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Winter School in Padova (February 2016)
by Giorgia Callegaro 30 Sep '15

30 Sep '15

Dear all, in collaboration with Evry University, ENSIIE and University Paris Diderot, the Department of Mathematics of the University of Padova is organizing a Winter School on recent advances in Mathematical Finance, that will be held in Padova in the period *8-12 February 2016*. Two main courses, on “Energy Markets” and “Pricing with Funding and Counterparty Risks” will be given, respectively, by Rene Aid (EdF) and Andrea Pallavicini (Banca IMI and Imperial College). Moreover, four mini-course are scheduled, on longevity risk (Nicole El Karoui), optimal stopping (Goran Peskir), polynomial processes (Martin Larsson) and numerical methods (Nadia Oudjane). More details can be found at the link: http://www.maths.univ-evry.fr/conferences/padova2016/index_ws.htm#section1 Accomodation during the period 7-12 February will provided to a limited number (maximum 35) of students selected among candidates who will send us, via the online form available here: http://www.maths.univ-evry.fr/conferences/padova2016/Application_ws.htm#sec… their CV and recommendation letter before the *31st October 2015.* Thanks for your attention and see you in Padova! Giorgia Callegaro (on behalf of the Organizing Committee) -- 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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Convegno in onore di Eugenio Regazzini - Pavia
by Antonio Lijoi 26 Sep '15

26 Sep '15

******************************************************** Convegno in onore di Eugenio Regazzini - Pavia ******************************************************** In occasione del settantesimo compleanno di Eugenio Regazzini, il 10 e l'11 giugno 2016 a Pavia si terra' il convegno * Advances in Statistics, Probability and Mathematical Physics * * A Conference in Honour of Eugenio Regazzini * Una versione preliminare del sito del convegno, con l'elenco dei relatori invitati, puo’ essere consultata all'indirizzo: http://matematica.unipv.it/eugenioconference L'iscrizione al convegno sara' gratuita, ma necessaria per ragioni organizzative. Nelle prossime settimane il sito verra' aggiornato con ulteriori dettagli, inclusi quelli riguardanti la registrazione. Cordiali saluti, Antonio Lijoi -- Antonio Lijoi University of Pavia http://economia.unipv.it/alijoi

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Seminario LAVANCIER
by Matteo Ruggiero 26 Sep '15

26 Sep '15

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Veberdi 2 Ottobre 2015 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Frederic LAVANCIER (Université de Nantes) DETERMINANTAL POINT PROCESS MODELS AND STATISTICAL INFERENCE Abstract: In this talk, I will demonstrate that Determinantal point processes (DPPs) provide useful models for the description of repulsive spatial point processes. Such data are usually modeled by Gibbs point processes, where the likelihood and moment expressions are intractable and simulations are time consuming. I will recall the definition of a DPP and review some of these appealing properties which make DPP models well suited for statistical analysis. In particular the ’most repulsive’ DPP will be characterized. Parametric models of DPPs will be introduced, where the likelihood and moment expressions can be easily evaluated and realizations can be quickly simulated. Some illustrations on real datasets will be presented. This work has been carried out in collaboration with Jesper Møller and Ege Rubak, Aalborg University. The study of the repulsiveness of DPPs is part of a joint work with Christophe Biscio, University of Nantes. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Fwd: Job opportunities in Financial Mathematics, London (fwd)
by Tiziano Vargiolu 25 Sep '15

25 Sep '15

---------- Forwarded message ---------- Date: Fri, 25 Sep 2015 12:52:32 +0200 From: Laura Caravenna <laura.caravenna(a)gmail.com> Subject: Fwd: Job opportunities in Financial Mathematics, London Dear all UCL Mathematics department is currently advertising for two lecturers / senior lecturers in Financial Mathematics. https://atsv7.wcn.co.uk/search_engine/jobs.cgi?owner=5041178&ownertype=fair… Best wishes Helen. -- Dr Helen Wilson President, British Society of Rheology Deputy Head, Department of Mathematics UCL Gower Street, London WC1E 6BT 020 7679 1302

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Fwd: Mathematics for Industry: funding calls open
by Alessandra Micheletti 24 Sep '15

24 Sep '15

---------- Forwarded message ---------- From: MI-NET <MI-NET(a)bath.ac.uk> Date: Thu, Sep 24, 2015 at 12:34 PM Subject: Mathematics for Industry: funding calls open To: MI-NET <MI-NET(a)bath.ac.uk> ***Apologies for cross posting *** As part of the recently-established Mathematics for Industry Network (MI-NET) EU COST Action www.mi-network.org, whose aim is to facilitate more effective widespread application of mathematics to all industrial sectors, we are pleased to announce that *funding calls* for - One day themed Industrial Workshops http://mi-network.org/industrial-workshops/ - Mathematical Modelling Training Weeks http://mi-network.org/modelling-weeks/ - Short-Term Scientific Missions (research visits) http://mi-network.org/short-term-scientific-missions/ - European Study Groups (problem-solving workshops) with Industry http://mi-network.org/study-groups-with-industry/ are now open for applications from academic researchers or industrial practitioners from any COST country that is part of Action TD1409 http://www.cost.eu/COST_Actions/tdp/TD1409?parties The next deadline for all calls is the *20th October 2015*. We’d be very grateful if you could help us publicise the calls widely, and encourage your colleagues - especially early-career investigators (researchers within 8 years of their PhD) - to apply! Best wishes, Jo and Filipa Dr Joanna Jordan Dr Filipa Vance http://mi-network.org/ -- ------------------------------------ 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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Seminar announcement
by Marco Scarsini 23 Sep '15

23 Sep '15

Department of Economics and Finance Internal Seminar Thursday,September 24, from 1 to 2 pm Meeting room, 5th floor János Flesch (Maastricht University). Title: Subgame-Perfect Epsilon-Equilibrium in Perfect Information Games. Abstract: We consider multi-player perfect information games. These games are played on a tree of infinite depth, where each node is controlled by one of the players. Play of the game starts at the root. At every node that play visits, the player who controls this node has to choose one of the outgoing arcs. This induces an infinite sequence of nodes in the tree, and depending on this sequence, each player receives a payoff. A strategy profile is called a Nash epsilon-equilibrium if no player can gain more than epsilon by a unilateral deviation. Such games are known to admit a Nash epsilon-equilibrium (Mertens and Neyman 1986) for all positive epsilon, provided that the payoff functions of the players are bounded and Borel measurable. In this talk, we examine the existence of a subgame-perfect epsilon-equilibrium in these games. A subgame-perfect epsilon-equilibrium is a strategy profile that induces a Nash epsilon-equilibrum in every subgame (that is, not only from the root, but also from every other node in the tree). We provide an overview of recent existence and non-existence results. Particular attention is paid to the result (Flesch and Predtetchinski 2015) that a subgame-perfect epsilon-equilibrium exists, for every epsilon>0, if the payoff functions are bounded and exhibit common preferences at the limit. Moreover, if the payoff functions also have finite range, then there exists a pure subgame-perfect 0-equilibrium. These results extend and unify the existence theorems for bounded and semicontinuous payoffs in Flesch et al [2010] and Purves and Sudderth [2011]. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminario Prof. Macci
by giuliano＠dm.unipi.it 21 Sep '15

21 Sep '15

Il Prof, Claudio Macci, dell'Universita' di Roma Tor Vergata, sara' ospite del Dipartimento di Matematica nei giorni 22-23-24 settembre. Terra' un seminario dal titolo "Asymptotic results for runs and empirical cumulative entropies" Il seminario si svolgera' mercoledi 23 settembre alle ore 11 nell'Aula Magna del Dipartimento. Tutti gli interessati sono invitati Rita Giuliano

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Fwd: NeuroMat Posdoctoral Fellowships
by davide gabrielli 21 Sep '15

21 Sep '15

Postdoctoral fellowships in neuromathematics and computational neuroscience in SÃ£o Paulo, Brazil The Research, Innovation and Dissemination Center for Neuromathematics (NeuroMat, http://neuromat.numec.prp.usp.br/ ), hosted by the University of SÃ£o Paulo, Brazil, and funded by FAPESP (Sao Paulo Research Foundation, http://www.fapesp.br/en/), is offering several postdoctoral fellowships for recent PhDs with outstanding research potential. The research will involve collaborations with Probabilists, Statisticians, Computer Scientists, Statistical Physicists and Neuroscientists associated to NeuroMat. We seek candidates capable to develop independent research in one of the research lines below. 1. Mathematical and/or computational modeling of stochastic spiking neural networks. 2. Electroencephalographic data acquisition, processing and quantitative analysis. Candidates are required to have at least one of the profiles below: - A strong background in probability theory with emphasis on stochastic processes or alternatively in statistics with emphasis on statistical model selection. Previous knowledge of rigorous statistical mechanics, random graphs or stochastic modelling in biosciences will be favourably considered. - A strong mathematical and/or computational background and experience with computers and programming. Previous experience with development and/or simulation of neural brain models, complex networks and parallel computing will be favourably considered. - A strong background in neuroscience with previous experience in neurophysiological data acquisition, processing and analysis. Knowledge of computer programming will be favourably considered. Previous experience with multidisciplinary research teams is welcome. - A strong background in computer science with experience in the development of algorithms, software tools and data bases. Previous research experience in neuroscience or related areas will be favourably considered. The initial appointment is for two years, with a possible extension to up to four years, conditional on research progress. Salary is competitive at international level, and fellows benefit from extra funds for travel and research expenses plus limited support for relocation expenses. Application instructions Applicants should complete and submit the application form at http://neuromat.numec.prp.usp.br/postdoc-form. The following documents and information are requested (please see the form for further details): - Summary of the Curriculum vitae. Please follow the FAPESP format; see www.fapesp.br/en/6351 for instructions. - List of publications, with links to those available online. - Pointers to other research related output, such as software, web pages, and so forth. Candidates should be willing to send copies of publications, if requested. - A summary of your research plan for the next 2 years, up to 5 pages length. It should explicitly address its place in the framework of the NeuroMat mission and research program ( http://neuromat.numec.prp.usp.br/scientific_project). - Any further information deemed relevant to the application. In addition to the above, we require at least 2 recommendation letters. Those should be mailed by the recommenders directly to *postdoc-appl(a)numec.prp.usp.br <postdoc-appl(a)numec.prp.usp.br>*. Candidates are encouraged to apply at their earliest convenience. Two independent evaluation rounds are planned: 1. On October 12, 2015. 2. On November 16, 2015. Appointments are expected to be effective within 2 to 6 months after evaluation date. Remark Approved candidates will be requested to expand their five-page research plan to a full two-year proposal. For the implementation of the fellowships, those proposals, together with all the application material received, will be submitted to FAPESP for final approval. -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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Programma "Mercati energetici e metodi quantitativi: un ponte tra Università e Aziende" (fwd)
by Tiziano Vargiolu 17 Sep '15

17 Sep '15

From: unponte2015 <unponte2015(a)stat.unipd.it> (ci scusiamo per eventuali mail multiple) Egr. dott./dott.ssa si segnala che e' stato pubblicato il programma del workshop "Mercati energetici e metodi quantitativi: un ponte tra Universit? e Aziende". L'evento avra' luogo presso l'Universita' di Padova, Palazzo Bo, Aula Nievo, il prossimo 8 Ottobre 2015. La partecipazione e' gratuita, ma limitata, a causa della scarsa disponibilita' di posti, ai primi 100 partecipanti iscritti seguendo la procedura indicata sul sito web dell'evento: http://www.unponte2015.stat.unipd.it/ Sperando di averla tra i partecipanti, la salutiamo cordialmente. Dott. Enrico Edoli (Phinergy srls) Prof. Francesco Lisi (Dipartimento di Scienze Statistiche, Universit? di Padova) Prof. Tiziano Vargiolu (Dipartimento di Matematica, Universit? di Padova) ----------------------------------------------------------------- unponte2015 email: unponte2015(a)stat.unipd.it web: http://www.unponte2015.stat.unipd.it/ ------------------------------------------------------------------

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Politecnico di Milano - Seminario Alois Kneip
by Laura M. Sangalli 16 Sep '15

16 Sep '15

Si avvisa che in data 30-09-2015, alle ore 14:30 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Alois Kneip Universitat Bonn Titolo: Nonparametric Registration to Low-Dimensional Functionspaces Abstract: Registration aims to decompose amplitude and phase variation of samples of curves. Phase variation is captured by warping functions which monotonically transform the domains of sample curves. Resulting registered curves should then only exhibit amplitude variation. Most existing registration method rely on aligning typical shape features like peaks or valleys to be found in each sample function. It is shown that this is not necessarily an optimal strategy for subsequent statistical data exploration and inference. In this context a major goal is to identify low dimensional linear subspaces of functions that are able to provide accurate approximations of the observed functional data. In this paper we present a registration method where warping functions are defined in such a way that the resulting registered curves span a low dimensional linear function space. Problems of identifiability are discussed in detail, and connections to established registration procedures are analyzed. The method is applied to real and simulated data. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Politecnico di Milano - Seminario Bill Sudderth
by Laura M. Sangalli 16 Sep '15

16 Sep '15

Si avvisa che in data 16-10-2015, alle ore 14:30 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Bill Sudderth School of Statistics, University of Minnesota Titolo: How to Control a Process to a Goal Abstract: Suppose that you have a fortune of $10 and seek to reach $100 by placing bets at xed odds on repetitions of a given event such as the appearance of red (or black) on each spin of a roulette wheel. What is the best strategy for you to reach your goal? What strategy will get you there in the least expected time? What if you are competing with another player? I will discuss these and related problems in both discrete and continuous time. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Seminario MASSIMINI (RGS, ADAMSS, CIMAB & Matematica Applicata)
by Giacomo Aletti (giacomo.aletti) 15 Sep '15

15 Sep '15

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, in collaborazione col centro ADAMSS e il CIMAB, il giorno lunedì 21 Settembre 2015, alle ore 14.30, nell'Aula Dottorato (primo piano) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Consciousness and complexity: from theory to practice" Marcello MASSIMINI Dipartimento di Scienze biomediche e cliniche 'Luigi Sacco' Università degli Studi di Milano Abstract: We usually assess another individual’s level of consciousness based on her/his ability to connect to the surrounding environment and produce appropriate responses. However, conscious experience can be entirely generated within the brain, even in the absence of any interaction with the external world; this happens almost every night, during dreaming, and may occur during certain forms of anesthesia as well as in brain-injured patients who emerge from coma and remain unresponsive. Hence, clinical and physiological evidence advocate the development of brain-based metrics that are independent on both sensory inputs and motor outputs. As an attempt in this direction, an empirical measure of brain complexity has been recently developed based on the electroencephalographic (EEG) response to a direct cortical perturbation with transcranial magnetic stimulation (TMS), the perturbational complexity index (PCI). Based on theoretical postulates, PCI gauges the conjoint presence of integration and information in the human brain, independently of sensory inputs and motor outputs. In a series of experiments, PCI was tested on TMS-evoked potentials recorded in healthy subjects during wakefulness, dreaming, NREM sleep, and different levels of sedation induced by different anesthetic agents (including the dissociative anesthetic ketamine), as well as in patients who emerged from coma and attained a stable diagnosis. Overall, PCI allows a reliable assessment of the level of consciousness at the individual level even in subjects who are fully disconnected from the surrounding environment on both the input and output side. These measurements are scientifically relevant in the context of the information integration theory of consciousness (IITC) and prompt further validation toward the development of a practical diagnostic test. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell:+39-340-9739142 **************** Per destinare il 5x1000 all'Universita' degli Studi di Milano: indicare nella dichiarazione dei redditi il codice fiscale 80012650158. http://www.unimi.it/13084.htm?utm_source=firmaMail&utm_medium=email&utm_con…

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Annuncio di seminario
by Ilia Negri 14 Sep '15

14 Sep '15

Dear all, I’m are glad to invite you to the following seminar. When: Thursday, September 19th, 2015, 14:30 Where: Department of Management, Economics and quantitative Methods, Via dei Caniana n. 2 – Room 15 Title: A stochastic maximal inequality, strict countability, and related topics Speaker: Yoichi Nishiyama (Waseda University, Tokyo) Abstract: As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using It\^o's formula, is presented. The main results are some weak convergence theorems for sequences of separable random fields of locally square-integrable martingales under the uniform topology with the help also of entropy methods. As special cases, some new results for i.i.d. random sequences, including a new Donsker theorem and a moment bound for suprema of empirical processes indexed by classes of sets or functions, are obtained. An application to statistical estimation in semiparametric models is presented with an illustration to construct adaptive estimators in Cox's regression model. Ilia Negri http://www.unibg.it/pers/?ilia.negri

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DRM2015 - deadline approaching
by fabio.bellini 14 Sep '15

14 Sep '15

Dear colleagues, let me recall that tomorrow is the deadline for submitting an abstract to the "Dependence and Risk Measures" conference that will take place on November 12-13 at the University of Milano-Bicocca. Further informations: https://sites.google.com/site/dependenceriskmeasures/ Best regards Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca

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Seminario Prof. Jorge P. Zubelli
by Sabrina Mulinacci 13 Sep '15

13 Sep '15

Carissimi tutti, segnalo il seguente seminario del Prof. Jorge P. Zubelli, dell'IMPA di Rio de Janeiro che si terrà in Aula 1 presso il Dipartimento di Scienze Statistiche “P. Fortunati” in Via Belle Arti 41, 40126 Bologna. Tutti gli interessati sono invitati a partecipare Un caro saluto Sabrina Mulinacci ********************************************************************* Prof. Jorge P. Zubelli, dell'IMPA di Rio de Janeiro Titolo del seminario: "Calibration of Local Volatility Models from Option Data for Commodities." Abstract: Local volatility models are extensively used and well-recognized for hedging and pricing in financial markets. They are frequently used, for instance, in the evaluation of exotic options so as to avoid arbitrage opportunities with respect to other instruments. Derivatives for commodities are extensively traded instruments in financial markets, especially in energy and oil ones. They are particularly challenging since the spot prices are not directly observable, thus requiring a further modeling effort. The ill-posed character of local volatility surface calibration from market prices requires the use of regularization techniques either implicitly or explicitly. Such regularization techniques have been widely studied for a while and are still a topic of intense research. We have employed convex regularization tools and recent inverse problem advances to deal with the local volatility calibration problem. In this talk we shall describe ongoing work on the use local volatility models in the context of commodity markets, in particular applied to energy and oil ones. This work is part of ongoing collaboration with V. Albani (Vienna), U. Ascher (Toronto), and Xu Yang (IMPA).

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seminario Patrick Beissner
by Emanuela Rosazza 11 Sep '15

11 Sep '15

Cari tutti, martedì 15 settembre alle ore 16 il Dott. Patrick Beissner (Bielefeld University, Germania) terrà in Bicocca (edificio U7- aula 2062 (aula demografica) – secondo piano) un seminario dal titolo “Asset Pricing and Bubbles under Sentiment-Based Expectations”. Abstract: We propose a formal theory of asset pricing that allows us to explain how sentiments in the market may influence price formation. A fully nonlinear expectation captures behavioral market sentiments in terms of waves between optimism and pessimism. The approach follows the standard procedure by extracting some stochastic Euler equation from a representative agent equilibrium model. Preferences are represented through sentiment-based expected utility. In equilibrium, the resulting asset price process can then be described by a new (nonlinear) conditional sentiment-based expectation. In a final step, we observe the possible emergence of a bubble that is induced by disagreement of optimism and pessimism for the market relevant pricing measures. Joint work with Patrick Cheridito. 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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Seminario Dr. Cosetta Minelli - Mendelian Randomisation - 12 ottobre 2015
by Alessandro Marcon 11 Sep '15

11 Sep '15

Gentilissimi/e, vi invio un avviso di seminario, con preghiera di massima diffusione. Sede del seminario: Istituti Biologici 2, Università di Verona, strada Le Grazie 8 (VERONA). Distinti saluti, Alessandro Marcon Alessandro Marcon, PhD Unit of Epidemiology & Medical Statistics Department of Diagnostics and Public Health University of Verona Strada Le Grazie 8, 37134 Verona, Italy tel. +39 045 8027668 Avviso di SEMINARIO Lunedì 12 ottobre 2015 ore 11.00-11.45 Aula Igiene & Statistica (Istituti Biologici 2, blocco B, secondo piano) Dr. Cosetta Minelli Senior Lecturer in Medical Statistics, National Heart and Lung Institute, Imperial College London *Mendelian randomization: * *The use of genes as instruments to strengthen causal inference in epidemiology* Mendelian randomization is an approach that uses genes as instrumental variables to derive unconfounded estimates of the effects of risk factors (e.g. biomarkers) on disease traits, and is therefore increasingly being used in epidemiology to distinguish causal from spurious associations. Since genes are randomly allocated at conception, genetic effects on a biomarker cannot be affected by classical confounding (e.g. lifestyle factors) or reverse causation (e.g. biomarker level being influenced by the presence of disease). Demonstration that a genetic variant known to modify the biomarker also modifies the disease trait represents indirect evidence of a causal biomarker-disease association. The validity of Mendelian Randomization, however, is based on instrumental variable assumptions, the most important being absence of pleiotropy. This talk will describe the approach, discuss ways to assess pleiotropy, highlight opportunities and challenges offered by available genome-wide data, and discuss its extension to the field of epigenetics (two-step epigenetic Mendelian randomization).

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Fwd: SYMMYS
by Tiziano Vargiolu 10 Sep '15

10 Sep '15

---------- Forwarded message ---------- From: Elisa Appolloni <elisa.appolloni(a)symmys.com> Date: 2015-09-10 9:52 GMT+02:00 Subject: SYMMYS To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Dear Professor Vargiolu I am reaching out to you because at SYMMYS (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? Interested candidates can send me an email at elisa.appolloni(a)symmys.com. Thank you, Elisa Appolloni The company SYMMYS, LLC (www.symmys.com) is a privately held research institution based in New York City, directed by Attilio Meucci. SYMMYS? mission is to spread Advanced Risk and Portfolio Management (ARPM) ideas and techniques in the financial industry and in academia. The opportunity SYMMYS is looking for new consultants for its research project in Advanced Risk and Portfolio Management (ARPM). 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 SYMMYS team. The position represents an excellent academic experience for applicants who intend to pursue a PhD, which SYMMYS 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, Economics or Computer Sciences - Good knowledge of calculus, linear algebra, statistics, probability, financial mathematics - Proficiency in LaTeX - Proficiency in MATLAB - Proficiency in programming languages, such as C/C++, JavaScript, Python, or similar (knowledge of Python, IPython and/or IPython Notebook are beneficial) [cleardot.gif] - Working knowledge of English Compensation 22,000 euros per year, paid monthly -- www.SYMMYS.com - Advanced Risk and Portfolio Management? -- www.SYMMYS.com - Advanced Risk and Portfolio Management?

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de Finetti Risk seminar - september 2015
by Emanuela Rosazza 08 Sep '15

08 Sep '15

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: Project Evaluation under Uncertainty: From Minimal Martingale Measures to Implementation. Speaker: Jorge P. Zubelli (IMPA) Abstract: Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options. The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. This leads to interesting numerical analysis questions and to connections with BSDEs. LOCATION: The seminar will be held on Thursday, September 17, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Take note that de Finetti Risk Seminars will be held on Thursday only for this talk, while they are usually planned on Wednesday. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) 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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Visita del Prof. Claudio Macci
by giuliano＠dm.unipi.it 07 Sep '15

07 Sep '15

Il Prof, Claudio Macci, dell'Universita' di Roma Tor Vergata, sara' ospite del Dipartimento di Matematica nei giorni 22-23-24 settembre. Terra' un seminario dal titolo "Asymptotic results for runs and empirical cumulative entropies" Data ora, aula del seminario saranno comunicate non appena possibile. Tutti gli interessati sono invitati a partecipare Rita Giuliano

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Seminario Mingyuan ZHOU
by Matteo Ruggiero 04 Sep '15

04 Sep '15

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Mercoledi 9 Settembre 2015 alle ore 12:30, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Mingyuan ZHOU (University of Texas at Austin) THE POISSON GAMMA BELIEF NETWORK Abstract: A key issue in deep learning is to define an appropriate network structure, including both the depth of the network and the width of each hidden layer, which may be naturally addressed with completely random measures. We propose the Poisson gamma belief network (PGBN), which factorizes each of its layers into the product of a connection weight matrix and the nonnegative real hidden units of the next layer, to infer a multilayer representation of high-dimensional count vectors. We use the gamma-negative binomial process together with a layer-wise training strategy to infer the network structure, allowing the width of each hidden layer to grow without bound. We further demonstrate that with a fixed budget on the width of the first layer, the PGBN can increase its number of hidden layers to boost its performance. We propose an efficient upward-downward Gibbs sampler to jointly train all the hidden layers of the PGBN, with example results on text analysis illustrating its efficacy and unique properties. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Assistant Professor with tenure track RTDB politecnico di milano (fwd)
by Carlo Sgarra 03 Sep '15

03 Sep '15

Politecnico di Milano opened a public selection procedure to recruit one Researcher (RTDB Senior) for sector 13 / D4 - Mathematical Methods for Economics, Actuarial and Financial Science http://www.polimi.it/index.php?id=6196&tx_wfqbe_pi1[ID]=219&L=1 Please circulate the information to all those who might be interested. The deadline is October 20 Carlo Sgarra

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International Conference on "Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk" in Venice - Programme
by Monica Billio 02 Sep '15

02 Sep '15

14th INTERNATIONAL CONFERENCE C R E D I T 2015 *Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk* Venice, Italy 1 - 2 October 2015 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 *Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk* 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 *fourteenth* of a series dedicated to various aspects of credit risk. The *co-sponsors* of the Conference are *GRETA Associati* (Venice, Italy), *Research Center SAFE *at Goethe University Frankfurt (Frankfurt, Germany), the *University of Zurich* (Zurich, Switzerland) and *Intesa Sanpaolo *(Milan, Italy). 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.* The Scientific Committee for the Conference consists of: *Steven Ongena* (University of Zurich, Programme Chair), *Mark Carey (*Board of Governors of the Federal Reserve System), *Hans Degryse* (KU Leuven), *Jan Krahnen* (SAFE & Goethe University), *André Lucas* (VU University Amsterdam), *Loriana Pelizzon* (SAFE, Goethe University & Ca’ Foscari University of Venice) and *Stephen Schaefer* (London Business School). PROGRAMME Thursday, October 1 2015 9.00 - 9.15_Welcome and Opening Remarks _Monica Billio (Ca’ Foscari University of Venice) Steven Ongena (University of Zurich & Swiss Finance Institute, CREDIT 2015 Programme Chair) 9.15 - 11.00_Session I: Organization and Risk_ Key-note talk: /Information, Credit and Organization,/ Vikrant Vig (London Business School) /Financial Synergies and the Organization of Bank Affiliates: A Theoretical Perspective on Risk and Efficiency, /Elisa Luciano (University of Torino) and Clas Wihlborg (Chapman University) - Discussant: Jean-Edouard Colliard (HEC Paris) /Restructuring Failure and Optimal Capital Structure, /Alfred Lehar (University of Calgary) - Discussant: Jan Pieter Krahnen**(SAFE & Goethe University Frankfurt) 11.45 - 13.00_Session II: Systemic Risk_ Key-note talk: /Risk Premia in Loan Markets,/ Mark Carey (Board of Governors of the Federal Reserve System) /Soft Budget Constraints and Systemic Risk, /Alan D. Morrison (University of Oxford) and Ansgar Walther (University of Oxford) - Discussant: Alessandro Fontana**(Joint Research Center, European Commission) 14.15 - 15.15_Session III: Securitization_ /Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment, /Matthias Efing (Swiss Finance Institute & University of Geneva) - Discussant: Stephen Schaefer**(London Business School) /Securitisation, Bank Capital and Financial Regulation: Evidence from European Banks, /Alessandro Diego Scopelliti (University of Warwick & University of Reggio Calabria) - Discussant: André Lucas**(VU University Amsterdam & Tinbergen Institute) 15.15 - 16.15**_Poster Session 1 _16.15 - 18.00_Session IV: Housing Credit Risk_ Key-note talk: /Beyond Mortgages: Equity Financing of Homes,/ Hayne Leland (University of California, Berkeley) /Loan Product Steering in Mortgage Markets, /Sumit Agarwal (National University of Singapore), Gene Amromin (Federal Reserve Bank of Chicago), Itzhak Ben-David (Ohio State University) and Douglas D. Evanoff (Federal Reserve Bank of Chicago) - Discussant: Geng Li**(Board of Governors of the Federal Reserve System) /Loan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class, /Manuel Adelino (Duke University, Durham), Antoinette Schoar (MIT Sloan School of Management, Cambridge & NBER) and**Felipe Severino**(Dartmouth, Hanover) - Discussant: Isaac Hacamo**(Indiana University, Bloomington) Friday, October 2 2015 9.00 - 10.30_Session V: Information Asymmetries_ /Rating Agencies and Information Efficiency: Do Multiple Credit Ratings Pay Off? The Case of RMBS Rating Migration, /Stefan Morkoetter (University of St. Gallen), Roman Stebler (University of St. Gallen) and Simone Westerfeld (University of Applied Sciences Northwestern Switzerland) - Discussant: Douglas T. Breeden**(Duke University) /Show Me Yours and I’ll Show You Mine: Sharing Borrower Information in a Competitive Credit Market, /Jaap Bos (Maastricht University), Ralph De Haas (EBRD and Tilburg University) and Matteo Millone (VU University Amsterdam) - Discussant: Reinhard Schmidt**(SAFE & Goethe University Frankfurt) /Information, Contract Design, and Unsecured Credit Supply: Evidence from Credit Card Mailings, /Song Han (Board of Governors of the Federal Reserve System), Benjamin J. Keys (University of Chicago) and Geng Li (Board of Governors of the Federal Reserve System) - Discussant: Arjen Siegmann (VU University Amsterdam) 11.15 - 13.00_Session VI: Interbank Market and Liquidity Risk_ Key-note talk: /Central Bank Policies and Bank Credit Risk,/ Viral Acharya (New York University) /Lending-of-last-resort Is as Lending-of-last-resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area, /Carlos Garcia de Andoain (European Central Bank), Florian Heider (European Central Bank), Marie Hoerova (European Central Bank) and Simone Manganelli (European Central Bank) - Discussant: Marti G. Subrahmanyam**(New York University) / The Euro Interbank Repo Market, /Loriano Mancini (Swiss Finance Institute), Angelo Ranaldo (University of St. Gallen) and Jan Wrampelmeyer (University of St. Gallen) - Discussant: Alain Monfort**(CREST & Banque de France) 14.30 - 15.30_Session VII: Inequality and Credit Risk_ /Does Inequality Cause Financial Distress? Evidence from Lottery Winners and Neighboring Bankruptcies, /Sumit Agarwal (National University of Singapore), Vyacheslav Mikhed (Federal Reserve Bank of Philadelphia) and Barry Scholnick (University of Alberta) - Discussant: Roger M. Stein (MIT Laboratory for Financial Engineering, Cambridge) /Conflicting Security Laws and The Democratization of Credit: France's Reform of the Napoleonic Code, /Kevin Aretz (Manchester Business School), Murillo Campello (Cornell University & NBER) and Maria-Teresa Marchica (Manchester Business School) - Discussant: Matteo Millone (VU University Amsterdam) 15.30 - 16.30_Poster Session 2 _16.30 - 18.00_PANEL Session _ 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/credit2015/credit2015.htm <http://www.greta.it/credit/credit2015/credit2015.htm>). Registration fees are: Academics: 300 Euro + VAT Practitioners: 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT PhD Students*: 130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on October 1st, 2015, 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/credit2015/credit2015.htm <http://www.greta.it/credit/credit2015/credit2015.htm> -- "Nota automatica aggiunta dal sistema di posta. Destina il 5 per mille per sostenere con borse di studio gli studenti meritevoli di Ca' Foscari. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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PhD Position in probability at the University of Cologne
by Pietro Caputo 28 Aug '15

28 Aug '15

Inoltro dal Prof. Alexander Drewitz: Dear Prof. Caputo, I would like to ask you to draw the attention of suitably qualified MSc students to the opening of a PhD student position in probability at the University of Cologne, see https://www.stellenwerk-koeln.de/uploads/tx_exinitswkjobs/wissMA_Mathematis… For simplicity you also find a text version of the opening below. Many thanks in advance and best regards Alexander Drewitz ___________________________________________________________________________ The Institute of Mathematics at the University of Cologne (UoC) is pleased to announce a PhD-Student (m/f) position to be filled as soon as possible. The position is a 50% position; the salary is based on the German TVL-13 scale if terms and conditions under collective bargaining law are fulfilled. The initial appointment is for three years and can be extended up to five years. We are looking for a talented and motivated Ph.D. candidate to carry out research in probability theory motivated by problems from statistical physics. The job profile also includes teaching responsibilities in the group of Prof. Alexander Drewitz, such as organizing tutorials/ seminars as well as supervising students. We require an excellent MSc degree in Mathematics (or similar), as well as a profound knowledge of probability theory. A working knowledge of German is either expected or otherwise to be acquired at the beginning of the appointment. The University of Cologne is an equal opportunity employer in compliance with the German disability laws. Persons with disabilities with equal capability, suitability and professional experience are favored and strongly encouraged to apply. Women with equal capability, suitability and professional experience are favored and strongly encouraged to apply. Interested candidates are invited to submit their applications (in English or German) including a cover letter, CV, copies of relevant transcripts, as well as the names and contact details of two academic referees preferably by email (both to drewitz(a)math.uni-koeln.de and handerka(a)math.uni-koeln.de) as a single pdf-file. Applications received before September 30, 2015 will be fully considered. Please contact the office of Prof. Drewitz (Mrs. Heidi Anderka, email: handerka(a)math.unikoeln.de) for further information.

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Winter school on Stochastic Homogenization in Augsburg
by Marco Romito 17 Aug '15

17 Aug '15

We are happy to announce a winter school on Stochastic Homogenization to be held at the university of Augsburg in Germany, for three full days from February 17 to February 19, 2016. The main course will be given by Felix Otto and additional lectures presented by Scott Armstrong and Antoine Gloria. There will also be a limited number of short contributed talks. The school is intended mainly for PhD students and early stage researchers, but open for everyone. Registration is free, but participants are required to register in advance, for organizational purposes. Further information on the school and deadlines (partial financial support, submission of an abstract for the contributed talks) can be found on the web page of the winter school: http://www.math.uni-augsburg.de/de/prof/ana/Tagungen/Winter-School-Stochast… Looking forward to see you in Augsburg. Best regards, The organizers Lisa Beck, Dirk Blömker, Franco Flandoli and Marco Romito

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PhD in Financial Mathematics at the Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 09 Aug '15

09 Aug '15

The CALL FOR APPLICATIONS FOR ADMISSION TO the PhD PROGRAM in Financial Mathematics at the Scuola Normale Superiore is open (see http://phd.sns.it/en/). For the Autumn session three scholarships are available. The deadline for the application to the Spring session is August 31, 2015. Request of information can be addressed to me. Sincerely, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa Piazza dei Cavalieri 7 56126 Pisa ITALY Check the new website: fabriziolillo.wordpress.com phone: +39 050509159

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PhD Position at Sussex
by Enrico Scalas 06 Aug '15

06 Aug '15

Car* collegh*, vi trasmetto questo annuncio per una borsa di dottorato con aspetti statistici e probabilistici presso il dipartimento di matematica dell'Universita' del Sussex. Vi prego di farla circolare tra studentesse e studenti potenzialmente interessate. Cordiali saluti Enrico Scalas -- Dear all, Please advertise/send this opportunity to any interested students. The tile of the project is “Characterisation and prediction of events in large dynamic networks” and it supervised by my colleague, Dr Luc Berthouze in Informatics, and I. All the details are available at: http://www.jobs.ac.uk/job/ALO658/characterisation-and-prediction-of-events-… http://www.sussex.ac.uk/study/money/scholarships/pgr2015/view/455 Thank you for your help in this matter and I wish you a lovely Summer. Istvan Kiss. ------------------------------------------------------ Dr Istvan Zoltan Kiss Reader in Mathematics Department of Mathematics University of Sussex Pevensey III-5C6, Falmer Brighton, BN1 9QH, UK Tel: +44(0)1273873021 Mob: +44(0)7890127099 Email: i.z.kiss(a)sussex.ac.uk http://www.maths.sussex.ac.uk/~izkiss/ http://www.sussex.ac.uk/profiles/211073 ------------------------------------------------------

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borsa di studio
by Sara Pasquali 06 Aug '15

06 Aug '15

A tutti i possibili interessati. All'indirizzo http://www.izsler.it/pls/izs_bs/v3_s2ew_consultazione.mostra_pagina?id_pagi… e' stato pubblicato ieri il bando per una borsa di studio dell'Istituto Zooprofilattico Sperimentale della Lombardia e dell'Emilia Romagna (Brescia) sui seguenti temi: - Modellazione matematica di sistemi di popolazioni - Elementi di eco-epidemiologia: approcci quantitativi e aspetti applicativi di tipo sanitario, biomedico ed ambientale - Analisi dei dati spaziali ed elementi di biostatistica Scadenza del bando: 24 agosto 2015. Titolo richiesto: LAUREA MAGISTRALE IN SCIENZE MATEMATICHE (LM40) 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@mi.imati.cnr.it ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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Fwd: post-doc position in Cardiff
by Marco Romito 05 Aug '15

05 Aug '15

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Fwd: 6 PhD fellowship for PhD in Mathematics and Models in L'Aquila
by ida.minelli＠dm.univaq.it 04 Aug '15

04 Aug '15

---------------------------- Original Message ---------------------------- Subject: 6 PhD fellowship for PhD in Mathematics and Models in L'Aquila From: dottorato_mate_mode(a)dm.univaq.it Date: Sat, July 18, 2015 6:00 pm To: -------------------------------------------------------------------------- DO NOT REPLY TO THIS ADDRESS PLEASE DIFFUSE BETWEEN INTERESTED PEOPLE 6+2 fellowships for the PhD program in: Mathematics and Models Dipartimento di Ingegneria e Scienze dell'Informazione e Matematica, L'AQUILA Italy Information and details on: http://www.univaq.it/en/section.php?id=1782&lang_s=en Deadline: August, 27 2015 -13 pm (local time) APPLICATIONS ON LINE ONLY. DO NOT SEND ANYTHING IN DIFFERENT WAYS, IT WILL NOT GET ANY CONSIDERATION FOLLOW THE RULES GIVEN IN ART.5 OF THE ANNOUNCEMENT For information please contact: dottorato.ricerca(a)cc.univaq.it Some informations are in attachment.

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PhD Studentship on Large deviation principles for Random walks in Random potential
by Enrico Scalas 30 Jul '15

30 Jul '15

Car* collegh*, al Sussex abbiamo a disposizione fondi per un progetto di dottorato di probabilita'. Maggiori informazioni sono disponibili a partire dal nostro sito: http://www.sussex.ac.uk/study/money/scholarships/pgr2015/view/535 Per comodita' riporto l'annuncio qui sotto. Vi prego di farlo circolare tra le persone potenzialmente interessate. Cordiali saluti e grazie in anticipo, Enrico Scalas -- PhD Studentship on Large deviation principles for Random walks in Random potential We are pleased to offer this fully-funded PhD studentship, available in the Department of Mathematics at University of Sussex. The project aims to understand the behaviour of various `rare events' associated with aspects of three types of growth processes, namely first and last passage percolation or random walks in random potential. In random spatial processes such as these, we have always two sources of randomness. First, we have a background random environment on a lattice that creates the `random medium' and then, under a fixed environment, we define a measure on lattice paths. The goal of the proposed project is to understand not only the typical, but most importantly the atypical behaviour of these path measures and the paths themselves, under various conditions on the random environment. The usual techniques necessary for such endeavours are drawn from various areas of Analysis (Real, Complex, Convex and Functional) and probabilistic techniques that when not completely general, are usually model dependent. The PhD project will be under the supervision of Dr Nicos Georgiou.

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Fwd: dottorato in Matematica a Pisa - pubblicazione bando
by Marco Romito 28 Jul '15

28 Jul '15

m.

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Prova
by Carlo Sgarra 28 Jul '15

28 Jul '15

Messaggio di prova per Marco e Francesco. Carlo Sgarra

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International Conference on "Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk" in Venice - Programme
by Monica Billio 26 Jul '15

26 Jul '15

14th INTERNATIONAL CONFERENCE C R E D I T 2015 *Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk* Venice, Italy 1 - 2 October 2015 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 *Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk* 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 *fourteenth* of a series dedicated to various aspects of credit risk. The *co-sponsors* of the Conference are *GRETA Associati* (Venice, Italy), *Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt* (Frankfurt, Germany), the *University of Zurich* (Zurich, Switzerland) and *Intesa Sanpaolo *(Milan, Italy). 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.* The Scientific Committee for the Conference consists of: *Steven Ongena* (University of Zurich, Programme Chair), *Mark Carey (*Board of Governors of the Federal Reserve System), *Hans Degryse* (KU Leuven), *Jan Krahnen* (Goethe University), *André Lucas* (VU University Amsterdam), *Loriana Pelizzon* (Ca’ Foscari University of Venice and Goethe University) and *Stephen Schaefer* (London Business School). PROGRAMME Thursday, October 1 2015 9.00 - 9.15_Welcome and Opening Remarks _Monica Billio (Ca’ Foscari University of Venice) Steven Ongena (University of Zurich & Swiss Finance Institute, CREDIT 2015 Programme Chair) 9.15 - 11.00_Session I: Organization and Risk_ Key-note talk: Vikrant Vig (London Business School) /Financial Synergies and the Organization of Bank Affiliates: A Theoretical Perspective on Risk and Efficiency, /Elisa Luciano (University of Torino) and Clas Wihlborg (Chapman University) /Restructuring Failure and Optimal Capital Structure, /Alfred Lehar (University of Calgary) 11.45 - 13.00_Session II: Systemic Risk_ Key-note talk: Mark Carey (Board of Governors of the Federal Reserve System) /Soft Budget Constraints and Systemic Risk, /Alan D. Morrison (University of Oxford) and Ansgar Walther (University of Oxford) 14.15 - 15.15_Session III: Securitization_ /Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment, /Matthias Efing (Swiss Finance Institute & University of Geneva) /Securitisation and Risk Retention in European Banking: The Importance of Collateral and Prudential Regulation, /Alessandro Diego Scopelliti (University of Warwick) 15.15 - 16.15**_Poster Session 1 _16.15 - 18.00_Session IV: Housing Credit Risk_ Key-note talk: Hayne Leland (University of California, Berkeley) /Loan Product Steering in Mortgage Markets, /Sumit Agarwal (National University of Singapore), Gene Amromin (Federal Reserve Bank of Chicago), Itzhak Ben-David (Ohio State University) and Douglas D. Evanoff (Federal Reserve Bank of Chicago) /Changes in Buyer Composition and the Expansion of Credit During the Boom, /Manuel Adelino (Duke University, Durham), Antoinette Schoar (MIT Sloan School of Management, Cambridge & NBER) and**Felipe Severino**(Dartmouth, Hanover) Friday, October 2 2015 9.00 - 10.30_Session V: Information Asymmetries_ /Rating Agencies and Information Efficiency: Do Multiple Credit Ratings Pay Off? The Case of RMBS Rating Migration, /Stefan Morkoetter (University of St. Gallen), Roman Stebler (University of St. Gallen) and Simone Westerfeld (University of Applied Sciences Northwestern Switzerland) /Show Me Yours and I’ll Show You Mine: Sharing Borrower Information in a Competitive Credit Market, /Jaap Bos (Maastricht University), Ralph De Haas (EBRD and Tilburg University) and Matteo Millone (VU University Amsterdam) /Unsecured Credit Supply over the Credit Cycle: Evidence from Credit Card Mailings, /Song Han (Board of Governors of the Federal Reserve System), Benjamin J. Keys (University of Chicago) and Geng Li (Board of Governors of the Federal Reserve System) 11.15 - 13.00_Session VI: Interbank Market and Liquidity Risk_ Key-note talk: Viral Acharya (New York University) /Lending-of-last-resort Is as Lending-of-last-resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area, /Carlos Garcia de Andoain (European Central Bank), Florian Heider (European Central Bank), Marie Hoerova (European Central Bank) and Simone Manganelli (European Central Bank) / The Euro Interbank Repo Market, /Loriano Mancini (Swiss Finance Institute), Angelo Ranaldo (University of St. Gallen) and Jan Wrampelmeyer (University of St. Gallen) 14.30 - 15.30_Session VII: Inequality and Credit Risk_ /Does Inequality Cause Financial Distress? Evidence from Lottery Winners and Neighboring Bankruptcies, /Sumit Agarwal (National University of Singapore), Vyacheslav Mikhed (Federal Reserve Bank of Philadelphia) and Barry Scholnick (University of Alberta) /Conflicting Security Laws and The Democratization of Credit: France's Reform of the Napoleonic Code, /Kevin Aretz (Manchester Business School), Murillo Campello (Cornell University & NBER) and Maria-Teresa Marchica (Manchester Business School) 15.30 - 16.30_Poster Session 2 _16.30 - 18.00_PANEL Session _ 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/credit2015/credit2015.htm <http://www.greta.it/credit/credit2015/credit2015.htm>). Registration fees are: Early registrationLate registration (within August 31st)(from September 1st on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT500 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on October 1st, 2015, 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/credit2015/credit2015.htm <http://www.greta.it/credit/credit2015/credit2015.htm> * Please accept our apologies for any crossed e-mails. 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/> -- This message has been scanned for viruses and dangerous content by *MailScanner* <http://www.mailscanner.info/>, and is believed to be clean. -- "Nota automatica aggiunta dal sistema di posta. Destina il 5 per mille per sostenere con borse di studio gli studenti meritevoli di Ca' Foscari. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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Postdoc position at Roma Tre
by Pietro Caputo 23 Jul '15

23 Jul '15

Dear Colleague, We would like to draw your attention to two 1-year postdoc positions (assegni di ricerca) based at the Department of Mathematics and Physics of the University of Roma Tre. The first position is focused on Mathematical Physics, more specifically on many-body quantum mechanics and effective theories for condensed matter systems, and it is funded through the FIR grant COND-MATH ("Condensed Matter in Mathematical Physics", principal investigator: Michele Correggi, website www.cond-math.it ). Contact person: M. Correggi michele.correggi(a)gmail.com The second position, funded through the joint project Roma Tre-Marseille "HYPATIE A*MIDEX", has a wider focus and it is open to candidates with a strong background either in Probability Theory (random matrices, random graphs, interacting particle systems, Markov chains) and/or Mathematical Physics (mathematical statistical physics, dynamical systems and quantum mechanics). The local group in Roma Tre active in the above topics include P. Caputo, G. Gentile, A. Giuliani, F. Martinelli, A. Pellegrinotti and E. Scoppola. For this position the detailed research project will be agreed on with the team members. Contact person: A. Giuliani giuliani(a)mat.uniroma3.it Both appointments are for 1 year, starting at the beginning of 2016. The calls will be opened in October 2015 and the examinations of the cv's and the interviews will take place in November/December 2015. Please forward the above information to potentially interested candidates. Thank you in advance, Best regards, Pietro Caputo, Michele Correggi, Guido Gentile, Alessandro Giuliani, Fabio Martinelli, Alessandro Pellegrinotti, Elisabetta Scoppola

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Postdoc positions
by Marco Scarsini 22 Jul '15

22 Jul '15

The Department of Economics and Finance at LUISS has two postdoc positions in the area of Applied Mathematics: 1. Mathematical Models for the Study of Heterogeneous Systems and the Management of Renewable Resources: Stochastic Case 2. Games on Networks Under Uncertainty The application deadline is 2015 September 4. Details can be found at http://tinyurl.com/qeayc2x ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Fwd: 3rd Barcelona Summer School on Stochastic Analysis - July 2016 - CRM
by Marco Romito 20 Jul '15

20 Jul '15

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XXXI ciclo - dottorato di ricerca Univ.Salento e Univ.Basilicata - Bando
by DI NARDO Elvira 19 Jul '15

19 Jul '15

L'Università del Salento, in convenzione con l'Università degli Studi della Basilicata, ha bandito 7 posti di dottorato, di cui 6 con borsa e 1 senza borsa IN “MATEMATICA E INFORMATICA” Tematiche di ricerca • Algebra: Teoria dei gruppi e delle algebre, combinatoria e teoria delle rappresentazioni. • Geometria: Geometria combinatoria, geometria differenziale. • Analisi Matematica: Calcolo delle variazioni, equazioni alle derivate parziali, analisi funzionale, analisi complessa. • Probabilità e Statistica Matematica: Teoria dei processi stocastici, copule e statistica multivariata; applicazioni alla finanza, biostatistica, teoria dei segnali. • Fisica Matematica: Termodinamica dei sistemi continui, relatività generale e cosmologia. • Analisi Numerica: Teoria dell'approssimazione, trattamento numerico di equazioni differenziali ed integrali. • Informatica: Basi di dati, ingegneria del software, algoritmi, grafica, reti e sistemi distribuiti. Le informazioni relative al bando si trovano su: https://www.unisalento.it/c/document_library/get_file?p_l_id=256165&folderI… La scadenza per la presentazione delle domande è il 3 Agosto 2015. La selezione avverrà per valutazione dei titoli e colloquio: - la prova scritta si terrà il giorno 9 settembre 2015 alle ore 15.00 - il colloquio si terrà il giorno 11 settembre 2015, a partire dalle ore 15.00 Con preghiera di massima diffusione soprattutto fra gli studenti. Cordiali Saluti Elvira Di Nardo -- ...................................................... Elvira Di Nardo Dept. Mathematics, Computer Science and Economics University of Basilicata Viale dell'Ateneo Lucano 10 I-85100 (Potenza) alternative address: dinardo.el(a)gmail.com (room) +390971205890 (cell.) +393470033068 (fax) + 390971205896 (skype) elvira.di.nardo (web) http://oldwww.unibas.it/utenti/dinardo/home.html ......................................................

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Austrian Stochastic Days
by Carlo Sgarra 16 Jul '15

16 Jul '15

Inoltro il seguente annuncio per chi fosse eventualmente interessato. Cordiali Saluti. Carlo Sgarra Dipartimento di Matematica Politecnico di Milano Dear Colleagues, We would like to invite you to participate in the 4th Austrian Stochastics Days https://fam.tuwien.ac.at/asd2015/ which will be held in Vienna from 28th to 29th of September 2015. Our invited speakers will be Evelyn Buckwar (Johannes Kepler University Linz) Jirí Cerný (University of Vienna) This event shall especially give young researchers the opportunity to present their work and to network with other colleagues from or near Austria. Therefore, we would also ask you to PLEASE FORWARD this announcement to doctoral students and postdocs within your research group and department! Thank you. Every participant is invited to submit a talk. The duration of talks is expected to be about 20 minutes (plus 5 minutes discussion) but depending upon the number of submissions this may slightly be adjusted (+/- 5 minutes). For submission please send title and abstract (plain text) to austrian.stochasticdays(a)gmail.com<mailto:austrian.stochasticdays@gmail.com> until August 15, 2015. We would appreciate if you send in your title/abstract as early as possible as this allows us to estimate the number of participants better. In order to have time to talk to each other we also plan to meet for dinner in the evening of the 28th of September. For more information please visit: https://fam.tuwien.ac.at/asd2015/ Best regards and looking forward seeing you, Friedrich Hubalek and Christian Kühn (Vienna University of Technology) [https://ssl.gstatic.com/ui/v1/icons/mail/images/cleardot.gif]

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Austrian Stochastic Days
by Carlo Sgarra 16 Jul '15

16 Jul '15

Inoltro il seguente annuncio per chi fosse eventualmente interessato. Cordiali Saluti. Carlo Sgarra Dipartimento di MATEMATICA Politecnico di Milano Dear Colleagues, We would like to invite you to participate in the 4th Austrian Stochastics Days https://fam.tuwien.ac.at/asd2015/ which will be held in Vienna from 28th to 29th of September 2015. Our invited speakers will be Evelyn Buckwar (Johannes Kepler University Linz) Jiří Černý (University of Vienna) This event shall especially give young researchers the opportunity to present their work and to network with other colleagues from or near Austria. Therefore, we would also ask you to PLEASE FORWARD this announcement to doctoral students and postdocs within your research group and department! Thank you. Every participant is invited to submit a talk. The duration of talks is expected to be about 20 minutes (plus 5 minutes discussion) but depending upon the number of submissions this may slightly be adjusted (+/- 5 minutes). For submission please send title and abstract (plain text) to austrian.stochasticdays(a)gmail.com until August 15, 2015. We would appreciate if you send in your title/abstract as early as possible as this allows us to estimate the number of participants better. In order to have time to talk to each other we also plan to meet for dinner in the evening of the 28th of September. For more information please visit: https://fam.tuwien.ac.at/asd2015/ Best regards and looking forward seeing you, Friedrich Hubalek and Christian Kühn (Vienna University of Technology)

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Avviso di seminario :: Maggioni@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 15 Jul '15

15 Jul '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Martedì 21 Luglio, ore 11:30am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma MAURO MAGGIONI (Duke University, Department of Mathematics) terrà un seminario dal titolo MULTISCALE GEOMETRIC METHODS FOR STATISTICAL LEARNING AND DATA IN HIGH-DIMENSIONS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- ABSTRACT We discuss a family of ideas, algorithms, and results for analyzing various new and classical problems in the analysis of high-dimensional data sets. These methods rely on the idea of performing suitable multiscale geometric decompositions of the data, and exploiting such a decomposition to perform a variety of tasks in signal processing and statistical learning. In particular, we discuss the problem of dictionary learning, where one is interested in constructing, given a training set of signals, a set of vectors (dictionary) such that the signals admit a sparse representation in terms of the dictionary vectors. We discuss a multiscale geometric construction of such dictionaries, its computational cost and online versions, and finite sample guarantees on its quality. We then generalize part of this construction to other tasks, such as learning an estimator for the probability measure generating the data, again with fast algorithms with finite sample guarantees, and for learning certain types of stochastic dynamical system in high-dimensions. Applications to construction of multi-resolution dictionaries for images, with the incorporation of invariances, will be discussed. -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Marie Skłodowska-Curie Ph.D. studentship in Statistical Sciences at the University of Padua - Italy
by Patrizia Piacentini - PhD 13 Jul '15

13 Jul '15

As a partner of the Marie Skłodowska-Curie European Innovative Training Network called "Advanced Multivariate Analysis for New Physics Searches at the Large Hadron Collider" (AMVA4NewPhysics), the University of Padua offers a PhD scholarship in Statistical Sciences. The early-stage researcher recipient of the scholarship will be enrolled in the three-year PhD program offered by the Department of Statistical Sciences. The research will focus on statistical methods targeting the analysis of data from proton-proton collisions collected by the CMS experiment at the Large Hadron Collider operating at the CERN laboratory in Geneva, Switzerland. The research plan includes the participation to international doctoral schools, workshops, and conferences, as well as visiting periods to CERN and to other European institutions belonging to the Network, plus a three-month secondment at a non-academic institution, attending to a stage centered on industry applications of Machine Learning tools. *Eligibility criteria:*Candidates should have an at least four year full time university education degree in Statistics, Mathematics, Physics or related fields formally enabling them to embark in a doctorate program in the country where the degree was obtained; in any case they should possess a strong background in Statistics and Machine Learning. Additional favorable traits include good computing skills and an interest in the application of statistical methods to fundamental research. The application of females is encouraged as AMVA4NewPhysics applies affirmative-action measures to ensure gender equality in the recruitment process. In addition to the above, at the time of recruitment by University of Padova the eligible candidates must not have resided or carried out their main activity (work, studies, etc) in Italy for more than 12 months in the period October 1, 2012 to September 30, 2015 (short stays such as holidays are not taken into account).Eligible candidates must also be, at the time of recruitment, in the first four years (full-time equivalent) of their research careers and not yet have been awarded a doctoral degree. This is measured from the date when they obtained the degree which would formally entitle them to embark on a doctorate, either in the country in which the degree was obtained or in Italy, irrespective of whether or not a doctorate is envisaged. *Conditions:*The gross scholarship amounts to 3318 euros/month; in addition, a mobility allowance of euro 600/month is provided for, as well as a family allowance of euro 500/month if applicable. The cost of the doctoral courses, as well as all expenses related to travel to schools, workshops, and network-organized events, will be sustained by the network. Call for applications is expected to open in mid August; after a preselection, the most promising candidates will be invited to a colloquium by video-conference at the beginning of October. The PhD program is expected to start at the beginning of November 2015. Further information on the position and on the program of the AMVA4NewPhysics training network can be obtained at_https://homes.stat.unipd.it/giovannamenardi/content/amva4newphysics-0_ or by contacting Dr. Giovanna Menardi at menardi AT stat DOT unipd DOT it

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Seminario di Roberto Fernandez a Roma Tre Venerdi 10 ore 12:30
by Pietro Caputo 09 Jul '15

09 Jul '15

SEMINARIO Probabilita' Roberto Fernandez University of Ultrecht Titolo: Stability of phases and perturbation and discretisation Venerdi' 10 Luglio 2015 ORE 12:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Largo San L. Murialdo,1

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Seminario di Probabilita' a RM1
by Fabio Spizzichino 07 Jul '15

07 Jul '15

*Mercoledì 08 luglio 2015* Ore 14:30, Aula Picone del presso il Dipartimento di Matematica dell'Universita' La Sapienza Il Dr. Arturo Erdely (Universidad Nacional Autonoma de Mexico) terra' un seminario su *Modeling complex dependence using gluing and vine copulas* Abstract Bivariate dependence may be of such complexity that no single family of known parametric copulas is able to give an acceptable goodnes of fit. The gluing copula approach may be of good help in decomposing a complex non monotone dependence into easier to model piecewise monotone dependencies. This is good news for the vine copula approach since bivariate copulas are building blocks of such approach in higher dimensions. An application to real data in economics and geophysics will be discussed. Tutte le persone interessate sono invitate ad intervenire Per informazioni: rivolgersi a Gianna Nappo (nappo(a)mat.uniroma1.it) o a Fabio Spizzichino (fabio.spizzichino(a)uniroma1.it) -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Seminario BALBI (RGS, ADAMSS, CIMAB & Matematica Applicata)
by Giacomo Aletti (giacomo.aletti) 06 Jul '15

06 Jul '15

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, in collaborazione col centro ADAMSS e il CIMAB, il giorno lunedì 13 Luglio 2015, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Not just theory: the role of computational neuroscience in clinical neurophysiology" Pietro Balbi Dept. of Neurorehabilitation 'Salvatore Maugeri' Foundation Scientific Institute of Pavia, IRCCS via Boezio 28 Abstract: Neurocomputational modelling has the ultimate goal of enhancing the understanding of the behavior of neural cells and circuits. This aim is usually reached by starting from the experimental phenomena, then by postulating hypotheses or conceptual models of the biophysical events, and finally by transforming them in computational models. The conversion of experimental data in neurocomputational models takes mainly advantage of two well established mathematical theories: the cable conductor theory and the Hodgkin-Huxley equations. In this seminar the considered experimental phenomena are represented by the axon-somatic back-propagation and the recurrent discharge, which are the basis of a clinical test known as the F wave. This is a neurophysiological test commonly used to assess the motor conduction along the most proximal segments of the peripheral axons. It results from the backfiring of antidromically activated spinal motoneurons. Until recently the test has been also used as a measure of motoneuronal excitability in experimental studies. By modelling the axon-somatic back-propagation and the recurrent discharge and by showing their dependance from the biophysical properties of the transition zone between axonal initial segment (AIS) and soma of the spinal motoneurons, a clearer insight is gained about the relations between the F wave and the spinal excitability. The modelling study appears able to provide both a clearer interpretation of the electrophysiological interplay between motoneuronal regions of high morphological inhomogeneity, and a novel demonstration of the flawed role of F-wave recordings in estimating the motoneuronal excitability. ================ Per chi volesse seguire il seminario in remoto ricordo inoltre che sarà possibile avendo segnalato il proprio interessamento entro le 12 del giorno del seminario. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/.(http://rgs.mat.unimi.it/) -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell:+39-340-9739142 **************** Per destinare il 5x1000 all'Universita' degli Studi di Milano: indicare nella dichiarazione dei redditi il codice fiscale 80012650158. http://www.unimi.it/13084.htm?utm_source=firmaMail&utm_medium=email&utm_con…

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Workshop on Gradient flows, Large deviations and Applications
by Francesco Caravenna 01 Jul '15

01 Jul '15

Ricevo e inoltro. %%%%%%%%%%%%%%%%%%% WORKSHOP ON GRADIENT FLOWS, LARGE DEVIATIONS AND APPLICATIONS Eurandom, Eindhoven (NL), November 23-24, 2015 The aim of this mini-workshop is to bring together mathematicians working on the boundary between analysis and probability. The main focus is on Gradient Flows and Large Deviations. For further details, see the website: http://www.win.tue.nl/casa/meetings/special/gradientflows/ %%%%%%%%%%%%%%%%%%%

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Seminario di Flavia Barsotti presso Prometeia - Bologna
by Giacomo Scandolo 29 Jun '15

29 Jun '15

Il giorno Giovedì 2 Luglio 2015, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Flavia BARSOTTI Risk Methodologies, Group Financial Risk, Group Risk Management, UniCredit S.p.A. terrà un seminario dal titolo "Credit risk evaluation: performance and determinants of structural modeling approach" Abstract Structural credit risk models are known to be the natural mathematical framework providing a theoretical link between a firm’s default probability and the underlying firm’s specific structural variables. In this spirit, this talk discusses the ability of structural credit risk modeling in measuring the sensitivity of corporate bond returns to changes in equity value, representing a key element for hedging purposes in risk management activity. The analysis is conducted by considering as starting point the classical Merton model. Extensions of this setting are proposed by relaxing the assumption of Lognormal distribution for the underlying assets value dynamics. The talk discusses the performance of structural models across different rating classes and analyzes which are the key determinants (both credit and non-credit related variables) affecting the performance. --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. https://www.avast.com/antivirus

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XVII Workshop on Quantitative Finance, Scuola Normale Superiore, Pisa, 28-29 Gennaio 2016
by Fabrizio Lillo 29 Jun '15

29 Jun '15

First Announcement: XVII WORKSHOP on QUANTITATIVE FINANCE January 28-29, 2016 Venue: Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa Italy The Workshop is the seventeenth edition of an annual meeting place for academia and financial industry on theoretical topics of quantitative finance and their application to the current issues facing the industry. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management, Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous edition of the workshop, we wish to particularly encourage an international participation of young researchers and both theoretical and applied contributions. SCIENTIFIC COMMITTEE Fabio Bellini (Università degli Studi di Milano Bicocca), Giacomo Bormetti (Scuola Normale Superiore, Pisa), Andrea Consiglio (Università degli Studi di Palermo), Friederich Hubalek (Technische Universität Wien), Fabrizio Lillo (Scuola Normale Superiore, Pisa), Elisa Luciano (Università degli Studi di Torino), Maria Elvira Mancino (Università degli Studi di Firenze), Stefano Marmi (Scuola Normale Superiore, Pisa), Massimo Morini (Banca IMI), Aldo Nassigh (Unicredit Group), Loriana Pelizzon (Università Ca’ Foscari Venezia), Mustafa Pinar (Bilkent University, Ankara), Mathieu Rosenbaum (École Polytechnique, Paris), Sergio Scarlatti (Università degli Studi di Roma “Tor Vergata”), Carlo Sgarra (Politecnico di Milano), Peter Tankov (Université Denis Diderot, Paris), Josef Teichmann (ETH Zurich), and Tiziano Vargiolu (Università degli Studi di Padova). LOCAL COMMITTEE Giacomo Bormetti, Fabrizio Lillo, Maria Elvira Mancino, Stefano Marmi, Davide Pirino, Daniele Regoli, Chiara Sabelli. Deadline for submission: November 8, 2015 Web site: http://mathfinance.sns.it/qfwxvii/ ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa Piazza dei Cavalieri 7 56126 Pisa ITALY Check the new website: fabriziolillo.wordpress.com phone: +39 050509159

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Pavia-Bicocca-INdAM PhD program in Mathematics
by Francesco Caravenna 26 Jun '15

26 Jun '15

Starting this year, the Universities of Pavia and Milano-Bicocca have a *joint PhD program in Mathematics*, with the contribution of INdAM. A total of 10 fellowship are available in all domains of Mathematics, including Probability and Statistics. The deadline for applications is July 8, 2015. For more information, we refer to the websites: http://phdmat.unipv.eu/site/home.html http://www.unipv.eu/site/en/home/research/phd-courses.html

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Seminar Prof. Jorge Zubelli in Padova
by Giorgia Callegaro 26 Jun '15

26 Jun '15

Dear all, next week, the 3rd July 2015, Prof. Jorge Zubelli (IMPA, Rio De Janeiro) will give a seminar on Real Options (Mathematics/Probability applied to Finance) from 12am to 13 am, in room 2BC30 at "Torre Archimede" (Dep. of Mathematics, University of Padova). More details, i.e., the title and abstract follow: Title: "Project evaluation and Real Option Analysis: A Hedged Monte Carlo Approach" Abstract: Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options. The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. Thanks for the attention and have a nice day, Giorgia -- 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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