- Random - Mailing list — Dipartimento di Matematica, UniPI

virtual seminar in Insubria & Bicocca
by Emanuela Rosazza Gianin 21 Sep '21

21 Sep '21

Dear all, On *September 30 at 17:00, Giulia Di Nunno* (University of Oslo) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. You can find the title and abstract below. Title: Infinite dimensional Heston model and sensitivity analysis Abstract: We consider the infinite dimensional Heston stochastic volatility model for the price of a forward contract on a non-storable commodity. We give a representation formula for the forward price and then we consider options written on this. We analyse the sensitivity of the option price to the different parameters in the model with the aim at providing representation formulae for the so-called Greeks. However, being the parameter infinite dimensional, we need to reinterpret the meaning of the Greeks. In our work we use infinite dimensional Malliavin/Skorokhod calculus and a randomisation technique. The presentation is based on joint work with Fred Espen Benth and Iben Simonsen. The seminar will be on *Zoom*. You can find the information to join below. Speaker: Giulia Di Nunno (Univ. Oslo) Topic: Time: September 30, 2021 05:00 PM Rome Where: Zoom Link: https://us02web.zoom.us/j/86037568156?pwd=cHhvdmdiWUpVYXFjMEo2RWZxM09Rdz09 ID riunione: 860 3756 8156 Passcode: 086446 After the talk, you are all invited to remain in the meeting for an informal aperitif and chat. Please forward to anyone interested. Kind regards, Elisa Mastrogiacomo and Emanuela Rosazza Gianin ****************************************** Emanuela Rosazza Gianin Department of Statistics and quantitative methods University of Milano-Bicocca Via Bicocca degli Arcimboldi, 8 20126 Milano - Italy Phone (0039) 02 64483208 e-mail: emanuela.rosazza1(a)unimib.it ******************************************

1 0

Concorso RTDB MAT06 scadenza 30 settembre
by Gustavo Posta 20 Sep '21

20 Sep '21

Scusandomi per il breve preavviso inoltro il link relativo al bando in oggetto. > > https://web.uniroma1.it/trasparenza/sites/default/files/DR%202267_2021%20de… <https://web.uniroma1.it/trasparenza/sites/default/files/DR%202267_2021%20de…> ---------------------------------------------------------------- Gustavo Posta Dipartimento di Matematica Università di Roma "la Sapienza" P.le A. Moro 2, 00185 Roma Italy web: http://www1.mat.uniroma1.it/~posta e-mail: gustavo.posta(a)uniroma1.it phone: +39-06-4991-4969 ------------------------------------------------------------------ -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega di non leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non si è il legittimo destinatario dello stesso. Qualora tale messaggio sia stato ricevuto per errore, si prega di restituirlo al mittente e di cancellarlo permanentemente dal proprio computer. The information contained in this e mail message is strictly confidential and intended for the use of the addressee only. If you are not the intended recipient, please do not read, copy, forward or store it on your computer. If you have received the message in error, please forward it back to the sender and delete it permanently from your computer system. -- Fai crescere i nostri giovani ricercatori dona il 5 per mille alla Sapienza *codice fiscale 80209930587*

1 0

[MAF2022] First call for paper - Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance
by Marco Corazza 20 Sep '21

20 Sep '21

Dear Colleague, we are writing for informing you that the *10th Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF2022* will take place at the University of Salerno (Italy), on April, 20-22, 2022, in a blended form. The main aim of the Conference is to present new theoretical and methodological results and significant applications in Insurance and Finance by means of the capabilities of the interdisciplinary mathematical-statistical approach. The web site of the Conference is *https://sites.google.com/unisa.it/maf2022/home-page <https://sites.google.com/unisa.it/maf2022/home-page>*. The Steering Committee of the Conference would appreciate very much if you could collaborate in the success of the conference by participating in some activities such as the organization of sessions and/or the presentation of contributions (also through a co-author). We hope to meet you at the conference. Best regards, Marco Corazza - Ca' Foscari University of Venice (Italy) Cira Perna - University of Salerno (Italy) Claudio Pizzi - Ca' Foscari University of Venice (Italy) Marilena Sibillo - University of Salerno (Italy) -- Marco Corazza, Ph.D. Department of Economics - Ca' Foscari University of Venice San Giobbe, Cannaregio 873 - 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it Editor-in-Chief: Mathematical Methods in Economics and Finance - www.unive.it/m2ef

1 0

special issue on Anomaly Detection: methods and applications
by Daniela De Canditiis 20 Sep '21

20 Sep '21

dear all, we cordially invite you to submit a manuscript to the following special issue Special Issue: Methods and Applications for Anomaly Detection Journal of Computational Mathematics and Data Science (Elsevier) https://www.journals.elsevier.com/journal-of-computational-mathematics-and-… Submission Deadline: 31 July 2022 Manuscripts can be submitted continuously until the deadline. Once a paper is submitted, the review process will start immediately. Accepted papers will be published continuously in the journal. There are no publication fees until March 2022. ********* This Special Issue is focused on recent advances in Anomaly Detection (AD). AD is an important problem in many applications and it consists of establishing whether a given data deviates from nominal shape or form. The AD problem depends on the nature of input data (points, sequences, functions, graphs, images, objects of different nature), on the type of anomaly (point anomalies, contextual or behavioral anomalies or their combination), on the availability of labeled data for training/validation of the AD techniques (leading to unsupervised AD and supervised AD), and on the type of output of the AD (scores or label). Some of the topics of interest include (but are not limited to): Classification techniques Robust regression Robust PCA Robust signal processing Robust image processing Clustering techniques Information theory techniques Artificial Intelligence AD Application to any field ********* Manuscript submission information: Guest Editors: Annalisa Pascarella (IAC-CNR, Italy) Daniela De Canditiis (IAC-CNR, Italy) The submission website for this journal is located at: https://www.editorialmanager.com/jcmds/default.aspx To ensure that all manuscripts are correctly identified for inclusion into the special issue, it is important that authors select VSI: Anomaly Detection (Special Issue) when they reach the “Article Type” step in the submission process. We look forward to hearing from you. All the best, Annalisa Pascarella Daniela De Canditiis -- Daniela De Canditiis, PhD Istituto per le Applicazioni del Calcolo "M.Picone" (CNR) via dei Taurini, 19 -- 00185 Roma, Italy tel: +39 06 49937342 fax: +39 06 4404306 http://www.iac.rm.cnr.it/~danielad/

1 0

Seminario di Lorenzo Dello Schiavo a Roma La Sapienza
by Faggionato, Alessandra 16 Sep '21

16 Sep '21

Buongiorno sotto trovate le informazioni sul seminario di Lorenzo dello Schiavo a Roma 1. Grazie dell'attenzione Saluti Alessandra Quando: Martedì 21 Settembre 2021, ore 10.30 Dove: Sala di Consiglio, Dipartimento di Matematica, Università La Sapienza Speaker: Lorenzo Dello Schiavo (IST Austria) Title: *Conformally invariant random fields, quantum Liouville measures, and random Paneitz operators on Riemannian manifolds of even dimension* Abstract: On large classes of closed even-dimensional Riemannian manifolds M, we construct and study the *Copolyharmonic Gaussian Field*, i.e. a conformally invariant log-correlated Gaussian field of distributions on M. This random field is defined as the unique centered Gaussian field with covariance kernel given as the resolvent kernel of Graham—Jenne—Mason—Sparling (GJMS) operators of maximal order. The corresponding Gaussian Multiplicative Chaos is a generalization to the 2m-dimensional case of the celebrated Liouville Quantum Gravity measure in dimension two. We study the associated Liouville Brownian motion and random GJMS operator, the higher-dimensional analogues of the 2d Liouville Brownian Motion and of the random Laplacian. Finally, we study the Polyakov–Liouville on the space of distributions on M induced by the copolyharmonic Gaussian field, providing explicit conditions for its finiteness and computing the conformal anomaly. (arXiv:2105.13925 <https://arxiv.org/abs/2105.13925>, joint work with Ronan Herry, Eva Kopfer, Karl-Theodor Sturm) ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

1 0

One World Optimal Stopping and Related Topics
by Tiziano De Angelis 15 Sep '21

15 Sep '21

Dear All, It is with great pleasure that we announce the September-December schedule of the “One World Optimal Stopping and Related Topics” seminars (online). Detailed information and instructions for registration are available at https://sites.google.com/view/optimalstopping/home Please register again, even if you had already registered in the past academic year. Our first speaker on Wednesday 22 September at 5pm (London time) is: Damien Lamberton, Université Gustave Eiffel Title of the talk: On the American put in the Heston model Best wishes Tiziano De Angelis, Roxana Dumitrescu, Yerkin Kitapbayev, Mikhail Zhitlukhin

1 0

Concorso da PA in MAT/06 all'Università di Padova - Scadenza 29 settembre 2021
by Marco Ferrante 15 Sep '21

15 Sep '21

Care colleghe e cari colleghi, vi informo che è uscito in Gazzetta Ufficiale un bando per Professore di II fascia ai sensi dell'art. 18, comma 4, in S.C. 01/A3 Analisi matematica, Probabilità e Statistica matematica - S.S.D. MAT/06 Probabilità e Statistica matematica presso il Dipartimento di Matematica "Tullio Levi-Civita" dell’Università di Padova. La scadenza per presentare domanda è il *29 settembre 2021* alle *ore 13:00*. Trovate le informazioni sul bando e su come presentare la domanda di partecipazione alla pagina https://www.unipd.it/procedura-2021PA183.4 Marco Ferrante -- Prof. Marco Ferrante Dipartimento di Matematica "Tullio Levi-Civita" Università degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

1 0

Procedura selettiva 2019RUA12 - riapertura termini - RTDa 13D1
by Alessandra Fabbri Colabich 15 Sep '21

15 Sep '21

Buongiorno, si comunica che sono stati riaperti i termini per la presentazione delle domande per la procedura selettiva 2019RUA12 - allegato 10 per l'assunzione di n.1 ricercatore a tempo determinato con regime di impegno a tempo pieno presso il Dipartimento di Scienze statistiche dell'Università degli Studi di Padova, per il settore concorsuale 13/D1 – STATISTICA (profilo: settore scientifico disciplinare SECS-S/01 – STATISTICA e SECS-S/02 – STATISTICA PER LA RICERCA SPERIMENTALE E TECNOLOGICA) ai sensi dell’art. 24, comma 3 lettera a), della Legge 30 dicembre 2010, n. 240, pubblicato nella GU n 73 del 14 settembre 2021 - *SCADENZA PRESENTAZIONE DOMANDE: ORE 13:00 DEL 14 OTTOBRE 2021.* https://www.stat.unipd.it/procedura-selettiva-2019rua12-decreto-rettorale-r… Cordiali saluti Alessandra Fabbri Colabich -- Dott.ssa Alessandra Fabbri Colabich Università degli Studi di Padova Dipartimento di Scienze Statistiche Segreteria di Direzione

1 0

Next LTI@Unito webinars: September 20, 2021 @12:45 | September 27, 2021 @12:45
by Luca Regis 14 Sep '21

14 Sep '21

Dear colleagues, I am happy to forward you the following announcements of two seminars in Quantitative Finance organized by LTI@UniTO and Collegio Carlo Alberto: * Stanislava Nikolova (University of Nebraska-Lincoln), September 20th, 12.45: "Corporate Bond Flipping" * Andrea Orame (Bank of Italy), September 27th, 12.45: "Quantitative Easing, Bank Lending and Competition". Please find below the abstract and the zoom links. Best regards, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/4Y3D1gFgxA8KVXx64DKoPB1KCgwrTyqupC…> <#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the following webinars <#> *September 20, 2021 | 12:45 - 13:45* *“Corporate Bond Flipping”* Stanislava Nikolova (University of Nebraska-Lincoln) <#> *Abstract.* In this paper we provide the first empirical evidence on flipping activity in the corporate bond market. Analyzing insurer trades in corporate bonds during 2002-2018, we show that offerings with worse aftermarket performance are flipped less. When flipping their allocation in an offering, insurers tend to avoid selling to the offering’s underwriters even though underwriters offer better prices. The sensitivity of flipping to aftermarket performance is broadly similar when flipping to underwriters than non-underwriters, which suggests that underwriters discourage flipping in both overpriced and underpriced offerings. Insurers that flip their allocation to underwriters receive less profitable allocations in these underwriters’ subsequent offerings. Overall, our findings suggest that the repeated game nature of the issuance process allows underwriters to partially limit flipping by using their allocation discretion to penalize flippers. /Joint with L. Wang/. Zoom Link: https://us02web.zoom.us/j/88495362012?pwd=TWdkS0lPTm1lQTQyVVVTVGh1Wmljdz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/kZGUmIunEdxz1dadhHTfrur0lcEACj7lZS…> Meeting ID: 884 9536 2012 Passcode: 397756 <#> *September 27, 2021 | 12:45 - 13:45* *“Quantitative Easing, Bank Lending, and Competition”* Andrea Orame (Bank of Italy) <#> *Abstract.* We study how the European Central Bank’s quantitative easing (QE) program announced in January 2015 affected lending by Italian banks. Banks exposed to QE, especially the more illiquid ones, increased lending relatively more at both the intensive and extensive margins after QE. But we also find evidence of substitution. Branches of non-QE-exposed banks contracted lending in areas where QE-exposed banks dominate. Because of this substitution, we find no evidence of an aggregate credit expansion. Our results suggest that QE programs that target a broader swath of the banking system could more effectively expand lending. Zoom Link: https://us02web.zoom.us/j/86146036034?pwd=SWJJUXU4Qmxoa2pTY29nS2FHOVNQZz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/44E8eCvPH991Azy9eSesid2FFlvnlb1e9X…> Meeting ID: 861 4603 6034 Passcode: 413428 <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/_oZ7DkyGZmAbPkUPJsKpuoBy8uqcSFzkuW…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/DK9zEeuKEW2jWh1UAQCh-j1VYcej6bGHCz…> <#> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org Facebook <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/EhFkUbLMNzNCTeAxC7A4cF4PRl2kYgiRsn…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/BdVrW_64gEvSYyGKa4rnDPTRygLC0CdHcu…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/FkSkjvNQuxHGBHGhc1xUYaG4I7sr6lz1OQ…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/1hM60Du7CJMwkHPB4NN-TI4vMnXwOFjH6m…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/otxZ4nQ6HQHu0R0ipgYVcKbQ0en4Y1XeR7…> <#> *INFORMATION UNDER THE NEW GENERAL DATA PROTECTION REGULATION (GDPR)* Your personal information has been gathered for the exclusive purpose of informing you about the Collegio's initiatives, considering our and your legitimate interest or your consent. If you wish to have your personal data modified please contact Fondazione Collegio Carlo Alberto, piazza Arbarello 8, 1022 Torino, Italy - phone: +390116705000 - privacy(a)carloalberto.org To find out about the policies regarding the processing of personal data pursuant to articles 13-14 of EU Regulation 2016/679, consult the information at the following link https://www.carloalberto.org/privacy/ <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/0Pq8nWJD_zaSFiEzfKZN5ansJvxxH6AuSi…> *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/FdHaK2tpDjqFtpVjuIOWNIJGZdawrnP5_Bp5…> <#> © 2021 Fondazione Collegio Carlo Alberto

1 0

Padova Online Seminar by Oriane Blondel (Université Claude Bernard Lyon 1) [Friday, Sept. 24 at 14.30]
by alessandra bianchi 14 Sep '21

14 Sep '21

Dear Colleagues, We would like to invite you to the following Probability seminar that will take place on September 24 at 14.30 by the zoom platform. ________________________________________________________ Speaker: Oriane Blondel ( Université Claude Bernard Lyon 1) Title: Kinetically constrained models out of equilibrium 24 SEPTEMBER (Friday) - 14:30 zoom link: TBA available on the webpage https://www.math.unipd.it/~bianchi/seminari/ ) Abstract: Kinetically constrained models are interacting particle systems on Z^d, in which particles can appear/disappear only if a given local constraint is satisfied. This condition complexifies significantly the dynamics. In particular, it deprives the system of monotonicity properties, which leaves us with few tools to study the dynamics when it is initially not at equilibrium. I will review the results and techniques we have in this direction. Best regards The organizers (A. Bianchi, G. Callegaro, M. Formentin) -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

1 0