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seminario di Chaitanya Joshi all'IMATI-Milano
by Antonella Bodini 06 Sep '16

06 Sep '16

Gentili colleghi, domani, *mercoledi' 7 settembre, alle ore 15 *presso la sede di Milano dell'IMATI, via Corti 12 - sala A, *Chaitanya Joshi,* dall'Universita' di Waikato (Hamilton, Nuova Zelanda) terra' il seminario: * * *Improving grid based Bayesian inference* /Abstract/: In some cases, computational benefit can be gained by exploring the hyper parameter space using a deterministic set of grid points instead of a Markov chain. We view this as a numerical integration problem and make three unique contributions. First, we explore the space using low discrepancy point sets instead of a grid. This allows for accurate estimation of marginals of any shape at a much lower computational cost than a grid based approach and thus makes it possible to extend the computational benefit to a hyper parameter space with higher dimensionality (10 or more). Second, we propose a new, quick and easy method to estimate the marginal using a least squares polynomial and prove the conditions under which this polynomial will converge to the true marginal. Our results are valid for a wide range of point sets including grids, random points and low discrepancy points. Third, we show that further accuracy and efficiency can be gained by taking into consideration the functional decomposition of the integrand and illustrate how this can be done using anchored f-ANOVA on weighted spaces. 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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Seminario Christian Olivera a Pisa
by Marta Leocata 02 Sep '16

02 Sep '16

Cari tutti, mercoledì 7 Settembre alle ore 15:00 presso l'Aula Riunioni del Dipartimento di Matematica di Pisa, Dr. Christian Olivera (Univ. Campinas) terrà un seminario dal titolo: "Densities of solutions of SDEs with Singular Coefficients" Abstract: We consider a process given as the solution of a stochastic differential equation with unbounded and integrable drift and multiplicative noise. We study the the existence of the Lebesgue density of that process and upper gaussian estimation. The main tools are the Malliavin calculus and the Zvonkin’s transformation. The work is in collaboration with Ciprian Tudor. Saluti, Marta Leocata

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Phd Position in Stochastic Processes at Universität Paderborn (fwd)
by Michele Gianfelice 02 Sep '16

02 Sep '16

Salve, ricevo ed inoltro l'annuncio informale relativo alla posizione in oggetto. Deadline per inoltrare la domanda è il 16 c.m.. Per ulteriori informazioni contattare il Prof. Martin Kolb scrivendo all'indirizzo kolb(a)math.uni-paderborn.de . Cordialmente, m.gianfelice ---------- Forwarded message ---------- Date: Wed, 17 Aug 2016 09:47:23 +0200 From: Maria Infusino <infusino.maria(a)gmail.com> To: Michele Gianfelice <gianfelice(a)mat.unical.it> Subject: Phd Position in Stochastic Processes at Universität Paderborn Caro Michele, ....... Il professor Martin Kolb mi ha informato di avere una posizione di 4 anni per un dottorato di ricerca sotto la sua supervisione all' Universität Paderborn (Wissenschaftlicher Mitarbeiter , 75 % , 4 Jahre ). Giacché il campo di ricerca è processi stocastici, ho pensato che probabilmente tu conosci qualcuno che potrebbe avere interesse a fare domanda. La scadenza per fare domanda è il 16 settembre 2016 e l' interessato/a può direttamente contattare Martin via e-mail per ulteriori informazioni al seguente indirizzo : kolb(a)math.uni-paderborn.de Grazie e un abbraccio, Maria

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Seminario Martin Huesmann a Pisa
by Marta Leocata 02 Sep '16

02 Sep '16

Cari tutti, mercoledì 7 Settembre alle ore 14:00 presso l'Aula Riunioni del Dipartimento di Matematica di Pisa, Dr. Martin Huesmann (Univ. Bonn) terrà un seminario dal titolo: "Monotonicity preserving transformations for martingale optimal transport and the Skorokhod embedding problem" Abstract: There are many transformations mapping martingales into martingales,e.g. M_t -> M_t^2- <M>_t$. However, looking at solutions to the martingale optimal transport problem it turns out that there are only very few transformations that map optimal martingale couplings into optimal martingale couplings. After a short introduction to and review of the state of the art of martingale optimal transport we will give a characterization of all these monotonicity preserving transformations. In particular, these transformation reveal certain symmetries between different solutions to the martingale optimal transport problem. Moreover, we will show that the transport approach to Skorokhod embedding is a powerful tool to study martingale optimal transport and, in turn, that the new symmetries for martingale optimal transport disclose symmetries for solutions to the Skorokhod embedding problem. (based on joint work with Florian Stebegg) Saluti, Marta Leocata

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Fwd: Job openings at the Research Center for Statistics (Geneva School of Economics and Management)
by enea giuseppe bongiorno 01 Sep '16

01 Sep '16

Inoltro con preghiera di diffusione. Scusandomi per invii multipli. E.Bongiorno ---------- Forwarded message ---------- From: Eva Cantoni <Eva.Cantoni(a)unige.ch> Date: 2016-08-31 21:38 GMT+02:00 Subject: Job openings at the Research Center for Statistics (Geneva School of Economics and Management) To: Dear colleagues, (sorry for cross posting) we have an open position at the Assistant professor level in statistics. Please see the ad at: https://www.unige.ch/gsem/rcs/jobs/ May I ask you to distribute the information to potential candidates in your network ? Best wishes, Eva -- Prof. Eva Cantoni Research Center for Statistics and Geneva School of Economics and Management University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4 gsem.unige.ch/rcs/cantoni

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Assegno di ricerca presso la Scuola Normale Superiore, Pisa
by Fabrizio Lillo 01 Sep '16

01 Sep '16

The call for a two-year postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is Optimal execution and market impact models in financial markets The details of the call are at Italian *http://www.sns.it/bando/assegno-di-ricerca-denominato-%E2%80%9Cesecuzione-ottimale-e-modelli-di-market-impact-mercati-finanziari%E2%80%9D-la-collaborazione-al-progetto <http://www.sns.it/bando/assegno-di-ricerca-denominato-%E2%80%9Cesecuzione-o…>* English *http://en.sns.it/bando/research-contract-named-%E2%80%9Coptimal-execution-and-market-impact-models-financial-markets%E2%80%9D-part <http://en.sns.it/bando/research-contract-named-%E2%80%9Coptimal-execution-a…>* The deadline is September 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

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seminario
by Brunero Liseo 31 Aug '16

31 Aug '16

Avviso di Seminario When September 8th 2016, 14:30 Where Sapienza Università di Roma facoltà di Economia Aula Fanfani, V piano Viale del Castro Laurenziano, 9 Speaker *Federico Camerlenghi* Università Luigi Bocconi, Milano Titolo *Distribution theory for hierarchical processes with statistical applications* Abstract In Bayesian nonparametrics, a large amount of literature has been carried out under the assumption that observations are exchangeable. However in a large variety of applications this may appear too restrictive, a typical example is when data are generated by different experiments: even if these experiments may be related, they have some specific features that induce heterogeneity across observations. In such a situation data are usually divided into different groups, and a more appropriate assumption is partial exchangeability. In particular the construction of dependent random probability measures to deal with partially exchangeable observations has recently attracted great attention in Bayesian nonparametric literature. In this talk we define and investigate general classes of nonparametric priors, namely hierarchical models, based on transformations of completely random measures. We are able to study all the analytical properties, i.e. the random partition structure, the predictive distributions and the posterior characterization of the processes. Finally some relevant applications to species sampling problems and survival analysis will be discussed. (This is a joint work with A. Lijoi, P. Orbanz and I. Prunster.) -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *http://www.memotef.uniroma1.it/users/liseo-brunero <http://www.memotef.uniroma1.it/users/liseo-brunero>* =============================================

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seminario Steven Scott (Google) 2/9 in Bicocca
by fabio.bellini 30 Aug '16

30 Aug '16

Cari colleghi, vi segnalo che il giorno venerdì 2 settembre alle ore 17, presso la Aula Martini al piano interrato dell'edificio U6, Steven Scott, Director of Statistics Research at Google, terrà un seminario su Predicting the Present with Bayesian Structural Time Series This article describes a system for short term forecasting based on an ensemble prediction that averages over different combinations of predictors. The system combines a structural time series model for the target series with regression component capturing the contributions of contemporaneous search query data. A spike-and-slab prior on the regression coefficients induces sparsity, dramatically reducing the size of the regression problem. Our system averages over potential contributions from a very large set of models and gives easily digested reports of which coefficients are likely to be important. We illustrate with applications to initial claims for unemployment benefits and to retail sales. Although our exposition focuses on using search engine data to forecast economic time series, the underlying statistical methods can be applied to more general short term forecasting with large numbers of contemporaneous predictors (joint work with Hal Varian). L'evento è organizzato in collaborazione con Innovation Pub e sarà seguito da un piccolo rinfresco. Sarà inoltre possibile seguire lo streaming su http://streaming.unimib.it/.

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Third StaTalk on Computational Tools for Statistical Modelling.
by Clara Grazian 29 Aug '16

29 Aug '16

Dear all, we are pleased to announce that the third meeting of the *StaTalk* series will be held at *Facoltà di Economia di Sapienza Università di Roma *on *September 9, 2016*. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. StaTalks are endorsed by Y-SIS ( https://sites.google.com/site/youngsocietaitalianastatistica/) the young section of the Italian Statistical Society. The topic of the third StaTalk will be on *Computational Tools for Statistical Modelling*. We will present and discuss both standard and new computational methods which represents fundamental tools for new challenging applications, such as economic, finance, genetic and official statistics. *Programme* *09.30-10.00 *Opening *10.00-10.40 *Christian Macaro (SAS System) "*A mixture of heterogeneous models with time dependent weights*" *10.40-11.10* Coffee break *11.10-11.50* Clara Grazian (MEMOTEF Department) "*Modelling financial dependence through approximate Bayesian inference*" *11.50-12.30* Stefano Vaccari (MEMOTEF Department) "*Pricing in the Presence of Social Learning: Modelling Information Aggregation in a Competitive Market*" *12.30-14.30* Lunch break *14.30-15.10 *Andrea Tancredi (MEMOTEF Department) "*A Bayesian approach for de-duplication, record linkage and inference with linked data.*" *15.10-15.50 *Luca Tardella (Department of Statistical Science) "*Alternative approaches for approximating marginal likelihood.*" *15.50-16.30* Davide Di Cecco (ISTAT) "*Towards the use of administrative sources in official statistics: Some examples of methodologies for administrative multi source integration utilized at ISTAT.*" *16.30-17.00 *Closing Additional info can be found at the workshop page https://sites.google.com/site/youngsocietaitalianastatistica/events/statalk… or by writing to clara.grazian(a)uniroma1.it. REGISTRATION to the third StaTalk is now open. *No conference fees are due, but registration is mandatory*, using the form available on the website. Clara Grazian PhD in Statistics Research Fellow *Memotef* *Facoltà di Economia* *Sapienza Università di Roma* via del Castro Laurenziano 9, 00161, Roma

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Padova: call for interest for two positions at the level of Associate Professor
by Tiziano Vargiolu 25 Aug '16

25 Aug '16

Call for interest for two positions at the level of Associate Professor ============================================================= The Department of Mathematics of the University of Padova is seeking to fill two positions at the level of Associate Professor through direct appointment (Italian "chiamata diretta") or open competitive selection (Italian "concorso"). The call is open to scientists working in Mathematics or Computer Science. Candidates must be in possession of the Italian Scientific Qualification as Associate Professor ("abilitazione scientifica nazionale di seconda fascia") or hold a position equivalent to that of Italian Associate Professor at a foreign University or Research Institute. Candidates are asked to submit (at direzione(a)math.unipd.it) their CV and a letter of interest by 5th September 2016. Prospective candidates will be invited to the Department of Mathematics for a seminar talk and discussion with members of the Department. The Department plans to decide by the end of October 2016 whether to proceed with direct appointment or open competitive selection. In the case of open competitive selection a choice of the area (Italian "settore concorsuale) will be made and the selection is expected to take place in the first half of 2017. 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: Mon, 25 Jul 2016 09:00:28 +0200 From: Marco Ferrante <ferrante(a)math.unipd.it> To: afferenti(a)math.unipd.it Subject: Call per PA di settembre Cari colleghi, nelle news di dipartimento con link http://www.math.unipd.it/it/news/?id=1894 abbiamo inserito la call in inglese presentata all'ultimo CdD per le due posizioni da PA che valuteremo a settembre. Vi invito a segnalarla ai colleghi che voleste contattare Marco -- Prof. Marco Ferrante Dipartimento di Matematica Universit? degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

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International Conference on "Credit Solutions for the Real Economy: Implications for Investors, Financial Stability and Policy Design" in Venice - Programme
by GRETA Associati 18 Aug '16

18 Aug '16

15th INTERNATIONAL CONFERENCE C R E D I T 2016 *Credit Solutions for the Real Economy: Implications for Investors, Financial Stability and Policy Design *Venice, Italy 6 - 7 October 2016 The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference this year focuses on *New Credit Solutions for the Real Economy and their Implications for Investors, Financial Stability and Policy Design *and 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 is the *fifteenth *of a series dedicated to various aspects of credit risk. The *co-sponsors* of the Conference are *GRETA Associati* (Venice, Italy), *Intesa Sanpaolo *(Milan, Italy), the*European Investment Fund *(Luxembourg), *Research Center SAFE *at Goethe University Frankfurt (Frankfurt, Germany) and *European Investment Bank__*(Luxembourg). The Conference is organised under the auspices of the *Department of Economics of the University Ca Foscari of Venice*, *ABI - Italian Banking Association__*and*European Investment Bank Institute*. The Scientific Committee for the Conference consists of: *Loriana Pelizzon *(Systemic Risk Lab, SAFE - Goethe University, Ca Foscari University of Venice & GRETA, Programme Chair), *Francesca Campolongo *(JRC Unit Financial and Economic Analysis), *Marco Da Rin *(Tilburg University), *Helmut Kraemer-Eis *(European Investment Fund), *Jan Pieter Krahnen *(SAFE - Goethe University Frankfurt),*Adair Morse *(University of California, Berkeley), *Steven Ongena *(University of Zurich, SFI & CEPR) and *Stephen Schaefer *(London Business School) PROGRAMME Thursday, October 6 2016 9.00 - 9.15_Welcome and Opening Remarks _*Monica Billio* (Ca Foscari University of Venice) *Loriana Pelizzon* (Systemic Risk Lab, SAFE - Goethe University & CaFoscari University of Venice, Programme Chair) 9.15 - 11.00_Session I: Alternative and Digital Financing I _Key-note talk: *Adair Morse* (University of California, Berkeley) /Payment Instruments, Enforceability and Development: Evidence from Mobile Money Technology/, Thorsten Beck (City University London & CEPR), Haki Pamuk (Tilburg University & Wageningen University), Ravindra Ramrattan (FSD Kenya & Tilburg University) and *Burak R. Uras* (Tilburg University & European Banking Center) /How Does P2P Lending Fit Into the Consumer Credit Market?/, *Calebe deRue* (Frankfurt School of Finance & Management), Loriana Pelizzon (Systemic Risk Lab, SAFE - Goethe University & Ca Foscari University of Venice) and Paolo Tasca (SAFE - Goethe University Frankfurt & London School of Economics) 11.45 - 12.45_Session II: Credit Risk _/Keeping It Personal or Getting Real? On the Drivers and Effectiveness of Personal versus Real Loan Guarantees/, *Sergio Mayordomo *(Bank of Spain), Antonio Moreno (University of Navarra), Steven Ongena (University of Zurich, Swiss Finance Institute & CEPR) and María Rodríguez-Moreno (University of Navarra) /Default Risk Premium in Credit and Equity Market: A New Approach for Structural Model Estimation/, Alessandro Beber (City University London), *Raffaele Corvino* (City University London) and Gianluca Fusai (Università del Piemonte Orientale, Novara) 14.15 - 15.30_Session III: The Role of the Public Sector in Promoting the Development of Alternative Financing Channels _*Helmut Kraemer-Eis* (European Investment Fund) *Luca Bertalot* (European Mortgage Federation - European Covered Bond Council (EMF-ECBC)) *Christian Thun* (European DataWarehouse GmbH) 15.30 - 16.30_Poster Session 1 _ 16.30 - 17.30_Session IV: Alternative and Digital Financing II _/Informational Synergies in Consumer Credit/, *Martin Hibbeln* (University of Duisburg-Essen), Lars Norden (Getulio Vargas Foundation, Praia de Botafogo), Piet Usselmann (Braunschweig Institute of Technology) and Marc Gürtler (Braunschweig Institute of Technology) /The Evolution of the Bitcoin Economy: Extracting and Analyzing the Network of Payment Relationships/, *Paolo Tasca* (SAFE - Goethe University Frankfurt & London School of Economics), Shaowen Liu (Deutsche Bundesbank) and Adam Hayes (University of Wisconsin, Madison & The New School, New York) Friday, October 7 2016 9.00 - 10.45_Session V: Financing SME _Key-note talk: *Thomas Hellman* (Oxford Said Business School) /Assessing Italian SME and Mini-bond Issuer Credit Worthiness/, Edward I. Altman (NYU Stern, NYU Salomon Center & Classis Capital S.p.A), Maurizio Esentato (Classis Capital S.p.A) and *Gabriele Sabato* (Classis Capital S.p.A) /Support for the SME Supporting Factor - Multi-Country Empirical Evidence on Systematic Risk Factor for SME Loans/, *Michel Dietsch* (ACPR Banque de France), Klaus Düllmann (European Central Bank), Henri Fraisse (ACPR Banque de France), Philipp Koziol (European Central Bank) and Christine Ott (Deutsche Bundesbank) 11.30 - 13.15_Session VI: Credit and Unconventional Monetary Policies _Key-note talk:*Philipp Hartmann* (European Central Bank) /The Effect of Central Bank Liquidity Injections on Bank Credit Supply/, Luisa Carpinelli (Bank of Italy) and *Matteo Crosignani* (NYU Stern) /The Demand and Supply of Mortgage Rate Fixation Periods. Managing Interest Rate Risk and Credit Risk in a Low Rate Environment/, Christoph Basten (Swiss Financial Market Supervisory Authority & ETHZ), *Benjamin Guin* (Bank of England) and Cathérine Koch (Bank for International Settlements) 14.30 - 16.00_PANEL Session_ 16.00 - 17.00_Poster Session 2 _17.00 - 18.00_Session VII: Bank Business Models _/Nothing Special about Banks: Competition and Bank Lending in Britain, 1885-1925/, *Fabio Braggion* (Tilburg University & CentER), Narly Dwarkasing (University of Bonn) and Lyndon Moore (University of Melbourne) /Bank Business Models at Zero Interest Rates/, André Lucas (VU University Amsterdam & Tinbergen Institute), Julia Schaumburg (VU University Amsterdam & Tinbergen Institute) and *Bernd Schwaab* (European Central Bank) 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/credit2016/credit2016.htm <file:///http://www.greta.it/credit/credit2016/credit2016.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 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 October 6th, 2016, for which there is an extra charge of 80.00 Euro per person (conference attendees as well as accompanying persons). For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2016/credit2016.htm <file:///http://www.greta.it/credit/credit2016/credit2016.htm> 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> website: _www.greta.it_ <http://www.greta.it/>

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[Gnampa] Bando Giovani Ricercatori Enti Pubblici di Ricerca (fwd)
by Tiziano Vargiolu 11 Aug '16

11 Aug '16

---------- Forwarded message ---------- Date: Fri, 05 Aug 2016 18:06:26 +0200 From: Presidente INdAM <presidente(a)altamatematica.it> To: gnampa(a)lists.altamatematica.it, gncs(a)lists.altamatematica.it, gnfm(a)lists.altamatematica.it, gnsaga(a)lists.altamatematica.it Subject: [Gnampa] Bando Giovani Ricercatori Enti Pubblici di Ricerca Cari Colleghi, vi informo che, a seguito del decreto ministeriale ?Assunzione di giovani ricercatori negli Enti Pubblici di Ricerca?, ? stato bandito un Concorso Pubblico per Titoli ed Esami per l?assunzione di un Ricercatore a Tempo Indeterminato, III Livello professionale, presso l?Istituto Nazionale di Alta Matematica ?F. Severi?. Il bando scade il giorno 7 settembre 2016 alle ore 18. Le informazioni si trovano nella pagina web: http://www.altamatematica.it/it/node/517 dove, oltre al bando e al modulo di domanda, si trova il link al sito dove poter presentare telematicamente le candidature. Cordiali saluti, Giorgio Patrizio Presidente INdAM gnampa(a)lists.altamatematica.it, gncs(a)lists.altamatematica.it, gnfm(a)lists.altamatematica.it, gnsaga(a)lists.altamatematica.it ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program. _______________________________________________ Gnampa mailing list Gnampa(a)lists.altamatematica.it http://lists.altamatematica.it/cgi-bin/mailman/listinfo/gnampa

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Fwd: Lecturer in Mathematics at the University of Dundee
by Rigo Pietro 08 Aug '16

08 Aug '16

Salve, ho ricevuto questa lettera, che, a prima vista, sembra attendibile. Quindi, ve la giro. Pietro Rigo ---------- Forwarded message ---------- From: Mariya Ptashnyk (Staff) <m.ptashnyk(a)dundee.ac.uk> Date: 2016-08-06 17:00 GMT+02:00 Subject: Lecturer in Mathematics at the University of Dundee To: "pietro.rigo(a)unipv.it" <pietro.rigo(a)unipv.it> Dear Professor Rigo, I would like to bring the advert below to your attention and would be grateful if you could forward it to suitable candidates. With kind regards, Mariya Ptashnyk =============================================================== Lecturer in Mathematics at the University of Dundee The School of Science and Engineering at the University of Dundee is looking to appoint a number of outstanding academics to form a cohesive expansion in the development of interdisciplinary research and innovative, research-led teaching. Among these posts we are looking to recruit a *Lecturer in Mathematics (Teaching & Research)* in the general area of *Stochastic Processes and Probability *to join our team. We particularly encourage applicants with an expertise in risk or complexity in either natural or manmade systems. Candidates working on applications to finance and/or industry would be especially welcome, but we are open to all areas of application. Further details https://ig5.i-grasp.com/fe/tpl_uod01.asp?newms=jj& id=96848&aid=14197 Salary range: Grade 7-8 ( £34,576 to £46,414) depending on experience. Closing date: 16 August 2016 Job Ref: SSEN0055 Mariya Ptashnyk Division of Mathematics University of Dundee Fulton Building, Dundee DD1 4HN mptashnyk(a)maths.dundee.ac.uk The University of Dundee is a registered Scottish Charity, No: SC015096

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Fwd: Departmental Lecturer in Mathematical Finance (fwd)
by Tiziano Vargiolu 08 Aug '16

08 Aug '16

https://www.maths.ox.ac.uk/node/16466 The Mathematical Institute proposes to appoint a Departmental Lecturer in Mathematical Finance. This is a 3 year fixed-term position starting from 1st January 2017 or as soon as possible thereafter. The Departmental Lecturer will be expected to have an outstanding research record in Mathematical or Computational Finance and will be expected to engage in advanced study and academic research in the area. The Departmental Lecturer will be responsible to lecture and teach (principally but not exclusively) graduate students, and will contribute to the academic administration of the Mathematical and Computational Finance research group and the wider department. The Departmental Lecturer will lead independent research projects or specific areas of research within a broad programme. The successful candidate will be expected to hold a relevant Ph.D/D.Phil. He/she will have the ability to carry out research to an international excellent standard in Mathematical Finance, as evidenced by a strong publication record and familiarity with the existing literature and research with sufficient specialist knowledge in the discipline to develop research projects and methodologies Applicants should read the job description before writing their applications. As part of the online application, the applicant will be required to upload a statement setting out how she or he meets the selection criteria, a curriculum vitae including details of teaching and other relevant experience, and the names and contact details of three referees. The applicant is responsible for asking his or her referees to send their references by the closing date. Please direct informal enquiries to the Administrative Assistant (email: vacancies(a)maths.ox.ac.uk) quoting vacancy reference 124786. Applications for this vacancy are to be made online. To apply for this post and for further details, including the job description and selection criteria, please click on the link below: https://www.recruit.ox.ac.uk/pls/hrisliverecruit/erq_jobspec_version_4.jobs pec?p_id=124786 Only applications received before 12:00 noon UK time on Monday 19th September 2016 can be considered. Committed to equality and valuing diversity. Miss Nims Damney Administrative Assistant Mathematical Institute, Andrew Wiles Building Radcliffe Observatory Quarter, Woodstock Road Oxford, OX2 6GG Tel: 01865 (2) 73518

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Workshop on Random Processes in Discrete Structures (Warwick): Deadline Approaching
by Elisabetta Candellero 04 Aug '16

04 Aug '16

Dear all, I would like to remind you of the "*Workshop on Random Processes in Discrete Structures*", which I am organizing at Warwick together with Alexandre Stauffer (Bath). The workshop is about recent advances on random processes on graphs and other discrete structures, including percolation, voter model, contact processes and random graphs, and will take place at the *University of Warwick *from *Tuesday 30th of August *until *Friday 2nd of September 2016*. More information (including the list of speakers, details about the accommodation, and a description of how to reach Warwick campus) can be found on the official website http://www2.warwick.ac.uk/fac/sci/statistics/crism/workshops/randomprocesses . Registration is FREE but COMPULSORY (mainly for catering purposes). If you would like to register to this event, please send an email to E.Candellero(a)warwick.ac.uk including the subject "Workshop on Random Processes in Discrete Structures" by **Tuesday 9th of August**. I'm looking forward to seeing many of you there! Best regards, Elisabetta Candellero

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assegno di ricerca a Pisa
by Marco Romito 04 Aug '16

04 Aug '16

Alla pagina https://www.unipi.it/ateneo/bandi/assegni/pra2016/matematica/31ago2016/inde… è stato pubblicato un bando (disponibile in italiano e inglese) per un assegno di ricerca annuale presso il dipartimento di Matematica dell'università di Pisa con scadenza il 31 agosto 2016 su ``Studio di fenomeni singolari in problemi deterministici e stocastici'' Per ulteriori informazioni: Marco Romito romito(a)dm.unipi.it A call for a one-year ``assegno di ricerca'' is open, with deadline August 31, 2016, at the department of Mathematics, Pisa university, on ``Analysis of singular phenomena in deterministic and stochastic problems'' The details of the call (english and italian versions available) can be found at https://www.unipi.it/ateneo/bandi/assegni/pra2016/matematica/31ago2016/inde… For further information: Marco Romito romito(a)dm.unipi.it

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Conference in Honor of ENZO ORSINGHER
by Luisa Beghin 01 Aug '16

01 Aug '16

*Recent Developments in Probability Theory and Stochastic * *A Conference in Honor of ENZO ORSINGHER* *On the Occasion of His 70th Birthday* *Dep. Statistical Sciences, Sapienza University of Rome* *September 23, 2016* *Preliminary program* 9:45 Opening 10:00 Aimé Lachal (University of Lyon/ Institute Camille Jordan CNRS) Some distributions on pseudo-Brownian motion and pseudo-random walk 10:25 Fabio Spizzichino (\Sapienza" University of Rome) TBA 10:50 Marina Santacroce (Turin Polytechnic) Forward backward semimartingale systems for utility maximization 11:15 Coffee break 11:35 Nikolai Leonenko (Cardiff University) Fractional Poisson fields and martingales 12:00 Laura Sacerdote (University of Turin) Generalized nonlinear Yule models 12:25 Stefano Iacus (University of Milan) TBA 12:50 Lunch break 15:00 Ludmila Sakhno (University of Kiev) TBA 15:25 Antonio Di Crescenzo (University of Salerno) Recent advances on the telegraph process 15:50 Elvira Di Nardo (University of Turin) Symbolic calculus in probability and mathematical statistics 16:15 Coffee break 16:35 Federico Polito (University of Turin) The space-fractional Poisson process and extensions 17:00 Personal recollections from Enzo's colleagues ***************************************************************** Luisa Beghin Dipartimento di Scienze Statistiche Fac. Ingegneria dell'Informazione, Informatica e Statistica "SAPIENZA" Università di Roma Piazzale Aldo Moro 5, 00185 Roma T (+39) 06 49910543 F (+39) 06 4959241 http://www.dss.uniroma1.it/?q=content/beghin-luisa *****************************************************************

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Conference in Leeds on Stochastic Analysis, Control and Games
by Tiziano De Angelis 01 Aug '16

01 Aug '16

Dear All, It is with with great pleasure that we would like to announce the conference "Stochastic Analysis of Dynamical Systems, Stochastic Control and Games" to be held at the University of Leeds on 24th - 26th of October 2016. Registration is now open and will close on 30th of September. All necessary information can be found at www.maths.leeds.ac.uk/sandsycog For the list of confirmed speakers please follow the link below http://www.maths.leeds.ac.uk/sandsycog/programme.html Any queries may be addressed to Alexander Veretennikov: a.veretennikov(a)leeds.ac.uk Tiziano De Angelis: t.deangelis(a)leeds.ac.uk Best regards Alexander Veretennikov Tiziano De Angelis

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Fwd: Optimal Filtering and Data Analysis
by Francesco Caravenna 30 Jul '16

30 Jul '16

Ricevo e inoltro. > Da: Sergio Bittanti <sergio.bittanti(a)polimi.it> > Oggetto: Optimal Filtering and Data Analysis > Data: 29 luglio 2016 17:55:22 GMT+02:00 > > A tutti gli afferenti alla lista Random: > === > > Segnalo il corso di dottorato > > Optimal Filtering and Data Analysis > > che si terra' al Politecnico di Milano dal 12 al 16 settembre. > > L'annuncio e' allegato. > > Gli interessati possono partecipare liberamente > facendo preventiva segnalazione alla segreteria del corso, Signora Francesca Clemenza: > > francesca.clemenza(a)polimi.it > > Cordiali saluti, Sergio Bittanti >

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Link concorso RTDb a Padova
by Marco Ferrante 29 Jul '16

29 Jul '16

Cari colleghi, vi rimando il link per accedere alla pagina del concorso a RTDb di Padova, che nel precedente messaggio non funzionava http://www.math.unipd.it/it/news/?id=1898 Scusate il disguido Marco

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Stochastic Analysis workshop - 19 Sept 2016 - Leeds
by Elena Issoglio 28 Jul '16

28 Jul '16

This is to announce a one-day workshop on Topics in SDEs and their link to (S)PDEs. The workshop will be held in the School of Mathematics in Leeds (UK) on 19 September 2016. Registration is FREE but COMPULSORY (for catering porpuses). If you intend to take part please send an email to Elena Issoglio (e.issoglio(a)leeds.ac.uk) ______________________________________________ Programme 12:00-13:00 - Buffet lunch 13:00-13:45 - Russo, F. - BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk 13:45-14:30 - Issoglio, E. - Forward-Backward SDEs with distributional coefficients 14:30-14:50 - Shi, Q. - American Eagle Options 14:50-15:30 - Coffee Break 15:30-16:15 - Dos Reis, G. - TBA 16:15-16:35 - Dhariwal, G. - 2D Stochastic Constrained Navier-Stokes Equations 16:35-16:55 - Johnson, P. - Optimal Stopping in Mathematical Statistics 18:30 - Social Dinner _______________________________________________ This workshop is sponsored by the LMS. Partial travel funding is available for young researchers including PhDs and Post-Docs. Please email Elena for further information about financial support. For more details see http://www.maths.leeds.ac.uk/topics_in_sdes Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

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PhD in Financial Mathematics at the Scuola Normale Superiore (Pisa). Call 2016-2017
by Fabrizio Lillo 27 Jul '16

27 Jul '16

The call for applications to the 2016/2017 PhD program in Financial Mathematics at the Scuola Normale Superiore, Pisa, is available on the web site phd.sns.it/en, and on the home page of the institutional web site of the Scuola (www.sns.it) We are attaching with this letter an informative poster to distribute to your colleagues at other institutions. For the Autumn call (deadline August 30) three fellowships are available. For 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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PostDoc position at BCAM, Bilbao - Spain
by Gianni Pagnini 26 Jul '16

26 Jul '16

Dear colleagues, I would like to promote a two-year PostDoc position at BCAM - Basque Center for Applied Mathematics, Bilbao, Basque Country - Spain www.bcamath.org [1]. The research will be focused on modelling front propagation with application to wild-land fires and turbulent premixed combustion. The deadline is the 20th of September 2016. For more information please contact me: pagnini(a)bcamath.org http://www.bcamath.org/en/research/job/ic2016-summer-postdoctoral-fellow-in… [2] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM16_Postdoc_Pr… [3] Sincerely, Gianni -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini [4] _ _ _(__ __matematika mugaz bestalde )_ Links: ------ [1] http://www.bcamath.org [2] http://www.bcamath.org/en/research/job/ic2016-summer-postdoctoral-fellow-in… [3] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM16_Postdoc_Pr… [4] http://www.bcamath.org/gpagnini

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Monique Jeanblanc in Bologna April 14-15
by Sabrina Mulinacci 22 Jul '16

22 Jul '16

Dear all, I am pleased to announce that the Quantitative Finance Graduate Course of the University of Bologna will host a lecture from Prof. Monique Jeanblanc on the topic “ENLARGEMENT OF FILTRATION” The workshop will take place according to the following schedule: Thursday, 14 April, 2016: 15.00-18.00 Classroom 2 – Piazza Scaravilli 2, School of Economics, Ground Floor Friday, 15 April, 2016: 10.00-13.00 Classroom VII – Via Ranzani 1, Ground Floor Participation is free, but for logistic purposes we ask to register by sending an e-mail to: facecon.qfinance(a)unibo.it Sabrina Mulinacci 5x1000 AI GIOVANI RICERCATORI DELL'UNIVERSITÀ DI BOLOGNA Codice Fiscale: 80007010376

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Stochastic analysis day in Pisa, July 25
by Marco Romito 19 Jul '16

19 Jul '16

This is to announce a one-day conference in stochastic analysis and stochastic PDEs. The conference will take place in the Aula Magna of the Maths department in Pisa on Monday, July 25 2016. Speakers include: G. Da Prato (Scuola Normale Superiore),S. Cerrai (University of Maryland), A. Debussche (ENS Bretagne), G. Tessitore (Università di Milano Bicocca), M. Fuhrman (Politecnico di Milano), E. Priola (Università di Torino), L. Zambotti (UPMC Paris VI). For more details: http://www.dm.unipi.it/pages/romito/SPASS/workshop/20160725/ m.

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Bando SECS-S/06 II fascia a Siena (fwd)
by Tiziano Vargiolu 18 Jul '16

18 Jul '16

---------- Forwarded message ---------- Date: Mon, 18 Jul 2016 12:26:35 +0200 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Bando SECS-S/06 II fascia a Siena Caro Tiziano, puoi diffondere sulla tua mailing list e su RANDOM questa informazione? Grazie, Claudio The Department of Economics and Statistics calls for an Associate Professor full time position in the scientific sector SECS-S/06 (Mathematical methods of economy, finance and actuarial sciences). Application term: August 4, 2016. Call:http://www.unisi.it/albo_pretorio/bandi/concorsi_interni/1-posto-di-profess ore-universitario-di-ruolo-fascia-degli-76 (direct link to the English text: http://www.unisi.it/sites/default/files/bando_inglese_23_13.pdf) >From the call: The candidate is a scholar with proven and relevant research activity and proven teaching experience, both undergraduate and graduate, also in English, on mathematical methods and tools (including scientific computing and data processing) useful in the construction and in the analysis of models and problems related to finance, to the analysis of financial markets, to financial risk management. He or she will be required to teach the following courses: Financial Mathematics (undergraduate, in Italian or English), Financial Modeling (graduate, in English). The selection committee will adhere to the following judging criteria: - Degree of internationalization of research activity. - Analytic evaluation of the scientific production, with particular regard to impact and diffusion in the corresponding scientific community and its international relevance, also considering the main bibliometric indicators used in the same scientific community. The selection committee has to consider originality, innovativeness, methodological strictness of the scientific production and the degree of independence of the candidates. For the evaluation of the scientific production, candidates are required to submit a maximum of twelve (12) publications. - Proven teaching experience in the reference scientific sector (Mathematical methods of economy, finance and actuarial sciences). A proven ability to organize and coordinate national and international research groups and national or international awards, contribute to the appreciation of the candidate. The commission may ask candidates to hold a seminar in English. -- prof. Claudio Pacati Dean of the School of Economics and Management Department of Economics and Statistics University of Siena p.zza S. Francesco, 7 I-53100 Siena (Italy) tel. +39 0577 232772

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job opportunity in ARPM
by Elisa Appolloni 15 Jul '16

15 Jul '16

Dear all, I am reaching out to you because at ARPM (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Thank you, Elisa Appolloni *** *The company * ARPM, LLC (www.arpm.co) is a privately held research institution based in New York City, directed by Attilio Meucci. ARPM's mission is to spread Advanced Risk and Portfolio Management ideas and techniques in the financial industry and in academia. *The opportunity* ARPM is looking for new consultants for its research project in Advanced Risk and Portfolio Management (see also http://www.arpm.co/jobposting/) The job, which requires a full time commitment, consists of reviewing and coding case studies in advanced quantitative finance. The consultant will work remotely from home or from one of the affiliate universities, communicating via multi-media with other members of the ARPM team. The position represents an excellent academic experience for applicants who intend to pursue a PhD, which ARPM may sponsor. The position also presents a great opportunity for candidates (that maybe have already a PhD) who wish to remain in the financial industry. Indeed, the learning curve is constantly steep, and the compensation is competitive. *The candidate* - Master's level degree in Physics, Mathematics or Economics (the PhD or master's degree in Quantitative Finance is a plus) - Good knowledge of multivariate calculus, linear algebra, multivariate statistics, probability, financial mathematics - Proficiency in LaTeX - Proficiency in MATLAB, Python, or similar programming languages - Working knowledge of English *Compensation* 22,000 euros per year (Graduate) 24,000 euros per year (Master in Quantitative Finance/PhD) -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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Siena Finance Workshop (fwd)
by Tiziano Vargiolu 15 Jul '16

15 Jul '16

---------- Forwarded message ---------- Date: Thu, 14 Jul 2016 19:53:56 +0200 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: vargiolu(a)math.unipd.it Subject: Siena Finance Workshop Dear Tiziano, could you please submit to your mailing this announcement (attached) of a Finance workshop to be held in Siena September 30, 2016. Thanks, Claudio Pacati and Antonio Roma

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bando assegno di ricerca
by Sara Pasquali 13 Jul '16

13 Jul '16

Si informa che e' stato pubblicato il bando per un assegno di ricerca presso il CNR-IMATI di Milano, avente per argomento di ricerca la simulazione di dinamiche di popolazioni invasive. Il bando e' disponibile al sito http://www.imati.cnr.it/index.php/opportunities?layout=edit&id=490 Per la partecipazione alla selezione e' richiesto il possesso del diploma di laurea in una delle seguenti discipline: Matematica, Statistica, Fisica, Ingegneria biomedica, Ingegneria delle Telecomunicazioni, Ingegneria Elettronica, Ingegneria Informatica, Ingegneria per l’Ambiente e il Territorio, conseguito durante il periodo di vigenza di qualsiasi ordinamento dei corsi di laurea e identificati dai codici LM-40, LM-44, LM-82, LM-17, LM-21, LM-27, LM-26, LM-29, LM-25, LM-32, LM-35. Costituira' titolo preferenziale la capacita' di sviluppare in autonomia codici di programma per la simulazione di modelli matematici o l’esperienza nell’analisi di modelli descritti da equazioni differenziali. Per maggiori informazioni sul bando e sull'attivita' da svolgere si prega di contattare la Dott.ssa Sara Pasquali all'indirizzo e-mail: sara.pasquali(a)mi.imati.cnr.it Cordiali saluti Sara Pasquali -- ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Dr. Sara Pasquali CNR-IMATI Via Bassini, 15 20133 MILANO - ITALY =========== Tel. +39 02 23699525 Fax. +39 02 23699538 e-mail: sara.pasquali(a)mi.imati.cnr.it ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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StaTalk Roma
by Clara Grazian 11 Jul '16

11 Jul '16

Dear all, we are pleased to announce that the third meeting of the *StaTalk* series will be held at *Facoltà di Economia di Sapienza Università di Roma*on *September 9, 2016*. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. StaTalks are endorsed by Y-SIS ( https://sites.google.com/site/youngsocietaitalianastatistica/) the young section of the Italian Statistical Society. The topic of the third StaTalk will be on *Computational Tools for Statistical Modelling*. We will present and discuss both standard and new computational methods which represents fundamental tools for new challenging applications, such as economic, finance, genetic and official statistics. *Programme* *09.30-10.00 *Opening *10.00-10.40 *Christian Macaro (SAS System) "*A mixture of heterogeneous models with time dependent weights*" *10.40-11.10* Coffee break *11.10-11.50* Clara Grazian (MEMOTEF Department) "*Modelling financial dependence through approximate Bayesian inference*" *11.50-12.30* Stefano Vaccari (MEMOTEF Department) "*Pricing in the Presence of Social Learning: Modelling Information Aggregation in a Competitive Market*" *12.30-14.30* Lunch break *14.30-15.10 *Andrea Tancredi (MEMOTEF Department) "*A Bayesian approach for de-duplication, record linkage and inference with linked data.*" *15.10-15.50 *Luca Tardella (Department of Statistical Science) "*Alternative approaches for approximating marginal likelihood.*" *15.50-16.20* Coffee break *16.20-17.00 *TBA *17.00-17.30 *Closing Additional info can be found at the workshop page https://sites.google.com/site/youngsocietaitalianastatistica/events/statalk… REGISTRATION to the third StaTalk are now open. *No conference fees are due, but registration is mandatory*, using the form available on the website. Clara Grazian PhD in Statistics Research Fellow *Memotef* *Facoltà di Economia* *Sapienza Università di Roma* via del Castro Laurenziano 9, 00161, Roma

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assegni di ricerca alla LUISS
by Marco Scarsini 11 Jul '16

11 Jul '16

Sono stati banditi alcuni assegni di ricerca alla LUISS, tra cui due sui seguenti temi: Economic models with uncertain demographic dynamics through SPDEs Social learning on social networks Le informazioni relative si trovano su http://economiaefinanza.luiss.it/node/5165 http://economiaefinanza.luiss.it/en/node/5166 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Workshop on Quantitative Finance 2017 - First Announcement
by Fabio Bellini 08 Jul '16

08 Jul '16

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postdoc position LMU (fwd)
by Tiziano Vargiolu 06 Jul '16

06 Jul '16

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: Wed, 6 Jul 2016 16:03:58 +0200 (CEST) From: Francesca Biagini <biagini(a)mathematik.uni-muenchen.de> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: postdoc position LMU Caro Tiziano, puoi far girare questo annuncio, per favore? Grazie ed un caro saluto, Francesca ****************************************************** The Department of Mathematics of the Ludwig-Maximilian-University Munich (LMU) invites applications for a Post Doctoral position (TV-L E13, 100%, 5 hours teaching) in Stochastics with applications in Financial and Insurance Mathematics. A research background in related fields is desirable but not necessary and candidates from all areas of probability/stochastics with interest in financial mathematics are encouraged to apply. Intended starting date for the position is at earliest convenience for a term of 1 year with possible extension upon successful completion of the first year. Your application should include a letter of motivation, curriculum vitae, a list of publications, and documentation of academic degrees and certificates. Up to three letters of recommendation are also welcome. Application deadline is August 15, 2016. For further details please visit http://www.fm.mathematik.uni-muenchen.de/jobs/index.html or contact Prof. Thilo Meyer-Brandis meyer-brandis(a)math.lmu.de

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ESOBE - Annual European Seminar on Bayesian Econometrics - Call for papers
by Monica Billio 06 Jul '16

06 Jul '16

7^th ANNUAL EUROPEAN SEMINAR ON BAYESIAN ECONOMETRICS *ESOBE 2016* * *Venice, Italy 27 - 28 October 2016 The workshop is organised by the *Department of Economics of the University Ca’ Foscari of Venice *(Venice, Italy), and is co-sponsored by the *European Central Bank *(Frankfurt) and *GRETA Associati *(Venice, Italy). The ESOBE meetings aim at bringing together researchers and professionals interested in the application of Bayesian inference. Ever since the pioneering work of Arnold Zellner, Bayesian econometrics has expanded enormously in areas such as economics, finance, business, and marketing. Empirical applications of Bayesian econometrics deal with issues such as financial time series analysis, risk management, economic growth analysis, measurement of policy effectiveness, individual decision making in marketing, labour market analysis, forecasting in monetary policy, just to name a few. The computational revolution in simulation techniques is a key ingredient in this expansion and allows the application of Bayesian methods to increasingly complex models and high-dimensional data environments. The ESOBE meetings are intended as a discussion forum for new and recent research methods that are capable to face these challenges. These techniques include, among others, semi-parametric modelling based on mixtures, shrinkage estimators, and variable selection methods. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: ·Bayesian financial econometrics ·Bayesian microeconometrics and program evaluation ·Bayesian nonparametric and semi-parametric methods based on countably infinite mixtures ·Shrinkage estimation and variable selection in high-dimensional data environments ·Computational methods for large datasets ·Efficient MCMC and SMC methods for complex models The keynote speakers of ESOBE 2016 are: ** *Christian P. Robert*(University Paris Dauphine and University of Warwick) *Thomas J. Sargent*(New York University) The Scientific Committee for the Conference consists of: *Monica Billio *(Ca’ Foscari University of Venice) *Fabio Canova*(BI Norwegian Business School) *Roberto Casarin *(Ca’ Foscari University of Venice) *Sylvia Frühwirth-Schnatter *(Wirtschaftsuniversität Wien) *Sylvia Kaufmann *(Study Center Gerzensee) *Gary Koop *(Strathclyde Business School) *Francesco Ravazzolo *(Free University of Bozen/Bolzano) *Herman K. van Dijk *(Erasmus University Rotterdam and VU University Amsterdam) CALL FOR PAPERS The final program will include both submitted and invited papers. In addition to invited presentations, the workshop will have: * contributed sessions; * a special session by junior scientist presentations; * a poster presentations. We would welcome submissions for these sessions. Submissions for the contributed sessions should be sent to ** <mailto:esobe2016@unive.it>*esobe2016(a)unive.it <mailto:esobe2016@unive.it>*by*July 15, 2016*. Researchers who received their Ph.D. after *October 2013 *or *expect to graduate by November 2016*, may register as "junior scientist" (a detailed CV has to be submitted during registration). Junior scientists may apply for a travel award (more detailed information will be soon available). Papers submitted by junior scientists will be eligible for the Special Session of Junior Scientist Presentations. IMPORTANT DATES July 15, 2016: Papers submission deadline August 20, 2016: Paper acceptance notification September 30, 2016: Deadline for registration More detailed information available on the Conference website: <http://virgo.unive.it/esobe2016/index.htm>http://virgo.unive.it/esobe2016/index.htm <http://www.greta.it/credit/credit2015/credit2015.htm> * Apologies for post-crossing.

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EFI2, December 5-6, Padova, Italy: first announcement
by Tiziano Vargiolu 05 Jul '16

05 Jul '16

Dear all, I am glad to invite you to contribute and take part in the second edition of the workshop Energy Finance Italia, this time held in Padova (Italy) on December 5-6, 2016: http://events.math.unipd.it/efi2/ The aim of this workshop, at its second national edition, is to aggregate in a yearly meeting all Italian researchers, both from academics as from the industrial world, who deal with energy markets and related topics in a wide sense (energy-related time series like market prices, weather etc., evaluation and optimization of physical assets, etc.). Nevertheless, the participation (both as speakers as in the audience) is by no means limited only to Italian speaking people, and non-Italian participants are very welcome. The formula of this workshop (and hopefully of the next ones to follow) is made after the very successful "Workshops in Quantitative Finance", held annually in Italy for the last 18 years: - NO invited speakers, but only contributed ones: this is intented to favour the presence of both young researchers and more senior colleagues, and will favour the exchange of ideas and the birth of new collaborations. - no parallel sessions, but only one session: everyone listens to everybody. - each talk will have an official discussant: this ensures some very interesting and fruitful academic discussions. We all hope to see you all in Padova! Important dates --------------- - October 15, 2016: deadline for abstract submission - November 1, 2016: notification of acceptance 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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annuncio di seminario
by Faggionato, Alessandra 05 Jul '16

05 Jul '16

Lunedi' 11 Luglio alle 17.15, in Aula di Consiglio del Dipartimento di Matematica, Universita' La Sapienza, si terra' il seguente seminario di free probability e combinatoria: Speaker: Frederic Patras (CNRS, Laboratoire J.A.Dieudonné, Nizza) Title: Free cumulants and half-shuffles Abstract: The theory of free probabilities has various origins: among others the theory of solutions of random operator-valued differential equations and the one of random matrices and their asymptotic properties. A notion of (free) cumulant has been introduced in this context which (for plenty of reasons) happens to be the "good" generalization of classical cumulants. Roland Speicher has introduced and studied these cumulants form a combinatorial point of view, using the poset of non-crossing partitions. The talk will survey these results and explain a new approach to these questions (j.w. with K. Ebrahimi-Fard). Cordiali saluti -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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Workshop on Random Processes in Discrete Structures: SAVE THE DATE!
by Elisabetta Candellero 04 Jul '16

04 Jul '16

Con preghiera di diffusione a tutti i potenziali interessati, grazie! Elisabetta ---------- Dear all, I'm happy to announce the "*Workshop on Random Processes in Discrete Structures*", which I am organizing together with Alexandre Stauffer (Bath). The workshop is about recent advances on random processes on graphs and other discrete structures, including percolation, voter model, contact processes and random graphs, and will take place at *Warwick *from *Tuesday 30th of August *until *Friday 2nd of September 2016*. More information (including the list of speakers) can be found on the website http://www2.warwick.ac.uk/fac/sci/statistics/crism/workshops/randomprocesses . Registration is FREE but COMPULSORY (mainly for catering purposes). If you would like to register to this event, please send an email to E.Candellero(a)warwick.ac.uk including the subject "Workshop on Random Processes in Discrete Structures" by **Tuesday 9th of August**. I'm looking forward to seeing many of you there! Best regards, Elisabetta Candellero

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Fwd: bando per ricercatore di tipo B nel settore MAT/06
by Francesco Caravenna 01 Jul '16

01 Jul '16

Ricevo e inoltro. > Da: Diego Pallara <diego.pallara(a)unisalento.it> > Oggetto: bando per ricercatore di tipo B nel settore MAT/06 > Data: 01 luglio 2016 16:19:54 GMT+02:00 > A: random(a)mail.dm.unipi.it > > Cari colleghi, > > vi segnalo che presso il Dipartimento di Matematica e Fisica dell'Universita' del Salento (Lecce) è stato bandito un posto per un ricercatore di tipo B nel settore MAT/06. > > Il bando è disponibile sulla pagina > > https://www.unisalento.it/c/document_library/get_file?p_l_id=256165&folderI… > > la scadenza è il 27 luglio 2016. > > Saluti > > Diego Pallara

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Seminario di N. Torri a Milano-Bicocca (05.07.2016)
by Francesco Caravenna 30 Jun '16

30 Jun '16

Martedì 5 luglio 2016 alle ore 10:30, nell'aula 3014 del Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca (edificio U5, via Cozzi 55, Milano), Niccolò Torri (Université de Nantes) terrà un seminario dal titolo "Interacting prudent self-avoiding walk" Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%% Abstract: The collapse transition of self-interacting random walks is a challenging issue, arising in the study of an homopolymer dipped in a repulsive solvent. Different mathematical models have been built by physicists to try and improve their understanding of this phenomenon. For such models, the possible spatial configurations of the polymer are provided by self-avoiding walk trajectories. However, self avoiding walks, especially in dimension 2 and 3, are complicated objects. This is the reason why, in the mathematical literature, collapse transition models were rather built by either relaxing the self-avoiding feature of the walk or by considering partially directed path. In our main result, we prove the existence of a collapse transition for a non-directed model built with prudent paths, i.e., non-directed self-avoiding paths which can not take a step towards a previously visited lattice site. The prudent self-avoiding walk has attracted the attention of the combinatorics community over recent years and an open problem is to find out the exponential growth rate of the set of prudent paths. As a by product of our results we are able to solve this problem. In the first part of the talk we discuss the main models already studied in the literature, while in the second part of the talk we present our main results. The presentation will be kept at an elementary level: only a basic probabilistic background is assumed. (Joint work with Nicolas Pétrélis) %%%%%%%%%%%%%%%%%% -- _________________________________________ 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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Early Registration Ends for: Vienna Congress on Mathematical Finance (fwd)
by Tiziano Vargiolu 28 Jun '16

28 Jun '16

---------- Forwarded message ---------- Date: Tue, 28 Jun 2016 16:21:05 +0200 From: Uwe Schmock <schmock(a)fam.tuwien.ac.at> To: Uwe Schmock <schmock(a)fam.tuwien.ac.at> Subject: Early Registration Ends for: Vienna Congress on Mathematical Finance If you want to be removed from my private mailing list or change your email address, just send me a corresponding reply. I apologize for any cross-postings. ========================================================== Early registration with reduced fee ends on June 30, 2016! https://fam.tuwien.ac.at/vcmf2016/registration.php ========================================================== Vienna Congress on Mathematical Finance (VCMF 2016) Vienna, Austria Mon-Wed, September 12-14, 2016 VCMF Educational Workshop Thu-Fri, September 15-16, 2016 https://fam.tuwien.ac.at/vcmf2016/ Due to many requests we opened again the submission for poster presentations. Slots for contributed talks are filled and we already have a waiting list. Location: Campus of WU Wien Library & Learning Center (LC) and Teaching Center (TC) Welthandelsplatz 1, 1020 Vienna/Wien, Austria Organized by: WU Wien - Vienna University of Economics and Business TU Wien - Vienna University of Technology University of Vienna Gold Sponsors (alphabetical order): Deloitte Erste Group Bank AG KPMG Austria Raiffeisen Bank International AG (RBI) Silver Sponsor: Raiffeisen Capital Management (RCM) (further sponsors are welcome) The conference will bring together leading experts from various fields of Mathematical Finance such as: - Limit Order Book / High Frequency Trading - Credit Risk / Systemic Risk - Computational Methods and Calibration - New Financial Markets - Stochastic Volatility Models - Risk Measures and Optimization The conference program will feature plenary lectures, parallel sessions with invited and contributed talks as well as poster sessions. Plenary Speakers... ... at the Congress: Freddy Delbaen (ETH Zurich, CH) Hans F?llmer (Humboldt-Universit?t zu Berlin, DE) Peter Friz (Technische Universit?t Berlin, DE) Emmanuel Gobet (?cole Polytechnique, FR) Mathieu Rosenbaum (?cole Polytechnique & UPMC, FR) Josef Teichmann (ETH Zurich, CH) Almut Veraart (Imperial College London, UK) ... at the Educational Workshop: Nicole B?uerle (Karlsruhe Institute of Technology, DE) Alexander McNeil (Heriot-Watt University, UK) Johannes Muhle-Karbe (University of Michigan, US) Peter Tankov (Universit? Paris-Diderot (Paris 7), FR) https://fam.tuwien.ac.at/vcmf2016/speakers.php Invited Speakers... ... at the Congress: Elisa Alos (Universitat Pompeu Fabra Barcelona, ES) Christian Bayer (WIAS, DE) Agostino Capponi (Columbia University, US) Patrick Cheridito (Princeton University, US) Ulrich Horst (Humboldt-Universit?t zu Berlin, DE) Jan Kallsen (Christian-Albrechts-Universit?t zu Kiel, DE) R?diger Kiesel (Universit?t Duisburg-Essen, DE) D?rte Kreher (Humboldt-Universit?t zu Berlin, DE) Antonis Papapantoleon (TU Berlin, DE) Philipp Sch?nbucher (Financialytic GmbH, DE) Jorge P. Zubelli (IMPA, BR) https://fam.tuwien.ac.at/vcmf2016/speakers.php Additionally on the first day of the congress there will be a panel discussion with the title: "Role of mathematical models in financial risk management and regulation (broadly defined)" Panellists are representatives from the regulators, the industry and the academic world: - Gabriela de Raaij Oesterreichische Nationalbank (OeNB) - Thomas Steiner Austrian Treasury (OeBFA) - Johann Strobl Raiffeisen Bank International AG (RBI) - Josef Teichmann Full Professor of Financial Mathematics, ETH Z?rich Moderator: - Walter Schachermayer Senior fellow at the Institute for Theoretical Studies, ETH Z?rich, Full Professor of Mathematics, University of Vienna For further details see the program: https://fam.tuwien.ac.at/vcmf2016/program.php Submission of Poster Presentations: The call for poster presentations is open until July 15, 2016. Acceptance/rejection letters will be sent as soon as possible, but at end of July 2016 at the latest. https://fam.tuwien.ac.at/vcmf2016/registration.php Participation and Registration: Early registration is possible until June 30, 2016. Standard registration is possible until August 15, 2016. https://fam.tuwien.ac.at/vcmf2016/registration.php Online registration & Submission: http://www.conftool.net/vcmf2016 CPD: The attendance at VCMF 2016 (full week, Sept. 12-16, 2016) may qualifies for up to 31 CPD credits for those delegates whose national actuarial organization's CPD requirements recognize VCMF 2016. 20 CPD credits for Vienna Congress on Mathematical Finance (Sep 12-14) and 11 CPD credits for VCMF Educational Workshop (Sep 15-16). VCMF 2016 is accredited by the AV? - Actuarial Association of Austria. For any requests, do not hesitate to write an e-mail to the conference & workshop secretariat: vcmf2016(a)fam.tuwien.ac.at We look forward to welcoming you in Vienna! With best regards from the VCMF 2016 organisers: Mathias Beiglb?ck, Christa Cuchiero, R?diger Frey, Stefan Gerhold, Friedrich Hubalek, Irene Klein, Thorsten Rheinl?nder, Birgit Rudloff, Walter Schachermayer, Uwe Schmock Save the Date: ============== IME 2017 - 21st International Congress on Insurance: Mathematics and Economics TU Wien, Mon-Wed, July 3-5, 2017 https://fam.tuwien.ac.at/ime2017/

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seminario di A. Hocquet a Pisa
by Marco Romito 28 Jun '16

28 Jun '16

Il giorno 5 luglio 2016, alle ore 11:30, presso la sala seminari del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: A. Hocquet (TU Berlin): Finite-time singularities of the stochastic harmonic map flow on surfaces. Abstract: A ferromagnetic material possesses a magnetization, which, out of equilibrium, satisfies the Landau-Lifshitz-Gilbert equation (LLG). Thermal fluctuations are taken into account by Gaussian space-time white noise. At least in the deterministic case, there is an important parallel between this model and the so-called Harmonic Map Flow (HMF). This was originally used by geometers (in the early sixties) as a tool to build harmonic maps between two manifolds u:M->N. The case where M is two dimensional is critical, in the sense that the natural energy barely fails to give well-posedness. We do not address here the problem of the solvability of LLG driven by space-time white noise. Instead, we consider a spatially correlated version. We show that oppositely to the deterministic case, blow-up of solutions happens no matter how we choose the initial data. Tutti gli interessati sono invitati a partecipare. m.

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Call: Computational Economics and Complex Systems
by Antonella Basso 25 Jun '16

25 Jun '16

Within the framework of the university-wide initiativeResearch for Global Challenges <http://www.unive.it/pag/15550/>, Ca’ Foscari University of Venice seeks applications to fill permanent, full-time positions in various fields. Eligible applicants must have been employed as permanent faculty members or research staff by a foreign university or research institute for at least three consecutive years by the time of the call deadline. We seek individuals with a*strong research*commitment, an outstanding portfolio of*international publications*, and a proven teaching record in the field associated with the post. Experience in leading research groups, conducting/coordinating international projects, and a proven attitude to raise research funding are highly valued. *Research Areas:* * *Data Science* * *Welfare Studies in Developed and Developing Countries* * *Negotiation and Conflict Resolution* * *Computational Economics and Complex Systems* * Deadline is July 4th 2016*. For further information see the web page http://www.unive.it/pag/15535/ -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università 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/data/persone/5591751

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Seminario Simone Scotti a Padova
by Giorgia Callegaro 23 Jun '16

23 Jun '16

Buongiorno a tutti, annuncio con piacere che il giorno *1° luglio 2016 alle ore 15 *Simone Scotti (Université Paris VII) terrà, presso l'aula 2BC30 del Dipartimento di Matematica dell'Università di Padova (Via Trieste 63, Padova) un seminario dal titolo: "Branching processes with applications to finance" Abstract: We introduce a class of interest rate models, called the \alpha-CIR model, which gives a natural extension of the standard CIR model by adopting the \alpha-stable Lévy process and preserving the branching property. This model allows to describe in a unified and parsimonious way several recent observations on the sovereign bond market such as the persistency of low interest rate together with the presence of large jumps at local extent. We emphasize on a general integral representation of the model by using random fields, with which we establish the link to the CBI processes and the affine models. Finally we analyze the jump behaviors and in particular the large jumps, and we provide numerical illustrations. A presto e grazie per l'attenzione, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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124th ESGI, Rome, Italy: Industrial Challenges Update
by Maurizio Ceseri 22 Jun '16

22 Jun '16

Dear Colleagues, a new Industrial Challenge has been published on the website of the upcoming 124th ESGI. Industrial Sector: *Manufacturing*Challenge: *Mathematical modeling of characteristics and stabilization of microcellular and sponge rubber* An overview of the Challenge is available at www.sportellomatematico.it/ESGI2016/challenges/ <http://www.sportellomatematico.it/ESGI2016/index.php/challenges/> More Industrial problems will be published soon. Stay tuned at www.sportellomatematico.it/ESGI2016/. Best Regards, *The Organizing Team* Maurizio Ceseri Sportello Matematico per l'Industria Italiana Istituto per le Applicazioni del Calcolo (IAC-CNR) via dei Taurini 19, 00185 Roma (Italy) Tel: (+39) 0649270969 Website: sportellomatematico.it

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Mercati energetici e metodi quantitativi: un ponte tra Università e Aziende - Padova, 13 ottobre 2016
by Tiziano Vargiolu 21 Jun '16

21 Jun '16

____________________________________________________________________________ Mercati energetici e metodi quantitativi: un ponte tra Universit? e Aziende 13 ottobre 2016, Palazzo Bo, Padova http://unponte2016.stat.unipd.it/ ____________________________________________________________________________ Anche quest'anno, i dipartimenti di Scienze Statistiche e di Matematica dell'Universit? di Padova, in collaborazione con Phinergy, organizzano il workshop Mercati energetici e metodi quantitativi: un ponte tra Universit? e Aziende, con l'intento di creare dei contatti, non solo tra Universit? e Aziende, ma anche tra le Aziende stesse e di tessere una rete di interconnessione che possa favorire la nascita di progetti sia a livello nazionale che internazionale. L'incontro avr? luogo presso Palazzo Bo, Universit? di Padova il 13 ottobre 2016. La partecipazione ? gratuita ma per motivi organizzativi la registrazione ? obbligatoria, inoltre l'iscrizione ? limitata alle prime 110 richieste. Per informazioni visita il sito del workshop http://unponte2016.stat.unipd.it/ Per ogni ulteriore richiesta contattare unponte2016(a)stat.unipd.it -- UnPonte2016 Gli organizzatori unponte2016.stat.unipd.it

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2-years research grant
by Tiziano Vargiolu 18 Jun '16

18 Jun '16

Please circulate among whoever is interested. ------------------------- Research grant on the topic "Capacity markets and the definition of the value of Reliability Options" to be performed at the Department of Mathematics under the supervision of Prof. Tiziano Vargiolu (as the scientific responsible). - duration: 24 month; - topic: In energy markets, it is of particular interest the problem of a fair evaluation of Reliability Options (RO), namely, physical call options derived on electricity, issued by generators and acquired by a subject to hedge adequacy risk of power generation. The aim of this grant is to define a fair pricing of RO, which requires techniques which go beyond those classically used in financial markets to price and hedge derivative assets. - call for grant: http://www.math.unipd.it/it/news/?id=1875 The English version is at the bottom (3 downloadable files) (please keep in mind that, in case of disputes, the announcement in ITALIAN is the official one). - deadline: July 11, 2016. For further information, please contact Tiziano Vargiolu (vargiolu(a)math.unipd.it) Please circulate 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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EY cerca quant
by Luca De Sanctis 17 Jun '16

17 Jun '16

Cari tutti, l'azienda di consulenza Ernst&Young mi ha chiesto un aiuto nella ricerca di due figure, una junior e una con qualche anno di esperienza, da assumere per ruoli quantitativi su Roma o Milano. Il candidato per la posizione con esperienza dovrebbe preferibilmente avere competenza e abilità algoritmica nel rischio di Credito. Chi fosse interessato o conosce candidati validi, può contattarmi. Grazie Luca

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Re: [Random] FW: FW: PhD Grant in Econometrics at RHUL (fwd)
by Tiziano Vargiolu 16 Jun '16

16 Jun '16

---------- Forwarded message ---------- Date: Thu, 16 Jun 2016 15:39:34 +0000 From: "Feri, Francesco" <Francesco.Feri(a)rhul.ac.uk> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: RE: FW: FW: Borsa di Studio per PhD in Econometria a RHUL A vacancy has arisen for a fully funded PhD scholarship at Royal Holloway University of London: https://www.royalholloway.ac.uk/economics/news/newsarticles/201516/leverhul… We shall accept new applications even though the deadline is long past. The position has to be filled urgently. Interested candidates are advised to send an email with CV to alessio.sancetta(a)rhul.ac.uk (Prof. Alessio Sancetta) as soon as possible. The scholarship will only apply to EU citizens. The ideal candidate is required to be have an interest in financial markets, be comfortable with statistical analysis/econometrics, and capable or willing to learn how to program in Matlab or Python. The natural progression from such a PhD is academia or the private sector, e.g., trading firms or data analytics. Prof. Francesco Feri Chair of Economics Department of Economics Royal Holloway University of London Francesco.Feri(a)rhul.ac.uk Phone: +44 1784 443378

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seminario 22 giugno 2016 - Bicocca
by Emanuela Rosazza 16 Jun '16

16 Jun '16

Si avvisa che il giorno mercoledì 22 giugno 2016 alle ore 15.30 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, secondo piano- aula Demografica – stanza 2062) si terrà il seguente seminario: Speaker: Dott. Patrick Beissner (Australian National University, Canberra, Australia) Titolo: “Knight-Walras Equilibria” Abstract: Knightian uncertainty leads naturally to nonlinear expectations. We introduce a corresponding equilibrium concept with sublinear prices and establish their existence. In general, such equilibria lead to Pareto inefficiency and coincide with Arrow--Debreu equilibria only if the values of net trades are ambiguity--free in the mean. Without aggregate uncertainty, inefficiencies arise generically. We introduce a constrained efficiency concept, uncertainty--neutral efficiency and show that Knight--Walras equilibrium allocations are efficient in this constrained sense. Arrow--Debreu equilibria turn out to be non--robust with respect to the introduction of Knightian uncertainty. Tutti gli interessati sono invitati a partecipare. Un saluto e a presto, Emanuela ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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PhD course Gianluca Fusai in Bicocca
by Fabio Bellini 16 Jun '16

16 Jun '16

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