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job opportunity in ARPM
by Elisa Appolloni 15 Jul '16

15 Jul '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 company * ARPM, LLC (www.arpm.co) is a privately held research institution based in New York City, directed by Attilio Meucci. ARPM's mission is to spread Advanced Risk and Portfolio Management ideas and techniques in the financial industry and in academia. *The opportunity* ARPM is looking for new consultants for its research project in Advanced Risk and Portfolio Management (see also http://www.arpm.co/jobposting/) The job, which requires a full time commitment, consists of reviewing and coding case studies in advanced quantitative finance. The consultant will work remotely from home or from one of the affiliate universities, communicating via multi-media with other members of the ARPM team. The position represents an excellent academic experience for applicants who intend to pursue a PhD, which ARPM may sponsor. The position also presents a great opportunity for candidates (that maybe have already a PhD) who wish to remain in the financial industry. Indeed, the learning curve is constantly steep, and the compensation is competitive. *The candidate* - Master's level degree in Physics, Mathematics or Economics (the PhD or master's degree in Quantitative Finance is a plus) - Good knowledge of multivariate calculus, linear algebra, multivariate statistics, probability, financial mathematics - Proficiency in LaTeX - Proficiency in MATLAB, Python, or similar programming languages - Working knowledge of English *Compensation* 22,000 euros per year (Graduate) 24,000 euros per year (Master in Quantitative Finance/PhD) -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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Siena Finance Workshop (fwd)
by Tiziano Vargiolu 15 Jul '16

15 Jul '16

---------- Forwarded message ---------- Date: Thu, 14 Jul 2016 19:53:56 +0200 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: vargiolu(a)math.unipd.it Subject: Siena Finance Workshop Dear Tiziano, could you please submit to your mailing this announcement (attached) of a Finance workshop to be held in Siena September 30, 2016. Thanks, Claudio Pacati and Antonio Roma

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bando assegno di ricerca
by Sara Pasquali 13 Jul '16

13 Jul '16

Si informa che e' stato pubblicato il bando per un assegno di ricerca presso il CNR-IMATI di Milano, avente per argomento di ricerca la simulazione di dinamiche di popolazioni invasive. Il bando e' disponibile al sito http://www.imati.cnr.it/index.php/opportunities?layout=edit&id=490 Per la partecipazione alla selezione e' richiesto il possesso del diploma di laurea in una delle seguenti discipline: Matematica, Statistica, Fisica, Ingegneria biomedica, Ingegneria delle Telecomunicazioni, Ingegneria Elettronica, Ingegneria Informatica, Ingegneria per l’Ambiente e il Territorio, conseguito durante il periodo di vigenza di qualsiasi ordinamento dei corsi di laurea e identificati dai codici LM-40, LM-44, LM-82, LM-17, LM-21, LM-27, LM-26, LM-29, LM-25, LM-32, LM-35. Costituira' titolo preferenziale la capacita' di sviluppare in autonomia codici di programma per la simulazione di modelli matematici o l’esperienza nell’analisi di modelli descritti da equazioni differenziali. Per maggiori informazioni sul bando e sull'attivita' da svolgere si prega di contattare la Dott.ssa Sara Pasquali all'indirizzo e-mail: sara.pasquali(a)mi.imati.cnr.it Cordiali saluti Sara Pasquali -- ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Dr. Sara Pasquali CNR-IMATI Via Bassini, 15 20133 MILANO - ITALY =========== Tel. +39 02 23699525 Fax. +39 02 23699538 e-mail: sara.pasquali(a)mi.imati.cnr.it ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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StaTalk Roma
by Clara Grazian 11 Jul '16

11 Jul '16

Dear all, we are pleased to announce that the third meeting of the *StaTalk* series will be held at *Facoltà di Economia di Sapienza Università di Roma*on *September 9, 2016*. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. StaTalks are endorsed by Y-SIS ( https://sites.google.com/site/youngsocietaitalianastatistica/) the young section of the Italian Statistical Society. The topic of the third StaTalk will be on *Computational Tools for Statistical Modelling*. We will present and discuss both standard and new computational methods which represents fundamental tools for new challenging applications, such as economic, finance, genetic and official statistics. *Programme* *09.30-10.00 *Opening *10.00-10.40 *Christian Macaro (SAS System) "*A mixture of heterogeneous models with time dependent weights*" *10.40-11.10* Coffee break *11.10-11.50* Clara Grazian (MEMOTEF Department) "*Modelling financial dependence through approximate Bayesian inference*" *11.50-12.30* Stefano Vaccari (MEMOTEF Department) "*Pricing in the Presence of Social Learning: Modelling Information Aggregation in a Competitive Market*" *12.30-14.30* Lunch break *14.30-15.10 *Andrea Tancredi (MEMOTEF Department) "*A Bayesian approach for de-duplication, record linkage and inference with linked data.*" *15.10-15.50 *Luca Tardella (Department of Statistical Science) "*Alternative approaches for approximating marginal likelihood.*" *15.50-16.20* Coffee break *16.20-17.00 *TBA *17.00-17.30 *Closing Additional info can be found at the workshop page https://sites.google.com/site/youngsocietaitalianastatistica/events/statalk… REGISTRATION to the third StaTalk are now open. *No conference fees are due, but registration is mandatory*, using the form available on the website. Clara Grazian PhD in Statistics Research Fellow *Memotef* *Facoltà di Economia* *Sapienza Università di Roma* via del Castro Laurenziano 9, 00161, Roma

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assegni di ricerca alla LUISS
by Marco Scarsini 11 Jul '16

11 Jul '16

Sono stati banditi alcuni assegni di ricerca alla LUISS, tra cui due sui seguenti temi: Economic models with uncertain demographic dynamics through SPDEs Social learning on social networks Le informazioni relative si trovano su http://economiaefinanza.luiss.it/node/5165 http://economiaefinanza.luiss.it/en/node/5166 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Workshop on Quantitative Finance 2017 - First Announcement
by Fabio Bellini 08 Jul '16

08 Jul '16

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postdoc position LMU (fwd)
by Tiziano Vargiolu 06 Jul '16

06 Jul '16

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 -------------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Wed, 6 Jul 2016 16:03:58 +0200 (CEST) From: Francesca Biagini <biagini(a)mathematik.uni-muenchen.de> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: postdoc position LMU Caro Tiziano, puoi far girare questo annuncio, per favore? Grazie ed un caro saluto, Francesca ****************************************************** The Department of Mathematics of the Ludwig-Maximilian-University Munich (LMU) invites applications for a Post Doctoral position (TV-L E13, 100%, 5 hours teaching) in Stochastics with applications in Financial and Insurance Mathematics. A research background in related fields is desirable but not necessary and candidates from all areas of probability/stochastics with interest in financial mathematics are encouraged to apply. Intended starting date for the position is at earliest convenience for a term of 1 year with possible extension upon successful completion of the first year. Your application should include a letter of motivation, curriculum vitae, a list of publications, and documentation of academic degrees and certificates. Up to three letters of recommendation are also welcome. Application deadline is August 15, 2016. For further details please visit http://www.fm.mathematik.uni-muenchen.de/jobs/index.html or contact Prof. Thilo Meyer-Brandis meyer-brandis(a)math.lmu.de

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ESOBE - Annual European Seminar on Bayesian Econometrics - Call for papers
by Monica Billio 06 Jul '16

06 Jul '16

7^th 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 *(Venice, Italy), and is co-sponsored by the *European Central Bank *(Frankfurt) and *GRETA Associati *(Venice, Italy). 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. Empirical applications of Bayesian econometrics deal with issues such as financial time series analysis, risk management, economic growth analysis, measurement of policy effectiveness, individual decision making in marketing, labour market analysis, forecasting in monetary policy, just to name a few. 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 meetings are intended as a discussion forum for new and recent research methods that are capable to face these challenges. These techniques include, among others, semi-parametric modelling based on mixtures, shrinkage estimators, and variable selection methods. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: ·Bayesian financial econometrics ·Bayesian microeconometrics and program evaluation ·Bayesian nonparametric and semi-parametric methods based on countably infinite mixtures ·Shrinkage estimation and variable selection in high-dimensional data environments ·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) *Thomas J. Sargent*(New York University) The Scientific Committee for the Conference consists of: *Monica Billio *(Ca’ Foscari University of Venice) *Fabio Canova*(BI Norwegian Business School) *Roberto Casarin *(Ca’ Foscari University of Venice) *Sylvia Frühwirth-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) CALL FOR PAPERS The final program will include both submitted and invited papers. In addition to invited presentations, the workshop will have: * contributed sessions; * a special session by junior scientist presentations; * a poster presentations. We would welcome submissions for these sessions. Submissions for the contributed sessions should be sent to ** <mailto:esobe2016@unive.it>*esobe2016(a)unive.it <mailto:esobe2016@unive.it>*by*July 15, 2016*. Researchers who received their Ph.D. after *October 2013 *or *expect to graduate by November 2016*, may register as "junior scientist" (a detailed CV has to be submitted during registration). Junior scientists may apply for a travel award (more detailed information will be soon available). Papers submitted by junior scientists will be eligible for the Special Session of Junior Scientist Presentations. IMPORTANT DATES July 15, 2016: Papers submission deadline August 20, 2016: Paper acceptance notification September 30, 2016: Deadline for registration More detailed information available on the Conference website: <http://virgo.unive.it/esobe2016/index.htm>http://virgo.unive.it/esobe2016/index.htm <http://www.greta.it/credit/credit2015/credit2015.htm> * Apologies for post-crossing.

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EFI2, December 5-6, Padova, Italy: first announcement
by Tiziano Vargiolu 05 Jul '16

05 Jul '16

Dear all, I am glad to invite you to contribute and take part in the second edition of the workshop Energy Finance Italia, this time held in Padova (Italy) on December 5-6, 2016: http://events.math.unipd.it/efi2/ The aim of this workshop, at its second national edition, is to aggregate in a yearly meeting all Italian researchers, both from academics as from the industrial world, who deal with energy markets and related topics in a wide sense (energy-related time series like market prices, weather etc., evaluation and optimization of physical assets, etc.). Nevertheless, the participation (both as speakers as in the audience) is by no means limited only to Italian speaking people, and non-Italian participants are very welcome. The formula of this workshop (and hopefully of the next ones to follow) is made after the very successful "Workshops in Quantitative Finance", held annually in Italy for the last 18 years: - NO invited speakers, but only contributed ones: this is intented to favour the presence of both young researchers and more senior colleagues, and will favour the exchange of ideas and the birth of new collaborations. - no parallel sessions, but only one session: everyone listens to everybody. - each talk will have an official discussant: this ensures some very interesting and fruitful academic discussions. We all hope to see you all in Padova! Important dates --------------- - October 15, 2016: deadline for abstract submission - November 1, 2016: notification of acceptance 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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annuncio di seminario
by Faggionato, Alessandra 05 Jul '16

05 Jul '16

Lunedi' 11 Luglio alle 17.15, in Aula di Consiglio del Dipartimento di Matematica, Universita' La Sapienza, si terra' il seguente seminario di free probability e combinatoria: Speaker: Frederic Patras (CNRS, Laboratoire J.A.Dieudonné, Nizza) Title: Free cumulants and half-shuffles Abstract: The theory of free probabilities has various origins: among others the theory of solutions of random operator-valued differential equations and the one of random matrices and their asymptotic properties. A notion of (free) cumulant has been introduced in this context which (for plenty of reasons) happens to be the "good" generalization of classical cumulants. Roland Speicher has introduced and studied these cumulants form a combinatorial point of view, using the poset of non-crossing partitions. The talk will survey these results and explain a new approach to these questions (j.w. with K. Ebrahimi-Fard). Cordiali saluti -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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