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Seminari di probabilità e statistica matematica
by Piccioni, Mauro 01 Mar '17

01 Mar '17

Lunedì 6 marzo Ore 16:00, Aula di Consiglio Seminario di probabilità e statistica matematica Mauro Piccioni Conditional iid structures in exchangeable multivariate distributions: from Marshall-Olkin to “load sharing” models The discovery of a conditional iid structure allows the understanding of the dependence contained in a d-variate distribution as generated by an exogenous latent factor . According to the celebrated de Finetti ‘s theorem this is equivalent to the possibility of defining an infinitely exchangeable sequence of random variables with the given d-marginal. In parametric classes of multivariate distributions, the determination of the values of the parameter corresponding to a structure of this type is a difficult problem which have been solved only in a few cases. In the talk the elegant theory developed by Mai and Scherer for the Marshall-Olkin distribution will be reviewed and some partial results for “load-sharing” models will be presented (joint work with Gerard Letac and Fabio Spizzichino). Tutti gli interessati sono invitati a partecipare. I seminari proseguiranno durante il secondo semestre ogni lunedì con cadenza settimanale.

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Fully Funded PhD Positions for International Students, University of Padova, Italy - Deadline March 28, 2017 1.00 pm (CEST)
by Patrizia Piacentini - PhD 01 Mar '17

01 Mar '17

For the academic year 2017/18 the University of Padova, Italy, offers 15 research fellowships fully funded by Fondazione Cariparo for foreign (non Italian) students to attend Doctoral Courses - *Deadline: 28 March 2017 (1.00 p.m. CEST)* The call for application is available at the following address: http://www.unipd.it/en/node/1053 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses will start on *October 1st, 2017* and will end on September 30st, 2020. Application is to be made following carefully the instructions in the announcement. The PhD Course in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Nicola Sartori Coordinator Phd Course in Statistics University of Padova Italy -- Patrizia Piacentini Secretariat PhD Course in Statistics University of Padova tel +39 049 8274167 fax +39 049 8271524 dottorato(a)stat.unipd.it

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Fwd: Two postdoc positions in Roma Tre
by Pietro Caputo 28 Feb '17

28 Feb '17

ricevo e inoltro: ---------- Forwarded message ---------- From: <giuliani(a)mat.uniroma3.it> Date: Tue, Feb 21, 2017 at 2:16 PM Subject: Two postdoc positions in Roma Tre To: giuliani(a)mat.uniroma3.it Dear Colleague, I would like to draw your attention to two 2-years postdoc position in mathematical physics within the project "Universality in Condensed Matter and Statistical Mechanics", funded by an ERC Consolidator Grant (PI: Alessandro Giuliani). Interested candidates should have a strong background in the mathematics of quantum or classical statistical mechanics. The successful applicant will be expected to work on problems related to scaling limits in 2D systems at the critical point, broken phases in systems with continuous symmetry, quantum transport in interacting systems. The appointments are for two years, starting in September 2017 or earlier (we invite applications by March 22, 2017; the call will remain open until the two positions are filled). The position is based at the Department of Mathematics of the University of Roma Tre. It comes with no teaching duties and with traveling funds to attend conferences and workshops. A full description of the project and the position, including details about how to apply can be found on the web page of the project: http://www.mat.uniroma3.it/users/giuliani/public_html/erc_CoG/index.html I would be grateful if you could bring this advertisement to any interested candidate. Thank you in advance, With best regards, Alessandro Giuliani

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seminario Marcello Restelli in Bicocca
by Fabio Bellini 28 Feb '17

28 Feb '17

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Seminario Maren Schmeck a Padova
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

Carissimi, il giorno martedi' 28 febbraio alle ore 15 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, sala Riunioni VII piano, la dott.ssa Maren Diane Schmeck dell'Universita' di Colonia terra' un seminario dal titolo ELECTRICITY PRICE MODELING WITH STOCHASTIC TIME CHANGE (joint with SVETLANA BOROVKOVA (VU AMSTERDAM)) ABSTRACT. In this paper, we develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time varying mean reversion and seasonally occurring price spikes) into the model in an elegant and economically justifiable way. The stochastic time change introduces stochastic as well as deterministic (e.g., seasonal) features in the price process? volatility and in the jump component. We specify the base process as a mean reverting jump diffusion and the time change as an absolutely continuous stochastic process with seasonal component. The activity rate of the stochastic time change can be related to the factors that influence supply and demand. Here we use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change, and show that this choice leads to realistic price paths. We derive properties of the resulting price process and develop the model calibration procedure. We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths by Monte Carlo simulations. We show that the simulated price process matches the distributional characteristics of the observed electricity prices in periods of both high and low demand. Cordiali saluti a tutti Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Fwd: Postdoc-position in Stochastic Analysis at the University of Oslo
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

---------- Forwarded message ---------- Date: Sun, 26 Feb 2017 18:35:01 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Fwd: Postdoc-position in Stochastic Analysis at the University of Oslo Dear Tiziano,could you please help circulate this info. Thank you in advance, Giulia Begin forwarded message: From: Bernt ?ksendal <oksendal(a)math.uio.no> Subject: Postdoc-position in Stochastic Analysis at the University of Oslo Date: 21 February 2017 at 12:15:46 GMT+1 Dear All; The new postdoc position in stochastic analysis at the University of Oslo has just been announced. The deadline is 31 March 2017. For more information see https://www.jobbnorge.no/ledige-stillinger/stilling/134569/postdoctoral-res earch-fellowship-in-stochastic-analysis Please help to distribute this to anyone interested :-) Best wishes, Bernt Professor Emeritus Bernt ?ksendal Department of Mathematics, University of Oslo, Box 1053 Blindern, N-0316 Oslo, Norway. Home page: http://www.mn.uio.no/math/english/people/aca/oksendal/index.html Email: oksendal(a)math.uio.no

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Second Announcement: Stochastic Analysis Day, Pisa, Monday, February 27
by Carina Geldhauser 24 Feb '17

24 Feb '17

Stochastic Analysis Day 2017 The Stochastic Analysis Day 2017 will take place on Monday, February 27 at the Department of Mathematics of the University of Pisa. Speakers: * J.C. Alfonso Lopez (Braunschweig) * L.Bianchi (Berlin) * T. Funaki (Tokyo) * C. Geldhauser (Pisa) * H. Hatzikirou (Braunschweig) *M. Maurelli (Berlin) More information can be found on the website http://www.dm.unipi.it/pages/romito/SPASS/workshop/20170227/ Registration is not obligatory, but highly recommended for organizational purposes. To register, please contact the organizers.

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ARPM job offer
by Elisa Appolloni 23 Feb '17

23 Feb '17

Dear all, I am reaching out to you because at ARPM (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? Thank you, Elisa Appolloni *** *The firm* ARPM – Advanced Risk and Portfolio Management <https://www.arpm.co/> is a privately held research institution, directed by Attilio Meucci, based in New York City with virtual offices world-wide. ARPM’s mission is to set and disseminate the standards for advanced quantitative risk management and portfolio management across the financial industry: asset management, banking, and insurance. *The opportunity * ARPM is looking for a new researcher-in-training for a minimum period of 6 months, indefinitely extensible. The successful candidate will review and code practical case studies and theoretical examples in quantitative finance, contributing to the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The successful candidate will work full-time, remotely, constantly communicating via multi-media with the other members of ARPM. The ARPM researcher-in-training position represents a great opportunity for candidates with strong academic background, who wish to apply to real problems in finance the rigorous, research-oriented approach acquired in their schooling. *The progression* ARPM emphasizes the constant intellectual growth of its resources. For the first 6 months the researcher-in- training will be focused on specific projects. At the end of this period (s)he will conduct a presentation on the topics covered. Then, (s)he will start broadening his/her scope, attending the presentations of their peers and seniors, working on broader projects, and acquiring hands-on- knowledge of all the topics of the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The approximate time required to attain the required level of familiarity with the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14> is: two years for a recent master’s graduate; one year for a recent PhD graduate. When ready, the researcher-in-training will be tested on all such topics with an exam. If successful, (s)he will conclude his/her training period, attaining the title of ARPM researcher. The ARPM researcher will then engage in highly quantitative projects with ARPM clients, becoming a profit center. *The candidate* [image: arrow_20]Master’s degree in mathematics, physics, engineering, computer science, statistics, data science, quantitative economics. [image: arrow_20]PhD in hard sciences or master’s degree in quantitative finance is a plus. [image: arrow_20]Very strong command of foundational mathematics, including multivariate calculus and linear algebra. [image: arrow_20]Good knowledge of statistics and probability. [image: arrow_20]Proficiency in MATLAB, Python, or similar programming languages. [image: arrow_20]Good command of English. *Compensation* Competitive For more information, please visit arpm.co <https://www.arpm.co/> and/or contact us at info(a)arpm.co <info(a)arpm.co?Subject=job%20Post> -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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seminar announcement --- prof Cont, LUISS
by Sara 21 Feb '17

21 Feb '17

Thursday 2nd March from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. Speaker: Rama Cont (Imperial College and CNRS) Title: Fire sales, price-mediated contagion and systemic risk -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Mini course in Verona - Simone Mattia Scotti: Real markets, microstructure, clusters and Hawkes with a Branching process point of view.
by Luca di persio 20 Feb '17

20 Feb '17

*Mini course announcement* Prof. Simone Mattia Scotti [ LPMA, Université Paris Diderot ] will give a mini course on *Real markets, microstructure, clusters and Hawkes with a Branching process point of view*, according with the following time table: 21st of March (2017) : Room I 1430-1730 23rd of March (2017) : Room M 1530-1730 24th of March (2017) : Room M 1430-1730 all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course* The analysis of real financial markets, along with the study of related economic time series, represents an increasing field of research and development of effective applications, from the stochastic processes point of views, as well as from the statistic and computational sides of the moon. In this mini-course, we first recall the classical framework behind the modern and mathematically rigorous, theory of finance, starting from the treatment of continuous-path stochastic processes. Then, we focus on the microstructure of market data, discussing both limit and market orders, along with correlated liquidity problems. In a second part, we will specialize our analysis on a particular feature of financial markets, namely the existence of jumps' cluster. It is worth to mention that the latter has been highlighted in recent literature in microstructure, showing to have a deep impact on real markets and representing a main research axis in the field. >From a mathematical point-of-view, we will first introduce point processes and then Hawkes processes. We will show that the self-exciting structure of Hawkes processes can easily explain some features exhibited by financial data, e.g. the cluster effects. In the third part, we will introduce the branching processes (CBI) showing that they can be seen as a natural extension (marked versions) of Hawkes processes. We will show that this class of models has very nice properties from computational as well as from analytical point of view, particularly by exploiting the Dawson-Li representation. Moreover, we will point out some unexpected features of the aforementioned approaches, such, e.g., the persistency of low interest rates and negative risk premium in electricity markets. A detailed bibliograpy will be given during the course. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa -- __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <+39%20045%20802%207968> Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686 <+39%200461%20281686>

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