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[Polimi] From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance
by Daniele Marazzina 27 Apr '18

27 Apr '18

Il Nicola Bruti Liberati Quantitative Finance Lab del Dipartimento di Matematica del Politecnico di Milano organizza nei giorni 9-10 maggio 2018 la conferenza >From Blockchain&Bitcoin to Distributed Ledger Technologies, Smart Contracts and Cryptocurrencies in Finance La conferenza si svolge nell’ambito dell'iniziativa Polimi Fintech Journey grazie al supporto di Deloitte Consulting. Allego il programma in pdf. La conferenza si rivolge al mondo accademico e a quello dell’industria finanziaria con l’intenzione di fare il punto attorno a tre temi: aspetti tecnologici legati al mondo DLT e degli smart contracts, i risvolti economici e finanziari di questi strumenti, le potenziali applicazioni al mondo della finanza. La conferenza ha un taglio multidisciplinare con l’intervento di esperti informatici e del mondo della finanza, esponenti dell’industria finanziaria e delle autorità di regolazione, La conferenza sarà preceduta da un tutorial che intende fornire un’introduzione sulla tecnologia di questi strumenti. Per dettagli sul programma e per la registrazione si prega di consultare il sito https://www.mate.polimi.it/fintech/.

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Seminario RAY
by Matteo Ruggiero 27 Apr '18

27 Apr '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 4 Maggio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Kolyan RAY (King’s College London) ESTIMATING THE MEAN RESPONSE IN A MISSING DATA MODEL We study semiparametric Bayesian estimation of the mean response in a binary regression model with missing observations. We allow some dependence between the missingness and response mechanisms, which we assume are conditionally independent given some measured covariates (i.e. unconfoundedness). This model has applications in biostatistics and causal inference. We show that the marginal posterior distribution for the mean response arising from product priors on the different model parameters satisfies a semiparametric Bernstein-von Mises theorem under some conditions. We also propose a more involved prior geared towards estimating this specific functional. This is joint work with Aad van der Vaart. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <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 <http://www.matteoruggiero.it/>

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seminario Dott. Luca Gonzato
by emanuela rosazza gianin 27 Apr '18

27 Apr '18

Si avvisa che il giorno mercoledì 2 maggio alle ore 14.30 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula seminari 4026) si terrà il seguente seminario: Speaker: Luca Gonzato (Dismeq, Università di Milano-Bicocca) Titolo: “ Filtering and Calibrating a Self-Exciting Jump Diffusion Model for Oil Price by a Particle Markov Chain Monte Carlo Method ” Abstract: In this paper we propose a self-exciting jump diffusion model for oil price dynamics based on a Hawkes-type process. In particular, the jump intensity is stochastic and path dependent; so a jump will increase the probability of observing a new jump and this feature of the model aims at explaining the jumps clustering effect. Our model is very similar to that proposed by Hainaut & Moraux (2017) for equity market, although we assume the jump size normally distributed. Moreover, our filtering and calibration method relies on a different procedure. Indeed, we filter the latent jump intensity and estimate the model parameters according to a Particle Markov Chain Monte Carlo method proposed by Andrieu, Doucet & Holenstein (2010), which is well suited for nonlinear non-Gaussian dynamical models. Finally, we provide numerical simulations in order to test our approach. Joint work with Carlo Sgarra. 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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Quantitative Finance at Work, second edition.
by Davide Erminio Pirino 26 Apr '18

26 Apr '18

Dear all, the final schedule of the second edition of the Quantitative Finance at Work is now available. Please read below a reminder of the details of the event. Looking forward to seeing you in Rome “Tor Vergata”, The organizing committee Stefano Herzel Davide Pirino Rocco Ciciretti Sergio Scarlatti Alessandro Ramponi On May 3 and 4, 2018, the Department of Economics and Finance <http://economia.uniroma2.it/en/def/> and the Master of Science in Finance and Banking <http://economia.uniroma2.it/master-science/financeandbanking> of the University of Rome Tor Vergata <http://web.uniroma2.it/home/newlang/english> will host the second edition of Quantitative Finance at Work, a workshop on the practical use of quantitative methods in Finance. Find out more about the program, the venue and the registration form at the event website <https://www.qfinatwork.com/>. Please find here <https://docs.wixstatic.com/ugd/3e1e75_c72aef8e83d942439e9136419fb340f1.pdf> the flyer of the event. Registration *is** free but required to attend to the workshop*. It will be open until the maximum number of participants is reached. Speakers *Stefano Iacus *University of Milan *Douglas McKinley* Thomson Reuters *Attilio Meucci *Advanced Risk and Portfolio Management Andrea Pallavicini Banca IMI *Francesca Perino* MathWorks Pietro Rossi Prometeia *Reha Tutuncu *SECOR Asset Management Venue University of Rome Tor Vergata, School of Economics Classroom TL – Building A Via Columbia, 2 – 00133 Rome Dates May 3, 2018, 14:15-17:30 (pre-workshop) May 4, 2018, 9:15-16:45 (workshop) *Web*: https://www.qfinatwork.com

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Seminario di Jacopo Corbetta in Bicocca
by Francesco Caravenna 26 Apr '18

26 Apr '18

Martedì 8 maggio 2018 alle ore 11:00 Jacopo Corbetta (Zeliade System) terrà un seminario dal titolo "Robust calibration and arbitrage free interpolation of SSVI slices" Aula 4026, IV piano dell'edificio U7 Dipartimento di Statistica e Metodi Quantitativi Via Bicocca degli Arcimboldi 8, Milano Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%% We describe a robust calibration algorithm of a set of SSVI (Surface Stochastic Volatility Inspired) slices (i.e. a set of 3 SSVI parameters θ, ρ, ϕ attached to each option maturity available on the market), which grants that these slices are free of Butterfly and Calendar-Spread arbitrage. Given such a set of consistent SSVI parameters, we show that the most natural interpolation/extrapolation of the parameters provides a full continuous volatility surface free of arbitrage. The numerical implementation is straightforward, robust and quick, yielding an effective, parsimonious solution to the smile problem, which has the potential to become a benchmark one. %%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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(senza oggetto)
by Faggionato, Alessandra 24 Apr '18

24 Apr '18

Buongiorno, e' stato pubblicato sul sito web del Dipartimento il seguente bando per assegno di ricerca: https://www2.mat.uniroma1.it/sites/default/files/bando2018-2.pdf n. 2/2018 per il conferimento di n. 2 assegni annuali categoria A tip. II _ Matematica e sue applicazioni. SSD: tutti scadenza: 23 maggio 2018 saluti af -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 22 Apr '18

22 Apr '18

CREDIT2018 <http://www.greta.it/credit/credit2018/credit2018.htm> *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *seventeenth* of a series dedicated to various aspects of credit risk. //Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented with new monetary policies (low interest rates, quantitative easing, forward guidance...). In the meantime the first steps towards a more neutral monetary policy are taken. The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines including regulation on credit impairment provisioning. All t////hese changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment.////// The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Loan level data and credit risk analysis: credit registries; big data analytics; credit risk measurement; credit risk modelling; * Financial regulation and credit cycles: macro-prudential regulation; banking cycles; bank business models; rational inattention; * Macro-economic determinants of SMEs’ credit risk and SME loan portfolios: ECB policy; macro-parameters for SMEs’ credit risk; industry sector specialization; loan portfolio allocation; * IFRS9, credit impairments and SME financing: expected credit loss; internal models versus standardized approach; procyclicality; * The economic impact of government support measures (i.e. Credit Guarantee Schemes, Venture Capital): availability; real effects; inequality; * Monetary policy, financial regulation and credit cycles: unconventional monetary policy; monetary policy normalization; macro-prudential tools; banking cycles; ·Macro-prudential regulation and real estate valuation: macro-prudential tools; loan-to-value; loan-to-income; collateral value; real estate prices. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Tor Jacobson *(Sveriges Riksbank), *Robert C. Merton* (MIT Sloan School of Management), and *Guillaume Plantin *(Sciences Po & CEPR). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Sponsors** *GRETA* <http://www.greta.it/> *EIF* <http://www.eif.org/index.htm> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> Auspices** *ABI* <http://www.abi.it/Pagine/default.aspx> *EIB* <http://www.eib.org/> *Ca' Foscari - Economics Department* <http://www.unive.it/pag/16892> The Scientific Committee consists of: *Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair)** *Monica Billio *(Ca’ Foscari University of Venice & GRETA) *Vasso Ioannidou *(Lancaster University & CEPR) *Helmut Kraemer-Eis *(Head of Research & Market Analysis, Chief Economist, EIF) *Jan Pieter Krahnen *(SAFE - Goethe University) *Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Guillaume Plantin*(Sciences Po & CEPR) *Stephen Schaefer *(London Business School) *Enrico Sette *(Bank of Italy) *Ludovic Thebault *(European DataWarehouse). *CALL FOR PAPERS* Those wishing to present a paper at the Conference should submit by *May 25, 2018 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 25, 2018*. The final version of accepted papers must be received by August 31, 2018. European DataWarehouse (Frankfurt am Main, Germany) will offer access to its ABS loan level database <https://eurodw.eu/> to the authors of the selected papers on the following topics: loan level data, credit risk analysis, loan level data analytics, credit risk measurement, credit risk modelling, loan-to-value, loan-to-income, collateral value, real estate valuations. The access to the database will be given for a period of 1 year. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 e-mail: credit(a)greta.it <mailto:credit@greta.it> *REGISTRATION* To register for the Conference you are requested to complete the registration form that is available on our website (_http://www.greta.it/credit/credit2018/credit2018.htm_). Registration fees are: Late registration (from September 1^st on) Early registration (within August 31^st ) Academics: 250 Euro + VAT 300 Euro + VAT Practitioners: 800 Euro + VAT 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT 500 Euro + VAT PhD Students*: 80 Euro + VAT 130 Euro + VAT ** *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: * Admission to all scientific sessions * Lunches and coffee service during the Conference * Conference kit The registration fees do not fully cover the conference dinner on September 27th, 2018, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). *IMPORTANT DATES* May 25, 2018: Papers submission deadline June 25, 2018: Paper acceptance notification August 31, 2018: Deadline for sending final version of accepted papers August 31, 2018: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm *** Please accept our apologies for any crossed e-mails. ** If you do not want to receive more information from this e-mailing list, please reply to this message with Subject "Cancel from Mailing List". -- Nota automatica aggiunta dal sistema di posta.

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DGA-Inria PhD position at Sophia-Anitipolis, France. Deadline : April 29th 2018. Contact : Josiane ZERUBIA, Inria-SAM
by Marianne Clausel 21 Apr '18

21 Apr '18

*Application :* For more information and application, please contact before April 29 th , 2018: Josiane ZERUBIA, Inria-SAM http://www-sop.inria.fr/members/Josiane.Zerubia/index-eng.html email: Josiane.Zerubia(a)inria.fr *Title:* Stochastic Geometry for Multiple Object Detection and Tracking in High Resolution Multi-Source Data Sets for Wide Area Surveillance Applications *Abstract:* Unmanned aerial vehicles and low-orbit satellites, including cubesats, are increasingly used for wide area surveillance which results in large amounts of multi- source data (videos) that have to be processed and analyzed. These sensor platforms capture vast ground areas at roughly 2 frames per second. The number of moving objects in such data is typically very high, accounting for up to thousands of objects. Multiple objects tracking has traditionally been a major area of research in the computer vision field, but this type of data poses new, specific, tracking related challenges. The large number of small objects coupled with the reduced frame rate of the video, illumination changes and image registration provide significant sources of errors. Numerous motion models and state estimation methods like the Kalman filter or the particle filter have been proposed for object tracking. Classical trackers such as the Multiple Hypothesis Tracker or the Joint Probabilistic Data Association Filter have been employed to solve the data association problem between multiple detections. Both approaches work on a set of data association hypothesis. A strong limitation of these methods is that past decisions cannot be updated when new information is available. One way to cope with this problem is to use a sliding temporal window to perform tracking taking into account both past and future information and hence, removing the causality of the result. Recently, a new spatio-temporal marked point process model specifically adapted to the problem of multiple objects tracking has been developed by Craciun et al. [1]. Craciun et al. use ellipses to model the objects, boats or cars for instance, adding a non-geometric mark to facilitate the association between objects in different frames. Nevertheless one important drawback of the above-mentioned model is that constant velocity of the moving objects is a necessary prior hypothesis to deal with the corresponding density function to be optimized. In this PhD thesis we propose to get rid of this constraint by extending the previous model of Paula Craciun . [1] P. Craciun, M. Ortner, and J. Zerubia. Joint detection and tracking of moving objects using spatio-temporal marked point processes. Proc. IEEE Winter Conference on Applications of Computer Vision, 2015. *Candidate profile:* We encourage applications from outstanding candidates with strong academic backgrounds in Mathematics, Physics, Computer Science, Engineering and related fields. At Inria we seek to increase the number of women in areas where they are underrepresented and therefore explicitly encourage women to apply. Furthermore, we are committed to increasing the number of individuals with disabilities in its workforce and therefore encourage applications from such qualified individuals. *Important notice: to get PhD funding from DGA it is necessary to be a** **European citizen (EU and associated countries).*

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Kondratiev minicourse in Verona: cancelled
by Luca di persio 21 Apr '18

21 Apr '18

Dear all, I am regret to announce that the forecasted course of prof. Kondratiev http://www.di.univr.it/?ent=seminario&id=4253&lang=en has been cancelled due to serious health conditions of the speaker. Do not hesitate to contact me if you need further info. Best, LuCa -- __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <http://www.hpa8.com/>

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PhD Thesis : Towards hybrid and explainable recommender systems mixing content analysis and collaborative filterings, Project OLKI Lorraine Université d'Excellence, France
by Marianne Clausel 20 Apr '18

20 Apr '18

*General context* Over the last twenty years, an increasing attention has been paid to recommender systems, widely popularized by the Netflix Challenge. The main goal of a recommender system is to provide some users, with personalized products, taking into account their profile and preferences. Recent challenges are about the recommendation of products very complex to describe : jobs, partners... Their characteristics can mix heterogeneous features: quantitative (as ratings) and/or qualitative (as reviews). Moreover, new questions are emerging about explainability of algorithms. Nowadays, Artificial Intelligence algorithms are democratized in our erveyday life, and consumers want to understand the decision resulting from these algorithms (why this decision and not another one ?) as well as quantify the importance of each factor (element) in the decision process (which element is the most important/sensitive). They require more /explainability/ of AI algorithms. In addition, the new European legislation on data protection foresees to impose more /transparency/ to Artificial Intelligence algorithm. The law envisages to make compulsory the agreement of users for using personal data, which will reduce the amount of data that can be collected about users. The customer will also have to be informed about the way their personal data is used. From the algorithms point of view, the decrease of data will impact the quality of the recommmendations. All these changes, will impact shortly and significantly the design of algorithms. In this thesis, we aim at designing and implementing new explainable and transparent recommender systems for complex products, in the frame of data sparsity. *Scientific challenges and program* The challenges are four fold : - *Definition*, in a quantitative way, of the concept of transparency, and develop statistical methods to automatically quantify the transparency degree of an algorithm. - *Classification* of recommender systems from the literature, from the transparency point of view and/or robustness degree with respect to missing data - *Conception* of new hybrid and explainable recommender systems, robust to sparse data. The products being complex, the heterogeneous descriptions of the products, as well as the multi-sources of information, will be used to construct understandable explanation. Especially, natural language processing, and hybrid (content/social) approaches will be studied. The algorithms will also be able to quantify the weights and the sensitivity of each factor in the final decision. - *Constitution *of data sets, allowing to evaluate transparency of recommender systems *Application* \noindent The application should include a brief description of research interests and past experience, a CV, degrees and grades, a copy of Master thesis (or a draft thereof), motivation letter (short but pertinent to this call), relevant publications (if any), and other relevant documents. Candidates are encouraged to provide letter(s) of recommendation or contact information to reference persons. Please send your application *before 12 May 2018* in one single pdf to : armelle.brun(a)univ-lorraine.fr marianne.clausel(a)univ-lorraine.fr The application of the preselected candidates will be reviewed by the Doctoral School IAEM of University of Lorraine in June 2018 for completing the selection process. *Practical informations* *Duration: *3 years (full time position) *Starting date:* October, 2018 *Supervisors* A. Brun, University of Lorraine/LORIA, France, https://members.loria.fr/ABrun/ M. Clausel, University of Lorraine/IECL, France, https://sites.google.com/site/marianneclausel/ *Working Environment* The PhD candidate will work between the Probability and Statistic team of the IECL lab and the KIWI Team of the LORIA lab which are two leading institutions, respectively in Mathematics and Computer Science in France. The two labs are both located at Nancy, France on the same campus. The Probability and Statistic team of IECL is working on interdisciplinary projects involving probabilistic modeling and inference methods, with a focus on many applications as textual datas, biology, spatial datas... The KIWI team of LORIA is a dynamic group working on recommender system and connected scientific domains over 20 researchers (including PhD students) and that covers several aspects of the subject from theory to applications, including statistical learning, data-mining, and cognitive science. *Location* : Nancy, which is the capital of Lorraine in France, with excellent train connection to Luxembourg (1h30) and Paris (1h30). *Salary after taxes: *around 1600 euros.

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