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ARPM job opportunity
by Elisa Appolloni 28 Oct '16

28 Oct '16

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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BIDSA Inaugural Conference
by Federico Camerlenghi 24 Oct '16

24 Oct '16

********************************************************** INAUGURAL CONFERENCE BOCCONI INSTITUTE FOR DATA SCIENCE AND ANALYTICS ********************************************************** The Bocconi Institute for Data Science and Analytics (BIDSA) is pleased to announce its inaugural conference that will be held on November 18, 2016, at the Bocconi University in Milano. ** PROGRAM ** 14:30 - Welcome Address by - Gianmario Verona, Rector of the Bocconi University 14:50 - Lectures by - Michael I. Jordan (University of California, Berkeley) - Marc Mézard (École Normale Supérieure) 16:10 - Coffee Break 16:40 - Lectures by - Aldo Rustichini (University of Minnesota) - Riccardo Zecchina (Politecnico di Torino) The event will be held in room N07, Piazza Sraffa 13 (Velodromo). Participation is free but registration by November 5, 2016 is required. The online registration form is available at https://eventi.unibocconi.it/index.php?key=ev2016090138 For any additional information feel free to write to: bidsa(a)unibocconi.it

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Conference "Actuarial Risks in the Solvency II Era: frontiers of mathematics and regulation"
by Sabrina Mulinacci 24 Oct '16

24 Oct '16

Dear Colleagues, we are glad to invite you to the Conference on Actuarial Risks in the Solvency II Era: frontiers of mathematics and regulation that is going to be held in Bologna, November 3-4-5, 2016. The program will include a tutorial directed to students, scholars and practitioners interested in mastering the state of the art of theory. Interested students may earn 3 credits upon attending the conference and providing a written discussion of some the presentations in the conference. On Saturday November 5th, there will be an informal meeting for networking on current research and discussion ofspecial topics for future research. More detailed informations are available at http://www2.stat.unibo.it/actuarial-risk/Home.html? Best Regards Sabrina Mulinacci?

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Eurocast 2017 - deadline approaching
by Antonio Di Crescenzo 24 Oct '16

24 Oct '16

Dear Colleague, we kindly remind that the deadline for the abstract submission is approaching. Workshop "Stochastic Models and Applications to Natural, Social and Technical Systems" of the Sixteenth International Conference on Computer Aided Systems Theory, Las Palmas de Gran Canaria, February 19-24, 2017. An extended two pages abstract must be sent by e-mail to eurocast(a)iuctc.ulpgc.es until October 31, 2016. Selected full final papers for publication will be required before April 30, 2017. Further information is available at the conference web page (<http://eurocast2017.fulp.ulpgc.es/>http://eurocast2017.fulp.ulpgc.es/) Looking forward meeting you at the Workshop. Best regards, Antonio Di Crescenzo and Amelia G. Nobile -- ============================================= Antonio Di Crescenzo Dipartimento di Matematica Università degli Studi di Salerno Via Giovanni Paolo II, n. 132 84084 Fisciano (SA) Italy Tel. +39-089-963349 Fax: +39-089-963303 E-mail: adicrescenzo(a)unisa.it Web: http://www.unisa.it/docenti/antoniodicrescenzo/index =============================================

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de Finetti Risk Seminar - October 2016
by Emanuela Rosazza 23 Oct '16

23 Oct '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Warner Marzocchi Istituto nazionale di Geofisica e vulcanologia TITLE: The probabilistic nature of earthquake forecasting: key issues, challenges and testability LOCATION: The seminar will be held on Wednesday, October 26, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** 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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Annual ESOBE 2016 meeting, 27/28 October, Ca' Foscari University, Venice, Italy
by Roberto Casarin VE 22 Oct '16

22 Oct '16

7th ANNUAL EUROPEAN SEMINAR ON BAYESIAN ECONOMETRICS ESOBE 2016 Venice, Italy 27 - 28 October 2016 The workshop is organised by the Department of Economics of the *University Ca’ Foscari of Venice*, and is co-sponsored by the *European Central Bank*, the *Central Bank of Italy*, the *International Association for Applied Econometrics* and *GRETA Associati*. The ESOBE meetings aim at bringing together researchers and professionals interested in the application of Bayesian inference. Ever since the pioneering work of Arnold Zellner, Bayesian econometrics has expanded enormously in areas such as economics, finance, business, and marketing. The computational revolution in simulation techniques is a key ingredient in this expansion and allows the application of Bayesian methods to increasingly complex models and high-dimensional data environments. The ESOBE 2016 conference intends to discuss about research and application in the following *areas*: - Bayesian financial econometrics - Bayesian microeconometrics and program evaluation - Bayesian nonparametric - Shrinkage estimation and variable selection in high dimensions - Computational methods for large datasets - Efficient MCMC and SMC methods for complex models The *keynote speakers *of ESOBE 2016 are: - Christian P. Robert (University Paris Dauphine and University of Warwick) - Ulrich K. Mueller (Princeton University) - Thomas J. Sargent (New York University) The *Scientific Committee* consists of: - Monica Billio (Ca’ Foscari University of Venice) - Fabio Canova (BI Norwegian Business School) - Roberto Casarin (Ca’ Foscari University of Venice) - Sylvia Fruehwirth-Schnatter (Wirtschaftsuniversität Wien) - Sylvia Kaufmann (Study Center Gerzensee) - Gary Koop (Strathclyde Business School) - Francesco Ravazzolo (Free University of Bozen/Bolzano) - Herman K. van Dijk (Erasmus University Rotterdam and VU University Amsterdam) More detailed information available on the Conference *website*: http://virgo.unive.it/esobe2016/index.htm (* Apologies for post-crossing) -- Roberto Casarin University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Fax: +39 041.234.91.76 Web:http://venus.unive.it/r.casarin/

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MODEL UNCERTAINTY AND ROBUST FINANCE
by Giovanni Puccetti 21 Oct '16

21 Oct '16

EARLY REGISTRATION DEADLINE (October 30) with REDUCED FEE FOR THE WORKSHOP MODEL UNCERTAINTY AND ROBUST FINANCE https://sites.google.com/site/2016murf/ <https://sites.google.com/site/2016murf/> University of Milan, 10-11 November 2016 Final program now available at https://sites.google.com/site/2016murf/program <https://sites.google.com/site/2016murf/program>

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Fwd: Fwd: Postdoc position in IHES
by Carina Geldhauser 20 Oct '16

20 Oct '16

---------- Forwarded message ---------- From: *Hugo Duminil* <duminil(a)ihes.fr <mailto:duminil@ihes.fr>> Date: 2016-10-19 16:03 GMT+01:00 Subject: Postdoc position in IHES To: Hugo Duminil <hugo.duminil(a)unige.ch <mailto:hugo.duminil@unige.ch>> Dear all, I would like to advertise a postdoc position under my supervision at IHES starting September 2017. If you know candidates who you think might be interested, please do encourage them to apply. I attach a short description. You can tell potential candidates to contact me directly if they want further information. Best wishes Hugo Postdoctoral position in Probability and Mathematical Physics *Principal Investigator : Hugo DUMINIL-COPIN* *Duration*: 2 years IHES offers a 2-year postdoctoral position in Probability and Mathematical Physics beginning September 2017 and funded by the IDEX Chair of Pr Duminil-Copin. All candidates with background in Probability or Mathematical Physics, and interested in working on the mathematical and physical aspects of Statistical Physics and Probability Theory, are encouraged to apply. *Contract details*: The IHES scientific environment provides superb conditions for research in mathematics and theoretical physics. The position will be covered by a competitive package funded by the IDEX chair that will include family housing in IHES residence apartments, and free access to the cafeteria for lunch. Some funding will also be available to participate in scientific events related to the project. Applications should be sent online and include the application form duly completed, a CV, a list of publications, a description of research project and future plans as well as 2 letters of recommendation to be sent to postdoc-application(a)ihes.fr <mailto:postdoc-application@ihes.fr> Apply now<http://www.ihes.fr/jsp/site/Portal.jsp?document_id=4043&portlet_id=1006> *Deadline: 23 November 2016* *Contact*: postdoc-application(a)ihes.fr <mailto:postdocs-applications@ihes.fr> -- ----------------------------------------------------------------- Hugo Duminil-Copin Permanent professor Email: duminil(a)ihes.fr <mailto:duminil@ihes.fr> Institut des Hautes Études Scientifiques (IHÉS) Phone: +33-160926643 Le Bois-Marie, 35 route de Chartres Fax: +33-160926669 91440 BURES-SUR-YVETTE (FRANCE) www: http://www.ihes.fr/~duminil/ <http://www.ihes.fr/%7Eduminil/>

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Fwd: Two postdoc opportunities Prob-L@B, Bath, UK.
by Carina Geldhauser 20 Oct '16

20 Oct '16

-------- Forwarded Message -------- Subject: Two postdoc opportunities Prob-L@B, Bath, UK. Date: Wed, 19 Oct 2016 21:27:42 +0000 From: Andreas Kyprianou <A.Kyprianou(a)BATH.AC.UK> Reply-To: Andreas Kyprianou <A.Kyprianou(a)BATH.AC.UK> To: APPLIEDPROB(a)JISCMAIL.AC.UK Dear Friends, in addition to the 6 month Postdoc opportunity currently open in Prob-L@B: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=HR4368 I would additionally like to bring this 3 year postdoc opportunity to your attention also at Prob-L@B: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF4380 You can read more about the probability laboratory at Bath here http://www.bath.ac.uk/research/centres/probability-laboratory/ Please distribute as you see fit, queries can be addressed to me (a.kyprianou(a)bath.ac.uk <mailto:a.kyprianou@bath.ac.uk>). I am sorry if you received this more than once today (unless you enjoyed reading it more than once). with thanks Andreas -- Professor Andreas Kyprianou Co-director of EPSRC CDT SAMBa Co-director of Prob-L@B Department of Mathematical Sciences University of Bath BA2 7AY

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Seminario di Probabilità - Padova
by Paolo Dai Pra 20 Oct '16

20 Oct '16

Ho il piacere di invitarvi al seguente seminario, che si terrà Giovedì 27 Ottobre, alle 12:00, in aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Giovanni Conforti AFFILIATION: University of Leipzig TITLE: Some quantitative results about bridges and Entropic interpolations of probability measures ABSTRACT: In the first part of the talk I will discuss quantitative results about the bridges of the Langevin dynamics and the associated reciprocal processes.They include an equivalence between gradient estimates for bridge semigroups and couplings, comparison principles, and a Logarithmic Sobolev inequality. All results are based on a seemingly new expression of the drift of a bridge in terms of the reciprocal characteristic, which, roughly speaking, is the ``acceleration" of a bridge. The analogy between reciprocal characteristic and acceleration also allows to view our results as a probabilistic version of well known facts about ODEs. Bridges can be used to construct interpolations of probability measures. The resulting curve, called entropic interpolation, is a stochastic counterpart to the displacement interpolation. If time allows, I will discuss connections with gradient flows on Wasserstein space and an estimate of the marginal entropy along entropic interpolations which in the small noise limit gives back the well known convexity of the entropy along displacement interpolations. The talk is partially based on joint work with Max von Renesse. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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