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Assegno di ricerca al CNR-IMATI, Sede di Milano
by Antonella Bodini 12 May '17

12 May '17

Gentili colleghi, con preghiera di massima diffusione, vi informo che e' stato bandito un posto per un assegno di ricerca presso la sede di Milano dell'IMATI sul tema della *Modellazione stocastica e analisi statistica di dati* nell’ambito del Progetto “I-ZEB Verso Edifici Intelligenti a Energia Zero per la crescita della città Intelligente”. In collaborazione con esperti del settore, il candidato offrirà competenze di statistica a supporto della modellazione e dell'analisi sperimentale degli scambi di energia (termica ed elettrica) nell'edificio intelligente. Non è richiesta esperienza nello specifico settore applicativo. Il termine ultimo per la domanda e' il 12 giugno. Tutte le informazioni, incluso il bando, sono disponibili al sito: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/130527 Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) *** SI PRENDA NOTA CHE PER LAVORI DI RISTRUTTURAZIONE ATTUALMENTE L'ACCESSO E' DA VIA CORTI 12. *** tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Candidatura di Massimo Campanino alle elezioni del CS dello GNAMPA
by baldi＠axp.mat.uniroma2.it 12 May '17

12 May '17

In vista delle prossime elezioni del consiglio scientifico dello GNAMPA (si vota i prossimi 17, 18, 19 maggio) vi segnaliamo la candidatura di Massimo Campanino. Riteniamo sia importante che in questo consiglio siano presenti competenze di tutte le aree della matematica, e quindi anche di probabilita`. Conosciamo bene Massimo e sappiamo che, sia sul piano scientifico che su quello dell'impegno, garantirebbe un efficace lavoro in questo ambito. Paolo Baldi Alberto Barchielli Luisa Beghin Pietro Caputo Cristina Costantini Paolo Dai Pra Anna De Masi Franco Fagnola Franco Flandoli Marco Frittelli Marco Fuhrman Antonio Lijoi Domenico Marinucci Fabio Martinelli Enzo Orsingher Franco Pellerey Mauro Piccioni Maurizio Pratelli Pietro Rigo Laura Sacerdote Carlo Sempi

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avviso seminario di Matematica prof. Giuseppe Savaré (16.05.2017)
by Carina Geldhauser 12 May '17

12 May '17

-------- Forwarded Message -------- Subject: [Utenti] [Settimanale] avviso seminario di Matematica prof. Giuseppe Savaré (09.05.2017) Date: Fri, 5 May 2017 12:18:32 +0200 From: Valeria Giuliani <valeria.giuliani(a)sns.it> To: professori.sci(a)sns.it, professori.contratto.sci <professori.contratto.sci(a)sns.it>, ricercatori.sci(a)sns.it, ricercatori.td.sci(a)sns.it, Borsisti <borsisti(a)sns.it>, assegnisti.sci(a)sns.it, Perfezionandi Scienze <phd.sci(a)sns.it>, phd.extra.sci <phd.extra.sci(a)sns.it>, Studenti Scienze <allievi.sci(a)sns.it>, allievi.extra.sci <allievi.extra.sci(a)sns.it> CC: Sito SNS <sitosns(a)sns.it>, Portineria Carovana <portineria.carovana(a)sns.it>, Classi <classi(a)sns.it> SEMINARIO DI MATEMATICA Martedì 16 maggio 2017 ore 15:00 _Scuola Normale Superiore_ Pisa Aula Fermi *_ _* * **Giuseppe Savaré*** /(Università di Pavia)/ */ /* terrà un seminario dal titolo: *“**Optimal transport in competition with reaction**”*** * * *Abstract:* We discuss a new notion of distance on the space of finite and nonnegative measures,which can be seen as an inf-convolution of the well-known Kantorovich-Wasserstein and Hellinger distances. Starting from a dynamic approach (inspired to Benamou-Brenier), we will discuss various equivalent formulations, their geometric properties and their link with optimal transport problems. Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it <mailto:valeria.giuliani@sns.it> E-mail: classi(a)sns.it <mailto:classi@sns.it> -- Hai ricevuto questo messaggio perché sei iscritto al gruppo "Matematici.Esterni.SNS" di Google Gruppi. Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matematici.esterni.sns+unsubscribe(a)sns.it <mailto:matematici.esterni.sns+unsubscribe@sns.it>. Per postare in questo gruppo, invia un'email a matematici.esterni.sns(a)sns.it <mailto:matematici.esterni.sns@sns.it>. Per visualizzare questa discussione sul Web, visita https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9… <https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9…>.

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PhD position in applied probability at INRIA, Bordeaux
by Tommaso Nesti 12 May '17

12 May '17

Dear colleagues, I would like to share an announcement for a PhD position in applied probability at INRIA, Bordeaux. The topic is *Stochastic control and resource allocation in large-scale distributed systems* For more information about the position, please see https://www.inria.fr/institut/recrutement-metiers/offres/doctorants/doctora… Sincerely, Tommaso Nesti

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Fwd: avviso Seminario di Finanza Quantitativa, prof. Claude Martini (19.05.2017)
by Fabrizio Lillo 12 May '17

12 May '17

---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 - SEMINARIO DI FINANZA QUANTITATIVA *Venerdì 19 maggio 2017* ore 11:00 *Scuola Normale Superiore* Pisa Aula Mancini *Claude Martini * *(**Zeliade e INRIA**)* Terrà un seminario dal titolo: *“**Martingale measures with prespecified marginals: extremal points, cycles and perturbations**”* *Abstract:* *The characterization of the extremal points of the set of measures with two given marginals goes back to works by Denny, Letac and Mukerjee in the 70s-80s. The set of martingale measures with given marginals attracted recently a lot of people in the context of robust finance, where the model is known only through the prices of vanilla options conveyed by the market. We investigate in detail, in the discrete space case, the properties of extremal points of this set, and exhibit several classes of interest, altogether with a useful necessary conditions for a point to be extremal. We also discuss a candidate analogous of the no-cycle property in the non martingale case and its relations to perturbations. We illustrate our results in low cardinality situations (joint work with Luciano Campi, LSE).* Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it E-mail: classi(a)sns.it

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Seminario S. Menozzi @ UniTo
by Cristina Zucca 11 May '17

11 May '17

A tutti gli interessati. Martedì 16 maggio alle ore 15:30 in aula 5 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. S. Menozzi (Evry) terrà un seminario dal titolo: "Ergodic approximation of invariant measures for diffusions " Abstract: We present non-asymptotic estimates for the approximation of invariant measures for diffusion processes. We consider an Euler scheme with decreasing step where the occupation measure converges towards the invariant measure. The final estimates can be seen as a non-asymptotic extension of central limit type theorems obtained by Lamberton and Pages (Bernolulli 2002). Our approach combines probabilistic techniques (increments of martingales) and analytic arguments (Schauder's estimates for the associated Poisson process). -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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Fwd: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis)
by Carina Geldhauser 10 May '17

10 May '17

-------- Forwarded Message -------- Subject: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis) Resent-Date: Wed, 10 May 2017 17:19:42 +0200 Resent-From: geldhauser(a)iam.uni-bonn.de Date: Wed, 10 May 2017 17:19:26 +0200 From: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> Reply-To: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> To: EWM-ALL(a)JISCMAIL.AC.UK Dear colleagues, The *Faculty of Mathematics*of Bielefeld University invites applications for the positions of *Professor of Mathematics (W3), with the preferred area of Probability Theory (*starting as soon as possible) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… and *Professor of Mathematics (W3), with the preferred area of Stochastic Analysis (*starting April 1, 2019) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… (Please find the English version of the announcement attached.) ____________________________________________________________ Barbara Gentz Faculty of Mathematics, University of Bielefeld, Germany office: V5-103 phone: +49 521 106 4788 fax: +49 521 106 6481 e-mail: gentz(a)math.uni-bielefeld.de <mailto:gentz@math.uni-bielefeld.de> web: http://www.math.uni-bielefeld.de/~gentz

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Summer School on “Latent Markov Models with Applications"
by Rosaria Simone 09 May '17

09 May '17

Con preghiera di diffusione tra tutti i possibili interessati, Cordialmente, Rosaria Simone -------------------------------------------------------------------- We are glad to announce the Summer School on “Latent Markov Models with Applications” Saturday- Wednesday, 16th-20th September, 2017 University of Milano-Bicocca, Milano “The course aims at developing your expertise and skills on the main basic theory of the latent Markov models for the analysis of longitudinal data. A deep insight of the underlying assumptions, which are based on stochastic processes will be provided. Basic and advanced parameterizations to formulate latent Markov models will be explained also when explanatory variables are available. The inferential procedures will be explained in detail both from a classical and Bayesian inferential perspective. Models for drawing inference from longitudinal and multilevel data will be considered with reference also to incomplete data. During the course, many case studies and applications will be presented by using some suitable R libraries.” Scientific Committee: Francesco Bartolucci - University of Perugia Alessio Farcomeni - Sapienza University of Rome Silvia Pandolfi - University of Perugia Fulvia Pennoni - University of Milano-Bicocca Application deadline: July 16th Application deadline for scholarship: May 31st Program and further information: UNIMIB website: *http://www.summerschoolbicocca.com/017-11-markov-models-course.php* <http://www.summerschoolbicocca.com/017-11-markov-models-course.php> Italian Statistical Society website: http://new.sis-statistica.org/ wp-content/uploads/2017/03/brochure_Milano_2017_-EN_last_v1.pdf ------------------------------ Rosaria Simone Ricercatore in Statistica Dipartimento di Scienze Politiche Università degli Studi di Napoli Federico II

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Seminario Prof. Idris Kharroubi (Paris Dauphine) al Politecnico di Milano
by Fulvia Confortola 08 May '17

08 May '17

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Fulvia Confortola -------------- Si avvisa che il giorno giovedì 11 maggio 2017 alle ore 11:15 nella Sala Maestrale, Tender, piano -1 del Dipartimento di Matematica (Edificio La Nave) del Politecnico di Milano, Via Bonardi 9, Milano, si terrà il seguente seminario Relatore: Prof. Idris Kharroubi, Università Paris Dauphine. Titolo: Information uncertainty related to marked random times and optimal investment Abstract: We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent. This talk is based on a joint work with Ying Jiao (Université Lyon I).

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Call for abstracts: Special Session AMASES XLI The Theory and Practice of Financial Volatility
by Giacomo Bormetti 08 May '17

08 May '17

Dear Colleagues, we organize a session entitled "The Theory and Practice of Financial Volatility" during the AMASES Annual Conference, which will be held in Cagliari, September 14-16, 2017. We are pleased to invite you to submit an extended abstract following the instruction available at ?https://www.dropbox.com/s/p4y78ctkdlre9hb/AMASES%20XLI%20Session%20Theory%20Practice%20Financial%20Volatility.pdf?dl=0 If you need any further information, do not hesitate to contact us Giacomo Bormetti (giacomo.bormetti(a)unibo.it<mailto:giacomo.bormetti@unibo.it>) Giulia Livieri (giulia.livieri(a)sns.it<mailto:giulia.livieri@sns.it>) Maria Elvira Mancino (mariaelvira.mancino(a)unifi.it<mailto:mariaelvira.mancino@unifi.it>) Davide Erminio Pirino (davide.erminio.pirino(a)uniroma2.it<mailto:davide.erminio.pirino@uniroma2.it>) We are looking forward to see you in Cagliari! Sincerely, Giacomo Bormetti, Giulia Livieri, Mavira Mancino, and Davide Pirino??

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Fwd: International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica BILLIO 08 May '17

08 May '17

16th INTERNATIONAL CONFERENCE CREDIT 2017 *INTEREST RATES, GROWTH and REGULATION *Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. 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 *sixteenth* 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 new monetary policies (low interest rates, quantitative easing, forward guidance...). 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. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these 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: - Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. - Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. - Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. - New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). 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 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 <041%20523%208178> - Fax : +39 041 5286166 <041%20528%206166> e-mail: credit(a)greta.it REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website ( http://www.greta.it/credit/credit2017/credit2017.htm) Registration fees are: Early registration Late registration (within August 31st) (from September 1st on) Academics: 250 Euro + VAT 300 Euro + VAT Practitioners: 800 Euro + VAT 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT 500 Euro + VAT PhD Students*: 80 Euro + VAT 130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 28th, 2017, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers August 31, 2017: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 CREDIT 2017 http://www.greta.it/credit/credit2017/credit2017.htm

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Assegno di ricerca alla Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 07 May '17

07 May '17

The call for a 18 month postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is Financial networks: statistical models, inference, and shock propagation The details of the call are at Italian *http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-di-ricerca-%E2%80%9Cnetwork-finanziari-modelli-statistici-inferenza-e-propagazione-di <http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-d…>* English *http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfinancial-networks-statistical-models-inference-and <http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfin…>* The deadline is May 26. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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PhD Position (Scientific Employee) Ulm University (Germany), Mathematical Finance Institute
by Imma Curato 05 May '17

05 May '17

---------- Forwarded message ---------- From: Robert Stelzer <robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de>> The Institute of Mathematical Finance at the Faculty of Mathematics andEconomics of Ulm University invites applications for one non-permanent position as a Scientific Employee (50%) starting October 1st, 2017, according to the rules of the German law for non-permanent scientific positions (Wissenschaftszeitvertragsgesetz). Prerequisite is a very good master degree in a mathematical field of study or a comparable degree ( Finance, Economathematics, Probability, Stochastics and related fields ), and interest in future research in at least one of the areas Financial Mathematics, Financial Econometrics, Statistics of Stochastic Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic Processes or Time Series Analysis. The opportunity for further scientific qualification (in particular PhD) is given. The duties include contributing to the teaching activities of the institute. For the position, the teaching duty is two hours per week during the teaching period. The language of the courses is usually English. Thus no knowledge of German is initially necessary. The contract duration will be in accordance with the qualification aim. A future increase in the percentage of the position (by third party means) is aimed for. Ulm University is committed to increasing the share of women in research and teaching positions and therefore explicitly encourages female candidates to apply. The salary is determined by group 13 of the collective agreement (13 TV-L) Please send your application with the usual documents until May 21st, 2017, preferably in electronic form to Ulm University Prof. Dr. Robert Stelzer Institute of Mathematical Finance Helmholtzstraße 18 89081 Ulm Germany E-Mail Please indicate the index number 38 on the envelope or in the reference line of the email. Physically disabled applicants receive favorable consideration when equally qualified. The appointment is made by the central university administration. _______________________________________________ St-net mailing list St-net(a)zib.de<mailto:St-net@zib.de> https://listserv.zib.de/mailman/listinfo/st-net --------------------------------------------------------------------------- Dies ist das ST-NET, der (moderierte) Mail-Verteiler der DMV-Fachgruppe Stochastik e.V. Weitere Informationen finden Sie auf unserer Homepage: http://www.fg-stochastik.de This is ST-NET, the (moderated) mailing list of the DMV-Fachgruppe Stochastik e.V. For further information, please refer to our homepage: http://www.fg-stochastik.de Please note the guidelines for posting at http://www.fg-stochastik.de/beitraege-verschicken.html --------------------------------------------------------------------------- -- +++++++++++++++++++++++++++++++++++++++++ Prof. Dr. Robert Stelzer Institute of Mathematical Finance Ulm University Helmholtzstraße 18 89081 Ulm Germany Phone: +49 731 50 23520 Fax: +49 731 50 31096 Email: robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de> http://www.uni-ulm.de/mawi/finmath/people/stelzer.html

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(senza oggetto)
by Piccioni, Mauro 05 May '17

05 May '17

Seminario di probabilità e statistica matematica Lunedì 15 maggio, ore 16 Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo T.G. Kurtz, University of Wisconsin-Madison, "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Seminario DELLAPORTAS
by Matteo Ruggiero 05 May '17

05 May '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 12 Maggio 2017, alle ore 11.00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Petros DELLAPORTAS (University College London) HIGH DIMENSIONAL JUMP PROCESSES WITH STOCHASTIC VOLATILITY We deal with the problem of identifying jumps in multiple financial time series using the stochastic volatility model combined with a jump process. We develop efficient MCMC algorithms to perform Bayesian inference for the parameters and the latent states of the proposed models. In the univariate case we use an homogeneous compound Poisson process for the modelling of the jump component. In the multivariate case we adopt an inhomogeneous Poisson process, with intensity which is also a stochastic process varying across time and economic sectors and markets. A Gaussian process is used as prior distribution for the intensity of the Poisson process. This model is known as doubly stochastic Poisson process or Gaussian Cox process. The efficiency of the proposed algorithms is compared with existing MCMC algorithms. Our methodology is tested through simulation based experiments and applied on 600 stock daily returns of Euro STOXX index over a period of 10 years. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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Call for papers: Networks and Big Data in Economics, Finance, and Social Systems @ AMASES 2017
by Fabrizio Lillo 04 May '17

04 May '17

Dear Colleagues, we organize a session entitled “Networks and Big Data Analysis in Economics, Finance, and Social Systems" during the AMASES Annual Conference, which will be held in Cagliari in the period September 14-16, 2017. It is a great pleasure to invite you to submit an extended abstract following the instruction in the attached call. For information, please contact: Elisa Letizia (elisa.letizia(a)sns.it) Fabrizio Lillo (fabrizio.lillo(a)sns.it) Michele Tumminello (michele.tumminello(a)gmail.com) I am looking forward to meeting you in Cagliari. Best regards Elisa Letizia, Fabrizio Lillo, Michele Tumminello ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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seminario Tom Kurtz - Pescara 11/5
by c.costantini＠unich.it 03 May '17

03 May '17

Giovedi' 11 maggio 2017, ore 16 (16:15 effettive) presso il Dipartimento di Economia, sede di viale della Pineta 4, aula seminari il prof. T.G. Kurtz, University of Wisconsin-Madison, terra' un seminario dal titolo: "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono cordialmente invitati a partecipare. Cristina Costantini

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seminario Ben Goldys - Milano Bicocca 9/5
by federica.masiero＠unimib.it 03 May '17

03 May '17

Il giorno 9 Maggio, alle ore 10.45, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Prof. Ben Goldys, The University of Sydney, terrà un seminario dal titolo "Heat equation perturbed by boundary noise" Abstract: We will consider a fairly general Cauchy-Dirichlet problem with noise entering through the boundary. The case when the noise is white in space and time is also included. The question how to give a meaning to such an equation was first formulated by Da Prato and Zabczyk in 1994 and still remains largely open. We will show that the proper framework for this problem is a certain non-standard weighted $L^p$-space.This is a joint work with Szymon Peszat and Giorgio Fabbri. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Federica Masiero

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Seminario di probabilità al Politecnico di Milano
by Fabio Zucca 02 May '17

02 May '17

Si avvisa che in data 5/5/2017, alle ore 10:30 precise, presso Aula seminari del III piano del Dipartimento di Matematica del Politecnico di Milano, nell'ambito delle iniziative della sezione di Probabilità e Statistica Matematica, si svolgerà il seguente seminario: Titolo: Invariance under quasi-isometries of subcritical and supercritical behavior in the Boolean model of percolation Relatore: Cristian Coletti, Universidade Federal do ABC, Santo André - Sao Paulo, Brasil Abstract: We study the Poisson Boolean model of percolation in locally compact Polish metric spaces and we prove the invariance of subcritical and supercritical phases under mm-quasi-isometries. More precisely, we prove that if a metric space M is mm-quasi-isometric to another metric space N, and the Poisson Boolean model in M exhibits any of the following: (a) a subcritical phase; (b) a supercritical phase; or (c) a phase transition, then the same does the Poisson Boolean model of percolation in N. We use these results in order to understand the phase transition phenomenon in a large family of metric spaces. Tutti gli interessati sono invitati a partecipare Fabio Zucca

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Borse Dottorato - PhD Fellowships - Politecnico di Milano
by Laura M. Sangalli 02 May '17

02 May '17

Prego la massima diffusione presso i potenziali interessati ITA E' uscito il bando di ammissione al 33esimo ciclo di dottorato presso il Politecnico di Milano, con scadenza il ** 26 maggio alle ore 14 ** http://www.dottorato.polimi.it/it/entra-al-dottorato/concorso-di-ammissione… Presso il Dipartimento di Matematica sono disponibili 16 borse, di cui 5 borse a tema nell'area Statistica / Data Science, ed ulteriori 7 borse non a tema, che possono essere speficicate nell'area Statistica / Data Science. ENG The Department of Mathematics at Politecnico di Milano has 16 PhD fellowships, among which 5 are in the area of Statistics / Data Science, and further 7 fellowships are in the generic field of Mathematics and Statistics, and can be targeted to Statistics / Data Science. http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-… Deadline for applications: 26 May, at 2pm. -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Seminario Christophe Ley @ UniTo
by Elvira Di Nardo 30 Apr '17

30 Apr '17

********************************************************************* M.Sc. in STOCHASTICS and DATA SCIENCE http://www.master-sds.unito.it/do/home.pl UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedì 9 Maggio 2017 alle ore 11:30 in Aula 12 (Corso Unione Sovietica 218/bis, School of Management and Economics), nell'ambito delle attività previste per il corso di Statistics for Stocahstic Processes il Prof. Christophe Ley (Ghent University, Belgio) terrà un seminario dal titolo An alternative ranking for national soccer teams based on strength parameters Abstract: The FIFA ranking of national (male) soccer teams suffers from various drawbacks that cause heated debates, all-the-more as this ranking governs the seating in the international tournaments and the associated qualification rounds. In the present paper, we propose five alternative models based on strength parameters that are determined by maximum likelihood estimation. We conduct a comparison of these five statistical models, to which we add the ELO model used for the women's FIFA ranking, on grounds of their predictive performance. Indeed, contrary to regular league rankings, the FIFA ranking is designed to measure the current strength of teams, hence should allow accurate predictions of future matches. Our comparison is based on fifteen English Premier League seasons. The best performing model is then used to build the alternative FIFA ranking. We furthermore show its predictive power by analyzing the 2016 European Championship and comparing our predictions to the bookmaker ratings, usually considered as golden standard. Tutti gli interessati sono invitati a partecipare. -- %------------------------------------------------------- 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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Permanent position at BCAM (Bilbao) in CFD and Data Science
by Gianni Pagnini 28 Apr '17

28 Apr '17

INTERNATIONAL CALL FOR RESEARCH PROFESSORS The BASQUE CENTRE FOR APPLIED MATHEMATICS (BCAM) http://www.bcamath.org [1], together with IKERBASQUE, the Basque Foundation for Science http://www.ikerbasque.net [2], invites applications for one Research Professor position in Computational Fluid Dynamics and one Research Professor position in Data Science. This Research Professor call offers permanent contract positions for experienced researchers. NRO POSITIONS POSITION OFFERED BASIS & RULES APPLICATION FORM 1 Research Professor position in COMPUTATIONAL FLUID DYNAMICS PDF [3] website [4] 1 Research Professor position in DATA SCIENCE PDF [5] website [6] We encourage immediate applications as the selection process will be ongoing. All applications must be submitted ON-LINE AT: HTTP://WWW.BCAMATH.ORG/EN/RESEARCH/JOB [7] BCAM is a young research centre that is facing its consolidation phase. In this sense, the scientific strategy of the Centre is based on three Scientific Platforms that have been set up in order to establish an interdisciplinary system capable of facing the challenges of Mathematical Science in a broad manner by bringing together Mathematics, Engineering and Sciences: * Core in Applied Mathematics: PDE, Numerical Analysis, Fourier Analysis, Algebraic Geometry, Probability and Statistics. * Computational Mathematics: Modeling and computer simulations using numerical, stochastic and Monte Carlo methods. * Applications of Mathematics to Industry, Social Sciences and Health Sciences. Candidates should provide: * CV * Letter of interest, including your research interest. * 2 recommendation letters (additional references may be requested during the evaluation) * Statement of past experience (2-3 pages). Please, highlight your main results. * Only researchers with a strong record of research will be considered. Women candidates are especially welcome. We kindly ask you to distribute this call among colleagues and potential candidates. Please, do not hesitate to contact us if you need further information: recruitment(a)bcamath.org ------------------------- [8] [8] Miguel A. Benítez Project Manager BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao - Basque Country - Spain Tel. +34 946 567 844 benitez(a)bcamath.org | www.bcamath.org/benitez [9] _______________________________________________ bcam-all mailing list bcam-all(a)bcamath.org http://list.bcamath.org/mailman/listinfo/bcamath.org.bcam-all [10] Links: ------ [1] http://www.bcamath.org [2] http://www.ikerbasque.net [3] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM2017_Ikerbasq… [4] http://www.bcamath.org/en/research/job/research-professor-position-in-compu… [5] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM2017_Ikerbasq… [6] http://www.bcamath.org/en/research/job/research-professor-position-in-data-… [7] http://www.bcamath.org/en/research/job [8] http://www.bcamath.org/en/ [9] http://www.bcamath.org/benitez [10] http://list.bcamath.org/mailman/listinfo/bcamath.org.bcam-all

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Workshop "Large Scale Random Structures" a Roma Tre, 8 maggio 2017
by Pietro Caputo 28 Apr '17

28 Apr '17

*********** Workshop announcement ************* Monday May 8 2017, h 9-17 Aula F, Dipartimento di Matematica e Fisica di Roma Tre L.go S. Murialdo 1, 00146 Roma Workshop sponsored by PRIN 2015 "Large Scale Random Structures" (P.I. Fabio Martinelli) -------------------------------------------------------------------- 1. MORNING - - 9:15 F. Martinelli: “Bootstrap percolation and interacting particle systems with kinetic constraints: critical time and length scales” - - 10:00 P. Caputo: “Random walks on sparse random networks” - - 10:45 Coffe break - - 11:00 M. Fisher: “On mean field games and symmetric N-player games” - - 11:45 M. Mariani: “Metastable asymptotic of potential theory quantities in finite-dimensions” - - 12:30 Lunch - 2. AFTERNOON PLAN - - 14:00 A. Faggionato: ”Static length scales and glassy dynamics in triangular and square plaquette models” - - 14:45 F. Caravenna: “Universality in marginally relevant disordered systems” - - 15:30 D. Bertacchi e F. Zucca: “Branching random walks and branching processes in varying environment” - - 16:15 A. Bianchi: “Metastability in the reversible inclusion process” - For more informations please visit the website: *http://ricerca.matfis.uniroma3.it/LSRS/ <http://ricerca.matfis.uniroma3.it/LSRS/>* Best wishes, Pietro Caputo

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Annuncio Seminario di Probabilita, Pisa, Martedi' 2 maggio
by Carina Geldhauser 28 Apr '17

28 Apr '17

Annuncio Seminario di Probabilita, Pisa, Universita' di Pisa Martedi' 2 maggio, ore 11:00, Aula Seminari Seminario di Probabilita’ SPEAKER: Konstantin Matetski (University of Toronto) TITLE: Convergence of general weakly asymmetric exclusion processes ABSTRACT: In my ongoing work with J. Quastel we consider spatially periodic growth models built from weakly asymmetric exclusion processes with finite jump ranges and general jump rates. We prove that at a large scale and after renormalization these processes converge to the Hopf-Cole solution of the KPZ equation driven by Gaussian space-time white noise. In contrast to the celebrated result by L. Bertini and G. Giacomin (in the case of the nearest neighbour interaction) and its extension by A. Dembo and L.-C. Tsai (for jumps of sizes at most three) we don’t use the Hopf-Cole transform and work with the KPZ equation using regularity structures. The price which we have to pay for this approach is a non-trivial renormalization which has not been observed before for equations with stationary noises. In my talk i will give a general review of the Hopf-Cole solution to the KPZ equation and the results of the aforementioned authors. After that I will introduce a general weakly asymmetric exclusion process and explain the difficulty with renormalization. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it

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3-year junior research chair in Data Science in Grenoble
by Julyan Arbel 27 Apr '17

27 Apr '17

Dear All the newly created Grenoble Alpes Data Institute <https://data-institute.univ-grenoble-alpes.fr/> (France) is advertising a 3-year junior research chair in Data Science for Life Sciences starting in October 2017. Salary annual range is 30,000 to 35,000€. Application deadline is May 21st. Please feel free to forward the following link to potential candidates: https://data-institute.univ-grenoble-alpes.fr/job-opportunities/junior-chai… <https://data-institute.univ-grenoble-alpes.fr/job-opportunities/junior-chai…> Best regards, Julyan Arbel Inria Grenoble http://www.julyanarbel.com/

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Seminario di F. den Hollander a Milano-Bicocca (10.05.2017)
by Francesco Caravenna 27 Apr '17

27 Apr '17

Mercoledì 10 maggio 2017 alle ore 14:30, nell'ambito del Seminario Matematico e Fisico di Milano, Frank den Hollander (Leiden University) terrà un seminario dal titolo "Random walks on dynamic random graphs" Aula 3014, Dipartimento di Matematica e Applicazioni (edificio U5, via Cozzi 55, Milano) Università di Milano-Bicocca Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%% The mixing time of a random walk is the time it needs to approach its stationary distribution. For random walks on graphs, the characterisation of the mixing time has been the subject of intensive study. One of the motivations is the fact that the mixing time gives information about the geometry of the graph. In the last few years, much attention has been devoted to the analysis of mixing times for random walks on \emph{random graphs}, which poses interesting challenges. Many real-world networks are dynamic in nature. It is therefore natural to study random walks on \emph{dynamic random graphs}. In this talk we consider a random walk on the configuration model, i.e., a random graph with prescribed degrees. We investigate what happens when at each unit of time a fraction $\alpha_n$ of the edges is randomly relocated, where $n$ is the number of nodes. We identify \emph{three regimes} for the mixing time in the limit as $n \to \infty$, depending on the choice of $\alpha_n$. These regimes exhibit surprising behaviour. Joint work with Luca Avena (Leiden), Hakan Guldas (Leiden) and Remco van der Hofstad (Eindhoven) %%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ 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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Avviso di Seminario Prof.ssa Laura Sacerdote
by Enrica Pirozzi 24 Apr '17

24 Apr '17

AVVISO di Seminario Prof.ssa Laura Sacerdote Dipartimento di Matematica Università di Torino terrà un seminario il giorno 27 Aprile 2017 ore 12:00 nella Sala Professori secondo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Titolo e abstract nel file allegato. Cari saluti Enrica Pirozzi -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Avviso di seminario
by Piccioni, Mauro 24 Apr '17

24 Apr '17

Seminario di probabilità e statistica matematica Martedì 2 maggio, ore 14 Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo Cristina Costantini, Università D'Annunzio Chieti-Pescara LA DIFFUSIONE DI POISSON-DIRICHLET A DUE PARAMETRI COME LIMITE DI MODELLI DI GENETICA Riassunto: Oltre alle ben note applicazioni in statistica Bayesiana, teoria dei numeri, ecc., la distribuzione di Poisson-Dirichlet ha un’importante signiﬁcato in genetica: infatti e’ l’unica distribuzione stazionaria della diﬀusione che descrive il comportamento delle frequenze, ordinate in ordine decrescente, degli alleli presenti in una popolazione, al tendere all’inﬁnito della dimensione della popolazione e del numero di alleli. La distribuzione di Poisson-Dirichlet a due parametri e’ una generalizzazione della distribuzione di Poisson-Dirichlet che emerge in particolare nello studio delle escursioni del moto Browniano e nella teoria del rinnovo. Nel 2009 Petrov ha costruito una diﬀusione che ammette la distribuzione di Poisson-Dirichlet a due parametri come unica distribuzione stazionaria. Fino a oggi pero’ non era stato possibile collegare questa diﬀusione a modelli di genetica. Nel seminario esporro’ un recente risultato, ottenuto in collaborazione con P. De Blasi, S. Ethier, M. Ruggiero, D. Spano`, che dimostra che la diﬀusione costruita da Petrov e’ il limite, al tendere all’inﬁnito della dimensione della popolazione e del numero di alleli, di modelli di genetica che descrivono l’evoluzione delle frequenze, ordinate in ordine decrescente, degli alleli nella popolazione, in presenza non solo di mutazioni, ma anche di immigrazione da un’altra popolazione. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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5 postdocs fellowship at GSSI (fwd)
by Tiziano Vargiolu 22 Apr '17

22 Apr '17

---------- Forwarded message ---------- Date: Sat, 22 Apr 2017 11:36:56 +0200 From: Pierangelo Marcati <pierangelo.marcati(a)gssi.infn.it> To: undisclosed-recipients: ; Subject: 5 postdocs fellowship at GSSI APOLOGY FOR MULTIPLE E-MAILS DEADLINE MAY 15th 2017 WEB SITE http://www.gssi.it/postdoc/ Contact Information If you need assistance please email info(a)gssi.it. Application to GSSI post doctoral research grants ____________________________________________________________________________ GSSI offers 5 positions for research activity in the fields of interest of the Institute There is no age limit for applicants; however eligible candidates in Mathematics must have earned their PhD not earlier than January 1, 2012. Candidates who are preparing their doctoral thesis are eligible to apply; however, they must have obtained their Ph.D degree before taking up their appointment with GSSI. ____________________________________________________________________________ Research Grants The annual gross salary is ? 36.000,00. Each post doctoral research grant is intended for a duration of two years. ____________________________________________________________________________ Topics Stochastic Differential Equations. Particles systems and macroscopic limits, statistical mechanics and phase transitions. Mathematical theory in classical and nonclassical fluids, Turbulence, Nonlinear dispersive PDEs. Dynamics and Control on Networks. Mathematical models of collective behaviour, in biology and social sciences. Mathematical Models in continuum mechanics of solids, fluids and biological matter. Numerical methods for nonlinear PDEs. ----------------------------- * Pierangelo Marcati * ----------------------------- Scientific Director Mathematics Division GranSasso Science Institute, INFN - L'Aquila - Italy http://www.gssi.it +39(086)242-80262 Professor at DISIM Dept. of Information Engineering, Computer Science and Mathematics University of L'Aquila - Italy Skype name: p.marcati http://univaq.it/~marcati +39(086)243-3143

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Quasi-Unconference of the Probability Group at Sussex
by Enrico Scalas 20 Apr '17

20 Apr '17

Dear Colleagues, If you are in the UK, you might be interested in these presentations of the new Probability and Statistics Group at the University of Sussex. The event will take place on 25/26 May 2017 in Room 5C11, Pevensey 3 Building, University of Sussex, Falmer, Brighton, UK. Everybody is welcome and participation is free of charge, but due to limited place availability registration is compulsory. If you wish to attend, please send an e-mail to e.scalas(a)sussex.ac.uk before 15 May 2017. Places will be assigned on a first-come first-served basis. Best wishes, Enrico Scalas -- Thursday 25 May 9:00 - 9:30 Get together (coffee and cookies) 9:30 - 10:00 Opening talk presented by Charles Goldie: A lower-class criterion for discounted tail series 10:00 – 11:00 Masoumeh Dashti: Sparsity-promoting MAP estimators in non-parametric Bayesian inverse problems 11:00 - 12:00 Andrew Duncan: Bayesian Inference in Finite and Infinite Dimension using Billiard Balls 12:00 - 13:00 Nicos Georgiou: Last passage times for Bernoulli models on the lattice 13:00 - 14:30 Lunch in Bramber House 14:30 - 15:30 Federico Ciech: An inhomogeneous model of last passage percolation 15:30 - 16:30 MASS Seminar presented by Daniel Ueltschi (Warwick) 16:30 - 17:30 Sabine Jansen: Precise large and moderate deviations for heavy-tailed variables 19:00 Dinner Friday 26 May 9:30 - 10:00 Get together (coffee and cookies) 10:00 - 11:00 Enrico Scalas: Counting and Classifying. How to build theoretical science from probability theory 11:00 - 12:00 Mailan Trinh: The fractional non-homogeneous Poisson process 12:00 - 13:00 Stephen Ashton: The mathematics of human contact 13:00 - 14:30 Fish and chips 14:30 - 15:30 Dimitrios Tsagkarogiannis: Non-equilibrium processes driven by boundary action 15:30 - 16:30 Panagiota Birba: Fluctuations for an out-of-equilibrium process driven by current reservoirs 16:30 - 17:30 Vladislav Vysotskiy: Large deviations of convex hulls of planar random walks. 19:00 Dinner

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Conference on "Stochastic Control, Ambiguity and Games" - Leeds 4-5 Sept. 2017
by Tiziano De Angelis 20 Apr '17

20 Apr '17

Dear All, We are pleased to announce the conference "Stochastic Control, Ambiguity and Games" which will be held at the University of Leeds on 4th - 5th September 2017. This event aims to bring experts in stochastic control, robust optimisation and stochastic games in order to explore links between these areas. Registration will open on 25th April and close on 9th July. There is a £50 registration fee which will cover lunch and coffee breaks for the two days, and a buffet dinner on the first evening of the conference. All necessary information can be found at http://ambiguity2017.leeds.ac.uk with the list of invited speakers at http://ambiguity2017.leeds.ac.uk/participants/ If you would like to contribute a talk or a poster please contact us as soon as possible but not later than 6th June. We will notify you about acceptance of your talk by 14th June. All queries should be addressed to: Tiziano De Angelis: t.deangelis(a)leeds.ac.uk Jan Palczewski: j.palczewski(a)leeds.ac.uk We would be most grateful if you forwarded this announcement to anyone potentially interested. Best regards, Tiziano De Angelis and Jan Palczewski

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The IV AMMCS International Conference, Waterloo, Canada: Second Call for Abstracts
by Enrico Scalas 18 Apr '17

18 Apr '17

Dear Colleagues: The IV AMMCS International Conference will take place in Waterloo, Canada, August 20-25, 2017 (http://www.ammcs2017.wlu.ca/) The deadline for abstract submission is May 1, 2017 (http://www.ammcs2017.wlu.ca) The Conference features many special and contributed sessions to choose from. Please go directly to the submission page at http://www.ammcs2017.wlu.ca/submit-abstracts/ If you need a visa to travel to Canada, please submit your abstract asap. In particular, I am organising two sessions of potential interest for probabilists: 1. Fractional Calculus and Applications http://www.ammcs2017.wlu.ca/special-sessions/fca/ 2. Modelling of socio economic dynamics http://www.ammcs2017.wlu.ca/special-sessions/msed/ Further details are at the conference website: http://www.ammcs2017.wlu.ca (e-mail: ammcs-2017(a)wlu.ca) Best regards, Enrico Scalas

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Assegno di ricerca presso CNR IMATI, Milano
by antonio.pievatolo＠cnr.it 18 Apr '17

18 Apr '17

Gentili colleghi, segnalo un bando per un assegno di ricerca riguardante la seguente tematica: modelli stocastici, con applicazioni a problemi di programmazione dinamica stocastica, nell’ambito del Progetto “I-ZEB Verso Edifici Intelligenti a Energia Zero per la crescita della città Intelligente”. Scadenza: 26 aprile. Link al bando: http://www.imati.cnr.it/index.php/opportunities?layout=edit&id=539 http://bandi.urp.cnr.it/doc-assegni/documentazione/7136_DOC_IT.pdf Cordiali saluti Antonio Pievatolo -- Dr Antonio Pievatolo IMATI-CNR http://www.imati.cnr.it/joomla/index.php/people?layout=edit&id=101

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Seminario Fausto Gozzi 20 aprile 2017 presso Università Cattolica sede di Milano
by Marina Di Giacinto 13 Apr '17

13 Apr '17

Seminario di Fausto Gozzi (Dipartimento di Economia e Finanza - Università LUISS Guido Carli) Giovedi' 20 aprile 2017 - ore 10:30 - aula 200 Università Cattolica del Sacro cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Optimal portfolio choice with path dependent labor income: The infinite horizon case ABSTRACT: We consider an infinite horizon portfolio choice problem with borrowing constraints where an agent receives labor income that adjusts slowly to financial market shocks. The novelty of the model is the path-dependence of the wage income process, which leads to an infinite dimensional stochastic optimal control problem. We solve completely the problem, and find explicitly the optimal controls in feedback form. This is possible because we are able to find an explicit solution to the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if state constraints are present. To the best of our knowledge, this is the first infinite dimensional generalization of Merton's optimal portfolio problem where explicit solutions can be found. The explicit solution allows us to study and discuss the behavior of optimal solutions. We conclude, if there is time, by showing how the solution strategy used here can be deployed to solve other problems, such as the finite horizon version of the model. Joint work with Enrico Biffis and Cecilia Prosdocimi Tutti gli interessati sono invitati a partecipare.

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Seminario Fausto Gozzi 20 aprile 2017 presso Università Cattolica sede di Milano
by Marina DI GIACINTO 12 Apr '17

12 Apr '17

Seminario di Fausto Gozzi (Dipartimento di Economia e Finanza - Università LUISS Guido Carli) Giovedi' 20 aprile 2017 - ore 10:30 - aula 200 Università Cattolica del Sacro cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Optimal portfolio choice with path dependent labor income: The infinite horizon case ABSTRACT: We consider an infinite horizon portfolio choice problem with borrowing constraints where an agent receives labor income that adjusts slowly to financial market shocks. The novelty of the model is the path-dependence of the wage income process, which leads to an infinite dimensional stochastic optimal control problem. We solve completely the problem, and find explicitly the optimal controls in feedback form. This is possible because we are able to find an explicit solution to the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if state constraints are present. To the best of our knowledge, this is the first infinite dimensional generalization of Merton's optimal portfolio problem where explicit solutions can be found. The explicit solution allows us to study and discuss the behavior of optimal solutions. We conclude, if there is time, by showing how the solution strategy used here can be deployed to solve other problems, such as the finite horizon version of the model. Joint work with Enrico Biffis and Cecilia Prosdocimi Tutti gli interessati sono invitati a partecipare.

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Dependence Modeling Tools for Risk Management , October 2-5, 2017, Montréal
by Fabrizio Durante 11 Apr '17

11 Apr '17

As part of a 6-month thematic program on quantitative risk management, the Centre de recherches mathématiques (MontrÃ©al, Canada) will hold a workshop on "Dependence Modeling Tools for Risk Management" October 2-5, 2017. This workshop will provide a unique opportunity to take stock of recent developments, identify new challenges, and foster collaboration with some 20 leading researchers in dependence modeling from academia and industry (see list below). For a detailed program and registration, see http://www.crm.umontreal.ca/2017/Dependence17/index_e.php Students and postdoctoral fellows are encouraged to present a poster at the workshop. One poster session has been scheduled, as well as two sessions of short lightning talks, so that trainees can introduce themselves and their work to the entire audience. Attendance is restricted to 65 participants on a first-come, first-served basis, so please register early. See you in Montréal! The organizers, Anne-Laure Fougéres, Johanna G. Nesehová¡, Matthias Scherer LIST OF CONFIRMED INVITED SPEAKERS Andras Badossy (University Stuttgart) Axel Bücher (Ruhr-Universitaet Bochum) Claudia Czado (Technische Universität München) Alexios Galanos (Ketchum Trading, LLC) Christian Genest (McGill University) Benedikt Graeler (Ruhr-Universitaet Bochum) Marius Hofert (University of Waterloo) Harry Joe (University of British Columbia) Ivan Kojadinovic (Université de Pau et des Pays de l'Adour) Ãtienne Marceau (Université Laval) Stefan Mittnik (Ludwig Maximilian Universitaet München) Philippe Naveau (CEA-Orme des Merisiers) Marc Paolella (Universitaet Zürich) Andrew Patton (Duke University) Gianfausto Salvadori (Università del Salento) Andrew Smith (Deloitte LLP) Luitgard Veraart (London School of Economics) Prof. Dr. Matthias Scherer -- Technische Universitaet München scherer(a)tum.de www.mathfinance.ma.tum.de

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PostDoc Position in Augsburg
by Marco Romito 10 Apr '17

10 Apr '17

The chair in nonlinear analysis at the University of Augsburg has an opening for one full-time position as Research Associate, TVL-E 13, (PostDoc) preferably in one of the following areas: stochastic analysis, stochastic partial differential equations, stochastic dynamics, or other fields related to the research group in Augsburg. The term of appointment is until March 31st 2019. The position has a teaching load of 5 hours per week, which could be done in English. The full advertisement (unfortunately only in German) can be found under: http://www.uni-augsburg.de/aktuell/stellen/wima-bloemker.html Further questions can be addressed to Prof. Dirk Blömker <dirk.bloemker(a)math.uni-augsburg.de> Please sent applications via e-mail with the usual documents (curriculum vitae with a brief statement of research interests, copy of diplomas, list of publications) in a single PDF-file to <dirk.bloemker(a)math.uni-augsburg.de> The deadline is May 7th 2017 or until the position is filled. -- Prof. Dr. Dirk Blömker, Institut für Mathematik, Universität Augsburg, 86135 Augsburg, Germany Telefon: ++49 (0821) 598 - 2156 Telefax: ++49 (0821) 598 - 2200 E-Mail:dirk.bloemker@math.uni-augsburg.de Skype: bloemker21

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positions at LUISS
by Marco Scarsini 09 Apr '17

09 Apr '17

LUISS intends to cover several junior and senior positions in different fields, including statistics, data science, and econometrics: http://www.luiss.it/news/2017/04/05/call-expressions-interest-19-positions ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Assegno triennale a Venezia (H2020-FETPROACT)
by Marco LiCalzi 08 Apr '17

08 Apr '17

A call for a 3-year postdoc position on "Models of strategic interaction under competing cultural frames" (prof. Marco LiCalzi, Chair of Mathematical Methods for Economics) is open at the Department of Management, University of Venice, Italy. Gross fellowship amounts to 29,500 per year. The position is funded by H2020-FETPROACT. Prospective candidates should have a demonstrated research record in at least one of the following areas: (1) game theory, (2) economic theory, (3) organizational economics, (4) network science, (5) mathematical or quantitative methods for economics. Deadline for applying is 15th May 2017. For information, see announcement (in English) at http://www.unive.it/media/bandi_assegni/2017-ASSEGNI%20DI%20RICERCA/LI_CALZ… <http://www.unive.it/media/bandi_assegni/2017-ASSEGNI%20DI%20RICERCA/LI_CALZ…> The online application is at http://static.unive.it/domandeconcorso-en/accesso/dma-licalzi <http://static.unive.it/domandeconcorso-en/accesso/dma-licalzi> __________________________________ Marco Li Calzi Department of Management Università Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://virgo.unive.it/licalzi

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New Lecturer Position at Greenwich
by Enrico Scalas 07 Apr '17

07 Apr '17

Car* Collegh*, Vi invio questo annuncio con preghiera di diffusione. Cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK -- *Subject:* New Lecturer Position at Greenwich Dear All, The Department of Mathematical Sciences at the University of Greenwich is currently advertising for a new position of Lecturer in Data Analytics with Statistics (https://jobs.gre.ac.uk/Vacancy.aspx?ref=1458 <http://www.jobs.ac.uk/job/AXG225/lecturer-senior-lecturer-in-mathematics/>). I would be grateful if you could please bring this position to the attention of anyone who may be interested in applying. Many thanks, Mary Dr Mary McAlinden Head of Department, Department of Mathematical Sciences, University of Greenwich, Old Royal Naval College, Park Row, London SE10 9LS Email: M.McAlinden(a)greenwich.ac.uk University of Greenwich, a charity and company limited by guarantee, registered in England (reg. no. 986729). Registered office: Old Royal Naval College, Park Row, Greenwich, London SE10 9LS.

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Assegno di ricerca triennale per il settore SECS-S/01
by julia mortera 07 Apr '17

07 Apr '17

Si comunica a tutti gli interessati che il Dipartimento di Economia dell'Università degli Studi di Roma Tre ha bandito un assegno di ricerca triennale per il settore SECS-S/01 caratterizzato dalla presentazione di un progetto di ricerca da parte del candidato. Il bando è disponibile al seguente link: http://europa.uniroma3.it/dottorati2010/assegni/c634a783-700a-4b42-a171-1b3… Per maggiori dettagli sul regolamento per gli assegni di ricerca: http://host.uniroma3.it/uffici/ricerca/assegni-di-ricerca.aspx Cordiali saluti, Julia Mortera -- -------------------------------------------------------------------------------------------- J. Mortera, Professor of Statistics, Università Roma Tre E-mail: julia.mortera[at]uniroma3.it Web page:http://tinyurl.com/ztj6ked -------------------------------------------------------------------------------------------- --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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Annuncio Seminario di Probabilita, Pisa, SNS, 11 aprile, ore 14:30
by Carina Geldhauser 07 Apr '17

07 Apr '17

Annuncio Seminario di Probabilita, Pisa, Scuola Normale Superiore di Pisa Martedi 11 aprile, ore 14:30, Aula Mancini Seminario di Probabilita’ SPEAKER: Michael Röckner (Bielefeld University) TITLE: Global solutions to random 3D vorticity equations for small initial data ABSTRACT: One proves the existence and uniqueness in $(L^p(\mathbb{R}^3)^3 , 3/2 </p/<2,$ of a global mild solution to random vorticity equations associated to stochastic 3/D/ Navier-Stokes equations with linear multiplicative Gaussian noise of convolution type, for sufficiently small initial vorticity. This resembles some earlier deterministic results of T. Kato and are obtained by treating the equation in vorticity form and reducing the latter to a random nonlinear parabolic equation. The solution has maximal regularity in the spatial variables and is weakly continuous in $(L^3 \cap L^{\frac{3p}{4p - 6})^3$with respect to the time variable. Furthermore, we obtain the pathwise continuous dependence of solutions with respect to the initial data. This is joint work with Viorel Barbu. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it <mailto:carina.geldhauser@dm.unipi.it>

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Seminario Nourdin
by marinucc＠axp.mat.uniroma2.it 07 Apr '17

07 Apr '17

AVVISO DI SEMINARIO Speaker: Ivan Nourdin (Luxembourg University) Luogo: Aula Dal Passo, Dipartimento di Matematica, Università di Roma Tor Vergata Data ed ora: mercoledì 12 aprile, ore 16 Title: CLT for symmetric integrals of fractional Brownian motion Abstract: In this talk, based on a joint work with Giulia Binotto and David Nualart, I will explain how to establish the weak convergence of symmetric Riemann sums for functionals of the fractional Brownian motion when the Hurst parameter takes a certain critical value. As a consequence, we will then see that one can derive a change-of-variable formula in distribution, where the correction term is a stochastic integral with respect to a Brownian motion that is independent of the underlying fractional Brownian motion. Grazie per l'attenzione, Domenico Marinucci

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2 assegni di ricerca presso Università di Firenze
by Cecilia Mancini 06 Apr '17

06 Apr '17

Il Dipartimento di Scienze per l'Economia e l'Impresa dell'Università di Firenze bandisce i seguenti 2 assegni di ricerca: 1 assegno sul tema "Jumps clusters and default contagion" - scadenza per fare domanda 20/4/17 Responsabile Scientifico Cecilia Mancini - Settore Scientifico Disciplinare SECS-S06 http://titulus.unifi.it/albo/viewer?view=files%2F002425757-UNFICLE-40b0d7d8… 1 assegno sul tema "Modelli quantitativi per l’economia, la finanza e le scienze attuariali" - scadenza per fare domanda 21/4/17 Responsabile scientifico Maria Elvira Mancino - Settore scientifico disciplinare SECS-S/06 http://titulus.unifi.it/albo/viewer?view=files%2F002421448-UNFICLE-9812a7e2… Saremmo grate se poteste diffondere il messaggio. I candidati interessati che avessero bisogno di ulteriori informazioni possono scrivere a cecilia.mancini(a)unifi.it o a mariaelvira.mancino(a)unifi.it cordiali saluti, Cecilia Mancini e Maria Elvira Mancino

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de Finetti Risk Seminar - April 2017
by Emanuela Rosazza 06 Apr '17

06 Apr '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Trust Your Data or Not – Standard remains Standard (QP) I. Bomze University of Vienna LOCATION: The seminar will be held on Wednesday, April 19, 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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Seminario di Probabilita' (Roma)
by Faggionato, Alessandra 06 Apr '17

06 Apr '17

Seminario di Probabilita' Lunedi' 10 Aprile, ore 16:00 Dipartimento di Matematica, Universita' La Sapienza, Aula di Consiglio Speaker: C. Landim (Impa, CNRS Rouen) Title: Static large deviations for a reaction-diffusion model Abstract: We consider the superposition of a symmetric simple exclusion dynamics, speeded-up in time, with a spin-flip dynamics in a one-dimensional interval with periodic boundary conditions. We prove the large deviations principle for the empirical measure under the stationary state. We deduce from this result that the stationary state is concentrated on the stationary solutions of the hydrodynamic equation which are stable. -- ************************************************* 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 Prof. Giulia Iori alla Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 05 Apr '17

05 Apr '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Martedì 11 Aprile, ore 9,30 ------------------------------------------------------------ ----------------- Aula Fermi Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa Prof. Giulia Iori (City University, London) Information aggregation in Decentralized Markets: An Experimental Study *Abstract:* The aim of the paper is to explore the effects of market opacity and trade frictions, on market efficiency and social welfare, in exchanges organized by decentralized trade. Networks are a natural tool to represent the trading relationships among market participants in decentralized markets. By constraining exchanges on exogenously predetermined networks, and without altering the price formation mechanism, which is based on the networked limit order book technology, we can span from highly decentralized to fully connected double auction markets. Via laboratory experiments with human subjects we investigate how the density of the trading network affects the market overreaction to the release of public information, the way asymmetric private information is aggregated into prices, the manner in which the price negotiated on a particular trade reflects the relative degree of connectedness of the buyer and seller, and the extent to which location advantages create heterogeneities in gains from trading among traders. Tutti gli interessati sono invitati a partecipare. Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica Billio 05 Apr '17

05 Apr '17

16^th INTERNATIONAL CONFERENCE CREDIT 2017 */INTEREST RATES, GROWTH and REGULATION /*Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. 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 *sixteenth* 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 new monetary policies (low interest rates, quantitative easing, forward guidance...). 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. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these 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: * Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. * Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. * Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. * New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). 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 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>). Registration fees are: Early registrationLate registration (within August 31st)(from September 1st on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT500 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 28th, 2017, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers August 31, 2017: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>

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Assegno di ricerca presso la Scuola Normale Superiore, Pisa
by Fabrizio Lillo 04 Apr '17

04 Apr '17

The call for a 16 month postdoc (assegno di ricerca) is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is *Italian: **Esecuzione ottimale e dinamica di alta frequenza in mercati foreign exchange* *English: Optimal execution and high frequency dynamics in foreign exchange markets* and the research will likely be conducted in collaboration with the FX desk of HSBC (London) The details of the call are at Italian http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma- di-ricerca-%E2%80%9Caccordo-di-ricerca-hsbc-sns-analisi- delle-microstrutture-dei-0 English http://en.sns.it/bando/research-contract-part-research-project-%E2%80% 9Chsbc-sns-research-agreement-microstructure-financi <http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Chsb…> The deadline is April 14. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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Mini course in Verona - Luciano Campi: Optimal stopping with applications to finance.
by Luca di persio 04 Apr '17

04 Apr '17

*Mini course announcement* Prof. Luciano Campi [ LSE, London School of Economics, London ] will give a mini course on *Optimal stopping with applications to finance*, according with the following time table: 10th of April (2017) : 1730-1930 - Room M 11th of April (2017) : 1430 -1730 - Room M 12th of April (2017) : 1430-1730 - Room M all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course*Optimal stopping problems are very common in economics and finance (as well as in other fields such as sequential statistics), think for instance of choosing the best time to sell some good (e.g. a house) or to exercise a given option. The aim of this course is explaining in detail the main solution methods and how they can be applied to some concrete examples coming from economics and finance. A good knowledge of probability theory and martingales in discrete time is a very welcomed prerequisite. The list of topics will be: 1. Optimal stopping problem (OSP): motivation and examples. 2. Solution to OSP via Snell envelop and backward induction. 3. Zero-sum stopping games (aka Dynkin games). 4. Applications to finance and economics. *References*: • Neveu, J. (1975). Discrete-parameter martingales (Vol. 10). Elsevier. • Peskir, G., and Shiryaev, A. (2006). Optimal stopping and free-boundary problems (pp. 123-142). Birkhäuser Basel. • Ghemawat, P., and Nalebuff, B. (1985). Exit. The RAND Journal of Economics, 184-194. • Solan, E., and Vieille, N. (2005). Stopping games: recent results. In Advances in Dynamic Games (pp. 235-245). Birkhäuser Boston. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it 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 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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