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The IV AMMCS International Conference, Waterloo, Canada: Second Call for Abstracts
by Enrico Scalas 18 Apr '17

18 Apr '17

Dear Colleagues: The IV AMMCS International Conference will take place in Waterloo, Canada, August 20-25, 2017 (http://www.ammcs2017.wlu.ca/) The deadline for abstract submission is May 1, 2017 (http://www.ammcs2017.wlu.ca) The Conference features many special and contributed sessions to choose from. Please go directly to the submission page at http://www.ammcs2017.wlu.ca/submit-abstracts/ If you need a visa to travel to Canada, please submit your abstract asap. In particular, I am organising two sessions of potential interest for probabilists: 1. Fractional Calculus and Applications http://www.ammcs2017.wlu.ca/special-sessions/fca/ 2. Modelling of socio economic dynamics http://www.ammcs2017.wlu.ca/special-sessions/msed/ Further details are at the conference website: http://www.ammcs2017.wlu.ca (e-mail: ammcs-2017(a)wlu.ca) Best regards, Enrico Scalas

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Assegno di ricerca presso CNR IMATI, Milano
by antonio.pievatolo＠cnr.it 18 Apr '17

18 Apr '17

Gentili colleghi, segnalo un bando per un assegno di ricerca riguardante la seguente tematica: modelli stocastici, con applicazioni a problemi di programmazione dinamica stocastica, nell’ambito del Progetto “I-ZEB Verso Edifici Intelligenti a Energia Zero per la crescita della città Intelligente”. Scadenza: 26 aprile. Link al bando: http://www.imati.cnr.it/index.php/opportunities?layout=edit&id=539 http://bandi.urp.cnr.it/doc-assegni/documentazione/7136_DOC_IT.pdf Cordiali saluti Antonio Pievatolo -- Dr Antonio Pievatolo IMATI-CNR http://www.imati.cnr.it/joomla/index.php/people?layout=edit&id=101

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Seminario Fausto Gozzi 20 aprile 2017 presso Università Cattolica sede di Milano
by Marina Di Giacinto 13 Apr '17

13 Apr '17

Seminario di Fausto Gozzi (Dipartimento di Economia e Finanza - Università LUISS Guido Carli) Giovedi' 20 aprile 2017 - ore 10:30 - aula 200 Università Cattolica del Sacro cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Optimal portfolio choice with path dependent labor income: The infinite horizon case ABSTRACT: We consider an infinite horizon portfolio choice problem with borrowing constraints where an agent receives labor income that adjusts slowly to financial market shocks. The novelty of the model is the path-dependence of the wage income process, which leads to an infinite dimensional stochastic optimal control problem. We solve completely the problem, and find explicitly the optimal controls in feedback form. This is possible because we are able to find an explicit solution to the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if state constraints are present. To the best of our knowledge, this is the first infinite dimensional generalization of Merton's optimal portfolio problem where explicit solutions can be found. The explicit solution allows us to study and discuss the behavior of optimal solutions. We conclude, if there is time, by showing how the solution strategy used here can be deployed to solve other problems, such as the finite horizon version of the model. Joint work with Enrico Biffis and Cecilia Prosdocimi Tutti gli interessati sono invitati a partecipare.

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Seminario Fausto Gozzi 20 aprile 2017 presso Università Cattolica sede di Milano
by Marina DI GIACINTO 12 Apr '17

12 Apr '17

Seminario di Fausto Gozzi (Dipartimento di Economia e Finanza - Università LUISS Guido Carli) Giovedi' 20 aprile 2017 - ore 10:30 - aula 200 Università Cattolica del Sacro cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Optimal portfolio choice with path dependent labor income: The infinite horizon case ABSTRACT: We consider an infinite horizon portfolio choice problem with borrowing constraints where an agent receives labor income that adjusts slowly to financial market shocks. The novelty of the model is the path-dependence of the wage income process, which leads to an infinite dimensional stochastic optimal control problem. We solve completely the problem, and find explicitly the optimal controls in feedback form. This is possible because we are able to find an explicit solution to the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if state constraints are present. To the best of our knowledge, this is the first infinite dimensional generalization of Merton's optimal portfolio problem where explicit solutions can be found. The explicit solution allows us to study and discuss the behavior of optimal solutions. We conclude, if there is time, by showing how the solution strategy used here can be deployed to solve other problems, such as the finite horizon version of the model. Joint work with Enrico Biffis and Cecilia Prosdocimi Tutti gli interessati sono invitati a partecipare.

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Dependence Modeling Tools for Risk Management , October 2-5, 2017, Montréal
by Fabrizio Durante 11 Apr '17

11 Apr '17

As part of a 6-month thematic program on quantitative risk management, the Centre de recherches mathématiques (MontrÃ©al, Canada) will hold a workshop on "Dependence Modeling Tools for Risk Management" October 2-5, 2017. This workshop will provide a unique opportunity to take stock of recent developments, identify new challenges, and foster collaboration with some 20 leading researchers in dependence modeling from academia and industry (see list below). For a detailed program and registration, see http://www.crm.umontreal.ca/2017/Dependence17/index_e.php Students and postdoctoral fellows are encouraged to present a poster at the workshop. One poster session has been scheduled, as well as two sessions of short lightning talks, so that trainees can introduce themselves and their work to the entire audience. Attendance is restricted to 65 participants on a first-come, first-served basis, so please register early. See you in Montréal! The organizers, Anne-Laure Fougéres, Johanna G. Nesehová¡, Matthias Scherer LIST OF CONFIRMED INVITED SPEAKERS Andras Badossy (University Stuttgart) Axel Bücher (Ruhr-Universitaet Bochum) Claudia Czado (Technische Universität München) Alexios Galanos (Ketchum Trading, LLC) Christian Genest (McGill University) Benedikt Graeler (Ruhr-Universitaet Bochum) Marius Hofert (University of Waterloo) Harry Joe (University of British Columbia) Ivan Kojadinovic (Université de Pau et des Pays de l'Adour) Ãtienne Marceau (Université Laval) Stefan Mittnik (Ludwig Maximilian Universitaet München) Philippe Naveau (CEA-Orme des Merisiers) Marc Paolella (Universitaet Zürich) Andrew Patton (Duke University) Gianfausto Salvadori (Università del Salento) Andrew Smith (Deloitte LLP) Luitgard Veraart (London School of Economics) Prof. Dr. Matthias Scherer -- Technische Universitaet München scherer(a)tum.de www.mathfinance.ma.tum.de

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PostDoc Position in Augsburg
by Marco Romito 10 Apr '17

10 Apr '17

The chair in nonlinear analysis at the University of Augsburg has an opening for one full-time position as Research Associate, TVL-E 13, (PostDoc) preferably in one of the following areas: stochastic analysis, stochastic partial differential equations, stochastic dynamics, or other fields related to the research group in Augsburg. The term of appointment is until March 31st 2019. The position has a teaching load of 5 hours per week, which could be done in English. The full advertisement (unfortunately only in German) can be found under: http://www.uni-augsburg.de/aktuell/stellen/wima-bloemker.html Further questions can be addressed to Prof. Dirk Blömker <dirk.bloemker(a)math.uni-augsburg.de> Please sent applications via e-mail with the usual documents (curriculum vitae with a brief statement of research interests, copy of diplomas, list of publications) in a single PDF-file to <dirk.bloemker(a)math.uni-augsburg.de> The deadline is May 7th 2017 or until the position is filled. -- Prof. Dr. Dirk Blömker, Institut für Mathematik, Universität Augsburg, 86135 Augsburg, Germany Telefon: ++49 (0821) 598 - 2156 Telefax: ++49 (0821) 598 - 2200 E-Mail:dirk.bloemker@math.uni-augsburg.de Skype: bloemker21

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positions at LUISS
by Marco Scarsini 09 Apr '17

09 Apr '17

LUISS intends to cover several junior and senior positions in different fields, including statistics, data science, and econometrics: http://www.luiss.it/news/2017/04/05/call-expressions-interest-19-positions ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Assegno triennale a Venezia (H2020-FETPROACT)
by Marco LiCalzi 08 Apr '17

08 Apr '17

A call for a 3-year postdoc position on "Models of strategic interaction under competing cultural frames" (prof. Marco LiCalzi, Chair of Mathematical Methods for Economics) is open at the Department of Management, University of Venice, Italy. Gross fellowship amounts to 29,500 per year. The position is funded by H2020-FETPROACT. Prospective candidates should have a demonstrated research record in at least one of the following areas: (1) game theory, (2) economic theory, (3) organizational economics, (4) network science, (5) mathematical or quantitative methods for economics. Deadline for applying is 15th May 2017. For information, see announcement (in English) at http://www.unive.it/media/bandi_assegni/2017-ASSEGNI%20DI%20RICERCA/LI_CALZ… <http://www.unive.it/media/bandi_assegni/2017-ASSEGNI%20DI%20RICERCA/LI_CALZ…> The online application is at http://static.unive.it/domandeconcorso-en/accesso/dma-licalzi <http://static.unive.it/domandeconcorso-en/accesso/dma-licalzi> __________________________________ Marco Li Calzi Department of Management Università Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://virgo.unive.it/licalzi

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New Lecturer Position at Greenwich
by Enrico Scalas 07 Apr '17

07 Apr '17

Car* Collegh*, Vi invio questo annuncio con preghiera di diffusione. Cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK -- *Subject:* New Lecturer Position at Greenwich Dear All, The Department of Mathematical Sciences at the University of Greenwich is currently advertising for a new position of Lecturer in Data Analytics with Statistics (https://jobs.gre.ac.uk/Vacancy.aspx?ref=1458 <http://www.jobs.ac.uk/job/AXG225/lecturer-senior-lecturer-in-mathematics/>). I would be grateful if you could please bring this position to the attention of anyone who may be interested in applying. Many thanks, Mary Dr Mary McAlinden Head of Department, Department of Mathematical Sciences, University of Greenwich, Old Royal Naval College, Park Row, London SE10 9LS Email: M.McAlinden(a)greenwich.ac.uk University of Greenwich, a charity and company limited by guarantee, registered in England (reg. no. 986729). Registered office: Old Royal Naval College, Park Row, Greenwich, London SE10 9LS.

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Assegno di ricerca triennale per il settore SECS-S/01
by julia mortera 07 Apr '17

07 Apr '17

Si comunica a tutti gli interessati che il Dipartimento di Economia dell'Università degli Studi di Roma Tre ha bandito un assegno di ricerca triennale per il settore SECS-S/01 caratterizzato dalla presentazione di un progetto di ricerca da parte del candidato. Il bando è disponibile al seguente link: http://europa.uniroma3.it/dottorati2010/assegni/c634a783-700a-4b42-a171-1b3… Per maggiori dettagli sul regolamento per gli assegni di ricerca: http://host.uniroma3.it/uffici/ricerca/assegni-di-ricerca.aspx Cordiali saluti, Julia Mortera -- -------------------------------------------------------------------------------------------- J. Mortera, Professor of Statistics, Università Roma Tre E-mail: julia.mortera[at]uniroma3.it Web page:http://tinyurl.com/ztj6ked -------------------------------------------------------------------------------------------- --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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