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[Dynstoch] Newsletter (fwd)
by Tiziano Vargiolu 24 Mar '16

24 Mar '16

---------- Forwarded message ---------- Date: Mon, 19 Oct 2015 21:55:19 +0000 From: Dynstoch Newsletter <sci-math-dynstoch(a)list.ku.dk> To: "sci-math-dynstoch(a)list.ku.dk" <sci-math-dynstoch(a)list.ku.dk> Subject: [Dynstoch] Newsletter DYNSTOCH NEWSLETTER 19 October 2015 ************************************************ DYNSTOCH 2016 The Dynstoch 2016 Workshop will take place in Rennes, France in the days 8 - 10 June 2015. For more information, please go to http://www.lebesgue.fr/content/sem2016-DYNSTOCH2016 Best wishes, Michael --------------------------------------------------------------------------- Michael S?rensen, Professor and Associate Chair for Research Dept. of Mathematical Sciences E-mail: michael(a)math.ku.dk University of Copenhagen Tel.: +45 3533 0402 Universitetsparken 5 Fax: +45 3532 9555 DK-2100 Copenhagen ? Web-page: www.math.ku.dk/~michael Denmark Skype: michaelsor1 ---------------------------------------------------------------------------

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Fwd: Open position at Charles University in Prague (fwd)
by Tiziano Vargiolu 24 Mar '16

24 Mar '16

-------- Messaggio Inoltrato -------- Oggetto: Open position at Charles University in Prague Data: Wed, 23 Mar 2016 00:07:46 +0100 Mittente: kopa(a)karlin.mff.cuni.cz Apologies for cross-posting ----------------------------------- Charles University in Prague, Faculty of Mathematics and Physics, Dept. of Probability and Math. Statistics Position Title: Assistant Professor Position Type: Tenured/Tenure-track faculty Position Location: Prague, Czech Republic Subject Area: Econometrics, Operations Research, Financial Mathematics Application Deadline: 2016/04/30 Position Description: Responsibilities: Teaching at the undergraduate and graduate levels; conducting independent and collaborative research; supervision of Bachelors and Masters theses. Qualifications: Ph.D. in Econometrics, Operations Research, Financial Mathematics or related fields; promise of strong publication record; fluency in written and spoken English; willingness to learn Czech. Application process: Candidates should submit applications to e-mail address kpms(a)karlin.mff.cuni.cz. The application must include CV, list of publications, description of professional interests and teaching experience, and specification of future goals in teaching and research. Candidates should provide names and telephone/e-mail contacts for two professional references (letters of reference will be requested at a later date). The deadline for receiving applications is April 30, 2016. Contacts: Departmental web page: http://kpms.karlin.mff.cuni.cz/?lang=en. Questions may be directed to Dr. M. Kulich, the Chair of the Department, e-mail kulich(a)karlin.mff.cuni.cz. About the Department: The department currently employs 27 faculty members conducting research and education in mathematical fields that involve randomness and uncertainty, in particular theoretical and applied statistics, econometrics, stochastic optimization, stochastic processes and stochastic geometry, and financial and insurance mathematics. Current research topics in econometrics, operations research and financial mathematics include economic and financial time series, asset-liability management, financial accounting, simulation, facility planning, scheduling, portfolio optimization, sensitivity and output analysis, risk management, credit scoring, derivatives pricing, rate-making, optimal pricing in insurance, reserving, stress testing. The department teaches courses in the Bachelor's programs "General Mathematics" and "Financial Mathematics", in the Master's programs "Probability, Statistics, and Econometrics", and "Financial and Actuarial Mathematics", and in the Doctoral program "Probability and Statistics, Econometrics and Financial Mathematics".

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Seminario Prof. Y. Mishura (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 24 Mar '16

24 Mar '16

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 1 Aprile, ore 11 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche "Sapienza" Università di Roma Prof. Yuliya Mishura (Kyiv University) *Titolo:* *Between two self-similarities* *Sintesi:* Everybody knows that fractional Brownian motion with any Hurst index is a self-similar process with stationary increments. According to geometric terminology of J. P. Kahane, it belongs to helix. Self-similarity and incremental stationarity are very useful when we study the properties of different functionals based on fBm however these properties are rather restrictive. For example, Ornstein-Uhlenbeck process starting from zero time point is neither self-similar nor stationary or with stationary increments. Therefore the goal of the present talk is to consider wider class of Gaussian processes. In our terminology, they live between two self-similarities, or belong to the generalized quasi-helix. We consider three problems concerning such processes: --asymptotic behavior of maximal functionals; --representation theorems involving integrals w.r.t. such processes; --some statistical results. The results are common with: Alexander Novikov (Sydney University), Mikhail Zhitlukhin (Steklov Mathematical Institute), Georgij Shevchenko (Kyiv University) and Kostjantin Ralchenko (Kyiv University) Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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Course on Bayesian Statistics: Modelling and Computation by Ioannis Ntzoufras
by Consonni Guido 23 Mar '16

23 Mar '16

? Universita' Milano-Bicocca Dottorato di Statistica e Matematica per la Finanza Bayesian Statistics: Modelling and Computation Ioannis Ntzoufras (Athens University of Business and Economics) April 11-15, 2016 ? Syllabus * Introduction to Bayesian Logic * MCMC methods * Bayesian regression analysis * Introduction to Bayesian modelling using Winbugs * Bayesian model and variable selection Schedule Monday, April 11th: 16-18 (pc Lab 715 first floor) Tuesday, April 12th: 10-13 (pc lab 715 first floor) Thursday, April 14th: 9-13 (pc lab 715 first floor) Friday, April 15th: 10-13 (pc lab 715 first floor) The course is targeted at PhD students and young researchers in Statistics, Biostatistics, Econometrics, Economics and Finance, and in any other field dealing with empirical research. Attendance is free The max. n. of participants is 28, and for organizational reasons we ask to register by sending an email to nicoletta.alghisi(a)unimib.it<mailto:nicoletta.alghisi@unimib.it> ?

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Grants for PhD International Students, University of Padova, Italy - Deadline April 22, 2016
by Patrizia Piacentini - PhD 23 Mar '16

23 Mar '16

For the academic year 2016/17 the University of Padova, Italy, offers 15 research fellowships for foreign (non Italian) students to attend Doctoral/International Courses - Deadline: 22 April 2016 (10.00 a.m. Italian local time) The call for application is available at the following address: http://www.unipd.it/en/node/1053 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses will start on October 1st, 2016 and will end on September 30st, 2019. Application is to be made following carefully the instructions in the announcement. The PhD Course in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Monica Chiogna Coordinator Phd Course in Statistics University of Padova Italy

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Junior Professorship (W1) at the Universty of Munich (Germany) (fwd)
by Tiziano Vargiolu 22 Mar '16

22 Mar '16

---------- Forwarded message ---------- Date: Tue, 22 Mar 2016 10:01:29 +0100 (CET) From: Francesca Biagini <biagini(a)mathematik.uni-muenchen.de> Subject: Junior Professorship (W1) at the Universty of Munich (Germany) (fwd) ****************************** The Faculty of Mathematics, Informatics and Statistics of the University of Munich invites applications for a Junior Professorship (W1) (for a period of 3 years) of Stochastic Methods in Financial and Insurance Sciences commencing as soon as possible. The primary tasks of the successful candidate include active research and teaching in the field of Financial and Insurance Mathematics / Stochastics. Applicants are expected to participate actively in research and teaching at the Institute of Mathematics. In particular, they should be able to teach all courses in Financial Mathematics / Stochastics of the Bachelor-/Master Program in Mathematics and Financial Mathematics. Prerequisites for this position are a university degree, teaching skills at university level and an aptitude for an academic career, usually evidenced by the excellent quality of a doctoral degree. If the applicant was employed as a research assistant either before or after obtaining the doctoral degree, the entire duration of the period of employment and of the doctoral degree should not exceed six years. The position is a fixed-term professorship for the duration of three years. Pending a positive evaluation, the position may be extended by another period of three years. A conversion to an indefinite position (tenure track) is not possible. LMU Munich makes a point of providing newly appointed professors with various types of support, such as welcoming services and assistance for dual career couples. LMU Munich is an equal opportunity employer. The University continues to be very successful in increasing the number of female faculty members and strongly encourages applications from female candidates. LMU Munich intends to enhance the diversity of its faculty members. Furthermore, disabled candidates with essentially equal qualifications will be given preference. Please submit your application comprising a curriculum vitae, documentation of academic degrees and certificates as well as a list of publications under the keyword ?math9? to the Dean of the Faculty of Mathematics, Informatics and Statistics, Prof. Dr. Andreas Rosenschon, Theresienstra?e 39, 80333 Munich, Germany, no later than April 21, 2016. Please mail the application also electronically to dekanat16(a)lmu.de as one pdf-file not greater than 10 MB. For further information you can contact Prof. Francesca Biagini, biagini(a)math.lmu.de.

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Fwd: Reminder 3rd Barcelona Summer School on Stochastic Analysis: A 2016 EMS Summer School
by Marco Romito 21 Mar '16

21 Mar '16

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Fwd: ETH Post-doc
by Giovanni Puccetti 21 Mar '16

21 Mar '16

Begin forwarded message: > > From: Embrechts Paul <paul.embrechts(a)math.ethz.ch> > Subject: ETH Post-doc > Date: 18 Mar 2016 14:36:37 CET > To: Embrechts Paul > > Dear colleagues, > I would be most grateful if you could bring the ETH Risk Center post doc position below to the attention of possible candidates. > Bruno Sudret and I are jointly involved in the supervision and am convinced that the project holds great promise. > The main theme is high-dimensional dependence modeling with engineering applications; for application details, see > > https://apply.refline.ch/845721/4353/pub/7/index.html > > Please feel free to pass on the announcement to other copula-loving colleagues! > Kind regards, > Paul. > PS Sorry for the possible double-mailing. >

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conference statistical mechanics Nantes, June 10
by Niccolo Torri 18 Mar '16

18 Mar '16

Dear Colleagues, This is the first announcement for the conference on: MODELISATION PROBABILISTE DU COMPORTEMENT DE GRANDS SYSTEMES PHYSIQUES which will be held on Friday, June 10, 2016, in Nantes. The conference will focus on statistical mechanics and the speakers will present some of their most recent contributions to various topics as Polymer models, Random walk in Random environment, Dimer Models, Random Graph. The conference is hosted by the Cité Internationale des Congrés as part of the Journées Scientifiques de l'Université de Nantes. Confirmed speakers : Frank den Hollander, Poquet Christophe, Benoît Laslier, Laurent Tournier, Paolo Milanesi A detailed program is available here: http://www.math.sciences.univ-nantes.fr/~torri/JS_NANTES_Proba.pdf The conference is free and open to all, but the registration is *mandatory* (we have only a limited number of places: 30). Please use the on-line form http://inscriptions.js.univ-nantes.fr/?id=CL09 For further informations http://www.math.sciences.univ-nantes.fr/~torri/JS_Nantes.html Nicolas Pétrélis, Niccolò Torri, Philippe Carmona

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de Finetti risk seminar - April 2016
by Emanuela Rosazza 18 Mar '16

18 Mar '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Curtis Lee Smith Idaho National Laboratory Title to be announced LOCATION: The seminar will be held on Wednesday, April 6, 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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Corso di Storia della Probabilità a Pavia
by Antonio Lijoi 17 Mar '16

17 Mar '16

Nell'ambito delle attivita' del Dottorato di Ricerca in Matematica (Universita' di Pavia - Universita' di Milano Bicocca - INdAM), il prof. Eugenio Regazzini terra' il corso ** History of Probability in the First Half of XX Century ** Le lezioni (30 ore complessive) si terranno presso il Dipartimento di Matematica "F. Casorati" dell'Universita' di Pavia, ogni giovedi' e venerdi' dalle 10:00 alle 13:00, a partire dal 14 aprile. Per ulteriori informazioni e' possibile contattare il docente via email: eugenio.regazzini(a)unipv.it ** Descrizione del corso ** The first half of the last century has been a formidable period for the development of probability and its applications. In point of fact, during its course a number of open problems found a definitive answer and, at the same time, sound bases towards new important achievements were established. The method adopted in the present course in order to illustrate the advance of probability consists in analyzing the most original and streamlined lines of reasoning to prove a certain number of theorems generally seen as determining the magnificence of modern probability. Since the aforesaid progress has been made possible even by the axiomatization of probability, the first part of the course will be devoted to this subject, drawing particular attention to the foundational work of A. N. Kolmogorov (1933) and B. de Finetti (1931). The second part will deal with distinguished versions of the strong law of large number, starting from E. Borel (1909) and F.P. Cantelli (1917), to get at the general formulation from the Soviet School (Kolmogorov, A. Khinchin, etc.). In the case of stochastic independence, their extensions to exchangeable random elements (de Finetti), and more general stationary sequences (ergodic theorem of von Neumann and Birkhoff) will be displayed and discussed. In this very same part, the role played by stable and infinitely divisible laws to solve the central limit problem (P. Lévy, Khinchin, W. Doeblin, B. Gnedenko) will be emphasized. The last part will be devoted to the birth of the theory of stochastic processes, starting from the works of Kolmogorov (1929) on Markov processes, de Finetti (1929 -1933) and Lévy (1934-1935) on random functions with independent increments, Lévy (1935-1937) and J. Doob (1940) on martingales. This last part will end with an outline to the methods devised in the fifties to study convergence in law of stochastic processes.

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Assistant position, TU Graz, Austria
by Fabio Zucca 12 Mar '16

12 Mar '16

Cari tutti, ricevo e volentieri inoltro, scusandomi in anticipo con chi l'avesse per caso già ricevuto. Fabio Zucca --------------------------------- Open position - Assistant Professor with PhD for 6 years Graz University of Technology Institute of Discrete Mathematics Working Group Structure Theory and Stochastics Starting date: October 1st 2016. Requirements: PhD or equivalent university degree in Mathematics or Technical Mathematics, awarded before the beginning of the engagement. Desired qualifications: scientific work in the fields of Stochastic Processes (random walks), Graph Theory, Geometric Group Theory, possibly combining those topics. Readiness to collaborate in research projects in these areas. Teaching duties of at least 4 hours per week per semester, in particular for Mathematics in the Engineering sciences, in German (!). Deadline for applications: May 31, 2016. For details regarding position and applications, see http://www.math.tu-graz.ac.at/~woess/position Graz, March 2016, Wolfgang Woess _______________________________________________

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Half day in stochastic processes and mathematical finance
by Tiziano Vargiolu 11 Mar '16

11 Mar '16

It is a pleasure to announce that on March, 14 in Room 2BC/30 of the Department of Mathematics at the University of Padova (via Trieste, 63) there will be two seminars and the discussion of a PhD thesis. The plan of the morning is as follows: 10am Prof. Carlo Sgarra (Politecnico di Milano): "American options valuation in stochastic volatility models with transaction costs" (joint with A. Cosso and D. Marazzina) 11am Prof Fausto Gozzi (LUISS Roma): "HJB equations for stochastic control problems with delay in the control: regularity and feedback controls" (joint with Federica Masiero) 12am Dr Matteo Basei will defense his PhD thesis titled "Topics in stochastic control and differential game theory, with application to mathematical finance" Here below the abstracts of the presentations. ABSTRACT SGARRA In the present paper we analyze the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall show that it can be formulated as a singular stochastic optimal control problem, proving the existence and uniqueness of the viscosity solution for the associated Hamilton-Jacobi-Bellman partial differential equation. Moreover, after performing a dimensionality reduction through a suitable choice of the Utility Function, we shall provide a numerical example illustrating how American options prices can be computed in the present modeling framework. ABSTRACT GOZZI Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the associated Hamilton-Jacobi-Bellman (HJB) equation. Indeed, even in the simplified setting (introduced first by Vinter and Kwong [44] for the deterministic case) the HJB equation is an infinite dimensional second order semilinear Partial Differential Equation (PDE) that does not satisfy the so-called "structure condition" which substantially means that "the noise enters the system with the control". The absence of such condition, together with the lack of smoothing properties which is a common feature of problems with delay, prevents the use of the known techniques (based on Backward Stochastic Differential Equations (BSDEs) or on the smoothing properties of the linear part) to prove the existence of regular solutions of this HJB equation and so no results on this direction have been proved till now. In this paper we provide a result on existence of regular solutions of such kind of HJB equations and we use it to solve completely the corresponding control problem finding optimal feedback controls also in the more difficult case of pointwise delay. The main tool used is a partial smoothing property that we prove for the transition semigroup associated to the uncontrolled problem. Such results hold for a specific class of equations and data which arises naturally in many applied problems. ABSTRACT BASEI: We consider three problems in stochastic control and differential game theory, arising from practical situations in mathematical finance and energy markets. First, we address the problem of optimally exercising swing contracts in energy markets. Our main result consists in characterizing the value function as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation. The case of contracts with penalties is straightforward. Conversely, the case of contracts with strict constraints gives rise to stochastic control problems where a non-standard integral constraint is present: we get the anticipated characterization by considering a suitable sequence of unconstrained problems. The approximation result is proved for a general class of problems with an integral constraint on the controls. Then, we consider a retailer who has to decide when and how to intervene and adjust the price of the energy he sells, in order to maximize his earnings. The intervention costs can be either fixed or depending on the market share. In the first case, we get a standard impulsive control problem and we characterize the value function and the optimal price policy. In the second case, classical theory cannot be applied, due to the singularities of the penalty function; we then outline an approximation argument and we finally consider stronger conditions on the controls to characterize the optimal policy. Finally, we focus on a general class of non-zero-sum stochastic differential games with impulse controls. After defining a rigorous framework for such problems, we prove a verification theorem: if a couple of functions is regular enough and satisfies a suitable system of quasi-variational inequalities, it coincides with the value functions of the problem and a characterization of the Nash equilibria is possible. We conclude by a detailed example: we investigate the existence of equilibria in the case where two countries, with different goals, can affect the exchange rate between the corresponding currencies. Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Prof. Nils Hjort PhD short course on Confidence distributions
by Andrea Ongaro 10 Mar '16

10 Mar '16

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seminar announcement
by Marco Scarsini 10 Mar '16

10 Mar '16

SEMINAR IN DECISION SCIENCES DEPARTMENT OF ECONOMICS AND FINANCE March 15th from 14:30 to 15:30 in room 204 LUISS Viale Romania 32 00197 Roma (note the change of time and room) Title of the talk: Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach Speaker: Peter Tankov (Universite Paris Diderot -- Paris 7) Abstract We consider the problem of tracking a target whose dynamics is modeled by a continuous Ito semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the time-average control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided. Joint work with Jiatu Cai and Mathieu Resenbaum paper available at http://arxiv.org/abs/1510.04295 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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PhD positions in Probability at the University of Sussex, UK
by Enrico Scalas 08 Mar '16

08 Mar '16

Car* collegh*, al Sussex abbiamo due posizioni di dottorato per probabilist* piu' una serie di altre posizioni disponibili. Il link qui sotto dovrebbe condurre a una pagina dove tutte le posizioni sono descritte. http://www.sussex.ac.uk/study/pg/fees-and-scholarships/pgr2016/search?sent=… Vi prego di far circolare l'informazione tra gli studenti e le studentesse potenzialmente interessate. Cordiali saluti e a presto, Enrico Scalas

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de Finetti risk seminar - March 2016
by Emanuela Rosazza 08 Mar '16

08 Mar '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture TITLE: Set-valued portfolios and set-valued risks Ilya Molchanov University of Bern, Switzerland ABSTRACT: Using the concept of set-valued portfolios, it is possible to incorporate dependencies between the distribution of the multivariate gain and the exchange rules. The set-valued portfolio is considered acceptable if it possesses a selection (i.e. a random vector that alsmost surely belongs to it) with all individually acceptable components. The corresponding set-valued risk measure is said to be a selection risk measure. The talk surveys its main properties, discusses the primal and dual representation, gives examples, and shows how to approximate its values from below and from above using rather elementary arguments. Applications of selection risk measures to the practical risk assessment are also presented. A special attention is paid to applications of selection risk measures to risk assessment of financial groups. Joint work with I. Cascos (Madrid), A. Haier (Bern), M. Schmutz (Bern). LOCATION: The seminar will be held on Wednesday, March 16, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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1 posto di RTD di tipo a) del s.s.d. SECS-S/06 presso la Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 08 Mar '16

08 Mar '16

La Scuola Normale Superiore ha bandito un posto di RTD di tipo a nel ssd SECS-S/06 Le informazioni, il bando e il modello della domanda si trovano al link http://www.sns.it/bando/ricercatore -tempo-determinato-secs-s06-metodi-matematici-dell%E2%80%99economia-e-delle-scienze-attuariali-e-finanziarie-0 Il termine di scadenza delle domande è il prossimo 31 marzo 2016. 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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Annuncio Seminario - Hashorva - Tor Vergata
by Valentina Cammarota 08 Mar '16

08 Mar '16

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Mercoledì 16 marzo ore 14:30 Aula Dal Passo Dipartimento di Matematica Università di Roma Tor Vergata Speaker: ENKELEJD HASHORVA, Université de Lausanne Title: Extremes of Gaussian random fields. Abstract: This talk is concerned with tail asymptotics of supremum of Gaussian random fields. Our findings extend the classical results for homogeneous Gaussian random fields and Gaussian random fields with unique maximum point of the variance. The applications that will be discussed include extremes of Shepp statistics, expansions for the tail probability of maximum loss and span of stationary Gaussian processes. Tutti gli interessati sono invitati a partecipare. . Valentina Cammarota Department of Mathematics Universita` degli Studi di Roma Tor Vergata http://www.mat.uniroma2.it/english.php https://sites.google.com/site/valentinacammarota/

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seminar March 8 -- Brunero Liseo
by Marco Scarsini 06 Mar '16

06 Mar '16

SEMINAR IN DECISION SCIENCES DEPARTMENT OF ECONOMICS AND FINANCE LUISS Viale Romania 32 00197 Roma Title of the talk: A general theory for Bayesian inference with linked and duplicated data Speaker: Brunero Liseo (Sapienza Università di Roma) on March 8th from 12:00 to 13:00 in room 207 Abstract Record linkage is a statistical method which aims at identifying whether two or more records refer to the same statistical entity or not. Duplications of the same entity within one single source or across different files may be interpreted as “clusters of records”, showing strong similarities across their fields. In this paper we frame the record linkage process into a formal Bayesian clustering model and we investigate the role of species sampling models as prior distributions for the clustering structure. In fact the different latent entities underlying one or more data sources can be treated as the sampled species and the observed records as noisy measurements of their features. We also discuss an important issue in the clustering approach to entity resolution, that is the need to bound the clusters sizes even for large data sets. The proposed statistical models will be used both in a classical record linkage scenario and in the more complex framework of multiple duplications on the same data source and will serve as supporting models for Bayesian regression analyses with linked data. Key words: Species Sampling, Latent structure, Hit and Miss Algorithm, Clustering. References 1. Tancredi, A. and Liseo, B. (2015) Regression Analysis with linked data: Problems and possible solutions. Statistica, 75,1:19–35. 2. Lahiri, P. and Larsen, M.D., (2005). Regression analysis with linked data. Journal of the American Statistical Association, 100, pp. 222–230. 3. Tancredi, A., Liseo, B. (2011) A Hierarchical Bayesian Approach to Record Linkage and Population Size Problems. The Annals of Applied Statistics, Vol. 5, No. 2B, 1553–1585. 4. R.C. Steorts, R. Hall & S. Fienberg. (2013). A Bayesian approach to graphical record linkage and de-duplication. Journal of the American Statistical Association, (In Press) preprint arXiv:1312.4645.

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ARPM Bootcamp 2016
by Elisa Appolloni 04 Mar '16

04 Mar '16

Registration for the ADVANCED RISK AND PORTFOLIO MANAGEMENT BOOTCAMP (15-21 August 2016 - New York University) is open! Topics include portfolio construction, factor modeling, liquidity and execution, estimation risk/data mining, risk modeling, optimization, and much more. The program is delivered as theory, live simulations, review sessions and exercises. Plus... - Gala dinner and other networking opportunities - Renowned guest speakers. Past speakers included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more - Internships - Access to the ARPM Lab, with code and theory - Certifications: 40 GARP CPD, 40 CFA Institute CE credits, academic credit, ARPM Certificate® - 2-day Python and MATLAB conferences Discounts are available for early registration (before May 1st) and group. Contact us at arpm(a)bootcamp.co for groups' rates and further information. Visit also our website www.arpm.co. Please help us spread the news by forwarding this message to your students and colleagues. Thank you Elisa Appolloni *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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workshop in Pisa on "Singular Phenomena and Singular Geometries"
by Marco Romito 04 Mar '16

04 Mar '16

Singular Phenomena and Singular Geometries ---------------------------------------------------- The purpose of this workshop is to investigate possible connections between Rough Paths theory and sub-Riemannian geometry, as theories dealing with non-smooth mathematical structures. It will bring together experts and young researchers from both sides, to share knowledge and confront new ideas, tools and problems. The workshop will consist in two mini-courses and several thematic seminars. The courses will introduce some general aspects of rough path theory and sub-elliptic geometry. The seminars will be more focused on recent advances in sub-Riemannian Geometry. Invited Speakers: I. Bailleul, D. Barilari, G. Citti, B. Franchi, M. Gubinelli, P. Hajlasz, C. Litterer , F. Montefalcone, R. Monti, A. Pinamonti, S. Riedel, F. Serra Cassano Date: Monday, Jun 20, 2016 -- Thursday, Jun 23, 2016 Place: Department of Mathematics, University of Pisa more information on the workshop: https://sites.google.com/site/spsgpisa2016/ the organizers, V. Magnani, M. Romito, D. Trevisan

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Fwd: ARPM Bootcamp 2016
by Francesco Cesarone 04 Mar '16

04 Mar '16

---------- Forwarded message ---------- From: Alberto Santangelo <alberto.santangelo(a)symmys.com> Date: 2016-03-03 13:49 GMT+01:00 Subject: ARPM Bootcamp 2016 To: Francesco Cesarone <francesco.cesarone(a)uniroma3.it> Cc: Zorica Ivanovic <zorica.ivanovic(a)arpm.co> Dear Francesco, Registration for the ARPM Bootcamp 2016 is open! Please help us spread the news by forwarding this message to your students and colleagues. Thank you! Best regards, Alberto *ARPM* <http://www.arpm.co/>* - Advanced Risk and Portfolio Management**®* *Advanced Risk and Portfolio Management Bootcamp* <http://www.arpm.co/bootcamp/> *6-day intensive quantitative course* *15-20 Aug 2016 - New York University* *Registration* <http://www.arpm.co/bootcamp/registration/> for the *ARPM Bootcamp* <http://www.arpm.co/bootcamp/> is open: *6 days, 9 hours/day *(+2 days conference). Topics include *portfolio construction*, *factor modeling*, *liquidity* and execution, *estimation risk*/data mining, *risk modeling*, optimization, and much more. The *program* <http://www.arpm.co/bootcamp/program/> is delivered as theory, live simulations, review sessions and exercises. Plus... • Gala dinner and other *networking* opportunities • Renowned *guest speakers*. Past speakers included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more • *Internships* • Access to the *ARPM Lab*, with code and theory • Certifications: *40 GARP* CPD, *40 CFA* Institute CE credits, academic credit, ARPM Certificate® • 2-day *Python* and *MATLAB* conferences *Program <http://www.arpm.co/bootcamp/program/>* | *Registration* <http://www.arpm.co/bootcamp/registration/> | *Video <https://www.youtube.com/watch?v=BUnrgjNxBWk> | Linkedin Forum <https://www.linkedin.com/groups/3825142> | Facebook <https://www.facebook.com/ARPM.co/> | Twitter <https://twitter.com/ARPM_co>* -- -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it <francesco.cesarone(a)uniroma1.it> Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/ <http://dipeco.uniroma3.it/docenti.asp?id=164>

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(Error correction) Deadline approaching: Workshop on Random Interacting Systems in Bath, UK
by Alexandre Stauffer 03 Mar '16

03 Mar '16

Sorry for the multiple postings. The deadline was wrong in the previous email. The registration deadline is 25th March. People at all stages of career are welcome to register. School and Workshop on Random Interacting Systems 19-24 June 2016, in Bath, U.K. http://people.bath.ac.uk/ados20/ris2016/ MINI-COURSES ============ Michael Damron (Georgia Institute of Technology) Geodesics in first-passage percolation Ron Peled (Tel Aviv University) The spin and loop O(n) models INVITED SPEAKERS ================ Krzysztof Burdzy (University of Washington) Manuel Cabezas (PUC Chile) Elisabetta Candellero (University of Warwick) Pietro Caputo (Roma Tre) Shirshendu Ganguly* (University of Washington) Jack Hanson (CCNY) Dmitry Ioffe (Technion) Elena Kosygina (Baruch College, CUNY) Fabio Martinelli (Roma Tre) Allan Sly* (UC Berkeley) Yinon Spinka (Tel Aviv University) Alain-Sol Sznitman (ETH Zurich) Vincent Tassion (Universite Geneve) Balint Toth (Bristol & TU Budapest) Daniel Ueltschi (University of Warwick) * = to be confirmed. There will be slots for a small number of contributed talks (with preference to PhD students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/ris2016/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

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Deadline approaching: Workshop on Random Interacting Systems in Bath, UK
by Alexandre Stauffer 03 Mar '16

03 Mar '16

The registration deadline is 25th May. People at all stages of career are welcome to register. School and Workshop on Random Interacting Systems 19-24 June 2016, in Bath, U.K. http://people.bath.ac.uk/ados20/ris2016/ MINI-COURSES ============ Michael Damron (Georgia Institute of Technology) Geodesics in first-passage percolation Ron Peled (Tel Aviv University) The spin and loop O(n) models INVITED SPEAKERS ================ Krzysztof Burdzy (University of Washington) Manuel Cabezas (PUC Chile) Elisabetta Candellero (University of Warwick) Pietro Caputo (Roma Tre) Shirshendu Ganguly* (University of Washington) Jack Hanson (CCNY) Dmitry Ioffe (Technion) Elena Kosygina (Baruch College, CUNY) Fabio Martinelli (Roma Tre) Allan Sly* (UC Berkeley) Yinon Spinka (Tel Aviv University) Alain-Sol Sznitman (ETH Zurich) Vincent Tassion (Universite Geneve) Balint Toth (Bristol & TU Budapest) Daniel Ueltschi (University of Warwick) * = to be confirmed. There will be slots for a small number of contributed talks (with preference to PhD students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/ris2016/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

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Information Geometry and its Applications IV (June 13-17, 2016 - Liblice Castle, Czech Republic)
by Paolo Gibilisco 03 Mar '16

03 Mar '16

Dear All, The fourth conference on Information Geometry and its Applications will be held on June 13-17, 2016, at Liblice Castle in Czech Republic. It is organized by the Institute of Information Theory and Automation of the Czech Academy of Sciences. The first three conferences took place in Pescara, Italy (IGAIA I, 2002 <http://www.sci.unich.it/convegni/2002/infgeo/>), Tokio, Japan ( IGAIA II, 2005 <http://www.stat.t.u-tokyo.ac.jp/~infogeo/index.html>), and Leipzig ( IGAIA III, 2010 <http://www.mis.mpg.de/de/veranstaltungen/konferenzen-und-workshops/2010/inf…>). The conference is financially supported by Max Planck Institute for Mathematics in the Sciences (Information Theory of Cognitive systems Group), Institute of Information Theory and Automation of Czech Academy of Sciences, and by the Department of Economics and Finance of Università degli Studi di Roma "Tor Vergata". The aim of the conference is to highlight recent developments within the field of information geometry and to identify new directions of research. To this end, the conference will bring together leading experts in the field. It will consist of invited talks and poster sessions representing theoretical work as well as work within one of the many application fields where information geometry plays a role. Here it is the website of the conference. http://igaia.utia.cz/ <http://igaia.utia.cz/> For further information contact Paolo Gibilisco at the following address: gibilisco(a)volterra.uniroma2.it <mailto:gibilisco@volterra.uniroma2.it> Best regards > Paolo Gibilisco

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Assegno di ricerca presso la Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 02 Mar '16

02 Mar '16

E' bandito un assegno di ricerca dal titolo "A NEW MEASURE OF LIQUIDITY" presso la Scuola Normale Superiore (Pisa). L'assegno è finanziato su un progetto SIR di cui è responsabile il Dott. Davide Pirino. Il bando in italiano ed inglese si trova all'url: http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-progetto-di -ricerca-miur-sir-2014-dal-titolo-%E2%80%9C-new-measure-liquidity%E2%80%9D- codice-rbsi14ddnn Per maggiori informazioni contattare il Dott. Pirino (davide.pirino(a)sns.it) ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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PhD in Financial Mathematics at the Scuola Normale Superiore (Pisa). Call 2016-2017
by Fabrizio Lillo 02 Mar '16

02 Mar '16

The call for applications to the 2016/2017 PhD program in Financial Mathematics at the Scuola Normale Superiore, Pisa, has been published on the web site phd.sns.it/en, and on the home page of the institutional web site of the Scuola (ww.sns.it). We are attaching with this letter an informative poster to distribute to your colleagues at other institutions. Should you need any further information, please address your request to Fabrizio Lillo (fabrizio.lillo(a)sns.it). Thank you very much in advance. -- Quantitative Finance Research Group Scuola Normale Superiore *http://mathfinance.sns.it/ <http://mathfinance.sns.it/>* ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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Fwd: Open Positions at the Wuhan Center for Mathematical Sciences
by Marco Romito 02 Mar '16

02 Mar '16

> Job ads: > https://www.mathjobs.org/jobs/jobs/7908

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Fwd: Lecturer position in the Strathclyde
by Marco Romito 02 Mar '16

02 Mar '16

Dear all, we are currently advertising a position in the department (see the attached advert and further particulars). It would be desirable to have somebody in stochastics, but the advert is open enough so anyone who has an interest in mathematical finance should be considered, even if it is not stochastics. If you know of anyone who could be suitable for this position, I would be most thankful if you could let him/her know! Thanks in advance, and best regards, Gabriel -- Gabriel R. Barrenechea Dept. of Mathematics and Statistics University of Strathclyde 26 Richmond Street Glasgow G1 1XH Scotland http://personal.strath.ac.uk/gabriel.barrenechea/About_Me.html Phone : (44)(141) 548 3652 Fax : (44)(141) 548 3345

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Fwd: Register for the Risk Measures, XVA Analysis, Cost of Capital & Central Counterparties Workshop, 18-19 April 2016, Singapore (fwd)
by Tiziano Vargiolu 02 Mar '16

02 Mar '16

----- Forwarded message from askcqf(a)nus.edu.sg ----- Date: Tue, 1 Mar 2016 08:41:28 +0000 From: AskCQF <askcqf(a)nus.edu.sg> Subject: Register for the Risk Measures, XVA Analysis, Cost of Capital & Central Counterparties Workshop, 18-19 April 2016, Singapore Dear Sir/Madam, The Centre for Quantitative Finance (CQF) cordially welcome you to join us for the Risk Measures, XVA Analysis, Cost of Capital & Central Counterparties Workshop, to be held on 18-19 April 2016, at the Standard Chartered Bank. Please click here to register online by 31 March 2016 to join us for the workshop.<http://cqf.nus.edu.sg/NUS_SJTU_Evry_Workshop/Registration.html> For more details, please visit us at http://cqf.nus.edu.sg/NUS_SJTU_Evry_Workshop/Overview.html or email us at askcqf(a)nus.edu.sg<mailto:askcqf@nus.edu.sg>. [cid:image003.jpg@01D173D9.3373CE60]<http://cqf.nus.edu.sg/NUS_SJTU_Evry_Workshop/Overview.html> To unsubscribe from our mailing list, please email us at askcqf(a)nus.edu.sg<mailto:askcqf@nus.edu.sg> with the word "unsubscribe" as the subject. Thank you. Thank you and we look forward to welcoming you to the event. Best Regards, YONG Xue Ting (Ms) :: Executive, Centre for Quantitative Finance c/o Department of Mathematics:: National University of Singapore :: Blk S16, #04-15, 6 Science Drive 2, Singapore 117546 :: askCQF(a)nus.edu.sg<mailto:askCQF@nus.edu.sg> (E) :: http://cqf.nus.edu.sg/ (W) :: Company Registration No: 200604346E Facebook.com/CQF.NUS<https://www.facebook.com/CQF.NUS> :: LinkedIn/CQF<https://www.linkedin.com/groups/Centre-Quantitative-Finance-NUS-6731082/abo…>

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Pubblicazione bando chiamata professore I fascia SECS-S/06 (fwd)
by Tiziano Vargiolu 02 Mar '16

02 Mar '16

---------- Forwarded message ---------- Date: Tue, 1 Mar 2016 22:13:37 +0100 From: Antonella Basso <basso(a)unive.it> Cari Soci AMASES, vi informo che ? stato pubblicato nella Gazzetta Ufficiale n. 17 del 1 marzo 2016, l'avviso di indizione della procedura selettiva per la copertura di n. 1 posto di professore universitario presso l'Universit? Ca' Foscari Venezia, Dipartimento di Economia, fascia degli ordinari, da coprire mediante chiamata ai sensi dell'art. 18, comma 1, L. 240/2010, settore concorsuale 13/D4 (Metodi matematici dell'economia e delle scienze attuariali e finanziarie), settore scientifico-disciplinare SECS-S/06. Il bando ? consultabile nelle pagine web dell'ateneo Ca' Foscari: http://intra.unive.it/plapps/bandi/common/showcat.pl?categoria=pdp1&descriz… nonch? su: http://bandi.miur.it/ http://ec.europa.eu/euraxess/index.cfm/jobs/index Cordiali saluti Antonella Basso -- Antonella Basso Dipartimento di Economia Universit? Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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Assegno di ricerca (fwd)
by Tiziano Vargiolu 02 Mar '16

02 Mar '16

---------- Forwarded message ---------- Date: Tue, 1 Mar 2016 19:04:00 +0100 From: Davide Erminio Pirino <davide.pirino(a)sns.it> To: vargiolu(a)math.unipd.it Subject: Assegno di ricerca Caro Tiziano, ti segnalo un assegno di ricerca presso la Normale finanziato su un progetto SIR di cui io sono il responsabile. Il bando in italiano ed inglese si trova all'url: http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-progetto-di -ricerca-miur-sir-2014-dal-titolo-%E2%80%9C-new-measure-liquidity%E2%80%9D- codice-rbsi14ddnn Mi faresti un grande piacere se potessi diffonderlo il pi? possibile. Grazie in anticipo per la disponibilit?. Un Saluto, Davide.

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Fwd: Saint-Flour 2016 - registration
by Francesco Caravenna 01 Mar '16

01 Mar '16

> Da: Saint-Flour Summer School <stflour(a)math.univ-bpclermont.fr> > Oggetto: Saint-Flour 2016 - registration > Data: 29 febbraio 2016 17:41:34 GMT+01:00 > A: saintflour(a)math.univ-bpclermont.fr > Rispondi a: Saint-Flour Summer School <stflour(a)math.univ-bpclermont.fr> > > SAINT-FLOUR 2016 - SECOND ANNOUNCEMENT > > Dear colleagues, > > Online registration is now open for the 46th Saint-Flour Probability Summer School (July 3-15) > > This year's lectures are: > > > Paul Bourgade (New York University): > > "Large random matrices, microscopic asymptotics" > > > Francis Comets (Universite Paris 7): > > "Directed polymers in random environments" > > > Scott Sheffield (Massachussets Institute of Technology) and > > Jason Miller (Cambridge University): > > "Universal randomness in 2D" > > > DEADLINE FOR REGISTRATION: APRIL 15 > > IMPORTANT: Registration MAY CLOSE BEFORE that date if the number of applications is too high. > We therefore recommend you not to wait too long. > > The registration forms as well as useful information about the school > can be found on the web pages: > > http://recherche.math.univ-bpclermont.fr/stflour/stflour-en.php (english) > http://recherche.math.univ-bpclermont.fr/stflour/index.php (french) > > Please forward the above information to anyone who might be interested. > > > Best regards, > > The organizing committee > > Christophe Bahadoran, Arnaud Guillin, Laurent Serlet > > stflour(a)math.univ-bpclermont.fr > > Laboratoire de Mathématiques CNRS UMR 6620 > Université Blaise Pascal (Clermont-Ferrand 2) > 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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Short Course 2016: "COPULAS FOR HYDROLOGY AND ENVIRONMENTAL SCIENCES"
by Gianfausto SALVADORI 01 Mar '16

01 Mar '16

**************** Dear Colleagues, all interested people (especially PhD and Post-doc students) are kindly invited to attend the following Short Course [details are given below]: "COPULAS FOR HYDROLOGY AND ENVIRONMENTAL SCIENCES" *** PLEASE CIRCULATE THIS MAIL TO ALL INTERESTED PEOPLE: *** the DEADLINE is getting closer and closer. THANKS. _______________________________________________________________ Short Course "COPULAS FOR HYDROLOGY AND ENVIRONMENTAL SCIENCES" @ "Centro Studi Alpino" of the University of Tuscia (Italy) Pieve Tesino (Italy), July 24-30, 2016 The Instructors are top scientists in the fields of Copulas and Environmental Applications. The international event is organized by the INTERNATIONAL COMMISSION ON STATISTICAL HYDROLOGY. For all participants, attendance certificates/credits will be provided. *** SCOPE *** The statistical modeling of natural events frequently involves the modeling of the joint distribution of several random phenomena. Copulas are mathematical objects that are particularly suitable for modeling the multivariate dependence between several continuous random variables, independently of their marginal distributions. This explains why they are more and more often used in hydrology and environmental sciences. With the development of powerful statistical software (such as the R statistical system), a multivariate analysis based on copulas appears increasingly feasible. This one-week short course will focus on the theory and statistical practice of copulas with applications to hydrological problems and related environmental issues. It will also contain an introduction to multivariate extreme-value theory from a copula perspective. Theoretical concepts will be illustrated through the analysis of real-world datasets using the R statistical system. *** VENUE *** "Centro Studi Alpino" of the University of Tuscia (Italy) Pieve Tesino (Italy), July 24-30, 2016 *** WEB SITE *** http://www.stahy.org/Events/2016CopulaShortCourse/tabid/120/Default.aspx ____________________________________________________ Gianfausto SALVADORI ____________________________________________________ Università del Salento Dipartimento di Matematica e Fisica "E. De Giorgi" Provinciale Lecce-Arnesano, P.O.Box 193 I-73100 Lecce (Italy) ____________________________________________________ PHONE: +39-0832-29 7584. FAX: +39-0832-29 7594 ____________________________________________________ E-MAIL: gianfausto.salvadori(a)unisalento.it http://www.unisalento.it/people/gianfausto.salvadori (OPEN) "Dependence Modeling" Editorial Board member http://www.degruyter.com/view/j/demo ____________________________________________________

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Annuncio Seminari - M. Gubinelli; M. Coghi.
by Marta Leocata 29 Feb '16

29 Feb '16

Cari tutti, Mercoledì 3 febbraio 2016, alle ore 11:30 presso l'aula Seminari del Dipartimento di Matematica dell'Università di Pisa, il professor Massimiliano Gubinelli (Institute of Applied Mathematics, University of Bonn) terrà un seminario dal titolo: "Weak universality of the stationary KPZ equation". Abstract: I will discuss a notion of solution for the KPZ equation which has been introduced by Jara and Gonçalves (2010) and later improved by Jara and myself (2013) and goes under the name of energy solutions. In a recent work in collaboration with Perkowski we have recently obtained a uniqueness results for energy solutions. Using energy solutions is possible to prove weak universality results for KPZ: namely that a wide class of one dimensional microscopic interacting particle models with weak asymmetry and in non-equilibrium stationary states have large scale fluctuations described by the KPZ equation. A seguire, nella stessa aula il dottor Michele Coghi (Scuola Normale Superiore) terrà un seminario dal titolo: "Mean field limit of interacting filaments and vector valued non linear PDEs". Abstract: Families of N interacting curves are considered, with long range, mean-field type, interaction. A family of curves defines a 1-current, concentrated on the curves, analog of the empirical measure of interacting point particles. This current is proved to converge, as N goes to infinity, to a mean field current, solution of a nonlinear, vector valued, partial differential equation. In the limit, each curve interacts with the mean field current and two different curves have an independence property if they are independent at time zero. This set-up is inspired from vortex filaments in turbulent fluids, although for technical reasons we have to restrict to smooth interaction, instead of the singular Biot-Savart kernel. All these results are based on a careful analysis of a nonlinear flow equation for 1-currents, its relation with the vector valued PDE and the continuous dependence on the initial conditions terrà un seminario dal titolo Tutti gli interessati sono invitati a partecipare.

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Posto di Professore di Statistica all'Universita' di Caen
by giuliano＠dm.unipi.it 26 Feb '16

26 Feb '16

Ricevo e inoltro. Cordiali saluti Rita Giuliano ********************************************************************** Un poste de professeur en 26ème section est mis au concours à l'université de Caen avec comme intitulé Statistique et interactions. https://www.galaxie.enseignementsup-recherche.gouv.fr/ensup/ListesPostesPub… L'objectif de ce recrutement est de renforcer et fédérer les activités existant actuellement autour de la statistique à Caen. La volonté du laboratoire à moyen terme est de développer cette thématique, en particulier en recrutant par la suite autour du nouveau professeur. Toutes les candidatures relevant de la statistique et de ses interactions (info-stats., fouille de données, apprentissage, biostats., probabilités appliquéesŠ) seront considérées. La personne recrutée donnera, entre autres, des cours de statistiques théoriques et appliquées en licence et master, en particulier dans la filière MIASHS. Elle devra s'investir dans la vie du laboratoire et assumer pleinement les responsabilités attendues d'un professeur. Contacts : Mohamed Didi Biha : mohamed.didi-biha(a)unicaen.fr Gilbert Levitt : gilbert.levitt(a)unicaen.fr

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Seminario di Silvia Zuffi presso IMATI-Milano
by Antonella Bodini 25 Feb '16

25 Feb '16

Mercoledi' 2 marzo alle ore 11 presso la sala A dell'Area di Ricerca 1 di Milano, via Corti 12, la Dottoressa Silvia Zuffi (ITC-CNR) terra' il seguente seminario: TITOLO: MAP Inference in Probabilistic Graphical Models ABSTRACT: Molti problemi di interesse scientifico ammettono una rappresentazione mediante modelli probabilistici in cui la probabilita’ congiunta delle variabili aleatorie puo’ essere rappresentata mediante un modello grafico. Tali rappresentazioni sono vantaggiose sia in fase di apprendimento del modello che in fase di inferenza delle variabili date le osservazioni. Metodi di computazione distribuita come l’algoritmo Belief Propagation sono efficacemente applicati in modelli a variabili discrete o che ammettono una discretizzazione dello spazio delle variabili. In caso di problemi ad alta dimensionalita’ e/o con variabili continue, dove una discretizzazione dello spazio non e’ computazionalmente affrontabile, un approccio comune e’ ricorrere a metodi non parametrici, ed eseguire una stima della soluzione a posteriori piu’ probabile. Per problemi ad alta dimensionalita’ tali algoritmi sono dipendenti dall’inizializzazione e possono convergere a singoli massimi locali. Nella presentazione illustrero’ un algoritmo per inferenza della soluzione MAP (maximum-a-posteriori) in modelli grafici probabilistici ad alta dimensionalita’, detto “Diverse Particle Max Product” (DPMP). DPMP a differenza di formulazioni precedenti e’ meno sensibile all’inizializzazione ed in grado di mantenere molteplici ipotesi. (Collaboratori: Jason Pacheco ed Erik Sudderth, Brown University e Michael J. Black, MPI-IS Tuebingen) Tutti gli interessati sono invitati a partecipare. 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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Copulas for hydrology and environmental sciences
by Giovanni Puccetti 25 Feb '16

25 Feb '16

July 24-30, 2016 University of Tuscia - Centro Studi Alpino - Pieve Tesino (TN), Italy Short Course "Copulas for hydrology and environmental sciences" website: http://www.stahy.org/Events/2016CopulaShortCourse/tabid/120/Default.aspx <http://www.stahy.org/Events/2016CopulaShortCourse/tabid/120/Default.aspx> Application deadline: February 27, 2016

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 23 Feb '16

23 Feb '16

15^th INTERNATIONAL CONFERENCE CREDIT 2016 */New CREDIT SOLUTIONS for THE REAL ECONOMY and their IMPLICATIONS for INVESTORS, FINANCIAL STABILITY and POLICY DESIGN / *Venice, Italy 6 - 7 October 2016 *GRETA Associati *(Venice, Italy), *Research Center SAFE *at Goethe University Frankfurt (Frankfurt, Germany), the *European Investment Fund *(Luxembourg) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on October 6-7, 2016. 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 *fifteenth* of a series dedicated to various aspects of credit risk. The banking industry has traditionally been shaped by the interplay between innovations and regulatory trends. The global and sovereign-debt crisis we have observed from 2007 and the harsher regulatory reaction have impacted on banks capacity and willingness to direct financial flows to the real economy in appropriate amounts. The result has been an extremely feeble, and slow creditless recovery, that not even the pursuit of a historically low interest-rate monetary policy and QE appear so far capable of influencing. The markets reaction to this state of affairs has been to develop alternative or complementary ways to commercial banking to channel funds where needed, that is to households, firms and infrastructure projects. Examples are (i) alternative financing solutions: mini-bonds, SME guarantees, Start-up and Venture Capital/Private Equity, Business Angel financing, payment-by-result bonds, securitization, microfinance and (ii) Digital finance like P2P lending and crowdfunding, The European Commissions with the Capital Market Union project plan to foster the diversification of funding sources for enterprises, in particular SMEs. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * How alternative and digital financing interplay with the standard funding channels? * Are alternative financing and financial innovations socially useful and valuable in solving the problem of supplying quality resources to the most vulnerable, financially deprived (e.g. households; start-ups; young entrepreneurs) and growth-enhancing (e.g. SMEs; infrastructures) sectors of the economy, thereby supporting social inclusion, sustainable growth and employment? * Do alternative and digital financial products and credit innovations offer an attractive risk/reward trade-off to potential investors, be consistent with their ALM requirements, yield expectations, risk appetite and wealth preserving objectives. * What should be the role of the public sector in promoting the emergence and development of alternative financing channels for the real economy? * What is the role of innovative monetary policies (QE) in promoting these alternative and digital financing channels for the real economy? * Do alternative and digital financing channels pose the same or bigger potential threats to financial stability? Should they be covered by adequate supervisory frameworks, or else justifiably expect a more lenient treatment? The Scientific Committee for the Conference consists of: *Loriana Pelizzon *(Ca Foscari University of Venice, SAFE, Goethe University Frankfurt & GRETA,**Programme Chair) *Francesca Campolongo *(JRC Unit Financial and Economic Analysis) *Marco Da Rin *(Tilburg University) *Helmut Kraemer-Eis *(Head EIFs Research & Market Analysis) *Jan Peter Krahnen *(SAFE & Goethe University Frankfurt) *Adair Morse *(Haas School of Business, University of California at Berkeley) *Steven Ongena *(University of Zurich, SFI & CEPR) *Steven Schaefer *(London Business School) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received from invited speakers include *Franklin Allen *(Brevan Howard Centre, Imperial College London), *Thomas Hellman *(Oxford Said Business School) and *Adair Morse *(Haas School of Business, University of California at Berkeley). 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 15, 2016 *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 15, 2016*. The final version of accepted papers must be received by August 31, 2016. 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 <file:///mailto:credit@greta.it> Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (EIF, Luxembourg) and *Domenico Sartore* (Ca Foscari University of Venice & GRETA) IMPORTANT DATES May 15, 2016: Papers submission deadline July 15, 2016: Paper acceptance notification August 31, 2016: Deadline for early registration August 31, 2016: Deadline for sending final version of accepted papers More detailed information available on the Conference website: http://www.greta.it/credit/credit2016/credit2016.htm <file:///http://www.greta.it/credit/credit2016/credit2016.htm> <http://www.greta.it/credit/credit2015/credit2015.htm>

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Seminario FRANCO FLANDOLI @ UniTo
by Federico Polito 23 Feb '16

23 Feb '16

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* giovedì 3 Marzo 2016 alle ore 15:00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. FRANCO FLANDOLI (Dipartimento di Matematica, Università di Pisa) terrà un seminario dal titolo "Commenti teorici ed applicativi su sistemi di particelle e loro limiti al continuo in oncologia matematica e clinica" Sommario: Un problema importante di oncologia clinica consiste nella scelta tra numerosi regimi chemioterapici. Un primo modello matematico che verrà mostrato nel seminario, modello molto semplificato e basato su semplici equazioni differenziali e processi a salto, può essere un prototipo di simulatore dell'efficacia di alcuni regimi. Tra gli altri, due problemi che sorgono in tali modelli semplificati sono la giustificazione delle equazioni usate e la caratterizzazione, magari con incertezza, delle costanti. Il seminario mostrerà allora alcuni ragionamenti che collegano il modello semplificato a modelli più complessi a scala cellulare, creando un ponte tra diverse costanti dei due modelli. Infine, tra gli innumerevoli problemi di rigore matematico originati da questi collegamenti, ne verrà affrontato uno. Esso riguarda la dimostrazione rigorosa che un certo meccanismo proliferativo a scala cellulare origini un determinato termine nonlineare a livello di una classe di equazioni alle derivate parziali che, sempre entro ampi limiti di approssimazione, possono essere utilizzate per descrivere l'evoluzione spazio-temporale di una densità di cellule proliferanti. 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 6702937 Web: www.federicopolito.it

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COST Info day - Roma, 4 marzo 2016
by Giulia Rotundo 23 Feb '16

23 Feb '16

Cari utenti Random, segnalo il programma provvisorio del COST Info Day previsto presso il MIUR- via dei Carcani 61, Roma, per il 4 marzo p.v. Tutti gli interessati possono registrarsi utilizzando il Doodle (massimo 80 posti per via della capienza della sala) http://doodle.com/poll/pm5hgp7r4m8fwwgs37v6fyq4/admin#table Cordialmente Giulia Programma provvisorio: 9.30 welcome – Presentation of speakers/agenda - Dr Uccellatore 10.00 What is COST and how does it work? (President of the COST Association) 10.30 What are the COST Actions and how to participate in them? (Dr Lucia Forzi – Science Officer CA) 11.00 How to prepare a successful proposal? (Dr Lucia Forzi - Science Officer CA) 11.30 What is the added value and impact of participating in COST Actions? (Prof. Corona and Dalla Cort) 12.00 National participation in COST Actions, national support measures and nomination procedures (TBD - CNC) 12:15 Question time COST National Coordinator Office Ministero dell'Istruzione, Università e Ricerca DG Coordinamento, promozione e valorizzazione della ricerca Dipartimento per la Formazione Superiore e per la Ricerca Via Carcani n. 61 00153,Roma e-mail: cnc(a)miur.ittel. 06 9772 7549

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Alberto Bressan seminar [ Comp.Science Dept. ; Verona University ; 7th of March, 2016 ]
by Luca di persio 23 Feb '16

23 Feb '16

Prof. Alberto Bressan [ The Pennsylvania State University ], will be hosted by the Computer Science Department of the University of Verona (Strada le Grazie, 15, Verona) the next 7th of March (2016), where he will give the following seminar *Non cooperative Differential Games * scheduled at the *Green Hall*, *starting from 15:45*, with the following *abstract* The theory of noncooperative games provides a mathematical tool to describe interactions between two or more agents with different goals. It has found widespread applications in economics and management science. The first part of this talk will review the basic definitions of Nash and Stackelberg solutions, based on the concept of "best reply". For games in continuous time, equilibrium solutions can be found by studying a particular system of Partial Differential Equations. Within the talk, I shall explain how to derive these PDEs, and what are the main difficulties toward their solution. Some current research directions will be discussed, together with applications. As an example, I shall present a model of optimal debt management, viewed as a noncooperative game between a borrower and a pool of lenders. *Here you can find more details*: http://www.di.univr.it/?ent=seminario&af=2017&ai=2015&gf=15&gi=15&id=3515&i… Do not hesitate to contact me for further infos: luca.dipersio(a)univr.it Best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686 Questa e-mail è stata inviata da un computer privo di virus protetto da Avast. www.avast.com <https://www.avast.com/sig-email> <#DDB4FAA8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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Mini course Yuri Kondratiev [ Dept. Comp.Science ; Verona University ; 1-8 March, 2016 ]
by Luca di persio 23 Feb '16

23 Feb '16

Within the Internationalisation programme of the Master Degree in Mathematics of the University of Verona, Prof. Yuri Kondratiev [ University of Bielefeld ] will give the mini course ” *Statistical dynamics of interacting particle systems* “ with the following *Syllabus* 1. Mathematical framework: configuration space analysis 2. Markov dynamics in the continuum 3. Statistical dynamics and hierarchical chains 4. General birth-and-death models 5. Special classes of birth-and-death processes in the continuum 6. Scaling limits and kinetic equations 7. Spatial logistic model The course consists of 5 lessons that will be held at the Computer Science Department of the University of Verona [ Strada le Grazie 15 - Verona ], according with the following calendar - 1st of March [ Room M, 14:30-16:30 ] - 2nd of March [ Room M, 16:30-19:30 ] - 3rd of March [ Room M, 15:30-18:30 ] - 7th of March [ Room M, 14:30-17:30] - 8th of March [ Room D, 14:30-1730 ] Do not hesitate to contact me for further details: luca.dipersio(a)univr.it Best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686 Questa e-mail è stata inviata da un computer privo di virus protetto da Avast. www.avast.com <https://www.avast.com/sig-email> <#DDB4FAA8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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Riapertura termini bando assegno ricerca "Previsori di instabilità dei mercati finanziari" Firenze
by cecilia mancini 19 Feb '16

19 Feb '16

Sono stati riaperti i termini per inviare la domanda per la partecipazione alla selezione per l'assegno di ricerca "Previsori di instabilità dei mercati finanziari": nel nuovo bando * scadenza 26 febbraio * esplicitata la possibilità di inviare la domanda via PEC, purché PEC personale * eliminata la richiesta di invio di progetto di 7000 parole http://titulus.unifi.it/albo/viewer?view=files%2F002125606-UNFICLE-06cd9b68… Il 03/02/2016 18.46, cecilia mancini ha scritto: > Il Dipartimento di Scienze per l'Economia e per l'Impresa > dell'Università di Firenze ha appena bandito una selezione per > l'ottenimento di un assegno di ricerca, > settore SECS-S/06 > > Titolo: > Previsori di instabilità dei mercati finanziari > > Responsabile Scientifico: Prof. Cecilia Mancini > > scadenza: 19/02/2016 > > link diretto al bando > http://titulus.unifi.it/albo/viewer?view=files%2F002112640-UNFICLE-141ea01b… > > > Per raggiungere l'albo ufficiale dell'ateneo di Firenze: > http://www.unifi.it/vp-9008-albo-ufficiale.html >

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Seminario Dariusz Zawisza 23 febbraio
by Tiziano Vargiolu 19 Feb '16

19 Feb '16

Martedi' 23 febbraio alle 14.00 in aula 2AB/45 del Dipartimento di Matematica, via Trieste 63, Padova Dariusz Zawisza Institute of Mathematics Jagiellonian University in Krakow terra' un seminario dal titolo: "Discounted reward control problems and financial applications" ABSTRACT We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a smooth classical solution to the corresponding HJB equation. Moreover, some verification reasoning are provided and the possible extension to dynamic games is discussed. At the end consumption - investment problem is considered together with its robust optimization analogue.

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Piano straordinario RTD-B (fwd)
by Tiziano Vargiolu 19 Feb '16

19 Feb '16

Carissimi, per chi non sapesse ancora... Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu -------------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Fri, 19 Feb 2016 00:33:04 +0100 From: Antonella Basso <basso(a)unive.it> To: Soci AMASES <amases-soci(a)listserv.unive.it> Subject: [amases-soci] Piano straordinario RTD-B Cari Soci AMASES, al seguente link: http://attiministeriali.miur.it/anno-2016/febbraio/dm-18022016.aspx trovate il Decreto Ministeriale 18 febbraio 2016 n. 78 riguardante il Piano straordinario 2016 per il reclutamento ricercatori di cui all?articolo 24, comma 3, lettera b) della legge 240/2010 (i cosiddetti ricercatori a tempo determinato lettera B). Cordiali saluti Antonella Basso -- Antonella Basso Dipartimento di Economia Universit? Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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AP@R international workshop
by Antonio Di Crescenzo 19 Feb '16

19 Feb '16

> >From: Joshua Vincent Ross <joshua.ross(a)adelaide.edu.au> >To: Joshua Vincent Ross <joshua.ross(a)adelaide.edu.au> >Subject: AP@R international workshop > > >Dear Colleague, > >Applied Probability @ The Rock (AP@R) is an >international workshop taking place at Ayers >Rock Resort in central Australia between Monday >17th and Friday 21st April, 2017. It will bring >together leading researchers from around the >world to share recent discoveries and begin new >collaborations. It will also provide an >opportunity to celebrate the 60th birthday of >one of Australia's prominent Applied >Probabilists, Prof. Phil Pollett. > >The workshop aims to showcase the full range of >topics in Applied Probability, and includes >particular themes of "Networks in Queueing and >Telecommunications", "Stochastic Models in >Biology" and "Limits and Approximation". Invited >keynote speakers are Prof. Frank Kelly, Prof. >Ruth Williams, Prof. Andrew Barbour and Prof. >Erik van Doorn. > >For further information, please visit: ><http://www.maths.adelaide.edu.au/APatR/> >http://www.maths.adelaide.edu.au/APatR/. > >Best wishes, >Josh. >__ >Dr Joshua Ross >ARC Future Fellow & > Associate Professor in Applied Mathematics >The University of Adelaide ><http://www.maths.adelaide.edu.au/joshua.ross/>http://www.maths.adelaide.edu.au/joshua.ross/ --

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Seminario di Matematica Applicata - A. Torrente
by Alessandra Micheletti 18 Feb '16

18 Feb '16

Apologies for cross posting --------------------------------- SEMINARIO DI MATEMATICA APPLICATA Giovedi 25 Febbraio 2016, ore 10.30 Aula Rappresentanza, Dipartimento di Matematica (Via Saldini 50, Milano) Robust statistical techniques for the analysis of high dimensional gene expression data Dr. Aurora Torrente Gregorio Millan Institute Escuela Politecnica Superior Universidad Carlos III de Madrid ABSTRACT Microarray and Next Generation Sequencing experiments provide data on the expression level of thousands of genes simultaneously, suggesting several serious challenges in the pre-processing, management and analysis of these high dimensional datasets. In this talk, we will describe some robust statistical tools, based on the concept of functional data depth, which measures the centrality of a function within a sample. These techniques include, for example, the scale curve, as a way to visualise the dispersion of a set of multivariate observations, and supervised classifications techniques, to assign new observations to one of a given set of (known) groups. When these tools make use of the so-called Modified Band Depth, adapted to high-dimensional data, they prove to be very efficient and of low computational cost, specially when a suitable implementation is considered. The use of these techniques will be illustrated on real gene expression data. La S.V. e` cordialmente invitata. ----------------------------------------------------------------------- Home page del seminario: http://www.mat.unimi.it/users/veeser/sma/ Il seminario e` organizzato da: - Dipartimento di Matematica dell'Universita` di Milano, - Scuola di Dottorato in Scienze Matematiche. -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics Dept. of Mathematics Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 http://users.mat.unimi.it/users/michel <http://www.mat.unimi.it/users/michel>

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Seminario MARTA PITTAVINO @ UniTo
by Federico Polito 17 Feb '16

17 Feb '16

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Venerdì 4 Marzo 2016 alle ore 15:00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, La Dott.ssa MARTA PITTAVINO (University of Zurich) terrà un seminario dal titolo "Modelling multivariate data with additive Bayesian networks" Abstract: Bayesian networks are a form of graphical model which derives from empirical data a directed acyclic graph describing the dependency structure between random variables. Especially, additive Bayesian networks (ABNs) extend the usual generalized linear models to multiple dependent variables without involving dimension reduction. Existing software for working with ABNs are useful for dealing with these models for heterogeneous applications in systems epidemiology and biology. However, limitations in terms of computation and feasibility can be still open challenges. In this talk, an introduction to ABN model will be provided, together with a description of the R package abn, whereby applications of these models to systems epidemiology and biology are showed. Moreover, a theoretical development will be presented as an initial step to overcome open questions. Specifically, the result of fitting an ABN to a data set is translated into optimizing the likelihood of observing the data under the studied model: the marginal likelihood (ABN network score). A novel conjugate prior distribution for ABNs models is introduced that helps us to address the goodness of fit computation and the posterior parameter estimation. 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 6702937 Web: www.federicopolito.it

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