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Assegno di ricerca alla Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 07 May '17

07 May '17

The call for a 18 month postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is Financial networks: statistical models, inference, and shock propagation The details of the call are at Italian *http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-di-ricerca-%E2%80%9Cnetwork-finanziari-modelli-statistici-inferenza-e-propagazione-di <http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-d…>* English *http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfinancial-networks-statistical-models-inference-and <http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfin…>* The deadline is May 26. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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PhD Position (Scientific Employee) Ulm University (Germany), Mathematical Finance Institute
by Imma Curato 05 May '17

05 May '17

---------- Forwarded message ---------- From: Robert Stelzer <robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de>> The Institute of Mathematical Finance at the Faculty of Mathematics andEconomics of Ulm University invites applications for one non-permanent position as a Scientific Employee (50%) starting October 1st, 2017, according to the rules of the German law for non-permanent scientific positions (Wissenschaftszeitvertragsgesetz). Prerequisite is a very good master degree in a mathematical field of study or a comparable degree ( Finance, Economathematics, Probability, Stochastics and related fields ), and interest in future research in at least one of the areas Financial Mathematics, Financial Econometrics, Statistics of Stochastic Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic Processes or Time Series Analysis. The opportunity for further scientific qualification (in particular PhD) is given. The duties include contributing to the teaching activities of the institute. For the position, the teaching duty is two hours per week during the teaching period. The language of the courses is usually English. Thus no knowledge of German is initially necessary. The contract duration will be in accordance with the qualification aim. A future increase in the percentage of the position (by third party means) is aimed for. Ulm University is committed to increasing the share of women in research and teaching positions and therefore explicitly encourages female candidates to apply. The salary is determined by group 13 of the collective agreement (13 TV-L) Please send your application with the usual documents until May 21st, 2017, preferably in electronic form to Ulm University Prof. Dr. Robert Stelzer Institute of Mathematical Finance Helmholtzstraße 18 89081 Ulm Germany E-Mail Please indicate the index number 38 on the envelope or in the reference line of the email. Physically disabled applicants receive favorable consideration when equally qualified. The appointment is made by the central university administration. _______________________________________________ St-net mailing list St-net(a)zib.de<mailto:St-net@zib.de> https://listserv.zib.de/mailman/listinfo/st-net --------------------------------------------------------------------------- Dies ist das ST-NET, der (moderierte) Mail-Verteiler der DMV-Fachgruppe Stochastik e.V. Weitere Informationen finden Sie auf unserer Homepage: http://www.fg-stochastik.de This is ST-NET, the (moderated) mailing list of the DMV-Fachgruppe Stochastik e.V. For further information, please refer to our homepage: http://www.fg-stochastik.de Please note the guidelines for posting at http://www.fg-stochastik.de/beitraege-verschicken.html --------------------------------------------------------------------------- -- +++++++++++++++++++++++++++++++++++++++++ Prof. Dr. Robert Stelzer Institute of Mathematical Finance Ulm University Helmholtzstraße 18 89081 Ulm Germany Phone: +49 731 50 23520 Fax: +49 731 50 31096 Email: robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de> http://www.uni-ulm.de/mawi/finmath/people/stelzer.html

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(senza oggetto)
by Piccioni, Mauro 05 May '17

05 May '17

Seminario di probabilità e statistica matematica Lunedì 15 maggio, ore 16 Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo T.G. Kurtz, University of Wisconsin-Madison, "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Seminario DELLAPORTAS
by Matteo Ruggiero 05 May '17

05 May '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 12 Maggio 2017, alle ore 11.00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Petros DELLAPORTAS (University College London) HIGH DIMENSIONAL JUMP PROCESSES WITH STOCHASTIC VOLATILITY We deal with the problem of identifying jumps in multiple financial time series using the stochastic volatility model combined with a jump process. We develop efficient MCMC algorithms to perform Bayesian inference for the parameters and the latent states of the proposed models. In the univariate case we use an homogeneous compound Poisson process for the modelling of the jump component. In the multivariate case we adopt an inhomogeneous Poisson process, with intensity which is also a stochastic process varying across time and economic sectors and markets. A Gaussian process is used as prior distribution for the intensity of the Poisson process. This model is known as doubly stochastic Poisson process or Gaussian Cox process. The efficiency of the proposed algorithms is compared with existing MCMC algorithms. Our methodology is tested through simulation based experiments and applied on 600 stock daily returns of Euro STOXX index over a period of 10 years. 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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Call for papers: Networks and Big Data in Economics, Finance, and Social Systems @ AMASES 2017
by Fabrizio Lillo 04 May '17

04 May '17

Dear Colleagues, we organize a session entitled “Networks and Big Data Analysis in Economics, Finance, and Social Systems" during the AMASES Annual Conference, which will be held in Cagliari in the period September 14-16, 2017. It is a great pleasure to invite you to submit an extended abstract following the instruction in the attached call. For information, please contact: Elisa Letizia (elisa.letizia(a)sns.it) Fabrizio Lillo (fabrizio.lillo(a)sns.it) Michele Tumminello (michele.tumminello(a)gmail.com) I am looking forward to meeting you in Cagliari. Best regards Elisa Letizia, Fabrizio Lillo, Michele Tumminello ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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seminario Tom Kurtz - Pescara 11/5
by c.costantini＠unich.it 03 May '17

03 May '17

Giovedi' 11 maggio 2017, ore 16 (16:15 effettive) presso il Dipartimento di Economia, sede di viale della Pineta 4, aula seminari il prof. T.G. Kurtz, University of Wisconsin-Madison, terra' un seminario dal titolo: "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono cordialmente invitati a partecipare. Cristina Costantini

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seminario Ben Goldys - Milano Bicocca 9/5
by federica.masiero＠unimib.it 03 May '17

03 May '17

Il giorno 9 Maggio, alle ore 10.45, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Prof. Ben Goldys, The University of Sydney, terrà un seminario dal titolo "Heat equation perturbed by boundary noise" Abstract: We will consider a fairly general Cauchy-Dirichlet problem with noise entering through the boundary. The case when the noise is white in space and time is also included. The question how to give a meaning to such an equation was first formulated by Da Prato and Zabczyk in 1994 and still remains largely open. We will show that the proper framework for this problem is a certain non-standard weighted $L^p$-space.This is a joint work with Szymon Peszat and Giorgio Fabbri. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Federica Masiero

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Seminario di probabilità al Politecnico di Milano
by Fabio Zucca 02 May '17

02 May '17

Si avvisa che in data 5/5/2017, alle ore 10:30 precise, presso Aula seminari del III piano del Dipartimento di Matematica del Politecnico di Milano, nell'ambito delle iniziative della sezione di Probabilità e Statistica Matematica, si svolgerà il seguente seminario: Titolo: Invariance under quasi-isometries of subcritical and supercritical behavior in the Boolean model of percolation Relatore: Cristian Coletti, Universidade Federal do ABC, Santo André - Sao Paulo, Brasil Abstract: We study the Poisson Boolean model of percolation in locally compact Polish metric spaces and we prove the invariance of subcritical and supercritical phases under mm-quasi-isometries. More precisely, we prove that if a metric space M is mm-quasi-isometric to another metric space N, and the Poisson Boolean model in M exhibits any of the following: (a) a subcritical phase; (b) a supercritical phase; or (c) a phase transition, then the same does the Poisson Boolean model of percolation in N. We use these results in order to understand the phase transition phenomenon in a large family of metric spaces. Tutti gli interessati sono invitati a partecipare Fabio Zucca

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Borse Dottorato - PhD Fellowships - Politecnico di Milano
by Laura M. Sangalli 02 May '17

02 May '17

Prego la massima diffusione presso i potenziali interessati ITA E' uscito il bando di ammissione al 33esimo ciclo di dottorato presso il Politecnico di Milano, con scadenza il ** 26 maggio alle ore 14 ** http://www.dottorato.polimi.it/it/entra-al-dottorato/concorso-di-ammissione… Presso il Dipartimento di Matematica sono disponibili 16 borse, di cui 5 borse a tema nell'area Statistica / Data Science, ed ulteriori 7 borse non a tema, che possono essere speficicate nell'area Statistica / Data Science. ENG The Department of Mathematics at Politecnico di Milano has 16 PhD fellowships, among which 5 are in the area of Statistics / Data Science, and further 7 fellowships are in the generic field of Mathematics and Statistics, and can be targeted to Statistics / Data Science. http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-… Deadline for applications: 26 May, at 2pm. -- 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 Christophe Ley @ UniTo
by Elvira Di Nardo 30 Apr '17

30 Apr '17

********************************************************************* M.Sc. in STOCHASTICS and DATA SCIENCE http://www.master-sds.unito.it/do/home.pl UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedì 9 Maggio 2017 alle ore 11:30 in Aula 12 (Corso Unione Sovietica 218/bis, School of Management and Economics), nell'ambito delle attività previste per il corso di Statistics for Stocahstic Processes il Prof. Christophe Ley (Ghent University, Belgio) terrà un seminario dal titolo An alternative ranking for national soccer teams based on strength parameters Abstract: The FIFA ranking of national (male) soccer teams suffers from various drawbacks that cause heated debates, all-the-more as this ranking governs the seating in the international tournaments and the associated qualification rounds. In the present paper, we propose five alternative models based on strength parameters that are determined by maximum likelihood estimation. We conduct a comparison of these five statistical models, to which we add the ELO model used for the women's FIFA ranking, on grounds of their predictive performance. Indeed, contrary to regular league rankings, the FIFA ranking is designed to measure the current strength of teams, hence should allow accurate predictions of future matches. Our comparison is based on fifteen English Premier League seasons. The best performing model is then used to build the alternative FIFA ranking. We furthermore show its predictive power by analyzing the 2016 European Championship and comparing our predictions to the bookmaker ratings, usually considered as golden standard. Tutti gli interessati sono invitati a partecipare. -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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