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Annuncio Seminario - Peter Eichelsbacher - Tor Vergata
by Valentina Cammarota 25 Mar '16

25 Mar '16

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Mercoledì 6 aprile ore 12:30 Aula D'Antoni Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Peter Eichelsbacher, Ruhr-Universität Bochum Title: Malliavin-Stein method for Variance-Gamma approximation on Wiener space. Abstract: In a joint work with Christoph Thäle, we combine Malliavin calculus with Stein's method to derive bounds for the Variance-Gamma approximation of functionals of isonormal Gaussian processes, in particular of random variables living inside a fixed Wiener chaos induced by such a process. The bounds are presented in terms of Malliavin operators and norms of contractions. We show that a sequence of distributions of random variables in the second Wiener chaos converges to a Variance-Gamma distribution if and only if their moments of order two to six converge to that of a Variance-Gamma distributed random variable (six moment theorem). Moreover, simplified versions for Laplace or symmetrized Gamma distributions are presented. Also multivariate extensions and a universality result for homogeneous sums are considered. Tutti gli interessati sono invitati a partecipare. Valentina Cammarota Department of Mathematics Universita` degli Studi di Roma Tor Vergata http://www.mat.uniroma2.it/english.php https://sites.google.com/site/valentinacammarota/

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Corso Andreas Kyprianou
by Matteo Ruggiero 24 Mar '16

24 Mar '16

Cari colleghi, siamo lieti di annunciare che nell’ambito della nuova Laurea Magistrale in lingua inglese in Stochastics and Data Science http://www.master-sds.unito.it/ attiva all’Università di Torino dal corrente a.a., il Prof. Andreas E. KYPRIANOU (University of Bath, UK) terrà un corso introduttivo su LEVY PROCESSES Le lezioni si terranno nell’aula 10 dell’edificio di Corso Unione Sovietica 218/bis dell’Università di Torino, secondo il seguente calendario: - 5 e 12/4, h. 16.00 - 6 e 13/4, h. 9.30 - 7 e 14/4, h. 11.15 - 8 e 15/4, h. 9.30 La partecipazione è libera. Ulteriori informazioni possono essere richieste all’indirizzo matteo.ruggiero(a)unito.it Cordiali saluti, i coordinatori del Programma Laura Sacerdote Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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[Dynstoch] Newsletter (fwd)
by Tiziano Vargiolu 24 Mar '16

24 Mar '16

---------- Forwarded message ---------- Date: Mon, 19 Oct 2015 21:55:19 +0000 From: Dynstoch Newsletter <sci-math-dynstoch(a)list.ku.dk> To: "sci-math-dynstoch(a)list.ku.dk" <sci-math-dynstoch(a)list.ku.dk> Subject: [Dynstoch] Newsletter DYNSTOCH NEWSLETTER 19 October 2015 ************************************************ DYNSTOCH 2016 The Dynstoch 2016 Workshop will take place in Rennes, France in the days 8 - 10 June 2015. For more information, please go to http://www.lebesgue.fr/content/sem2016-DYNSTOCH2016 Best wishes, Michael --------------------------------------------------------------------------- Michael S?rensen, Professor and Associate Chair for Research Dept. of Mathematical Sciences E-mail: michael(a)math.ku.dk University of Copenhagen Tel.: +45 3533 0402 Universitetsparken 5 Fax: +45 3532 9555 DK-2100 Copenhagen ? Web-page: www.math.ku.dk/~michael Denmark Skype: michaelsor1 ---------------------------------------------------------------------------

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Fwd: Open position at Charles University in Prague (fwd)
by Tiziano Vargiolu 24 Mar '16

24 Mar '16

-------- Messaggio Inoltrato -------- Oggetto: Open position at Charles University in Prague Data: Wed, 23 Mar 2016 00:07:46 +0100 Mittente: kopa(a)karlin.mff.cuni.cz Apologies for cross-posting ----------------------------------- Charles University in Prague, Faculty of Mathematics and Physics, Dept. of Probability and Math. Statistics Position Title: Assistant Professor Position Type: Tenured/Tenure-track faculty Position Location: Prague, Czech Republic Subject Area: Econometrics, Operations Research, Financial Mathematics Application Deadline: 2016/04/30 Position Description: Responsibilities: Teaching at the undergraduate and graduate levels; conducting independent and collaborative research; supervision of Bachelors and Masters theses. Qualifications: Ph.D. in Econometrics, Operations Research, Financial Mathematics or related fields; promise of strong publication record; fluency in written and spoken English; willingness to learn Czech. Application process: Candidates should submit applications to e-mail address kpms(a)karlin.mff.cuni.cz. The application must include CV, list of publications, description of professional interests and teaching experience, and specification of future goals in teaching and research. Candidates should provide names and telephone/e-mail contacts for two professional references (letters of reference will be requested at a later date). The deadline for receiving applications is April 30, 2016. Contacts: Departmental web page: http://kpms.karlin.mff.cuni.cz/?lang=en. Questions may be directed to Dr. M. Kulich, the Chair of the Department, e-mail kulich(a)karlin.mff.cuni.cz. About the Department: The department currently employs 27 faculty members conducting research and education in mathematical fields that involve randomness and uncertainty, in particular theoretical and applied statistics, econometrics, stochastic optimization, stochastic processes and stochastic geometry, and financial and insurance mathematics. Current research topics in econometrics, operations research and financial mathematics include economic and financial time series, asset-liability management, financial accounting, simulation, facility planning, scheduling, portfolio optimization, sensitivity and output analysis, risk management, credit scoring, derivatives pricing, rate-making, optimal pricing in insurance, reserving, stress testing. The department teaches courses in the Bachelor's programs "General Mathematics" and "Financial Mathematics", in the Master's programs "Probability, Statistics, and Econometrics", and "Financial and Actuarial Mathematics", and in the Doctoral program "Probability and Statistics, Econometrics and Financial Mathematics".

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Seminario Prof. Y. Mishura (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 24 Mar '16

24 Mar '16

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 1 Aprile, ore 11 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche "Sapienza" Università di Roma Prof. Yuliya Mishura (Kyiv University) *Titolo:* *Between two self-similarities* *Sintesi:* Everybody knows that fractional Brownian motion with any Hurst index is a self-similar process with stationary increments. According to geometric terminology of J. P. Kahane, it belongs to helix. Self-similarity and incremental stationarity are very useful when we study the properties of different functionals based on fBm however these properties are rather restrictive. For example, Ornstein-Uhlenbeck process starting from zero time point is neither self-similar nor stationary or with stationary increments. Therefore the goal of the present talk is to consider wider class of Gaussian processes. In our terminology, they live between two self-similarities, or belong to the generalized quasi-helix. We consider three problems concerning such processes: --asymptotic behavior of maximal functionals; --representation theorems involving integrals w.r.t. such processes; --some statistical results. The results are common with: Alexander Novikov (Sydney University), Mikhail Zhitlukhin (Steklov Mathematical Institute), Georgij Shevchenko (Kyiv University) and Kostjantin Ralchenko (Kyiv University) Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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Course on Bayesian Statistics: Modelling and Computation by Ioannis Ntzoufras
by Consonni Guido 23 Mar '16

23 Mar '16

? Universita' Milano-Bicocca Dottorato di Statistica e Matematica per la Finanza Bayesian Statistics: Modelling and Computation Ioannis Ntzoufras (Athens University of Business and Economics) April 11-15, 2016 ? Syllabus * Introduction to Bayesian Logic * MCMC methods * Bayesian regression analysis * Introduction to Bayesian modelling using Winbugs * Bayesian model and variable selection Schedule Monday, April 11th: 16-18 (pc Lab 715 first floor) Tuesday, April 12th: 10-13 (pc lab 715 first floor) Thursday, April 14th: 9-13 (pc lab 715 first floor) Friday, April 15th: 10-13 (pc lab 715 first floor) The course is targeted at PhD students and young researchers in Statistics, Biostatistics, Econometrics, Economics and Finance, and in any other field dealing with empirical research. Attendance is free The max. n. of participants is 28, and for organizational reasons we ask to register by sending an email to nicoletta.alghisi(a)unimib.it<mailto:nicoletta.alghisi@unimib.it> ?

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Grants for PhD International Students, University of Padova, Italy - Deadline April 22, 2016
by Patrizia Piacentini - PhD 23 Mar '16

23 Mar '16

For the academic year 2016/17 the University of Padova, Italy, offers 15 research fellowships for foreign (non Italian) students to attend Doctoral/International Courses - Deadline: 22 April 2016 (10.00 a.m. Italian local time) 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, 2016 and will end on September 30st, 2019. 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. Monica Chiogna Coordinator Phd Course in Statistics University of Padova Italy

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Junior Professorship (W1) at the Universty of Munich (Germany) (fwd)
by Tiziano Vargiolu 22 Mar '16

22 Mar '16

---------- Forwarded message ---------- Date: Tue, 22 Mar 2016 10:01:29 +0100 (CET) From: Francesca Biagini <biagini(a)mathematik.uni-muenchen.de> Subject: Junior Professorship (W1) at the Universty of Munich (Germany) (fwd) ****************************** The Faculty of Mathematics, Informatics and Statistics of the University of Munich invites applications for a Junior Professorship (W1) (for a period of 3 years) of Stochastic Methods in Financial and Insurance Sciences commencing as soon as possible. The primary tasks of the successful candidate include active research and teaching in the field of Financial and Insurance Mathematics / Stochastics. Applicants are expected to participate actively in research and teaching at the Institute of Mathematics. In particular, they should be able to teach all courses in Financial Mathematics / Stochastics of the Bachelor-/Master Program in Mathematics and Financial Mathematics. Prerequisites for this position are a university degree, teaching skills at university level and an aptitude for an academic career, usually evidenced by the excellent quality of a doctoral degree. If the applicant was employed as a research assistant either before or after obtaining the doctoral degree, the entire duration of the period of employment and of the doctoral degree should not exceed six years. The position is a fixed-term professorship for the duration of three years. Pending a positive evaluation, the position may be extended by another period of three years. A conversion to an indefinite position (tenure track) is not possible. LMU Munich makes a point of providing newly appointed professors with various types of support, such as welcoming services and assistance for dual career couples. LMU Munich is an equal opportunity employer. The University continues to be very successful in increasing the number of female faculty members and strongly encourages applications from female candidates. LMU Munich intends to enhance the diversity of its faculty members. Furthermore, disabled candidates with essentially equal qualifications will be given preference. Please submit your application comprising a curriculum vitae, documentation of academic degrees and certificates as well as a list of publications under the keyword ?math9? to the Dean of the Faculty of Mathematics, Informatics and Statistics, Prof. Dr. Andreas Rosenschon, Theresienstra?e 39, 80333 Munich, Germany, no later than April 21, 2016. Please mail the application also electronically to dekanat16(a)lmu.de as one pdf-file not greater than 10 MB. For further information you can contact Prof. Francesca Biagini, biagini(a)math.lmu.de.

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Fwd: Reminder 3rd Barcelona Summer School on Stochastic Analysis: A 2016 EMS Summer School
by Marco Romito 21 Mar '16

21 Mar '16

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Fwd: ETH Post-doc
by Giovanni Puccetti 21 Mar '16

21 Mar '16

Begin forwarded message: > > From: Embrechts Paul <paul.embrechts(a)math.ethz.ch> > Subject: ETH Post-doc > Date: 18 Mar 2016 14:36:37 CET > To: Embrechts Paul > > Dear colleagues, > I would be most grateful if you could bring the ETH Risk Center post doc position below to the attention of possible candidates. > Bruno Sudret and I are jointly involved in the supervision and am convinced that the project holds great promise. > The main theme is high-dimensional dependence modeling with engineering applications; for application details, see > > https://apply.refline.ch/845721/4353/pub/7/index.html > > Please feel free to pass on the announcement to other copula-loving colleagues! > Kind regards, > Paul. > PS Sorry for the possible double-mailing. >

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