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de Finetti seminar, 17 Maggio, Bayraktar
by Marco Maggis 15 May '17

15 May '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Erhan Bayraktar University of Michigan TITLE: MINI-FLASH CRASHES AND MODEL MISSPECIFICATION ABSTRACT: Why do mini-flash crashes occur? Human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation are often implicated. We develop a model which unifies aspects of the first three explanations. Our setup seems to reproduce a number of features of recent mini-flash crashes. For example, there are circumstances in which mini-flash crashes will not occur. When they do, even just before their onset, market participants may not know with certainty whether there will be a crash or spike or that such an event is imminent at all. We appear to observe mini-flash crashes can happen in both low and high trading volume regimes as well. To the best of our knowledge, we also introduce a new paradigm for studying model misspecification risks in an optimal trading context. Our approach is based on making an explicit distinction between reality and our agents’ models for reality. More precisely, each agent’s model for how a certain risky asset’s price will evolve is wrong in two ways: His understanding of how the price would move in his absence and how his actions affect prices are both imperfect. In fact, aside from a single trivial case, none of our agents ever know the correct price dynamics. We highlight how this framework differs from other common methods for addressing trading model misspecification risks including position limits, sensitivity analysis, Bayesian model averaging, the worst-case framework, and interpolations between the worst-case and classical setups. LOCATION: The seminar will be held on Wednesday, May 17, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, 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)

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Summer school in Acre on Stochastic Processes with Application to Physics and Biophysics
by Enrico Scalas 12 May '17

12 May '17

Car* collegh*, vi invio l'annuncio di una scuola che si terra' ad Acri tra il 25 e il 28 settembre quest'anno: Summer School 2017 Stochastic Processes with Application to Physics and Biophysics http://binaschools.ph.biu.ac.il/ Cordiali saluti, Enrico Scalas

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Assegno di ricerca al CNR-IMATI, Sede di Milano
by Antonella Bodini 12 May '17

12 May '17

Gentili colleghi, con preghiera di massima diffusione, vi informo che e' stato bandito un posto per un assegno di ricerca presso la sede di Milano dell'IMATI sul tema della *Modellazione stocastica e analisi statistica di dati* nell’ambito del Progetto “I-ZEB Verso Edifici Intelligenti a Energia Zero per la crescita della città Intelligente”. In collaborazione con esperti del settore, il candidato offrirà competenze di statistica a supporto della modellazione e dell'analisi sperimentale degli scambi di energia (termica ed elettrica) nell'edificio intelligente. Non è richiesta esperienza nello specifico settore applicativo. Il termine ultimo per la domanda e' il 12 giugno. Tutte le informazioni, incluso il bando, sono disponibili al sito: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/130527 Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) *** SI PRENDA NOTA CHE PER LAVORI DI RISTRUTTURAZIONE ATTUALMENTE L'ACCESSO E' DA VIA CORTI 12. *** tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Candidatura di Massimo Campanino alle elezioni del CS dello GNAMPA
by baldi＠axp.mat.uniroma2.it 12 May '17

12 May '17

In vista delle prossime elezioni del consiglio scientifico dello GNAMPA (si vota i prossimi 17, 18, 19 maggio) vi segnaliamo la candidatura di Massimo Campanino. Riteniamo sia importante che in questo consiglio siano presenti competenze di tutte le aree della matematica, e quindi anche di probabilita`. Conosciamo bene Massimo e sappiamo che, sia sul piano scientifico che su quello dell'impegno, garantirebbe un efficace lavoro in questo ambito. Paolo Baldi Alberto Barchielli Luisa Beghin Pietro Caputo Cristina Costantini Paolo Dai Pra Anna De Masi Franco Fagnola Franco Flandoli Marco Frittelli Marco Fuhrman Antonio Lijoi Domenico Marinucci Fabio Martinelli Enzo Orsingher Franco Pellerey Mauro Piccioni Maurizio Pratelli Pietro Rigo Laura Sacerdote Carlo Sempi

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avviso seminario di Matematica prof. Giuseppe Savaré (16.05.2017)
by Carina Geldhauser 12 May '17

12 May '17

-------- Forwarded Message -------- Subject: [Utenti] [Settimanale] avviso seminario di Matematica prof. Giuseppe Savaré (09.05.2017) Date: Fri, 5 May 2017 12:18:32 +0200 From: Valeria Giuliani <valeria.giuliani(a)sns.it> To: professori.sci(a)sns.it, professori.contratto.sci <professori.contratto.sci(a)sns.it>, ricercatori.sci(a)sns.it, ricercatori.td.sci(a)sns.it, Borsisti <borsisti(a)sns.it>, assegnisti.sci(a)sns.it, Perfezionandi Scienze <phd.sci(a)sns.it>, phd.extra.sci <phd.extra.sci(a)sns.it>, Studenti Scienze <allievi.sci(a)sns.it>, allievi.extra.sci <allievi.extra.sci(a)sns.it> CC: Sito SNS <sitosns(a)sns.it>, Portineria Carovana <portineria.carovana(a)sns.it>, Classi <classi(a)sns.it> SEMINARIO DI MATEMATICA Martedì 16 maggio 2017 ore 15:00 _Scuola Normale Superiore_ Pisa Aula Fermi *_ _* * **Giuseppe Savaré*** /(Università di Pavia)/ */ /* terrà un seminario dal titolo: *“**Optimal transport in competition with reaction**”*** * * *Abstract:* We discuss a new notion of distance on the space of finite and nonnegative measures,which can be seen as an inf-convolution of the well-known Kantorovich-Wasserstein and Hellinger distances. Starting from a dynamic approach (inspired to Benamou-Brenier), we will discuss various equivalent formulations, their geometric properties and their link with optimal transport problems. Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it <mailto:valeria.giuliani@sns.it> E-mail: classi(a)sns.it <mailto:classi@sns.it> -- Hai ricevuto questo messaggio perché sei iscritto al gruppo "Matematici.Esterni.SNS" di Google Gruppi. Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matematici.esterni.sns+unsubscribe(a)sns.it <mailto:matematici.esterni.sns+unsubscribe@sns.it>. Per postare in questo gruppo, invia un'email a matematici.esterni.sns(a)sns.it <mailto:matematici.esterni.sns@sns.it>. Per visualizzare questa discussione sul Web, visita https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9… <https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9…>.

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PhD position in applied probability at INRIA, Bordeaux
by Tommaso Nesti 12 May '17

12 May '17

Dear colleagues, I would like to share an announcement for a PhD position in applied probability at INRIA, Bordeaux. The topic is *Stochastic control and resource allocation in large-scale distributed systems* For more information about the position, please see https://www.inria.fr/institut/recrutement-metiers/offres/doctorants/doctora… Sincerely, Tommaso Nesti

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Fwd: avviso Seminario di Finanza Quantitativa, prof. Claude Martini (19.05.2017)
by Fabrizio Lillo 12 May '17

12 May '17

---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 - SEMINARIO DI FINANZA QUANTITATIVA *Venerdì 19 maggio 2017* ore 11:00 *Scuola Normale Superiore* Pisa Aula Mancini *Claude Martini * *(**Zeliade e INRIA**)* Terrà un seminario dal titolo: *“**Martingale measures with prespecified marginals: extremal points, cycles and perturbations**”* *Abstract:* *The characterization of the extremal points of the set of measures with two given marginals goes back to works by Denny, Letac and Mukerjee in the 70s-80s. The set of martingale measures with given marginals attracted recently a lot of people in the context of robust finance, where the model is known only through the prices of vanilla options conveyed by the market. We investigate in detail, in the discrete space case, the properties of extremal points of this set, and exhibit several classes of interest, altogether with a useful necessary conditions for a point to be extremal. We also discuss a candidate analogous of the no-cycle property in the non martingale case and its relations to perturbations. We illustrate our results in low cardinality situations (joint work with Luciano Campi, LSE).* Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it E-mail: classi(a)sns.it

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Seminario S. Menozzi @ UniTo
by Cristina Zucca 11 May '17

11 May '17

A tutti gli interessati. Martedì 16 maggio alle ore 15:30 in aula 5 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. S. Menozzi (Evry) terrà un seminario dal titolo: "Ergodic approximation of invariant measures for diffusions " Abstract: We present non-asymptotic estimates for the approximation of invariant measures for diffusion processes. We consider an Euler scheme with decreasing step where the occupation measure converges towards the invariant measure. The final estimates can be seen as a non-asymptotic extension of central limit type theorems obtained by Lamberton and Pages (Bernolulli 2002). Our approach combines probabilistic techniques (increments of martingales) and analytic arguments (Schauder's estimates for the associated Poisson process). -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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Fwd: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis)
by Carina Geldhauser 10 May '17

10 May '17

-------- Forwarded Message -------- Subject: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis) Resent-Date: Wed, 10 May 2017 17:19:42 +0200 Resent-From: geldhauser(a)iam.uni-bonn.de Date: Wed, 10 May 2017 17:19:26 +0200 From: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> Reply-To: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> To: EWM-ALL(a)JISCMAIL.AC.UK Dear colleagues, The *Faculty of Mathematics*of Bielefeld University invites applications for the positions of *Professor of Mathematics (W3), with the preferred area of Probability Theory (*starting as soon as possible) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… and *Professor of Mathematics (W3), with the preferred area of Stochastic Analysis (*starting April 1, 2019) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… (Please find the English version of the announcement attached.) ____________________________________________________________ Barbara Gentz Faculty of Mathematics, University of Bielefeld, Germany office: V5-103 phone: +49 521 106 4788 fax: +49 521 106 6481 e-mail: gentz(a)math.uni-bielefeld.de <mailto:gentz@math.uni-bielefeld.de> web: http://www.math.uni-bielefeld.de/~gentz

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Summer School on “Latent Markov Models with Applications"
by Rosaria Simone 09 May '17

09 May '17

Con preghiera di diffusione tra tutti i possibili interessati, Cordialmente, Rosaria Simone -------------------------------------------------------------------- We are glad to announce the Summer School on “Latent Markov Models with Applications” Saturday- Wednesday, 16th-20th September, 2017 University of Milano-Bicocca, Milano “The course aims at developing your expertise and skills on the main basic theory of the latent Markov models for the analysis of longitudinal data. A deep insight of the underlying assumptions, which are based on stochastic processes will be provided. Basic and advanced parameterizations to formulate latent Markov models will be explained also when explanatory variables are available. The inferential procedures will be explained in detail both from a classical and Bayesian inferential perspective. Models for drawing inference from longitudinal and multilevel data will be considered with reference also to incomplete data. During the course, many case studies and applications will be presented by using some suitable R libraries.” Scientific Committee: Francesco Bartolucci - University of Perugia Alessio Farcomeni - Sapienza University of Rome Silvia Pandolfi - University of Perugia Fulvia Pennoni - University of Milano-Bicocca Application deadline: July 16th Application deadline for scholarship: May 31st Program and further information: UNIMIB website: *http://www.summerschoolbicocca.com/017-11-markov-models-course.php* <http://www.summerschoolbicocca.com/017-11-markov-models-course.php> Italian Statistical Society website: http://new.sis-statistica.org/ wp-content/uploads/2017/03/brochure_Milano_2017_-EN_last_v1.pdf ------------------------------ Rosaria Simone Ricercatore in Statistica Dipartimento di Scienze Politiche Università degli Studi di Napoli Federico II

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