wit, University of Groeningen (NL) Abstracts for poster presentations can be submitted by sending an email to netbiostat(a)ibs-italy.org by *March**18th, 2018*. The Conference will be held at Vita-Salute San Raffaele University (Milan) in *April 12-13th, 2018*. All details about the event can be found at the website: http://ibs-italy.org/?page_id=703&lang=en

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avviso seminario Morlais
by Marco Alessandro Fuhrman 13 Mar '18

13 Mar '18

La professoressa Marie-Amélie Morlais del Laboratoire Manceau de Mathématiques (LMM), Institut du Risque et de l’Assurance IRA, Le Mans Université, terrà un seminario dal titolo Max-min and min-max systems of variational inequalities: connection with multidimensional BSDEs with bilateral obstacles and switching game il giorno lunedì 19 marzo 2018 alle ore 14:00 in sala rappresentanza del Dipartimento di Matematica dell'Università di Milano (via Saldini 50, 20133 Milano). Tutti gli interessati sono cordialmente invitati. La prof.ssa Morlais resterà in visita fino a giovedì 22 marzo. Cordiali saluti, Marco Fuhrman Abstract. This talk is based on two joint works (published in 2015 and 2017) with Prof. S. Hamadène (LMM Le Mans), Prof. B. Djehiche (KTH Stockholm Sweden) and X. Zhao (former PhD student of S. Hamadène) . These two papers focus on the connection between systems of interconnected PDEs, related multidimensional BSDEs and a general switching game (second paper). As an introduction, I recall the (rich) literature which links the optimal switching problem with explicit multidimensional BSDEs and related systems of variational inequalities. The relationship between those objects shall be given as well. I will finally present the so called min-max and max-min systems of PDEs whose viscosity solutions are heuristically identified (via the verification result) as the lower and upper value of the switching game. In the second part (first paper), I will explain the main steps allowing to construct solutions to both the min max and max min systems of variational inequalities. I stress the fact that, due to the non-linearities of those systems and the presence of interconnected obstacles, those solutions are a priori irregular: thus, to construct a solution, the use of viscosity theory is useful. In a third part (main result of the second paper) the connection with a multidimensional BSDE with bilateral obstacles is established (existence and uniqueness for the BSDE solution are then established in a Markovian framework of randomness). Finally and as an application, we provide an explicit relationship with the switching game: this consists in providing (sufficient) conditions ensuring the existence of both the switching game value and an optimal mixed strategy (as well as the relationship with the BSDE solution). Some open questions remaining unsolved shall be presented as a conclusion.

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De Finetti Seminar: SCHACHERMAYER
by Marco Maggis 12 Mar '18

12 Mar '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 *The Amazing Power of Dimensional Analysis in Finance: Market Impact and the Intraday Trading Invariance Hypothesis* Walter Schachermayer University of Vienna Abstract: A basic problem when trading in financial markets is to analyze the prize movement caused by placing an order. Clearly we expect- ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called the market impact. Following the recent work of A. Kyle and A. Obizhaeva we apply dimensional analysis - a line of arguments well known in classical physics to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order. We also analyze the dependence of the trading activity on a stock, i.e. number of trades per unit of time, in dependence of some suitable explanatory variables. Dimensional analysis leads to a 2/3 law: the number of trades is proportional to the power 2/3 of the exchanged risk. The mathematical tools of this analysis reside on elementary linear algebra. Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi. LOCATION: The seminar will be held on Wednesday, March 14, at 18.00 at Sala di Rappresentanza, Mathematics Department, Via Saldini 50, Milano. 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)

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seminario Marco Bianchetti in Bicocca
by fabio bellini 09 Mar '18

09 Mar '18

Il giorno mercoledì 21 marzo alle ore 14.30 presso la Aula Seminari 4026 del DISMEQ al IV piano dell'edificio U7, il dott. Marco Bianchetti di Intesa Sanpaolo terrà un seminario su Learning the Optimal Risk - Advanced Risk-Based Portfolio Management with Global Optimization and Machine Learning Algorithms Abstract We consider the portfolio optimization problem from a trading and risk management point of view. Given a generic initial portfolio of financial instruments (e.g. stocks, derivatives and securities) with a given risk profile and subject to risk management limits, we aim to find optimal trading strategies, based on eligible tradable and liquid market instruments (i.e. quoted stocks and plain vanilla derivatives and securities), able to globally optimize the portfolio risk figures while respecting the required risk limits. We make use of an evolutionary approach based on genetic algorithms, where a population of candidate trading strategies is evolved using crossover, mutation and elitism, until optimal solutions are found as the best trading strategies that both minimize the selected risk measures and respect the risk limits. We apply our idea to different test cases based on real portfolios including linear and non-linear real financial instruments. We show that different optimal trading strategies may exist, depending on the combination of risk-based objective functions and limits. Our approach is general with respect to initial portfolios, risk profiles, measures and limits, eligible optimization instruments, trading strategies, and optimization algorithms. It can be applied, in principle, to real portfolios of financial institutions, provided that, in practice, a single operational framework and sufficient computational resources are available. Strong financial insight is needed both to select the optimization parameters, i.e. the eligible trading strategies, and to understand the financial soundness of the solutions proposed by the optimization metaheuristic (joint work with Marco Scaringi). Tutti gli interessati sono invitati a partecipare. -- 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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correzione
by Faggionato, Alessandra 09 Mar '18

09 Mar '18

scusate correggo un precedente annuncio di seminario. l'affiliazione dello speaker, Federico Camia, e' NYU Abu Dhabi (non Dubai) grazie Alessandra ************************************************* 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 di Probabilita' a Roma 1
by Faggionato, Alessandra 07 Mar '18

07 Mar '18

Lunedi' 12 Marzo, Ore 16, Aula di Consiglio. Dipartimento di Matematica, La Sapienza. Speaker: Federico Camia (New York - Dubai University) Title: Limit Theorems and Random Fractal Curves in Statistical Mechanics Abstract: Rigorous statistical mechanics deals with stochastic systems that have a large number of components and for which geometry often plays an important role. The main goal is to understand their average behavior and deviations from that. Statistical mechanics has many applications to physics and other fields, but in this talk I will only focus on some aspects of its mathematical theory which combine discrete probability, stochastic processes and complex analysis. For concreteness, I will discuss two specific (two-dimensional) models, percolation and the Ising model, both with a long history. After introducing the two models, I will present an approach to the study of two-dimensional systems that leads to a special family of random fractal curves and that has produced, in the last twenty years, deep results and major breakthroughs. -- ************************************************* 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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Colloquium di Alexandre Stauffer a Roma Tre il 21-03-2018
by Pietro Caputo 07 Mar '18

07 Mar '18

Colloquium di Matematica a Roma Tre: Alexandre Stauffer (University of Bath, UK) Titolo: Random growth processes: dendritic formation and competition Mercoledi' 21 Marzo 2018 ORE 16:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Aula F, primo piano, edificio Aule - Largo San Leonardo Murialdo,1 Abstract During the 80's, several growth processes were introduced in the physics literature with the goal of providing a simple and tractable model producing the phenomenon of dendritic growth. Such phenomenon is observed in several different contexts in nature, including the growth of bacteria under starvation, crystal dendrite, dielectric breakdown, and electrodeposition, and is characterized by the formation of very ramified, fractal-like structures. Almost four decades later, we still encounter tremendous mathematical challenges in studying the geometric and dynamic properties of such processes, and in understanding the driving mechanism lying behind the formation of fractal-like structures. In this talk, I will survey the developments in this field, giving emphasis to recent results in the classical model of multi-particle diffusion limited aggregation (MDLA). I will also introduce and discuss a new growth process, which can be viewed as a model for the growth of two species that compete for space, and which plays a key role in our current understanding of MDLA. This is based on joint works with Elisabetta Candellero and Vladas Sidoravicius.

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Seminario di Federico Camia a Roma Tre il 13-03-2018
by Pietro Caputo 05 Mar '18

05 Mar '18

SEMINARIO di Probabilita' a Roma Tre Federico Camia (New York University, Abu Dhabi) Titolo: Scaling Limits for the Planar Ising Model Martedi' 13 Marzo 2018 ORE 15:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 311 Abstract The continuum scaling limit is a procedure to study the large-scale behavior of lattice models of statistical mechanics. In the scaling limit, the lattice spacing is sent to zero while focus is kept on some macroscopic object or collection of objects within the model. In the last twenty years there has been tremendous progress in the study of the continuum scaling limits of some classical models, such as two-dimensional percolation and the planar Ising model, which are of interest because they undergo a phase transition. At or near the phase transition point the scaling limit is supposed to give rise to a Euclidean field theory. In this talk I will briefly introduce the planar Ising model and then describe some recent results concerning the scaling limit of the Ising magnetization and the truncated two-point function. The talk is based on joint work with Christoph Garban and Chuck Newman, Rene Conijn and Demeter Kiss, and Jianping Jiang and Chuck Newman.

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MURF2018 - FINAL ANNOUNCEMENT
by Giovanni Puccetti 05 Mar '18

05 Mar '18

FINAL ANNOUNCEMENT (REGISTRATION STILL OPEN) 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) 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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Postdoc on Networks and Agent Based Model in Air Traffic
by Fabrizio Lillo 05 Mar '18

05 Mar '18

The call for two 19 month postdocs is open at the Department of Mathematics of the University of Bologna (Italy). The topic of the research is *Complex networks and agent based models for Air Traffic Management* funded by the Project UE "DOMINO - Novel tools to evaluate ATM systems coupling under future deployment scenarios” (Call: H2020-SESAR-2016-2, GA 783206) Prof. Fabrizio Lillo The details of the call are here: - Italian: http://www.matematica.unibo.it/it/bandi/ bando-per-nr.-2-assegni-di-ricerca-complex-networks-and- agent-based-models-for-air-traffic-management - English: http://www.mathematics.unibo.it/en/calls- of-competition/call-for-2-research-fellowships-complex- networks-and-agent-based-models-for-air-traffic-management See below for a short description of the project. The deadline is March 19 at noon. The interested candidates can either contact me or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo fabrizio.lillo(a)unibo.it ############### The project consists in: (i) development and analysis, with computational an analytical methods, of toy models of air traffic. The models, with a small number of parameters, will describe the interaction between the different components (e.g. airlines and air traffic controllers (ii) calibration and use the developed models to identify the variables and metrics relevant in a real setting and to test new mechanisms and rule of air traffic control; (iii) building metrics of coupling among the different networks composing an airspace and test their effectiveness both with numerical simulations and with empirical analysis of real data; (iv) analysis of real data and data from simulations of an Agent Based Model, developed mainly by other partners of the project, to test the effectiveness of the proposed metrics and the new mechanisms of air traffic control. The methods used in the project are computational Agent Based Models, Complex Network Theory, and Data Science on air traffic data. ---------------------------------------- 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

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Cycle of seminars in Data Science and Machine Learning [ College of Math. - Dept.Comp.Science - UniVr - 9, 12, 14 /3/2018]
by Luca di persio 05 Mar '18

05 Mar '18

Dear all, this is to announce the following *Cycle of seminars in Data Science and Machine Learning: towards the Math-based professional profiles of the future*. All the talks will take place at Ca'Vgnal 2 College of Mathematics - Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona located here https://goo.gl/maps/Yx2JU *Speakers * M. Stecca , J. radaelli and R. Zenti according with the following timetable - 9/3 - 1530-1730 . - *Big Data & Data Science*. Key concepts and practical applications - Speaker: Dr.Michele Stecca - HORSA SPA [ Room M ] - 12/3 - 1630-1830 - Analytics for big Data. How to move from *data* to *information - *Speaker: Dr.Jacopo Radaelli - Reply IT [ Room G ] - 14/3 - 1630-1830 - Fintech &* RoboAdvisors*. Myths and Reality - Speaker: Dr. Raffaele Zenti Advise Only [ Meeting room 2nd floor] The initiative is organised within the framework of the Stochastic Semester VPSMS18 [ VPSMS18.org ] , see also: http://www.di.univr.it/?ent=seminario&id=4272 http://vpsms2018.org/event/seminars-cycle-in-data-science- and-machine-learningtowards-the-math-based-professional- profiles-of-the-future/ Do not hesitate to contact me for further info. Best, LuCa __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <+39%20045%20802%207968> Head of R&D info(a)hpa8.com | www.hpa8.com

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Fwd: Saint-Flour 2018 - Registration
by Marco Romito 01 Mar '18

01 Mar '18

-------- Original Message -------- Subject: Saint-Flour 2018 - Registration Date: 28.02.2018 18:10 From: Saint-Flour Summer School <stflour(a)math.univ-bpclermont.fr> To: saintflour(a)math.univ-bpclermont.fr SAINT-FLOUR 2018 - SECOND ANNOUNCEMENT Dear colleagues, Online registration is open for the 48th Saint-Flour Probability Summer School (July 8-20). Registration page: http://recherche.math.univ-bpclermont.fr/stflour/inscription_en.php DEADLINE FOR REGISTRATION: MAY 1st This is a CNRS school. Hence, registration is free of charge for CNRS researchers (Chargés de recherche et Directeurs de recherche). This year's lectures are: Hugo Duminil-Copin (IHES Paris-Saclay): Graphical representations of the Ising model. Asaf Nachmias (Tel Aviv University): Planar maps, random walks and the circle packing theorem. Balint Tóth (University of Bristol and Rényi institute Budapest): Scaling limits for random walks and diffusion with long memory. General information about the school can be found at http://recherche.math.univ-bpclermont.fr/stflour/stflour-en.php Please forward the above information to anyone who might be interested. Best regards, The organizing committee Christophe Bahadoran, Hacène Djellout, Arnaud Guillin stflour(a)math.univ-bpclermont.fr Laboratoire de Mathématiques Blaise Pascal, CNRS UMR 6620 Université Clermont Auvergne Campus des Cézeaux 3, Place Vasarely TSA 60026 CS 60026 63178 Aubière Cedex (France) tel (+33) 4 73 40 70 50 fax (+33)4 73 40 54 50

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Workshop to celebrate Carlo Sempi's 70th birthday
by Fabrizio Durante 01 Mar '18

01 Mar '18

Dear Colleagues, we are glad to announce the one-day Workshop "Scent of Copulas" to celebrate Carlo Sempi's seventieth birthday, taking place at the Rectorate of the University of Salento (Lecce, Italy) on *May 18th, 2018*. The conference focuses on dependence models and copulas, and their use in several fields (such as Statistics, Finance, Environmental Sciences, and more), and wishes to celebrate Carlo's scientific contributions to Probability Theory and Statistics, and his whole academic life. For all the details, please visit the (preliminary) Conference Website <https://www.adrianobarra.com/carlo70.html> and, for any other information, please do not hesitate to contact us at ScentOfCopulas(a)gmail.com <mailto:ScentOfCopulas@gmail.com> Looking forward to welcoming you in Lecce, Gianfausto Salvadori Fabrizio Durante Adriano Barra

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L'ATTUARIO: CHI È COSTUI?
by Giovanni Puccetti 01 Mar '18

01 Mar '18

Martedì 6 Marzo 2018, alle 1530, presso il Dipartimento di Economia, Management e Metodi Quantitativi, in via Conservatorio 7 (Sala Lauree) a Milano, Giampaolo Crenca, Presidente dell'Ordine degli Attuari, terrà l'intervento: L'ATTUARIO: CHI È COSTUI? La professione attuariale in Italia: stato dell'arte e prospettive di sviluppo. Tutti gli interessati sono invitati a partecipare.

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School ABS18: BAYESIAN STATISTICAL MODELLING AND ANALYSIS IN SPORT
by fabrizio＠mi.imati.cnr.it 28 Feb '18

28 Feb '18

Registration is open for ABS18, the 15th Applied Bayesian Statistics summer school. The daily programme is available on the website. Website: web.mi.imati.cnr.it/conferences/abs18/index.html Topic: BAYESIAN STATISTICAL MODELLING AND ANALYSIS IN SPORT Dates: 4-8, June, 2018 Location: Villa del Grumello, Como, Italy Lecturer: Kerrie MENGERSEN, Distinguished Professor of Statistics, Queensland University of Technology, Brisbane, Australia. Practical sessions: Paul WU, Research Fellow, Queensland University of Technology, Brisbane, Australia. Fees (if paid by 8/4/2018): - EUR 300 (22% VAT included) students and postdocs - EUR 450 (368.85 + 22% VAT) people from academic and non-profit organisations - EUR 900 (737.70 + 22% VAT) all the others Italian public employees are exempt from VAT. Best regards Guido Consonni and Fabrizio Ruggeri ABS18 Directors Raffaele Argiento ABS18 Executive Director -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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seminario Pescara
by c.costantini＠unich.it 27 Feb '18

27 Feb '18

Il prof. T.G. KURTZ della University of Wisconsin-Madison terra' un seminario dal titolo: POPULATION MODELS AS PARTIAL OBSERVATIONS OF GENEALOGICAL MODELS L'8 MARZO 2018 alle ore 11:00 nell'AULA SEMINARI della sede di VIALE DELLA PINETA del DIPARTIMENTO DI ECONOMIA ABSTRACT Classical models of biological populations, for example, Markov branching processes, typically model population size and possibly the distribution of types and/or locations of individuals in the population. The intuition behind these models usually includes ideas about the relationships among the individuals in the population that cannot be directly recovered from the model. This loss of information is even greater if one employs large population approximations such as the diffusion approximations popular in population genetics. "Lookdown" constructions provide representations of population models in terms of countable systems of particles in which each particle has a "type" which may record both spatial location and genetic type and a "level" which incorporates the lookdown structure which in turn captures the genealogy of the population. The original population model can then be viewed as the result of partial observation of the more complex model. We will exploit ideas from filtering of Markov processes to make the idea of partial observation clear and to justify the lookdown construction. Tutti gli interessati sono cordialmente invitati a partecipare. Cristina Costantini e Claudia Ceci

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Postdoctoral position at UQ focussing on multi-scale mathematics/models
by adicrescenzo＠unisa.it 27 Feb '18

27 Feb '18

Inoltro notizia di posizione postdoc in ambito probabilistico presso School of Mathematics and Physics, The University of Queensland, Australia -------- Messaggio originale -------- OGGETTO: Postdoctoral position at UQ focussing on multi-scale mathematics/models DATA: 2018-02-27 09:23 MITTENTE: Philip Pollett <pkp(a)maths.uq.edu.au> DESTINATARIO: Antonio DI CRESCENZO <adicrescenzo(a)unisa.it> Dear Antonio, We're looking to appoint a probabilist to a new postdoctoral position at UQ focussing on multi-scale mathematics/models. http://jobs.uq.edu.au/caw/en/job/503030/postdoctoral-research-fellow Please pass on to anyone you think might be interested. Applications close: 20 March 2018 Regards, Phil.

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Seminario a RM1
by Faggionato, Alessandra 27 Feb '18

27 Feb '18

Seminario di Fisica Matematica e Probabilità Mercoledì 7 marzo, ore 16:15, Aula di Consiglio, Dipartimento di Matematica, Roma La Sapienza Speaker: Alessandra Occelli (Università di Bonn) *Title: On time correlations for last passage percolation models* Abstract. We study time correlations of last passage percolation (LPP), a model in the Kardar-Parisi-Zhang universality class, with three different geometries: step, flat and stationary. We prove the convergence of the covariances of the LPP at two different times to a limiting expression given in terms of Airy processes. Furthermore, we prove the behaviour of the covariances when the two times are close to each other, conjectured in a work of Ferrari and Spohn. -- ************************************************* 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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De Finetti Risk Seminar - February 2018
by Emanuela Rosazza 26 Feb '18

26 Feb '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 Deciding with Judgment Simone Manganelli European Central Bank Abstract: Non sample information is hidden in frequentist statistics in the choice of the hypothesis to be tested and of the confidence level. Explicit treatment of these elements provides the connection between Bayesian and frequentist statistics. A frequentist decision maker starts from a judgmental decision and moves to the closest boundary of the confidence interval of the first order conditions, for a given loss function. This statistical decision rule does not perform worse than the judgmental decision with a probability equal to the confidence level. For any given prior, there is a mapping from the sample realization to the confidence level which makes Bayesian and frequentist decision rules equivalent. Frequentist decision rules can also be interpreted as decisions under ambiguity. LOCATION: The seminar will be held on Wednesday, February 28, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, 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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International Summer School on Risk Measurement and Control 2018
by Roy Cerqueti 25 Feb '18

25 Feb '18

Dear all, this is to inform you that the 12th Edition of the International Summer School on Risk Measurement and Control will take place in Rome on 4-9 June, 2018. Four macrothemes will be explored: * Green Economics and Finance <http://www.risksummerschool.eu/node/208> * The Fin Tech challenge <http://www.risksummerschool.eu/node/212> * Monetary Policy in a low inflation environment <http://www.risksummerschool.eu/node/214> * Banking, Financial and Insurance Regulation <http://www.risksummerschool.eu/node/213> More information can be find on the <http://www.risksummerschool.eu/> website. The outstandig level of the lecturers and the relevance of the treated subjects let this well-established school be of wide interest for both academicians and practitioners. With my warmest regards Roy Cerqueti (Organizing Committee)

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seminar at LUISS
by Marco Scarsini 23 Feb '18

23 Feb '18

February 27 2018 from 12:00 to 13:00 LUISS room 104 viale Romania 32 00197 Roma Speaker: Dov Samet (Tel Aviv University) Title: Desirability Abstract: Savage's theory of decision shows the equivalence of two structures. One is the behavioral-observable preferences over acts, the other is the mental-unobservable structure of probability and utility. The latter is not only unobservable but also cannot be reported by the decision maker. We propose an alternative mental-unobservable structure of desirability preferences which can replace the pair probability-utility and can be consciously reported. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminari di Probabilità, Pavia: S. Boucheron e L. Dello Schiavo
by Federico Bassetti 22 Feb '18

22 Feb '18

Seminari di Probabilità, Pavia Mercoledì 28 Febbraio 2018 nell'aula Beltrami del Dipartimento di Matematica dell' Università di Pavia (via Ferrata 1) si svolgeranno due seminari: Ore 14.30: Stephane Boucheron, Univ. Paris Diderot "TBA" Ore 15.30: Lorenzo Dello Schiavo, Universität Bonn Characteristic functionals of Dirichlet measures and their algebraic properties Abstract: We consider Dirichlet—Ferguson (DF) measures, a family of random probabilities on a locally compact Polish space X. Introduced by T. S. Ferguson in Ann. Stat. 1(2) 209ff., 1973, these measures have ever since found applications widely ranging from Bayesian non-parametrics to population genetics and stochastic dynamics of infinite particle systems. We compute the characteristic functionals of DF measures relying on those of their finite-dimensional marginalizations, the Dirichlet (D) distributions on standard simplices. In finite dimensions, we identify the dynamical symmetry algebra L of the characteristic functional of D as a simple Lie algebra of type A. Additionally, we show that all integer semi-lattices of certain posterior D distributions have a natural structure of weight Lie algebra module for L. A probabilistic interpretation and a partial generalization of these results to the infinite-dimensional case of DF measures is at hand. If time permits, we will also address a second characterization of DF measures by means of a Georgii—Nguyen—Zessin-type formula (joint work with E. W. Lytvynov, Swansea University). Tutti gli interessati sono invitati a partecipare

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[WORKSHOP] Computational Aspects of Simulation and Inference for Stochastic Processes and the YUIMA Project
by stefano iacus 22 Feb '18

22 Feb '18

Computational Aspects of Simulation and Inference for Stochastic Processes and the YUIMA Project This two-day workshop is aimed at presenting the latest results on simulation and inference for stochastic processes and their current and prospect implementation within the YUIMA R package. Dates: March 27 (Tue) 9:15-12:15, 14:45-17:45 March 28 (Wed) 9:15-12:15, 14:45-17:45 Location: Department of Economics, Business and Statistics Via Conservatorio 7, 20122 Milan (ITALY) 2 Floor, Departmental Seminar Room Invited speakers: * Alessandro De Gregorio (University of Rome) * Alexande Brouste (University of Le Mans, France) * Yuta Koike (University of Tokyo, JST CREST) * Emanuele Guidotti (University of Milan) * Stefano M. Iacus (University of Milan) * Lorenzo Mercuri (University of Milan) * Hiroki Masuda (Kyushu University) * Yuma Uehara (Institute of Statistical Mathematics) * Nakahiro Yoshida (University of Tokyo, Institute of Statistical Mathematics, JST CREST) The attendance to the workshop is open to “eveRyone" interested in the YUIMA Project. A considerable part of the workshop is dedicated to discussion on further development of the YUIMA package. This workshop is supported by: - Department of Economics, Business and Statistics, University of Milan - CREST Japan Science and Technology Agency - JSPS Grant-in-Aid for Scientific Research ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of MEF - Master in Finance & Economics http://www.mef.unimi.it CEO/CTO/Co-Founder VOICES from the Blogs http://www.voices-int.com Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en http://orcid.org/0000-0002-4884-0047 Master in Finance & Economics http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further information at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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expression of interest in the area of Mathematical Statistics and Data Science
by Stefano Bonaccorsi 21 Feb '18

21 Feb '18

*Opening of a Faculty Position in the area of **Mathematical Statistics and Data Science* *at the Department of Mathematics of the University of Trento* The Department of Mathematics of the University of Trento (henceforth referred to as the Department) seeks a scientist working in the field of Mathematical Statistics and Data Science to be appointed in a tenure-track position. The Department invites highly qualified scientists in the field of Data Science to send an Expression of Interest (EOI) in view of the activation of a tenure-track position. The Department currently enrolls in the field of Probability and Mathematical Statistics two Associate Professors and one Assistant Professor, tenure track (ricercatore TD – B) and has a strong interest in building up a larger research group in the area of Data Science. Candidates with a strong research background in fields related to Probability, Mathematical Statistics, Statistical Learning, Scientific Computing and Mathematical Foundation of Data Science are strongly encouraged to apply. The Department seeks a scientist working on cutting edge research topics, internationally recognized as part of a scientific network of experts in her/his own field; successful experience in the supervision of doctoral students and interdisciplinary collaborations are a plus. The Department coordinates a Master's Program in Mathematics, with a specific curriculum in Mathematics for Life and Data Sciences with an average of 20 students per year. The Department is also involved in two interdisciplinary Master's programs: (i) Quantitative and Computational Biology and (ii) Data Science. The PhD School in Mathematics enrolls in the average ten students per year. The successful candidate is expected to be one of the reference Faculty for the curriculum in Mathematics for Life and Data Sciences, and to participate in teaching activities at all levels. Moreover, candidates are expected to show a strong potential to apply to competitive research grants in particular towards EU funding schemes. APPLICATION The deadline for these expressions of interest, to be sent to the Head of the Department (current Head is professor A. Caranti) at *direttore.maths(a)unitn.it <direttore.maths(a)unitn.it>*, is *31 March 2018*. At a later date, the Department will open a formal call, according to Italians rules and regulations. ADDITIONAL INFORMATIONS 1- Teaching load Two courses per year, seminar activity and tutoring of PhD students. All activities at the Master's and doctoral level are in English. 2- Salary The amount of salary will be determined on a personal basis, according to the Italian Law. Indicative figures of the minimum gross amount per year of the starting salary are: Assistant Professor, tenure track (ricercatori TD – B) € 45.367 After 3 years candidates will be promoted to the Associate Professor level (starting level € 50.831), provided that the necessary qualification (abilitazione nazionale) have been reached. Net income may vary case by case, after income taxes, local taxes, retirement plan, health care deduction and tax exemptions depending on the family structure; individuals transferring their fiscal residence to Italy from abroad may benefit for 3 years of partial tax exemptions. It may be possible to obtain a partial recognition of past services abroad at a corresponding level depending on legal constraints to be satisfied. Organisation: Job location: Department of Mathematics - University of Trento via Sommarive 14 38123 Trento TN Italy Deadline: Saturday, March 31, 2018

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EMS-IAMP Summer School in Mathematical Physics, Ischia 11-15 June 2018 (fwd)
by pietro caputo 21 Feb '18

21 Feb '18

ricevo e inoltro volentieri %%%%%% Dear all, following previous announcements of the EMS-IAMP Summer School in Mathematical Physics on 'Universality in Probability Theory and Statistical Mechanics', we would like to inform you that conference poster is now available on the school website; you can download it also from here: http://www.mat.uniroma3.it/users/giuliani/public_html/Ischia _Summer_School/contenuti_sito/locandina/Ischia_poster.pdf Furthermore, you can find title and abstract of the school main courses on "Programme" page of the website. We remind you also the DEADLINE to apply for FINANCIAL SUPPORT and send material for CONTRIBUTED TALKS is THE END OF FEBRUARY. With our best regards, Serena Cenatiempo Alessandro Giuliani Rafael Greenblatt Domenico Monaco

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Ca' Foscari University Seminars
by Carlo Gaetan 21 Feb '18

21 Feb '18

Seminar Annoucement *********************************************************** Speaker: Aristidis K Nikoloulopoulos, School of Computing Sciences, University of East Anglia Title: Factor copula models for item response data Date: 28/02/2018, Hour: 11:00 Place: Meeting Room A - Zeta Building Dipartimento di Scienze Ambientali, Informatica e Statistica - DAIS Università Ca' Foscari - Venezia Edificio Zeta Via Torino, 155 I-30172 Mestre (VE) ITALY Abstract: Factor or conditional independence models based on copulas are proposed for multivariate discrete data such as item response. The factor copula models have interpretations of latent maxima/minima (in comparison with latent means) and can lead to more probability in the joint upper and/or lower tail compared with factor models based on the discretized multivariate normal distribution (or multidimensional normal ogive model). Details on maximum likelihood estimation of parameters for the factor copula model are given, as well as analysis of the behavior of the log-likelihood. Our general methodology is illustrated with several item response data sets and it is shown that there is a substantial improvement on existing models from the criteria of log-likelihood and goodness-of-fit. This talk will be based on collaborative work with Harry Joe (U. of British Columbia). -- Apologies for cross posting -- Carlo Gaetan -- Dipartimento di Scienze Ambientali, Informatica e Statistica - DAIS Università Ca' Foscari - Venezia Edificio Zeta Via Torino, 155 I-30172 Mestre (VE) ITALY phone: ++39 041 234 8404 mobile phone: ++39 366 629 7899 e-mail:[gaetan"at"unive"dot"it] web:[http://www.dais.unive.it/~gaetan] Please don't print this e-mail unless you really need to. Please avoid sending me Word, Excel or PowerPoint attachments. See http://www.gnu.org/philosophy/no-word-attachments.html. Per favore non stampate questo messaggio se non è proprio necessario. Per favore non mandatemi allegati in Word, Excel o PowerPoint. Le ragioni sono spiegate qui http://www.gnu.org/philosophy/no-word-attachments.it.html

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Open phd position in Rennes (fwd)
by Lucia Caramellino 21 Feb '18

21 Feb '18

Ricevo ed inoltro il seguente avviso. Cari saluti, Lucia ================================== Lucia Caramellino Dipartimento di Matematica Universita` di Roma "Tor Vergata" Via della Ricerca Scientifica I-00133, Roma, Italy www.mat.uniroma2.it/~caramell ---------- Forwarded message ---------- Date: Tue, 20 Feb 2018 11:39:31 +0100 From: gpoly <guillaume.poly(a)univ-rennes1.fr> Cc: Jürgen Angst <jurgen.angst(a)univ-rennes1.fr> Subject: open phd position in Rennes Dear all, J. Angst and myself have obtained a funding for a 3 years Phd position whose subject mainly concerns random nodal sets with some emphasis on universality properties. The phd would start in september 2018 under our joint supervision. We attach to this email a brief description of the phd subject. In case you might know some possibly interested students, feel free to forward this announcement. Interested students may contact us direclty by email. Thank you in advance, Best regards, J. Angst and G. Poly

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MURF 2018: REGISTRATION OPEN + FINAL PROGRAM
by Giovanni Puccetti 21 Feb '18

21 Feb '18

REGISTRATION OPEN FOR THE WORKSHOP Model Uncertainty and Robust Finance (II edition), University of Milano, MARCH 15-16, 2018 https://sites.google.com/site/murf2018/ <https://sites.google.com/site/murf2018/> FINAL PROGRAM AVAILABLE AT https://sites.google.com/site/murf2018/program <https://sites.google.com/site/murf2018/program> 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) 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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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 20 Feb '18

20 Feb '18

17^th INTERNATIONAL CONFERENCE CREDIT 2018 */Small Business Risk, Financial Regulation/* */and Big Data Analytics/* ** Venice, Italy 27 –28 September 2018 *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *seventeenth* of a series dedicated to various aspects of credit risk. /Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented with new monetary policies (low interest rates, quantitative easing, forward guidance...). In the meantime, the first steps towards a more neutral monetary policy are taken. The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines including regulation on credit impairment provisioning. All t//hese changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment./// The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Loan level data and credit risk analysis: credit registries; big data analytics; credit risk measurement; credit risk modelling; * Financial regulation and credit cycles: macro-prudential regulation; banking cycles; bank business models; rational inattention; * Macro-economic determinants of SMEs’ credit risk and SME loan portfolios: ECB policy; macro-parameters for SMEs’ credit risk; industry sector specialization; loan portfolio allocation; * IFRS9, credit impairments and SME financing: expected credit loss; internal models versus standardized approach; procyclicality; * The economic impact of government support measures (i.e. Credit Guarantee Schemes, Venture Capital): availability; real effects; inequality; * Monetary policy, financial regulation and credit cycles: unconventional monetary policy; monetary policy normalization; macro-prudential tools; banking cycles; * Macro-prudential regulation and real estate valuation: macro-prudential tools; loan-to-value; loan-to-income; collateral value; real estate prices. The Scientific Committee for the Conference consists of: *Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair)*; Monica Billio *(Ca’ Foscari University of Venice & GRETA); *Vasso Ioannidou *(Lancaster University & CEPR); *Helmut Kraemer-Eis *(Head of Research & Market Analysis, Chief Economist, EIF); *Jan Pieter Krahnen *(SAFE - Goethe University); *Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR);*Guillaume Plantin*(Sciences Po & CEPR); *Stephen Schaefer *(London Business School); *Enrico Sette *(Bank of Italy); *Ludovic Thebault *(European DataWarehouse).** CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Tor Jacobson *(Sveriges Riksbank), *Robert C. Merton*(MIT Sloan School of Management), and *Guillaume Plantin *(Sciences Po & CEPR). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 25, 2018 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 25, 2018*. The final version of accepted papers must be received by August 31, 2018. *European DataWarehouse*(Frankfurt am Main, Germany) will offer access to its ABS loan level database <http://www.eurodw.eu/> to the authors of the selected papers on the following topics: loan level data, credit risk analysis, loan level data analytics, credit risk measurement, credit risk modelling, loan-to-value, loan-to-income, collateral value, real estate valuations. The access to the database will be given for a period of 1 year. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 e-mail: credit(a)greta.it <mailto:credit@greta.it> More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm * Please accept our apologies for any crossed e-mails. -- Nota automatica aggiunta dal sistema di posta.

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Posizione RTD-B in SECS-S/06 a Venezia
by Marco LI CALZI 20 Feb '18

20 Feb '18

Con preghiera di diffusione: L'Università Ca' Foscari Venezia ha pubblicato un avviso di concorso per un posto di RTD-B nel settore SECS-S/06 presso il Dipartimento di Management, per attività di ricerca nell'area delle Decision Sciences, con particolare riferimento ai seguenti campi: Game Theory, Organizational Economics, Network Science, Strategy Science, Management Science. Il Dipartimento di Management ha ottenuto il riconoscimento di eccellenza dal MIUR con un progetto che prevede l'assunzione di un PO e altri due RTD-B per costruire una linea di ricerca e didattica in "Analytical Intelligence for Management." Il bando scade il 19 marzo 2018 ed è disponibile al link http://intra.unive.it/plapps/bandi/common/showbando?id=28531 La posizione è aperta. Per informazioni di natura accademica, scrivere a Marco LiCalzi <licalzi(a)unive.it>. Per informazioni sulla compilazione della domanda, scrivere a Ufficio Personale Docente e CEL - Settore Concorsi <pdoc.concorsi(a)unive.it>. __________________________________ Marco Li Calzi Department of Management Università Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://virgo.unive.it/licalzi

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IST Austria Summer School in Probability and Mathematical Physics
by Giovanni Alessandro ZANCO 19 Feb '18

19 Feb '18

Dear all, IST Austria organizes a summer school in Probability and Mathematical Physics on June 4-8, 2018 in Klosterneuburg, Austria, with courses by Martin Hairer Hugo Dominil-Copin Jason Miller All information can be found on the website http://ist.ac.at/pmp2018 This message is intended as a reminder to those who intend to apply for financial support: the deadline for registration is on February, the 28th. Registration (without financial support) will be open until May, the 15th. Best regards -- Giovanni Zanco IST Austria Am Campus 1 3400 Klosterneuburg Austria

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RUTDB - MAT/06
by Federico Polito 19 Feb '18

19 Feb '18

Gentili colleghi, con l'invito a volerne dare la massima diffusione vi segnalo il bando per una posizione da Ricercatore a tempo Determinato tipo B nel settore MAT/06 (Probabilità e Statistica Matematica) presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino: http://iisced04.rettorato.unito.it/concorsi/rtd_scheda.pl?XY=B&codice=137_R… La scadenza è fissata al 19 marzo 2018. Un saluto. Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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LUISS Riapertura termini per idoneità art. 23 L. 240
by Marco Scarsini 19 Feb '18

19 Feb '18

Si comunica che da oggi e fino alle ore 14 del 02/03/2018, si sono riaperti i termini per aggiornare le liste di idonei al conferimento di incarichi di insegnamento *INTEGRATIVO *a contratto nei corsi di laurea, ai sensi dell’art. 23 della L. 240/2010. I candidati potranno presentare domanda on-line cliccando sul seguente link: http://www.luiss.it/ateneo/opportunita-di-lavoro/reclutamento-docenti- contratto/aperti/785/integrativi. *Bandi aperti* - INF/01 - Informatica - IUS/01 - Diritto privato - IUS/05 - Diritto dell'economia - MAT/06 - Probabilità e statistica matematica - SECS-P/01 - Economia politica - SECS-P/02 - Politica economica - SECS-P/04 - Storia del pensiero economico - SECS-P/05 - Econometria - SECS-P/06 - Economia applicata - SECS-P/07 - Economia aziendale - SECS-P/08 - Economia e gestione delle imprese - SECS-P/09 - Finanza aziendale - SECS-P/10 - Organizzazione aziendale - SECS-P/11 - Economia degli intermediari finanziari - SECS-P/12 - Storia economica - SECS-S/01 - Statistica - SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Insieme ai colleghi dell’Ufficio del Personale, siamo a completa disposizione per eventuali chiarimenti o integrazioni. Cordialmente, *La Segreteria di Dipartimento* *Dipartimento di Economia e Finanza* Viale Romania, 32 - 00197 Roma <https://maps.google.com/?q=Viale+Romania,+32+-+00197+Roma&entry=gmail&sourc…> def(a)luiss.it t +39 06 85225550 <06%208522%205550> *www.luiss.it* <http://www.luiss.it/> [image: http://static.luiss.it/images_10/loghi/LS_BLU_RIDUZIONE_WEB.png] Il tuo 5x1000 alla LUISS: C.F. 02508710585 <02%205087%2010585> [image: http://www.luiss.it/images_10/icons/environment-icon.png] *Please consider the environment... do you really need to print this email?* ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Workshop on High-dimensional statistics and random structures, Barcelona, June 18-19, 2018
by Elvira Di Nardo 17 Feb '18

17 Feb '18

2018-02-17 6:30 GMT+01:00 Piotr Zwiernik <piotr.zwiernik(a)gmail.com>: > Dear all, > > Together with Caroline Uhler and Christian Brownlees we are organising a > workshop on High-Dimensional Statistics and Random Structures. The workshop > will take place 18-19 June 2018 in Barcelona and it will be organised > within the Barcelona GSE Summer Forum. > > The main theme of the meeting will be centred around covariance matrix > estimation, networks and graphical models. The aim of the workshop is to > provide an overview of the recent theoretical advances in this topic. There > is no fee for attending the meeting. For more information (including some > of the confirmed speakers) see: > https://www.barcelonagse.eu/summer-forum/workshop-high- > dimensional-statistics > > Best regards, > Piotr Zwiernik -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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RtdA Settore concorsuale 13/D4 @Polimi
by Daniele Marazzina 17 Feb '18

17 Feb '18

Con preghiera di diffusione Segnaliamo il bando per una posizione RtDA presso il Politecnico di Milano, Dipartimento di Matematica, per il settore concorsuale 13/D4. Scadenza 15 Marzo 2018. Dettagli qui di seguito. Daniele Marazzina Professore Associato Dipartimento di Matematica - Politecnico di Milano Selezione pubblica per l'assunzione di 1 Ricercatore a tempo determinato (Junior) ai sensi dell'art. 24, comma 3, lettera a) Legge 30.12.2010, n. 240, Tempo pieno - Settore Concorsuale 13/D4 - METODI MATEMATICI DELL’ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE, bandita con Decreto Direttoriale n. 355 del 18/01/2018, pubblicato sulla G.U. del 13/02/2018, n.13 (Codice procedura: 2018/RTDA_MAT27). https://www.polimi.it/index.php?id=6196&tx_wfqbe_pi1[ID]=364

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Funded PhD opportunity
by Tiziano De Angelis 16 Feb '18

16 Feb '18

Dear all, I would like to draw your attention to an opportunity for a fully funded 3.5-year PhD position in the School of Mathematics at the University of Leeds. The project's title is "Probabilistic methods for free boundary problems in stochastic control" and the position is funded by the School of Mathematics. The successful candidate will be working under my supervision as part of the EPSRC funded project EP/R021201/1 ( http://gow.epsrc.ac.uk/NGBOViewGrant.aspx?GrantRef=EP/R021201/1) Notice that the PhD extends beyond EPSRC funding period. The full advert is available at https://physicalsciences.leeds.ac.uk/research-opportunity/19/research-degre… <https://physicalsciences.leeds.ac.uk/research-opportunity/19/research-degre…> I would be most grateful if you could please advertise this opportunity to your best students and to other suitable mailing-lists. For any enquiry please contact me directly at t.deangelis(a)leeds.ac.uk. Thanks and best wishes. Tiziano

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(senza oggetto)
by federica masiero 16 Feb '18

16 Feb '18

Venerdì 23 Febbraio alle ore 14:00, in aula 3014 del Dipartimento di Matematica e Applicazioni (edificio U5, via Cozzi 55, Milano), Università di Milano-Bicocca, il Prof. Francesco Russo (ENSTA ParisTech) terrà un seminario dal titolo "BSDEs, martingale problems, associated deterministic equations and applications to finance" *Abstract:* The aim of this talk consists in introducing a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general càdlàg martingales, coupled with a forward Markov process. When the martingale is a standard Brownian motion, the natural deterministic analysis is provided by the solution u of a semilinear PDE of parabolic type coupled with a function v which is associated with the ∇u, when u is of class C^1 in space. When u is only a viscosity solution of the PDE, the link associating v to u is not completely clear: sometimes in the literature it is called the identification problem. The idea is to introduce a suitable analysis to investigate the equivalent of the identification problem in a general Markovian setting with a class of examples. An interesting application concerns the hedging problem under basis risk of a contingent claim g(X(T),S(T) ), where S (resp. X) is an underlying price of a traded (resp. non-traded but observable) asset, via the celebrated Föllmer-Schweizer decomposition. We revisit the case when the couple of price processes (X, S) is a diffusion and we provide explicit expressions when (X, S) is an exponential of additive processes. Tutti gli interessati sono invitati a partecipare. Cordialmente, Federica Masiero

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