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Postdoc position in Sapienza (Rome). Dept. of Statistical Sciences
by Enrico Scalas 08 Jan '24

08 Jan '24

Dear colleagues, There is a second postdoc opening in my new group, this time under the supervision of Costantino Ricciuti. Please see below. The call is in Italian, but help is available. Best wishes, Enrico Scalas -- Title: Random processes and their applications Duration: 12 months. At: Department of Statistical Sciences, Sapienza University of Rome Description: The research will partly focus on the interactions between non-local and fractional equations, anomalous diffusions and semi-Markov processes. We are looking for candidates with mathematical skills and/or the ability to manage applied models. The call is open to mathematicians, physicists, statisticians, as well as graduates in economics and engineering. The call can be found at the following link https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/212846 Candidates must apply by January 27, 2024. If you need help in applying you can contact costantino.ricciuti(a)uniroma1.it . You can also contact the same address for any information.

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talk Prof. Giulia Di Nunno - Reminder
by Emanuela Rosazza Gianin 07 Jan '24

07 Jan '24

Dear all, you are all invited to participate to the following seminar on *Wednesday 10th of January 2023 at 16:00* in Aula Seminari Demografica 2062 at University of Milano Bicocca (via degli Arcimboldi 8, Milano - building U7, 2nd floor): Speaker: *Giulia Di Nunno* (University of Oslo) Titolo: *Sandwiched Volterra volatility models, power law and option pricing* Abstract: We consider a financial market with stochastic volatility driven by an arbitrary Hölder continuous Gaussian Volterra process. The distinguishing feature of the model is the form of the volatility equation which ensures the solution to be “sandwiched” between two arbitrary functions chosen in advance. Hence the name Sandwiched Volterra Volatility (SVV) model. Targeting option pricing, we discuss the structure of local martingale measures in this market and we develop an algorithm of pricing options with discontinuous payoffs. Our tools rely on the study of Malliavin calculus, indeed the Malliavin differentiability of the equations and prices is studied. With these, we can also study the power law property of the SVV model. Best wishes, 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 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

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RTD-A in Mathematical Physics @Unibo
by Giacomo De Palma 06 Jan '24

06 Jan '24

The Department of Mathematics of the University of Bologna has opened a 3-year RTD-A (Assistant Professor) position in Mathematical Physics within the PNRR project SERICS - SEcurity and RIghts in the CyberSpace. Within the next three years the Mathematical Physics group plans to open a tenure-track position. The opening and the application procedure can be found at: https://bandi.unibo.it/s/apos5/bando-per-1-posto-da-rtd-a-tempo-pieno-mat-s… The deadline for application is sharp at 12:00 of 02/02/2024 We are looking for top early-career researchers in the fields of Statistical and Quantum Mechanics. These include but are not limited to areas of complex and disordered systems, spin glasses, classical and quantum neural networks and statistical inference, both from a theoretical perspective and by looking at applications, especially to complex networks. The research activity of the successful candidate will be focused on reliability and risk management in complex systems. The candidate will deal with the introduction of mathematical physics models for complex cyber-physical interconnected systems. The first part of the research activity will be devoted to the introduction of (deterministic and/or stochastic) models describing the topology of the interconnections and their evolution in time, through the theory of complex networks. The second part of the research activity will be dedicated to the study of systemic risk from the point of view of statistical mechanics. The aim is the introduction of new risk measure linked to the emergent macroscopic properties, of efficient techniques for anomaly detection and of exogenous/endogenous strategies of risk mitigation that lead to systems that are more robust to external attacks and internal fluctuations. The University of Bologna is the oldest University in continuous operation in the world and renowned to be one of the best in Italy. The city of Bologna offers a broad number of cultural activities and a high quality of life. The Mathematical Physics Group is active in Statistical Mechanics and Applications (https://math.unibo.it/en/research/research-groups/statistical-mechanics-and…) and Quantum Information Theory (https://math.unibo.it/en/research/research-groups/quantum-information-theory) The Department has a wide spectrum of research interests in all the fields of mathematics: https://math.unibo.it/en/research/research-areas and has close collaborations with the Departments of Physics, Computer Science, Engineering, Economics etc. For further information you are welcome to contact Prof. Pierluigi Contucci, pierluigi.contucci(a)unibo.it<mailto:pierluigi.contucci@unibo.it> Prof. Giacomo De Palma, giacomo.depalma(a)unibo.it<mailto:giacomo.depalma@unibo.it> Prof. Gabriele Sicuro, gabriele.sicuro(a)unibo.it<mailto:gabriele.sicuro@unibo.it> Prof. Daniele Tantari, daniele.tantari(a)unibo.it<mailto:daniele.tantari@unibo.it>

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Postdoc positions at Unito
by Giovanni Rebaudo 05 Jan '24

05 Jan '24

Dear all, A call for two postdoctoral positions in Statistics is now open at the Department of Economics, Social Studies, Applied Mathematics and Statistics (ESOMAS) <https://www.esomas-en.unito.it/do/home.pl> of the University of Torino <https://en.unito.it/>. The titles of the projects are 1. “Bayesian Methods for Complex Systems” Project mentor: Matteo Giordano <https://matteogiordano.weebly.com/> Code: ESOMAS.2023.16 2. “Bayesian Methods for Interpretable Random Structures” Project mentor: Giovanni Rebaudo <https://giovannirebaudo.github.io/> Code: ESOMAS.2023.22 The call for applications is available at https://pica.cineca.it/unito/assegni-di-ricerca-unito-2023-iv-econ, the deadline is 22/01/2024. For additional information, do not hesitate to contact us at matteo.giordano(a)unito.it and giovanni.rebaudo(a)unito.it. Best regards, Matteo e Giovanni -- Giovanni Rebaudo Assistant Professor (RTDA) Department of Economics, Social Studies, Applied Mathematics and Statistics (ESOMAS) https://giovannirebaudo.github.io/

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Call for interest Luiss, Assistant/Associate in Math
by Fausto Gozzi 03 Jan '24

03 Jan '24

Dear all, Luiss University is seeking candidates for a full-time position as Assistant/Associate Professor in Mathematics Applied to Economics and Finance. We invite all interested researchers to express their interest as soon as possible, possibly by the end of January 2024. On the basis of the results of the call we will decide which type of Junior position to announce officially (if tenure track or associate). Candidates should have a solid knowledge of advanced mathematical tools and the clear attitude to apply such tools to some of the following areas: economics, management, finance, insurance, decision theory, game theory, and social sciences in general. See the link: <https://www.luiss.edu/call-expression-interest-23-24/mathematics>https://www.luiss.edu/call-expression-interest-23-24/mathematics Best, Fausto Gozzi Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/

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Call postdoc @Unisi
by Piero MAZZARISI 02 Jan '24

02 Jan '24

Dear colleagues, I want to advertise a call for a two-year (renewable one-year, 2+1) postdoc position at the University of Siena on: “Time-varying parameters models of climate change, financial stability, and systemic risk” The project is founded by PRIN 2022 PNRR n. P20229CJRS “Climate change, Uncentainty, and Financial Risk: Robust Approaches based on Time-Varying Parameters”. A synthetic description of the project topic can be found here, both in Italian and English: https://www.unisi.it/sites/default/files/albo_pretorio/bandi/concorsi_inter… Gross salary: 35000 Euro per year Deadline for applications: January, 15th 2024. The call as well as instructions for application, can be found here: https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/conferimento-di-u… Do not hesitate to contact me for any info. Best regards, Piero Mazzarisi — Piero Mazzarisi Department of Economics and Statistics University of Siena Personal website: https://pieromazzarisi.wordpress.com <https://pieromazzarisi.wordpress.com/>

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Postdoc position in Statistics @ unimib
by Federico Camerlenghi 27 Dec '23

27 Dec '23

Dear all, the call for a postdoctoral position in Statistics is now open at the Department of Economics, Management and Statistics (University of Milano-Bicocca). The topic of the position concerns “Bayesian Nonparametric methods for biodiversity estimation”, and the position is funded by the PRIN 2022 PNRR project "Measuring Biodiversity via Bayesian Nonparametrics: Estimation, Clustering and Uncertainty Quantification". The call for application is available at https://www.unimib.it/ateneo/gare-e-concorsi/cod-23a319 , the deadline is 03/01/2024. The net salary is about 2.150 euros per month, and the starting date of the position is February 1, 2024. For additional information, do not hesitate to contact me at federico.camerlenghi(a)unimib.it Best regards, Federico -- Federico Camerlenghi Associate Professor of Statistics Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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postdoc position at CNR-IMATI Pavia on Uncertainty Quantification
by Lorenzo Tamellini 24 Dec '23

24 Dec '23

(apologies in advance for cross-posting) Dear colleagues, applications are invited for* a postdoc position at CNR-IMATI, Pavia* (Italy), on the topic of Uncertainty Quantification (deadline 12 January). For more information, please refer to https://sites.google.com/view/research-positions-imati-pv Thank you very much for your time and consideration Best regards, Lorenzo Tamellini

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1st announcement: 6th conference Set Optimization for Applications in Stresa
by Mastrogiacomo Elisa 23 Dec '23

23 Dec '23

1st annoucement: 6th conference Set Optimization for Applications in Stresa We are happy to announce that the 6th SET OPTIMIZATION for APPLICATIONS to Decision Making, Economics, Finance, Game Theory and Statistics will take place at Hotel La Palma, Stresa, Italy, 3-7 June 2024. Conference topics include but are not restricted to * set, set-valued and vector optimization: theory and computation, * scalarization procedures and algorithmic methods for vector- or set-valued problems, * theory of ordered conlinear spaces and complete lattices, * convex and variational analysis for vector- and set-valued functions, * set-valued stochastic analysis and multivariate dynamic programming, * set-valued risk measures, quantiles and related structures, * multi-criteria decision making and multi-objective game theory, * applications of set-valued functions in economics, finance, game theory, statistics. Confirmed keynote speakers. * Prof. I. Cascos, Department of Statistics, Universidad Carlos III Madrid, Spain * Prof. G. Di Nunno, Department of Mathematics, University of Oslo. * Prof. J. Ma, Department of Mathematics, University of Southern Califormia, U.S. Tutorials. * C. Ararat, G. Kovacova, Dynamic Programming and Stochastic Optimal Control * A. Lohne, Solution Concepts in Set Optimization Researchers are invited to present their results and discuss their points of view. Theoretical results as well as applications to any area are welcome. We encourage young researchers to participate; support will be given to them subject to available budget. Further and updated information via https://sites.google.com/view/sofa2024/home?authuser=0. The early bird conference fee is Euro 250 and also covers lunches/coffee breaks. Reduced fees will apply to (PhD) students. Registration opens at the end of January. The early registration deadline is March 31, 2024, 6pm CEST. Once completed, the web-site will also serve as a submissions platform: please, check for updates. Looking forward to seeing you at the Lago Maggiore! The local organizers. Paolo Bartesaghi, Fabio Bellini, Asmerilda Hitaj, Elisa Mastrogiacomo, Matteo Rocca, Emanuela Rosazza Gianin, Daniela Visetti Elisa Mastrogiacomo ----------------------------------------- Professore Ordinario di Metodi matematici dell'economia e delle scienze attuariali e finanziarie DIPARTIMENTO D'ECCELLENZA 2023/2027 Università degli Studi dell'Insubria Dipartimento di Economia Via Monte Generoso, 71 – 21100 Varese tel. +39 0332/395528 web: www.uninsubria.it<http://www.uninsubria.it/> mail: elisa.mastrogiacomo(a)uninsubria.it<mailto:mario.rossi@uninsubria.it> Chiaramente Insubria! [LOGO-ATENEO-FONDO TRASPARENTE]<http://www.uninsubria.it/> [Facebook] <https://www.facebook.com/uninsubria> [Twitter] <https://twitter.com/Uni_Insubria> [Instagram] <https://instagram.com/uninsubria> [YouTube] <https://www.youtube.com/user/LabVAMultimedia>

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1 Year Post-Doc position in Verona
by Alessandro Gnoatto 23 Dec '23

23 Dec '23

1 Year Post-Doc position in Verona I am looking for a post-doc to join my group. The topic of the research project is "Machine learning and stochastic control for financial risk management” The aim of this project is to study new methods, models, and numerical techniques for the treatment of financial risk management problems, in particular counterparty credit risk (xVA) or the pricing of financial and insurance claims. Many problems in finance involve the minimization of a cost functional subject to controlled stochastic state variables. Controls or related quantities in high dimension can be conveniently approximated by means of artificial neural networks. The aim of the project is to study control problems under general dynamics together with the development of new models for the evolution of risk factors, with a special focus on interest rates. The candidate should have a solid background in probability, stochastic calculus and computational finance. Experience with the Java and/or Python programming languages and Machine Learning frameworks such as Tensorflow, Deep Java Library or Deeplearning4J is a plus. Candidates will be evaluated based on their scientific quality and their potential in developing research. There are no teaching obligations and knowledge of Italian is not required. The deadline for applications is the 11 January 2024 (h. 13.00). The link to the call is here https://www.univr.it/en/job-vacancies/assegnisti-di-ricerca/assegni-di-rice…'ECONOMIAEDELLESCIENZEATTUARIALIEFINANZIARIE,perl%E2%80%99attuazionedelprogrammadiricerca%E2%80%9CControllostocasticoemachinelearningperlagestionedeirischifinanziari%E2%80%9DRIBA2022conCUPB33C22002230005 The call is in Italian. Non-Italian speakers needing help with the form can contact me at alessandro [dot] gnoatto [at] univr [dot] it I am happy to help. The Economics Department of the University of Verona has been recognized as “Department of Excellence” ("Dipartimento di Eccellenza") in the latest Italian Government Research Quality Evaluation Procedure. The research group in quantitative and mathematical finance of the University of Verona offers a vibrant and young working environment. Members of the group: - Alessandro Gnoatto (full professor) - Cecilia Mancini (full professor) - Cosimo-Andrea Munari (associate professor) - Athena Picarelli (associate professor) - Andrea Mazzon (tenure-track assistant professor) - Sara Svaluto-Ferro (tenure-track assistant professor) - Jonathan Tam (post-doc) We also run a dedicated PhD program on quantitative methods for economics and finance. — Prof. Alessandro Gnoatto Presidente del CdLM "Banca e Finanza" Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com<http://www.alessandrognoatto.com> E-mail: alessandro.gnoatto(a)univr.it<mailto:alessandro.gnoatto@univr.it> -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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