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Seminario (ERC Pascal) Flandoli a Tor Vergata (2 maggio, ore 12)
by Claudio Macci 27 Apr '16

27 Apr '16

Avviso di Seminario. Dipartimento di Matematica dell'Universita` di Roma "Tor Vergata" il giorno 2 maggio 2016, ore 12, in aula Dal Passo il Prof. Franco Flandoli (Universita` di Pisa) terra` un seminario su Alcuni esempi di limite zero-noise per equazioni non ben poste Abstract In questo seminario si studieranno metodi per affrontare equazioni mal poste (cioe` essenzialmente in assenza di unicita`) mediante l'aggiunta di un termine aleatorio che fara` tendere a 0. Dopo una introduzione riguardante il caso di equazioni ordinarie con fenomeno di Peano, si studieranno esempi legati a equazioni alle derivate parziali.

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Seminario Flandoli a Tor Vergata
by Claudio Macci 27 Apr '16

27 Apr '16

Avviso di Seminario. Dipartimento di Matematica dell'Universita` di Roma "Tor Vergata" il giorno 2 maggio 2016, in aula Dal Passo il Prof. Franco Flandoli (Universita` di Pisa) terra` un seminario su Alcuni esempi di limite zero-noise per equazioni non ben poste Abstract In questo seminario si studieranno metodi per affrontare equazioni mal poste (cioe` essenzialmente in assenza di unicita`) mediante l'aggiunta di un termine aleatorio che fara` tendere a 0. Dopo una introduzione riguardante il caso di equazioni ordinarie con fenomeno di Peano, si studieranno esempi legati a equazioni alle derivate parziali. ************************************ Claudio Macci Dipartimento di Matematica Universita` di Roma Tor Vergata Via della Ricerca Scientifica 00133 Roma Italia Tel: +39 0672594728 Fax: +39 0672594699 e-mail: macci(a)mat.uniroma2.it http://www.mat.uniroma2.it/~macci ************************************

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seminario Piotr Jaworski in Bicocca
by Fabio Bellini 26 Apr '16

26 Apr '16

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seminario Yury Kutoyants in Bicocca
by Fabio Bellini 26 Apr '16

26 Apr '16

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Matlab + Advanced Risk and Portfolio Management Bootcamp
by Francesco Cesarone 25 Apr '16

25 Apr '16

Cari Colleghi, vi segnalo una scuola estiva (di alto profilo) in finanza quantitativa, che si terrà dal 15 al 21 Agosto 2016 alla New York University. Di seguito trovate tutte le informazioni sul Bootcamp. Cordialmente, Francesco Cesarone %%%%%%%%%%%%%%%%%%%%%%% Hi Francesco, As every year, ARPM is organizing the *Advanced Risk and Portfolio Management Bootcamp* <http://www.arpm.co/bootcamp/>, an intensive, quantitative 6-day course that will be held on 15-20 August at the New York University. As a past attendee and collaborator of SYMMYS/ARPM, we kindly ask you to help us spread the word by forwarding the present message -where we summarize the key highlight of the course- to your contacts. Moreover, we are trying to expand our partnerships with the universities. If you or any of your contacts would be interested in using the *ARPM Lab* <http://www.arpm.co/lab/> (an interactive educational online platform including theory, case studies, videos, exercises, and interactive Matlab/Python code) for their courses, or in collaborating on research or survey projects related to quantitative risk and portfolio management (directly or through Master’s or PhD students), we would be glad to establish a connection. The ARPM Bootcamp, taught by Dr. Attilio Meucci, has a rich program that is constantly updated and covers: estimation/data mining, factor modeling, risk modeling, portfolio construction, optimization, liquidity and execution, and much more. The program is presented in a unified framework, so that, even while exploring each topic in depth, the big picture is never lost. For the most technical topics, along with rigorous material (all available during and after the course) we use live simulations and exercises to help grasp the intuition. Beside suffering though math and technical lectures, the ARPM Bootcamp is an enriching personal experience. Networking is facilitated during social events. In particular, the Gala dinner provides a rare opportunity to engage in informal, intimate conversations with world-renowned quants. Past guests have included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more. The course is preceded by a 2 day conference on Python and MATLAB programming for Advanced Risk and Portfolio Management (included in the ARPM Bootcamp fee). After the course a (free) optional exam can be taken to be awarded the ARPM Certificate. We have reduced fees for Students and Academics ($1100 instead of $2100) and further reduced rates for groups (2 x $1000 each, 3 x $950 each, ... down to $750 for groups of 7+) For more information, testimonials and registration, please visit our website: www.arpm.co Thank you for your help! Best regards Zorica *ARPM* <http://www.arpm.co/>* - Advanced Risk and Portfolio Management | **Follow us:* *LinkedIn <https://www.linkedin.com/company/arpm---advanced-risk-and-portfolio-managem…>, Youtube <https://www.youtube.com/channel/UCf5wFT1TJo4EnD6SL0Fh32Q>, **Google+* <https://plus.google.com/u/0/+ARPM-AdvancedRiskPortfolioManagement>*,** Facebook <https://www.facebook.com/ARPM.co>, Twitter <https://twitter.com/ARPM_co>* -- -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it <francesco.cesarone(a)uniroma1.it> Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/ <http://dipeco.uniroma3.it/docenti.asp?id=164>

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Fwd: XIII Edition of the Summer School in Computational Econometrics - Programming in MatLab (fwd)
by Tiziano Vargiolu 21 Apr '16

21 Apr '16

> From: Marco LiCalzi <mlicalzi(a)gmail.com> > Subject: XIII Edition of the Summer School in Computational Econometrics - Programming in MatLab > Date: 4 April 2016 at 19:49:56 GMT+2 > To: random(a)mail.dm.unipi.it > > >> ------------------------------------------------------------------------------------ >> Summer School in Computational Econometrics >> ================================================ >> The XIV edition of the Summer School in >> "Computational Econometrics" >> will be held at the "Dipartimento di Scienze dell'Economia" of the >> University of Salento (Lecce, Italy) >> from July 25 to July 29, 2016. >> The main aim of this 30 hours course is to provide an introduction to >> applied macroeconomics and macroeconometrics with MATLAB. >> In addition, Waf, a Python-based project-building framework will be introduced. >> Lecturer: Prof. Dr. Ulrich Woitek, Department of Economics, >> University of Zurich. >> (deadline for application: 30 June 2016) >> For details visit: >> http://www.seec.unisalento.it <http://www.seec.unisalento.it/>

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PhD / PostDoc position in Bochum
by Francesco Caravenna 21 Apr '16

21 Apr '16

Ricevo e inoltro. > Ph.D. or PostDoc position at Ruhr University Bochum (Germany) > The Faculty of Mathematics at the Ruhr University Bochum has an opening for a > Ph.D. position (salary scale TV-L E 13, 75%; including social benefits) > or a > PostDoc position (salary scale TV-L E 13, 100%; including social benefits) > in probability theory starting October 1st 2016. > > Candidates should have completed (or are about to complete) a M.Sc. degree (or equivalent) or a Ph.D. in mathematics, in particular in probability theory or a closely related field. The positions carry a modest teaching load (3h per week for the Ph.D. position and 4h per week for the PostDoc position) which, in case of foreign applicants, can be offered in English. > The Faculty of Mathematics at the Ruhr University Bochum (http://www.ruhr-uni-bochum.de/ffm/) provides a lively working atmosphere with excellent working conditions. Applicants will profit from the cooperation with a large number of research groups working in probability theory as well as from the DFG-funded research training group RTG 2131 „High-Dimensional Phenomena in Probability – Fluctuations and Discontinuity“ (https://sites.google.com/site/rtg2131/) > We encourages the application of female candidates. Disabled persons will be given preferential treatment in case of otherwise equal qualification. > > > Electronic applications with the usual documents (CV, diplomas, list of publications if available) should be addressed before May 20, 2016 to: tanja.schiffmann(a)rub.de. > > If you have any questions, please send an e-mail to > > Prof. Dr. Peter Eichelsbacher > http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/stochastik/eichelsbacher.html > peter.eichelsbacher(a)rub.de > > or to > > Prof. Dr. Christoph Thäle > http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/Thaele/index.html > christoph.thaele(a)rub.de >

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Seminario Prof. Huyên Pham (Paris Diderot) al Politecnico di Milano
by Fulvia Confortola 21 Apr '16

21 Apr '16

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Fulvia Confortola -------------- Si avvisa che il giorno giovedì 5 maggio 2016 alle ore 11:30 nell'Aula Seminari al III piano del Dipartimento di Matematica (Edificio La Nave) del Politecnico di Milano, Via Bonardi 9, Milano, si terrà il seguente seminario Titolo: Control of stochastic McKean-Vlasov equation and applications. Relatore: Prof. Huyên Pham, Università Paris Diderot (Paris 7).

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Bando per ricercatore a tempo indeterminato al CNR
by Antonella Bodini 19 Apr '16

19 Apr '16

Con preghiera di massima diffusione, si informa che sulla Gazzetta Ufficiale n. 24 del 25/03/2016, *con scadenza : 26/04/2016 (ore 18.00)*, e' stato pubblicato il *Bando CNR.367.3* per l’assunzione con contratto di lavoro a tempo pieno e indeterminato di 1 unità di personale con profilo Ricercatore o Tecnologo, III livello professionale presso l'Istituto di Biologia e Biotecnologia Agraria - MILANO – del Consiglio Nazionale delle Ricerche. E' richiesto di aver svolto, per almeno un triennio, a seguito di stipula di contratti di lavoro subordinato o di contratti di collaborazione coordinata e continuativa ovvero a seguito di conferimento di assegni di ricerca o borse di studio, presso Università o qualificati Enti e Centri di ricerca pubblici o privati, anche stranieri, attività di ricerca post laurea nella seguente tematica: *Sviluppo di modelli quantitativi di predizione e interpretazione applicati allo studio del metabolismo in organismi di interesse agrario*, ovvero il possesso del titolo di Dottore di Ricerca attinente alla medesima. Il bando e' pubblicato anche sui siti istituzionali del CNR: https://selezionionline.cnr.it/ e www.urp.cnr.it . Cordiali saluti, Antonella Bodini -- 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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Vienna Congress on Mathematical Finance, September 2016
by Tiziano Vargiolu 18 Apr '16

18 Apr '16

---------- Forwarded message ---------- Date: Fri, 15 Apr 2016 16:02:12 +0200 From: Uwe Schmock <schmock(a)fam.tuwien.ac.at> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Input for mailing list RANDOM ------------------------------------------------------------------ Subject: Vienna Congress on Mathematical Finance, September 2016 =================================================== Vienna Congress on Mathematical Finance (VCMF 2016) Vienna, Austria Mon-Wed, September 12-14, 2016 VCMF Educational Workshop Thu-Fri, September 15-16, 2016 http://fam.tuwien.ac.at/vcmf2016/ =================================================== Location: Campus of WU Wien Library & Learning Center (LC) and Teaching Center (TC) Welthandelsplatz 1, 1020 Vienna/Wien, Austria Organized by: WU Wien - Vienna University of Economics and Business TU Wien - Vienna University of Technology University of Vienna Gold Sponsors (alphabetical order): KPMG Austria Raiffeisen Bank International (further sponsors are welcome) The conference will bring together leading experts from various fields of Mathematical Finance such as: - Limit Order Book / High Frequency Trading - Credit Risk / Systemic Risk - Computational Methods and Calibration - New Financial Markets - Stochastic Volatility Models - Risk Measures and Optimization The conference program will feature plenary lectures, parallel sessions with invited and contributed talks as well as poster sessions. Moreover, there will be an attractive social program. The conference is followed by a two-day Educational Workshop on September 15 and 16 with lectures by internationally recognized experts that will be a great learning opportunity in particular for younger scientists. Plenary Speakers... ... at the Congress: Freddy Delbaen (ETH Zurich, CH) Hans F?llmer (Humboldt-Universit?t zu Berlin, DE) Peter Friz (Technische Universit?t Berlin, DE) Emmanuel Gobet (?cole Polytechnique, FR) Mathieu Rosenbaum (?cole Polytechnique & UPMC, FR) Josef Teichmann (ETH Zurich, CH) Almut Veraart (Imperial College London, UK) ... at the Educational Workshop Nicole B?uerle (Karlsruhe Institute of Technology, DE) Alexander McNeil (Heriot-Watt University, UK) Johannes Muhle-Karbe (University of Michigan, US) Peter Tankov (Universit? Paris-Diderot (Paris 7), FR) https://fam.tuwien.ac.at/vcmf2016/speakers.php Invited Speakers... ... at the Congress: Elisa Alos (Universitat Pompeu Fabra Barcelona, ES) Christian Bayer (WIAS, DE) Agostino Capponi (Columbia University, US) Patrick Cheridito (Princeton University, US) Ulrich Horst (Humboldt-Universit?t zu Berlin, DE) Jan Kallsen (Christian-Albrechts-Universit?t zu Kiel, DE) R?diger Kiesel (Universit?t Duisburg-Essen, DE) Antonis Papapantoleon (TU Berlin, DE) Alexander Schied (Universit?t Mannheim, DE) Philipp Sch?nbucher (Financialytic GmbH, DE) Jorge P. Zubelli (IMPA, BR) https://fam.tuwien.ac.at/vcmf2016/speakers.php Submission of Contributed Talks & Posters: The call for contributed talks & posters is open until April 30, 2016. Acceptance/rejection letters will be sent about end of May 2016. https://fam.tuwien.ac.at/vcmf2016/registration.php Participation and Registration: Early registration is possible until June 30, 2016. Standard registration is possible until August 15, 2016. https://fam.tuwien.ac.at/vcmf2016/registration.php CPD: The attendance at VCMF 2016 (full week, Sept. 12-16, 2016) may qualifies for up to 31 CPD credits for those delegates whose national actuarial organization's CPD requirements recognize VCMF 2016. 20 CPD credits for the Vienna Congress on Mathematical Finance (Sep 12-14) and 11 CPD credits for the VCMF Educational Workshop (Sep 15-16). VCMF 2016 is accredited by the AV? - Actuarial Association of Austria Details from other national actuarial associations will follow soon. For any requests, do not hesitate to write an e-mail to the conference & workshop secretariat: vcmf2016(a)fam.tuwien.ac.at We look forward to welcoming you in Vienna! With best regards from the VCMF 2016 organisers: Mathias Beiglb?ck, Christa Cuchiero, R?diger Frey, Stefan Gerhold, Friedrich Hubalek, Irene Klein, Thorsten Rheinl?nder, Birgit Rudloff, Walter Schachermayer, Uwe Schmock Save the Date: ============== 21st International Congress on Insurance: Mathematics and Economics (IME 2017) TU Vienna, Mon?Wed, July 3?5, 2017 http://fam.tuwien.ac.at/ime2017/

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Annuncio Mini Corso - Giovanni Zanco - Pisa
by Marta Leocata 17 Apr '16

17 Apr '16

Cari tutti, nei giorni mercoledi' 19 aprile, dalle ore 11:00 alle 13:00 (presso l'aula seminari) giovedì 20 aprile, dalle ore 11:00 alle ore 13:00 (presso l'aula Magna) Giovanni Zanco terra' un minicorso dal titolo A brief introduction to rough paths Abstract: We will introduce basic concepts and tools from rough paths theory, motivated by the need to establish a solution theory for differential equations driven by irregular signals. In particular we will discuss controlled rough paths, integration against rough paths, we will compare it to stochastic integration theories and show how classical results can be extended to the rough paths framework. We will mainly consider \alpha-Hölder signals with \alpha\in(1/3,1/2]; this choice allows to simplify many concepts of the theory and, although restrictive, provides enough instruments to deal with interesting problems, like nonlinear SPDEs driven by space-time white noise. Saluti, Marta Leocata

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Senior Lecturer/Reader and Lecturer Positions in Probability and Statistics at Sussex
by Enrico Scalas 15 Apr '16

15 Apr '16

Car* collegh*, vi segnalo i bandi riguardanti due posti di probabilita' e statistica all'Universita' del Sussex: http://www.sussex.ac.uk/aboutus/jobs/741 http://www.sussex.ac.uk/aboutus/jobs/736 http://www.jobs.ac.uk/job/ANL689/lecturer-in-statistics-and-probability/ http://www.jobs.ac.uk/job/ANL687/senior-lecturer-reader-in-statistics-and-p… La scadenza e' il 17 maggio. Cordiali saluti, Enrico Scalas

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post doc position in Florence "Instability forecasters for the financial markets", deadline 2 of May
by cecilia mancini 15 Apr '16

15 Apr '16

Dear all, I ask you to forward this news to potentially interested candidates, thank you, best regards, Cecilia my Department in Florence is issuing a post doc position for ONE YEAR (which we expect to be able to renew for another year). The call just appeared at http://www.unifi.it/mod-MDAssRic.html?target=a look for Dipartimento di Scienze per l'Economia e l'Impresa The SUBJECT is: Instability forecasters for the financial markets I am the responsible of the project. Unfortunately my university at moment only issues calls in Italian. The project however is described also in English. If somene interested has problems to understand the call can write me The annual salary is 19'367 Euros (of which a sum of about 7% to 10% will be accrued for pension). DEADLINE: the candidacy has to arrive at the Department by 2 of May at 1 pm. It is possible to send it by pec email, if the candidate has a personal one. An interview will be made to the best candidates on May, the 16th, at my Department in Florence. The research activity will START on June 2016, the 1st. REQUISITES. Master degree in Math or Physics, Engineering, Finance, Economy; at least 2 years of research experience; pertinent curriculum with the project. We ask the candidate has: a good background in mathematical analysis, in the theory of probability and stochastic processes, in econometry; a good ability in manipulating financial data and in creating and implementing routines in matlab (and possibly in C); availability in being present at the Department at least 1-2 days per week

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Mini course in Verona: BSDEs with applications, by Adrian Zalinescu
by Luca di persio 15 Apr '16

15 Apr '16

Mini course announcement Prof. Adrian Zalinescu [ University Al.I.Cuza ] will give a mini course on Backward Stochastic Differential Equations with applications, at the Department of Computer Science, University of Verona, with the following calendar of lessons 26th of April - from 1430 to 1730 27th of April - from 1530 to 1830 28th of April - from 1530 to 1830 5th of May - from 1530 to 1730 6th of May - from 1530 to 1830 All the lessons will take place at the Dept. of Computer Science, Strada le Grazie, 15 - Verona Ca' Vignal 2, first floor , Room M. located here https://goo.gl/maps/Yx2JU The* tentative programme* is the following: 1. BSDEs – general results Existence and Uniqueness of Solutions Comparison Principles Examples of Linear and Nonlinear BSDEs linear BSDEs arising from optimal control applications one-dimensional BSDEs with non-Lipschitz coefficients, especially with quadratic growth generators reflected BSDEs. 2. Markovian BSDEs Forward-backward SDE The nonlinear Feynman-Kac formula Connection with Partial Differential Equations 3. Applications in Mathematical Finance Along the above two theoretical directions which constitute the frame of the course, various applications in mathematical finance and insurance will be given. We mention here a few: Pricing of European and American options, Hedging, Risk-Sensitive Control. Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686 Mail priva di virus. www.avast.com <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…>

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Seminario PAOLO DAI PRA @ UniTo
by Federico Polito 14 Apr '16

14 Apr '16

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* mercoledì 4 Maggio 2016 alle ore 14:30 in Aula Magna presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. PAOLO DAI PRA (Università degli Studi di Padova) terrà un seminario dal titolo ROUTE TO CONSENSUS AND OSCILLATING BEHAVIOR IN A NETWORK OF CONFORMIST INDIVIDUALS Abstract: Many models have been proposed to describe a group of interacting individuals with a conformist (or non-conformist) attitude. Most of these models are Markovian, possibly with memory. In this talk I outline a model in which every individual forecasts the behavior of the rest of the community, and on this basis optimizes his own strategy. We are interested in the resulting collective behavior, which actually shows features that are not present in classical Markovian models. Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Fwd: Postdoctoral opportunity on applied probability/stochastic modelling at Lancaster University
by Antonio Di Crescenzo 14 Apr '16

14 Apr '16

---------- Forwarded message ---------- From: Glazebrook, Kevin <<mailto:k.glazebrook@lancaster.ac.uk>k.glazebrook(a)lancaster.ac.uk> Dear Friends and Colleagues, I would be enormously grateful if you could bring the postdoctoral opportunity below to the attention of suitable candidates. Many thanks and best wishes, Kevin Glazebrook Ref: A1497 Research Associate in Applied Probability/Stochastic Modelling Department of Management Science, Lancaster University Salary range: £26,537 to £30,738 Closing Date: Tuesday 10 May 2016 Contract: Temporary (three years) Job URL: <https://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A1497>https://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A1497 Mathematical Models and Algorithms for Allocating Scarce Airport Resources (OR-MASTER) is a Programme Grant funded by the Engineering and Physical Science Research Council, UK (EPSRC) involving Lancaster University and Queen Mary University, London (QMUL). The Programme runs for six years from October 2015, with a total of GBP 2.8million funding. At Lancaster, OR-MASTER will be undertaken by the Centre for Transport and Logistics (CENTRAL) Research (a newly established Research Centre in the Department of Management Science), and will link into existing Operational Research-related development initiatives and expertise such as: the STOR-i Doctoral Training Centre and the Lancaster Data Science Institute. Professor Konstantinos G. Zografos at Lancaster University is the Principal Investigator and overall Programme Director. Professors Kevin Glazebrook (Lancaster) and Edmund Burke (QMUL) are the two Programme Co-Investigators. Professor Burke leads the OR-MASTER Programme at QMUL. The Programme represents a strong partnership between academia, the air transport industry and policy makers. OR-MASTER will involve close collaboration with a host of international organisations that will support the project, providing real-world data, insights and expertise. OR-MASTER will develop new mathematical models and algorithms for solving complex, large-scale airport resource allocation problems. Our ultimate goal is to develop decision support capabilities for airport capacity allocation and management. To achieve our objectives we seek to recruit world-leading post-doctoral researchers (Research Associates) with ambition, potential and determination. OR-MASTER is a highly collaborative Programme. Each Research Associate and PhD student working on the project at Lancaster University will have at least one other 'buddy partner' at the QMUL with whom they will collaborate, supported by visits to the partner site. RAs and PhDs will also have opportunities to visit and collaborate with the industrial and academic organisations affiliated with the project. Research staff will also have opportunities to guide the direction of the research, where appropriate, and to make use of the extensive opportunities for career development and advancement that this large ambitious Programme offers. We are looking for an outstanding applied probabilistic/stochastic modeller to join the OR-MASTER team for a fixed term of three years. You will work under the direction of Professor Kevin Glazebrook to develop and analyse stochastic models to meet the programme's need for optimizing airport declared capacity and for assessing the delays experienced at airports and networks of airports. This work will require both a capacity for theoretical innovation and high level computing skills. The main activities will include:- - Innovative research investigation under the OR-MASTER project - Collaborative activities with OR-MASTER affiliated organisations and participation in project events (e.g. stakeholder workshops) - Preparation of research papers - Preparation and presentation of conference papers - Other duties associated with the OR-MASTER project Informal enquiries to Professor Kevin D. Glazebrook - email <mailto:k.glazebrook@lancaster.ac.uk>k.glazebrook(a)lancaster.ac.uk, tel: +44 (0)1524 592697 and Professor Konstantinos G. Zografos - email: <mailto:k.zografos@lancaster.ac.uk>k.zografos(a)lancaster.ac.uk, tel: +44 (0)1524 592384 We welcome applications from people in all diversity groups. For further information and to apply online please click on the link <https://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A1497>https://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A1497 Lancaster University - ensuring equality of opportunity and celebrating diversity. -- ------------------------------------- Peter Jacko ------------------------------------- Lecturer in Management Science Department of Management Science Lancaster University Management School Lancaster, LA1 4YX, UK <mailto:p.jacko@lancaster.ac.uk>p.jacko(a)lancaster.ac.uk | +44-15245 94035 | Office B57 <http://scholar.google.com/citations?user=Ym1nWHEAAAAJ>scholar.google.com/citations?user=Ym1nWHEAAAAJ <http://www.lancaster.ac.uk/lums/people/peter-jacko>http://www.lancaster.ac.uk/lums/people/peter-jacko ------------------------------------- --

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Annuncio Seminario - Elena Villa - Tor Vergata
by Valentina Cammarota 13 Apr '16

13 Apr '16

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) 21 aprile ore 15:00 Aula D'Antoni Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Elena Villa, Università degli Studi di Milano Title: ASYMPTOTIC RESULTS FOR ESTIMATORS OF THE MEAN DENSITY OF RANDOM CLOSED SETS AND OF THE INTENSITY OF POINT PROCESSES. 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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PhD Modelling Week in Verona, September 4-10, 2016
by Luca di persio 12 Apr '16

12 Apr '16

Dear all, The joint Doctoral School of Mathematics of the Universities of Trento and Verona together with the Department of Computer Science of the University of Verona, will organise a Modelling Week (Math Modeling of Industrial Problems) for PhD students, in Verona, from the 4th to the 10th of September 2016. Detailed informations about the initiative can be found at the following link http://profs.scienze.univr.it/caliari/phdmw/ Target participants are mostly *PhD students from all of Europe*. We have the possibility to *offer lodging and meals* (and reimburse tax fees) for approximately *20 students*. The treated industrial problems will focus particularly on numerical analysis, operation research, mathematical finance and math in biomedecine. *Please note that* The *deadline for the registration* is *May 15*, 2016. Candidates that want to request financial support for lodging, travel expenses and/or fee reimbursement, have to register within *April 30*, 2016. The registration fee is 150.00 Euros (it includes, in particular, coffee breaks, lunches, dinners and final social dinner). In order to confirm the registration, the fee is due within 15 days from submitting the registration form. We kindly ask to disseminate the event among potentially interested students and colleagues. With best regards, Luca Di Persio __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Reminder: Prof. Nils Hjort PhD short course on Confidence distributions
by Andrea Ongaro 12 Apr '16

12 Apr '16

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Premi di ricerca AMASES per giovani studiosi
by Antonella Basso 11 Apr '16

11 Apr '16

Il comitato scientifico AMASES (Associazione per la Matematica Applicata alle Scienze Economiche e Sociali) ha deciso di istituire anche quest'anno due premi di ricerca per giovani studiosi, al fine di promuovere lo studio della Matematica applicata alle Scienze Economiche e Sociali e di incentivare la ricerca di eccellenza: 1. un premio di ricerca per il miglior lavoro che verrà presentato al Convegno Nazionale Amases 2016, che si terrà a Catania dal 15 al 17 settembre, da giovani studiosi; 2. un premio di ricerca per la pubblicazione della migliore tesi di dottorato. Trovate i bandi dei due premi e maggiori informazioni alle seguenti pagine web: 1. http://www.amases.org/awards/paper/303:amases-award-for-the-best-paper-pres… 2. http://www.amases.org/homepage-3/30-open-call-doctoral-dissertation-award/3… Si prega di dare la massima diffusione all'informazione presso i giovani. Cordiali saluti Antonella Basso -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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Summer School in Economics and Finance - Canazei 2016
by Antonella Basso 11 Apr '16

11 Apr '16

*A.M.A.S.E.S. Department of Economics, Management and Statistics, University of Palermo Department of Economics, University of Verona* jointly organize the *Summer School in Economics and Finance SSEF Canazei 2016* Alba di Canazei, Trento - Italy *July 25-29 2016* *NETWORKS AND BIG DATA ANALYSIS IN ECONOMICS, FINANCE, AND SOCIAL SYSTEMS* *Giulia Iori*, Department of Economics, City University London, London, UK http://www.city.ac.uk/people/academics/giulia-iori E-mail: g.iori(a)city.ac.uk <mailto:g.iori@city.ac.uk> *Christofer Edling*, Department of Sociology, Lund University, Lund, Sweeden http://www.soc.lu.se/en/christofer-edling E-mail: christofer.edling(a)soc.lu.se <mailto:christofer.edling@soc.lu.se> *Michele Tumminello*, Department of Economics, Management and Statistics, University of Palermo http://www.unipa.it/persone/docenti/t/michele.tumminello E-mail: michele.tumminello(a)unipa.it <mailto:michele.tumminello@unipa.it> Application: *submission deadline: May 9* If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 23. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 24, given that the activities begin at 9 am on Monday 25 Further details are available at: http://dse.univr.it/safe/schools/ *SAVE THE DATE* * * * * -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

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Annuncio seminario - Lorenzo Zambotti - Pavia
by Carlo Orrieri 11 Apr '16

11 Apr '16

*Martedì 19 aprile 2016*, ore 15:00 presso l'aula Beltrami (dipartimento di matematica, Università di Pavia) il prof. *Lorenzo Zambotti, *Université Paris 6 – Pierre et Marie Curie, terrà un seminario dal titolo: "*Renormalisation in Regularity Structures*" Summary: In this talk we want to present a detailed study of the algebraic objects appearing in the theory of regularity structures. In particular we aim at introducing a class of co-algebras on labelled forests and trees and show that these allow to discribe in an unified setting the structure group and the renormalisation group. Based on joint work with Yvain Bruned and Martin Hairer. Tutti gli interessati sono invitati a partecipare.

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Postdoc di 3 anni in Machine Learning/Statistics for Big Data - University of Leeds
by Tiziano De Angelis 09 Apr '16

09 Apr '16

Con preghiera di diffusione. E' aperto il bando per un Postdoc di 3 anni in "*Machine Learning/Statistics for Big Data*" presso l'Universita' di Leeds - scadenza del bando *23 Novembre 2015*. Ulteriori informazioni possono essere trovate al seguente link https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1031 Cordiali saluti Tiziano De Angelis

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Reminder: Prof. Nils Hjort PhD short course on Confidence distributions
by Andrea Ongaro 08 Apr '16

08 Apr '16

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Annuncio seminario
by demattei＠student.dm.unipi.it 08 Apr '16

08 Apr '16

Il giorno mercoledì 13 aprile alle ore 11:30 in Sala Seminari del Dipartimento di Matematica di Pisa, Giuseppe Cannizzaro terrà il seguente seminario: Calcolo di Malliavin per Strutture di Regolarità: il caso di gPAM Abstract: Le strutture di regolarità, introdotte da M. Hairer in A theory of Regularity Structures, hanno permesso di risolvere in modo robusto una ricca classe di equazioni alle derivate parziali stocastiche (SPDEs) mal poste. In questa presentazione vogliamo mostrare come sia possibile utilizzare tecniche di calcolo di Malliavin al fine di indagare proprietà probabilistiche delle soluzioni di tali equazioni. Valeria De Mattei

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Un pensiero per Gianni Di Masi
by Fabio Spizzichino 07 Apr '16

07 Apr '16

Ricordiamo tutti Gianni come amico, collega e probabilista. In particolare ricordiamo che e' stato uno dei pionieri nel campo del controllo stocastico in Italia. In tanti anni di impegno comune, la sua presenza è sempre stata un'occasione di arricchimento sia scientifico che umano. E la sua scomparsa lascia un grande vuoto in tutti noi. Mario Abundo, Paolo Baldi, Antonella Calzolari, Lucia Caramellino, Claudia Ceci Cristina Costantini, Giorgio Koch, Claudio Macci, Federico Marchetti, Giovanna Nappo, Mauro Piccioni, Fabio Spizzichino, Paola Tardelli, Barbara Torti.

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Seminario di Probabilità - Università di Padova - Cambio di aula
by Paolo Dai Pra 07 Apr '16

07 Apr '16

Vi informo che il seminario del Dr. Joseba Dalmau (ENS Parigi) dell’11 Aprile, si svolgerà alle 15:00 in Aula 1A150, al primo piano della Torre Archimede. Titolo: La distribuzione della quasi-specie Abstract: nel 1971, Manfred Eigen propone un modello deterministico per descrivere l'evoluzione di una popolazione infinita di macromolecole, soggetta a delle forze di mutazione e selezione. Due fenomeni principali si osservano nel modello di Eigen: una soglia di errore per il tasso di mutazione e una distribuzione di quasi-specie per dei tassi di mutazione sulla soglia di errore. Al fine di ottenere un analogo di questi risultati per una popolazione finita, studiamo un modello di Moran con mutazione e selezione, e ritroviamo, in un regime asintotico concreto, la soglia di errore e la distribuzione della quasi-specie. Inoltre, otteniamo una formula esplicita per la distribuzione della quasi-specie. 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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Gianni Di Masi
by Paolo Dai Pra 05 Apr '16

05 Apr '16

Con profonda tristezza vi comunico la scomparsa di Gianni Di Masi. Amico e collaboratore, Gianni è stato per molti anni un punto di riferimento scientifico e umano. Dopo esser stato ricercatore presso il CNR-LADSEB, Gianni Di Masi ha svolto la sua attività presso il Dipartimento di Matematica dell’Università di Padova, di cui è anche stato Direttore. La sua attività scientifica ha riguardato i processi stocastici e varie applicazioni, tra cui filtraggio, controllo stocastico e finanza matematica. I suoi risultati sono stati assai apprezzati a livello internazionale. A noi piace ricordarlo per la sua semplicità, onestà, la sua innata simpatia e il suo umorismo spesso trascinante. Notizie riguardanti il funerale e l’alzabara saranno a breve pubblicate sul sito del Dipartimento di Matematica. Paolo Dai Pra 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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Fwd: CFP: 37th Finnish Summer School on Probability and Statistics
by Antonio Di Crescenzo 04 Apr '16

04 Apr '16

>From: Leskelä Lasse <lasse.leskela(a)aalto.fi> >To: Dario Gasbarra <dario.gasbarra(a)helsinki.fi> >CC: Leskelä Lasse <lasse.leskela(a)aalto.fi> >Subject: CFP: 37th Finnish Summer School on Probability and Statistics >Date: Mon, 4 Apr 2016 13:17:36 +0000 > > >Call for participation (feel free to forward this to students and >colleagues): > > 37th Finnish Summer School on Probability and Statistics > >30 May - 3 June 2016 > Lammi, Finland > >http://fdnss.fi/summer-school/ > > >INVITED LECTURES > >Nelly Litvak (U Twente) >Ranking in scale-free random graphs > >Ludger Rüschendorf (U Freiburg) >Dependence, risk bounds and optimal portfolios > >Harry van Zanten (U Amsterdam) >Nonparametric Bayesian statistics > > > >Registrations are due by 30 Apr 2016. The summer school is organized by >the Finnish Doctoral Education Network in Stochastics and Statistics >(FDNSS). For more information, visit http://fdnss.fi/ > >Looking forward to meeting many of you there! > >Lasse --

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Seminario di Probabilità - Università di Padova
by Paolo Dai Pra 04 Apr '16

04 Apr '16

Ho il piacere di invitarvi al seguente seminario che si terrà Lunedì 11 Aprile 2016, alle ore 15 in Sala Riunioni del VII piano del Dipartimento di Matematica di Padova (accesso scala B): Speaker: Dr. Joseba Dalmau, ENS Parigi Titolo: La distribuzione della quasi-specie Abstract: nel 1971, Manfred Eigen propone un modello deterministico per descrivere l'evoluzione di una popolazione infinita di macromolecole, soggetta a delle forze di mutazione e selezione. Due fenomeni principali si osservano nel modello di Eigen: una soglia di errore per il tasso di mutazione e una distribuzione di quasi-specie per dei tassi di mutazione sulla soglia di errore. Al fine di ottenere un analogo di questi risultati per una popolazione finita, studiamo un modello di Moran con mutazione e selezione, e ritroviamo, in un regime asintotico concreto, la soglia di errore e la distribuzione della quasi-specie. Inoltre, otteniamo una formula esplicita per la distribuzione della quasi-specie. 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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Annuncio Seminario - Ate Nieuwenhuis - Memotef (Sapienza)
by Gabriele Stabile 31 Mar '16

31 Mar '16

*Mercoledì 6 aprile 2016, ore 14:00* presso l'Aula Fanfani (Sapienza Università di Roma, Dipart. Memotef, Via del Castro Laurenziano 9, Roma - Facoltà di Economia, 5°piano) Il prof. Ate Nieuwenhuis terrà un seminario dal titolo: *"*An early contribution to vector maximisation of De Finetti*”* Summary: An achievement of De Finetti for which he has received little recognition thus far is his contribution to the field of vector maximisation in two articles published in 1937, Problemi di “optimum” and Problemi di “optimum” vincolato. The speech will put his contribution in historical perspective and will discuss its importance for economic theory. Tutti gli interessati sono invitati a partecipare

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Fwd: UNISActuarial School - Invitation (fwd)
by Tiziano Vargiolu 30 Mar '16

30 Mar '16

-------- Messaggio Inoltrato -------- Oggetto: UNISActuarial School - Invitation Data: Tue, 15 Mar 2016 10:34:03 +0100 Mittente: unisactuarialschool <unisactuarialschool(a)unisa.it> A: unisactuarialschool(a)unisa.it Dear Colleagues/Students/Friends, We are pleased to announce the first edition of UNISActuarial School, an International School in actuarial mathematics of the University of Salerno (Italy). The first edition will be held on October 25,26,27, 2016 - Campus universitario, University of Salerno (Italy). The school is open to both academics and practitioners and will provide lectures on a wide range of actuarial topics as the following: * Insurance * Insurance Products * Stochastic modelling of extremal events in insurance and finance * Aggregation of risk measures * Longevity risk * Solvency Analysis * Retirement Planning * Risk Management * Pensions, etc. In particular, the School invites participants to discuss their ideas in their specific fields with the academics, researchers and practitioners. ?SHARE your Knowledge? : The School will give you the opportunity to download routines, codes and datasets related to empirical applications on actuarial topics, by a new App - UNISAct (Android and Apple) devoted to actuarial applications. Find more information about the School at http://www.unisact.unisa.it/ We are looking forward to your application!!! With best regards, The Organizing Committee

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Fwd: Announcement: 9th European Summer School in Financial Mathematics (fwd)
by Tiziano Vargiolu 30 Mar '16

30 Mar '16

----- Forwarded message from summerschoolmathfi <summerschoolmathfi(a)cmap.polytechnique.fr> ----- Date: Tue, 15 Mar 2016 17:16:09 +0100 From: summerschoolmathfi <summerschoolmathfi(a)cmap.polytechnique.fr> Subject: Announcement: 9th European Summer School in Financial Mathematics To: peter.tankov(a)gmail.com Dear all, We are glad to announce the 9th European Summer School in Financial Mathematics, which will be held in Pushkin, close to St. Petersburg, from August 29th to September 2nd 2016. Main lectures will be given by B. Bouchard, K. Kardaras, J. Ruf, N. Touzi and M. Zhiltukhin. We invite applications from PhD students and early career researchers. Grants covering accommodation and travel expenses will be provided to accepted participants. Please visit the web page of the summer school for more information: http://www.cmap.polytechnique.fr/~euroschoolmathfi16/ Deadline for applications is April 30th. Please follow the instructions on the web page to apply. We count on your participation to make this ninth summer school a success, just as the previous editions have been! Please feel free to circulate this announcement. With our best regards, The organising committee: Youri Kabanov, Aleksey Muravlev, Albert Shiryaev, Peter Tankov, Nizar Touzi, Mikhail Zhiltukhin ----- End forwarded message -----

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Post Doc a Wuppertal
by Claudio Macci 29 Mar '16

29 Mar '16

Cari tutti, Barbara Ruediger mi ha chiesto di segnalare un bando per una posizione di Post Doc a Wuppertal (vedere bando in allegato). La scadenza e` imminente (dopodomani) ma fa fede il timbro postale. Per eventuali chiarimenti/curiosita` potete contattarla (conosce l'italiano) all'indirizzo ruediger(a)uni-wuppertal.de Cordiali saluti. C.M.

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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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conference statistical mechanics Nantes, June 10
by Niccolo Torri 18 Mar '16

18 Mar '16

Dear Colleagues, This is the first announcement for the conference on: MODELISATION PROBABILISTE DU COMPORTEMENT DE GRANDS SYSTEMES PHYSIQUES which will be held on Friday, June 10, 2016, in Nantes. The conference will focus on statistical mechanics and the speakers will present some of their most recent contributions to various topics as Polymer models, Random walk in Random environment, Dimer Models, Random Graph. The conference is hosted by the Cité Internationale des Congrés as part of the Journées Scientifiques de l'Université de Nantes. Confirmed speakers : Frank den Hollander, Poquet Christophe, Benoît Laslier, Laurent Tournier, Paolo Milanesi A detailed program is available here: http://www.math.sciences.univ-nantes.fr/~torri/JS_NANTES_Proba.pdf The conference is free and open to all, but the registration is *mandatory* (we have only a limited number of places: 30). Please use the on-line form http://inscriptions.js.univ-nantes.fr/?id=CL09 For further informations http://www.math.sciences.univ-nantes.fr/~torri/JS_Nantes.html Nicolas Pétrélis, Niccolò Torri, Philippe Carmona

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de Finetti risk seminar - April 2016
by Emanuela Rosazza 18 Mar '16

18 Mar '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 Curtis Lee Smith Idaho National Laboratory Title to be announced LOCATION: The seminar will be held on Wednesday, April 6, 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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Corso di Storia della Probabilità a Pavia
by Antonio Lijoi 17 Mar '16

17 Mar '16

Nell'ambito delle attivita' del Dottorato di Ricerca in Matematica (Universita' di Pavia - Universita' di Milano Bicocca - INdAM), il prof. Eugenio Regazzini terra' il corso ** History of Probability in the First Half of XX Century ** Le lezioni (30 ore complessive) si terranno presso il Dipartimento di Matematica "F. Casorati" dell'Universita' di Pavia, ogni giovedi' e venerdi' dalle 10:00 alle 13:00, a partire dal 14 aprile. Per ulteriori informazioni e' possibile contattare il docente via email: eugenio.regazzini(a)unipv.it ** Descrizione del corso ** The first half of the last century has been a formidable period for the development of probability and its applications. In point of fact, during its course a number of open problems found a definitive answer and, at the same time, sound bases towards new important achievements were established. The method adopted in the present course in order to illustrate the advance of probability consists in analyzing the most original and streamlined lines of reasoning to prove a certain number of theorems generally seen as determining the magnificence of modern probability. Since the aforesaid progress has been made possible even by the axiomatization of probability, the first part of the course will be devoted to this subject, drawing particular attention to the foundational work of A. N. Kolmogorov (1933) and B. de Finetti (1931). The second part will deal with distinguished versions of the strong law of large number, starting from E. Borel (1909) and F.P. Cantelli (1917), to get at the general formulation from the Soviet School (Kolmogorov, A. Khinchin, etc.). In the case of stochastic independence, their extensions to exchangeable random elements (de Finetti), and more general stationary sequences (ergodic theorem of von Neumann and Birkhoff) will be displayed and discussed. In this very same part, the role played by stable and infinitely divisible laws to solve the central limit problem (P. Lévy, Khinchin, W. Doeblin, B. Gnedenko) will be emphasized. The last part will be devoted to the birth of the theory of stochastic processes, starting from the works of Kolmogorov (1929) on Markov processes, de Finetti (1929 -1933) and Lévy (1934-1935) on random functions with independent increments, Lévy (1935-1937) and J. Doob (1940) on martingales. This last part will end with an outline to the methods devised in the fifties to study convergence in law of stochastic processes.

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Assistant position, TU Graz, Austria
by Fabio Zucca 12 Mar '16

12 Mar '16

Cari tutti, ricevo e volentieri inoltro, scusandomi in anticipo con chi l'avesse per caso già ricevuto. Fabio Zucca --------------------------------- Open position - Assistant Professor with PhD for 6 years Graz University of Technology Institute of Discrete Mathematics Working Group Structure Theory and Stochastics Starting date: October 1st 2016. Requirements: PhD or equivalent university degree in Mathematics or Technical Mathematics, awarded before the beginning of the engagement. Desired qualifications: scientific work in the fields of Stochastic Processes (random walks), Graph Theory, Geometric Group Theory, possibly combining those topics. Readiness to collaborate in research projects in these areas. Teaching duties of at least 4 hours per week per semester, in particular for Mathematics in the Engineering sciences, in German (!). Deadline for applications: May 31, 2016. For details regarding position and applications, see http://www.math.tu-graz.ac.at/~woess/position Graz, March 2016, Wolfgang Woess _______________________________________________

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Half day in stochastic processes and mathematical finance
by Tiziano Vargiolu 11 Mar '16

11 Mar '16

It is a pleasure to announce that on March, 14 in Room 2BC/30 of the Department of Mathematics at the University of Padova (via Trieste, 63) there will be two seminars and the discussion of a PhD thesis. The plan of the morning is as follows: 10am Prof. Carlo Sgarra (Politecnico di Milano): "American options valuation in stochastic volatility models with transaction costs" (joint with A. Cosso and D. Marazzina) 11am Prof Fausto Gozzi (LUISS Roma): "HJB equations for stochastic control problems with delay in the control: regularity and feedback controls" (joint with Federica Masiero) 12am Dr Matteo Basei will defense his PhD thesis titled "Topics in stochastic control and differential game theory, with application to mathematical finance" Here below the abstracts of the presentations. ABSTRACT SGARRA In the present paper we analyze the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall show that it can be formulated as a singular stochastic optimal control problem, proving the existence and uniqueness of the viscosity solution for the associated Hamilton-Jacobi-Bellman partial differential equation. Moreover, after performing a dimensionality reduction through a suitable choice of the Utility Function, we shall provide a numerical example illustrating how American options prices can be computed in the present modeling framework. ABSTRACT GOZZI Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the associated Hamilton-Jacobi-Bellman (HJB) equation. Indeed, even in the simplified setting (introduced first by Vinter and Kwong [44] for the deterministic case) the HJB equation is an infinite dimensional second order semilinear Partial Differential Equation (PDE) that does not satisfy the so-called "structure condition" which substantially means that "the noise enters the system with the control". The absence of such condition, together with the lack of smoothing properties which is a common feature of problems with delay, prevents the use of the known techniques (based on Backward Stochastic Differential Equations (BSDEs) or on the smoothing properties of the linear part) to prove the existence of regular solutions of this HJB equation and so no results on this direction have been proved till now. In this paper we provide a result on existence of regular solutions of such kind of HJB equations and we use it to solve completely the corresponding control problem finding optimal feedback controls also in the more difficult case of pointwise delay. The main tool used is a partial smoothing property that we prove for the transition semigroup associated to the uncontrolled problem. Such results hold for a specific class of equations and data which arises naturally in many applied problems. ABSTRACT BASEI: We consider three problems in stochastic control and differential game theory, arising from practical situations in mathematical finance and energy markets. First, we address the problem of optimally exercising swing contracts in energy markets. Our main result consists in characterizing the value function as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation. The case of contracts with penalties is straightforward. Conversely, the case of contracts with strict constraints gives rise to stochastic control problems where a non-standard integral constraint is present: we get the anticipated characterization by considering a suitable sequence of unconstrained problems. The approximation result is proved for a general class of problems with an integral constraint on the controls. Then, we consider a retailer who has to decide when and how to intervene and adjust the price of the energy he sells, in order to maximize his earnings. The intervention costs can be either fixed or depending on the market share. In the first case, we get a standard impulsive control problem and we characterize the value function and the optimal price policy. In the second case, classical theory cannot be applied, due to the singularities of the penalty function; we then outline an approximation argument and we finally consider stronger conditions on the controls to characterize the optimal policy. Finally, we focus on a general class of non-zero-sum stochastic differential games with impulse controls. After defining a rigorous framework for such problems, we prove a verification theorem: if a couple of functions is regular enough and satisfies a suitable system of quasi-variational inequalities, it coincides with the value functions of the problem and a characterization of the Nash equilibria is possible. We conclude by a detailed example: we investigate the existence of equilibria in the case where two countries, with different goals, can affect the exchange rate between the corresponding currencies. 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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Prof. Nils Hjort PhD short course on Confidence distributions
by Andrea Ongaro 10 Mar '16

10 Mar '16

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