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Seminario Fabio Caccioli il 4 Novembre alla Scuola Normale Superiore di Pisa
by Fabrizio Lillo 29 Oct '14

29 Oct '14

Martedì 4 novembre 2014 ore 13.00 *Scuola Normale Superiore* Pisa Aula Bianchi (Scienze) *Fabio Caccioli* *University College London* Terrà un seminario dal titolo: *“**Instabilities in portfolio optimization and regularization**”* *Abstract:* *We consider the problem of portfolio selection in presence of market impact, and we show that including a term which accounts for finite liquidity in portfolio optimization naturally mitigates the instabilities that arise in the estimation of coherent risk measures. This is because taking into account the impact of trading in the market is mathematically equivalent to introducing a regularization on the risk measure. We show that the impact function determines which regularizer is to be used, and we characterize the typical behavior of the optimal portfolio in the limit of large portfolio sizes for the case of Expected Shortfall*. Per informazioni scrivere a fabrizio.lillo(a)sns.it -- ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159

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SUMMER SCHOOL ON COPULAS: Pau, France, July 13-17, 2015
by Gianfausto Salvadori 28 Oct '14

28 Oct '14

Dear Colleagues, all interested people (especially PhD and Post-doc students) are invited to attend the following Summer School on Copulas. *** SCOPE *** The statistical modeling of natural events frequently involves the modeling of the joint distribution of several random phenomena. Copulas are mathematical objects that are particularly suitable for modeling the multivariate dependence between several continuous random variables, independently of their marginal distributions. This explains why they are more and more often used in hydrology and environmental sciences. With the development of powerful statistical software (such as the R statistical system), a multivariate analysis based on copulas appears increasingly feasible. This one-week short course will focus on the theory and statistical practice of copulas with applications to hydrological problems and related environmental issues. It will also contain an introduction to multivariate extreme-value theory from a copula perspective. Theoretical concepts will be illustrated through the analysis of real-world datasets using the R statistical system. *** VENUE *** Université de Pau et des Pays de l'Adour. Pau, France, July 13-17, 2015 *** WEB SITE *** http://lma-umr5142.univ-pau.fr/copula/ PLEASE CIRCULATE THIS MAIL TO ALL INTERESTED PEOPLE. THANKS. ____________________________________________________ Gianfausto SALVADORI ____________________________________________________ Università del Salento Dipartimento di Matematica e Fisica "E. De Giorgi" Provinciale Lecce-Arnesano, P.O.Box 193 I-73100 Lecce (Italy) ____________________________________________________ PHONE: +39-0832-29 7584. FAX: +39-0832-29 7594 ____________________________________________________ E-MAIL: gianfausto.salvadori(a)unisalento.it http://www.unisalento.it/people/gianfausto.salvadori ____________________________________________________

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METRON: Special Issue on "Latent Variable Models for the analysis of socio-economic data”
by Pierpaolo Brutti 27 Oct '14

27 Oct '14

================================================== METRON – Call for Papers for the Special Issue “Latent Variable Models for the analysis of socio-economic data” Guest Editors: Marco Alfó and Francesco Bartolucci ================================================== Latent variable (LV) models represent an important stream of the statistical literature with application in many fields, such as economics, medicine, psychology, and sociology, and are related to other important classes, such as that of finite mixture models. LV models are naturally applied whenever unobserved heterogeneity between sample units has to be taken into account, typically in a multilevel or longitudinal study, or the characteristic of interest (e.g. quality-of-life of patients suffering from a certain disease) is not directly observable. The special issue is intended to cover approaches based either on continuous or discrete latent variable models, with also particular interest in approaches that combine the use of continuous and discrete latent variables within the same model. The focus is on: - novel statistical approaches in terms of modelling formulations and/or estimation methods; - up-to-date case studies which address the application of such models to socio-economic data; - critical review papers with substantive insights on definition, estimation, and inference for the models of interest. We are enthusiastic of the opportunity offered by the special issue to disseminate LV models in the scientific community, not only among statisticians. Authors who are not sure whether their problems and ideas fall under the call for paper may preliminarily contact the Editors with an initial draft of the paper. All submitted papers under this call will undergo the standard review process of the journal. The deadline for the present call is November 30th, 2014. The special issue is handled through the website of the Journal; the editing and the review process will be handled by the Special Issue Editors Marco Alfó (Sapienza, University of Rome, email:marco.alfo@uniroma1.it) and Francesco Bartolucci (University of Perugia, IT, email: bart(a)stat.unipg.it). Please submit your manuscript at http://www.editorialmanager.com/tron/ ==================================================

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Fwd: [World] 10 PhD studentships in Statistical Applied Mathematics at the University of Bath
by Gustavo Posta 24 Oct '14

24 Oct '14

Begin forwarded message: > From: Andreas Kyprianou <a.kyprianou(a)bath.ac.uk> > Subject: [World] 10 PhD studentships in Statistical Applied Mathematics at the University of Bath > Date: 24 ottobre 2014 12:49:08 GMT+02:00 > To: world(a)alea-research.eu > > > 10 PhD studentships in Statistical Applied Mathematics at the University of Bath > > EPSRC Centre for Doctoral Training in Mathematical Sciences > > University of Bath > > SAMBa - Statistical Applied Mathematics at Bath > www.bath.ac.uk/samba > > The Department of Mathematical Sciences at the University of Bath has established an EPSRC Centre for Doctoral Training in Statistical Applied Mathematics (SAMBa). We shall be awarding 10 or more new, fully-funded, 4-year studentships, to start in September 2015. These are for exceptionally qualified students to complete PhDs at the interface between applied mathematics, statistics, and probability. > > The four-year funding includes full tuition fee at the home rate, a training support fee of £1,000/annum and standard tax-free maintenance of £13,863/annum (14/15 rate). Please note: only UK and EU students who satisfy research council funding rules are eligible for this funding (http://www.epsrc.ac.uk/skills/students/help/Pages/eligibility.aspx). > > SAMBa will have a cohort of students whose thesis topics range from industrially motivated problems to more abstract problems, using deterministic, probabilistic, statistical and computational mathematical tools. Students will take courses across this mathematical spectrum in the first year. > > The first year of the training involves courses and symposia tailored to the students’ individual learning programme together with thesis scoping seminars and 'Integrative Think Tanks'. These ITTs will be intensive week-long events held twice a year where students are faced with industrial and cross-disciplinary problems and are trained in synthesising relevant mathematical formulations for solving them. > > Each student will finalise a thesis proposal at the end of year 1, and will work on PhD research in years 2-4 under the mentoring of a principal supervisor and a co-supervisor. Successful completion of the first year of the programme will result in the student receiving an M.Res. degree. > > The SAMBa student cohort will be an important source of support, and, as part of the training programme, students will have access to a budget that will allow them to plan semester-long symposia and invite outside speakers. The programme will also support travel to conferences and workshops. > > Expressions of interest should be sent to the Centre Manager, Susie Douglas, via email: samba(a)bath.ac.uk and should include: > • A short statement (250 words) explaining your motivation for applying to SAMBa > • A 2-page CV which includes your academic and work experience and your nationality and country of normal residence (for the past 3 years, not including full time education) > • Scans of your academic transcript(s) > • Information on where you heard about SAMBa > > All applications will be reviewed rapidly and promising applicants will be invited to an interview at Bath. Further information is available on www.bath.ac.uk/samba. > > -- > **************************************************** > * Professor Andreas E. Kyprianou * > * Co-Director SAMBa Centre for Doctoral Training * > * Co-Director Prob-L@B * > * Department of Mathematical Sciences * > * University of Bath * > * Claverton Down * > * Bath BA2 7AY * > * URL: http://www.maths.bath.ac.uk/~ak257/ * > **************************************************** > > _______________________________________________ > World mailing list > World(a)alea-research.eu > http://alea-research.eu/cgi-bin/mailman/listinfo/world

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Fwd: [World] TU Graz: One Postdoctoral Position in Combinatorics
by Gustavo Posta 24 Oct '14

24 Oct '14

Begin forwarded message: > Resent-From: gustavo.posta(a)polimi.it > From: Mihyun Kang <kang(a)math.tugraz.at> > Subject: [World] TU Graz: One Postdoctoral Position in Combinatorics > Date: 24 ottobre 2014 09:49:39 GMT+02:00 > To: world(a)alea-research.eu > Reply-To: kang(a)math.tugraz.at > > ------------------------------------------------------------------------------ > TU Graz: One Postdoctoral Position in Combinatorics > ------------------------------------------------------------------------------ > > We are seeking outstanding candidates with expertise and proficiency in analytic and enumerative combinatorics, singularity analysis, saddle-point methods, cycle index sums, Boltzmann sampler, probabilistic and structural graph theory. > > The successful candidate will be employed as a Postdoctoral Researcher for one year with a possibility of extension for a further period of maximum two years within the Austrian Science Fund (FWF) Research Project on > > "Asymptotic Properties of Graphs on a Surface" > > at the Institute of Optimisation and Discrete Mathematics at Graz University of Technology (TU Graz), Austria, http://www.math.tugraz.at/mathb/. > > This is a research position and does not carry any teaching responsibilities. There is however a possibility to teach if one wishes to do so. The preferred starting date is 1 March 2015, but negotiable. > > The basic salary is specified in the FWF standard personnel costs and salaries https://www.fwf.ac.at/en/research-funding/personnel-costs/. There are extra salary payments, the so-called 13th- and 14th-month salaries which are favourably taxed. > > There are very active research groups working on Discrete Mathematics and Combinatorics at TU Graz. For example, TU Graz hosts a doctoral school "Discrete Mathematics" (funded by FWF) https://www.math.tugraz.at/discrete/. > > Further information about the mathematical institutes at TU Graz is available at https://www.math.tugraz.at/ > > Condition of employment: > - Qualified candidates must hold a PhD degree in mathematics or theoretical computer science before the time of appointment > > Application documents: > - Cover letter of application > - Curriculum vitae including the list of publications > - A short statement of research interests > - A list of full contact information of two references who can submit letters of recommendation > > All application documents with reference number P27290 (Kennzahl: P27290) should be electronically submitted in a PDF file by 15 December 2014 to Ms Sandra Wissler, sandra.wissler(a)tugraz.at. > > For further details concerning the content of the research project or to make an informal inquiry, please contact > > Mihyun Kang or Philipp Sprüssel > Graz University of Technology > Institute of Optimization and Discrete Mathematics (Math B) > Steyrergasse 30 > 8010 Graz, Austria > Email: kang(a)math.tugraz.at > spruessel(a)math.tugraz.at > _______________________________________________ > World mailing list > World(a)alea-research.eu > http://alea-research.eu/cgi-bin/mailman/listinfo/world

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Assegno di ricerca al Dip. di matematica di Pavia
by Regazzini Eugenio 22 Oct '14

22 Oct '14

In allegato, bando di concorso pubblico, per titoli, progetto e per colloquio, per il conferimento di un assegno di ricerca di tipo A presso il Dipartimento di Matematica "F. Casorati" dell'Università degli Studi di Pavia. Tematica: "Metodi probabilistici per lo studio di equazioni cinetiche: analisi delle condizioni sui dati iniziali per la convergenza delle soluzioni e applicazioni in campo economico-sociale"

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Seminari Matematica Applicata: V. Colizza 23 ottobre
by Alessandra Micheletti 21 Oct '14

21 Oct '14

Apologies for cross posting --------------------------------- SEMINARIO DI MATEMATICA APPLICATA Giovedi 23 Ottobre 2014, ore 11.30 Aula Rappresentanza, Dipartimento di Matematica (Via Saldini 50, Milano) Heterogeneities and the spatial spread of infectious diseases Dr. Vittoria Colizza INSERM & Universite Pierre et Marie Curie (Paris, France) ISI Foundation (Turin, Italy) ABSTRACT The spatial spread of infectious diseases depends on the interplay between local interactions among hosts (and possibly with vectors), along which transmission can occur, and dissemination opportunities presented by the movements of hosts (and vectors) among different communities or locations in space. Many degrees of heterogeneity may characterize this process, induced by large fluctuations in hosts' features (e.g. mixing behavior, frequency and duration of movements, topology and magnitude of movement fluxes) or by variations in pathogen's specific features (e.g. multiple circulation of different viruses, multiple types of transmission). To address these aspects, I'll present a general theoretical modeling framework taking into account the various heterogeneities at play and explore how these may affect the pandemic potential of an emerging infectious disease. Results are discussed in the realm of specific case studies. La S.V. e` cordialmente invitata. ----------------------------------------------------------------------- Home page del seminario: http://www.mat.unimi.it/users/veeser/sma/ Il seminario e` organizzato da: - Dipartimento di Matematica dell'Universita` di Milano, - Scuola di Dottorato in Scienze Matematiche. Per ulteriori informazioni contattare Giacomo Aletti, Lourenco Beirao da Veiga o Andreas Veeser. -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics Dept. of Mathematics Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 http://users.mat.unimi.it/users/michel <http://www.mat.unimi.it/users/michel>

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Extrema of Branching Processes and Gaussian Free Fields
by Alessandra Cipriani 21 Oct '14

21 Oct '14

Dear colleagues, we are organising a workshop on Extrema of Branching Processes and Gaussian Free Fields to be held in Berlin (Germany) on November 28 -29, 2014. The program and more information can be found on http://www3.math.tu-berlin.de/stoch/BPGFF2014/index.htm . Invited speakers include: * Elie Aïdékon, * Jian Ding, * Lisa Hartung, * Rajat Subhra Hazra, * Nicola Kistler, * Oren Louidor, * Ré mi Rhodes, * Vincent Vargas, * Ofer Zeitouni, * Olivier Zindy. Please do not hesitate to share this announcement with anyone who might be interested. The deadline for online registration is November 21, 2014 . Best regards, the Organisers (S. Andres, A. Cipriani, J. - D. Deuschel, M. Slowik, W. Werner)

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Fwd: Bando - seconda fascia - Università Cattolica (fwd)
by Tiziano Vargiolu 21 Oct '14

21 Oct '14

-------- Messaggio Inoltrato -------- Oggetto: Bando - seconda fascia - Universit? Cattolica Data: Tue, 21 Oct 2014 08:10:02 +0000 Mittente: Dip. di Matematica Econometria <dip.matematicaeconometria(a)unicatt.it> Presso l'Universita' Cattolica del Sacro Cuore di Milano (Facolta' di Economia) e' indetta una procedura di valutazione scientifico-didattica n. 1 professore universitario di ruolo di seconda fascia da effettuare mediante chiamata ai sensi dell'articolo 18 della legge 30 dicembre 2010, n. 240 per il settore scientifico concorsuale 13/D4 METODI MATEMATICI DELL?ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE (Settore scientifico-disciplinare SECS-S/06), con Decreto rettorale n. 1187 del 22 settembre 2014 pubblicato sulla G.U. - 4?serie speciale - concorsi n. 81 del 17 ottobre 2014. SCADENZA: 17 novembre 2014 http://progetti.unicatt.it/progetti-Bando_1187.pdf Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Tel. 02.7234.2303 - fax 02.7234.2324 Universit? Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano www.unicatt.it

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Seminari PARASURAM e MEDINI (RGS & Matematica Applicata)
by Giacomo Aletti 20 Oct '14

20 Oct '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 27 Ottobre 2014, a partire dalle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, Talk 1 (14:30) "Understanding circuit function through detailed mathematical modeling of neuronal population activity" Harilal PARASURAM Computational Neuroscience Lab, Amrita School of Biotechnology Abstract: http://goo.gl/XJz1qL Talk 2 (15:15) "Blood Oxygen Level Dependent (BOLD) Signal Reconstructions on Large-Scale Spiking Network Models" Chaitanya MEDINI Computational Neuroscience Lab, Amrita School of Biotechnology Abstract: http://goo.gl/PiICnw ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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