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Next LTI@Unito webinars: June 29, 2021 @12:00 | July 1, 2021 @12:00
by Luca Regis 23 Jun '21

23 Jun '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: * Matthijs Breugem (CCA) on Tuesday, June 29th: "On the impact of Long Term Investors on Information Choice and Market Efficiency" * Carole Bernard (Grenoble Ecole de Management) on Thursday July 1st: "Option-implied dependence and correlation risk premium". Please find below the abstract and the zoom links. Best regards, Luca Regis <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/SNnQ5aISnSkDsUrrKkdJ5noQSxbj4pJWMq…> <#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the following webinars <#> *June 29, 2021 | 12:00 - 13:00* *“On The Impact of Long Term Investors on Information Choice and Market Efficiency”* *Matthijs Breugem (Collegio Carlo Alberto)* <#> *Abstract* We analyze the impact of investor investment horizon on information acquisition and market efficiency in an REE economy with short-term and long-term investors. We find that the presence of long-term investors increases the willingness of short-term investors to acquire long-term information. Specifically, short-term investors care about long-term information to the extent that future prices—at which they liquidate their investments—reflect long-term payoffs. Long-term investors acquire long-term information and therefore increase the price-informativeness of future prices. Therefore, the larger the fraction of long-term investors, the more long-term payoffs are reflected into future prices, and the more long-term information is acquired by short-term investors. *Zoom Link:* *https://us02web.zoom.us/j/83290754621?pwd=Q3NoaWlIdXpnSkovdjlRTXE1OE5jdz09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/PA1lvCniowZZn-8vKUfINTd51_6qus8e1k…>* Meeting ID: 832 9075 4621 Passcode: 359187 <#> *July 1, 2021 | 12:00 - 13:00* *“Option-Implied Dependence and Correlation Risk Premium”* *Carole Bernard (Grenoble Ecole de Management)* <#> *Abstract* We propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with market prices of options on these assets and their weighted index. In an empirical application, we use options on the S&P 500 index and its nine industry sectors. The results of our analysis reveal that the option-implied dependence for the nine sectors is highly nonnormal, asymmetric, and time-varying. We then study two conditional correlations: when the market moves down or up. The risk premium for the down correlation is strongly negative, while the opposite is true for the up correlation. These findings are consistent with the economic intuition that investors dislike the loss of diversification when markets fall, but they actually prefer high correlation when markets rally. *Zoom link: * *https://us02web.zoom.us/j/81288915014?pwd=YjEzZVpIcG9XV0dIQ0VIT3U1MlNvQT09* <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/UPvaJBcnB9yu8Re-TR7dBnNYNJyWPZXbUf…> Meeting ID: 812 8891 5014 Passcode: 967992 <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/iyOIzzg_nVx7Bu3-NolrUvwYpV1JmU_hFp…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Et9Pc4YQXTY89y_CV5p_IUhO4DxipOFuoI…> <#> 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/yVeI_QEUL9xx9EqhVQgfTjU0cwCU5_VhvC…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/0kMzTVLZsJ-Syk4mMhudyxU14AXIlPy9yW…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/QYDynuy101bf3yF94teX10r5klyqsB8YBx…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/qnxIbHpfFwuutvK3uttAeswc2cRYOxE0tz…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/_BlSIp8G775XAxS37E-KhH0lDg1opLCsE-…> <#> *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 *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/aZ9kdc-nDnUx78P7s4mh2iStF7nA4UX09Z6U…> <#> © 2021 Fondazione Collegio Carlo Alberto

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(PMS)^2 online talk: Lucia Caramellino [Monday June 28 at 5:30pm]
by Maurizia Rossi 23 Jun '21

23 Jun '21

Dear colleagues, we are happy to announce the following online talk: Speaker: *Lucia Caramellino* (Università di Roma "Tor Vergata") Title: *Regularization lemmas and convergence in total variation.* Abstract: We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables which are smooth and non-degenerated in some sense and enable one to upgrade the distance of convergence from a smooth (Wasserstein e.g.) distance to the total variation in a quantitative way. We provide a result removing the costly assumption that some non-degeneracy is required along the whole sequence, as we require only non-degeneracy at the limit. The price to pay is to control the smooth distance between the Malliavin matrix of the sequence and the Malliavin matrix of the limit which is particularly easy in the context of Gaussian limits as their Malliavin matrix is deterministic. We show some applications of this result. >From joint papers with Vlad Bally and Guillaume Poly. Date and time: * Monday June 28, 17:30-18:30 (Rome time zone)* *Zoom link: * https://us02web.zoom.us/j/82036797456?pwd=bFpXZndKOHFxOTNrUkd0OVhub09qZz09 ID riunione: 820 3679 7456 Passcode: t0Db9B This is a talk of the *(PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics *organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. For more information see the dedicated *webpage:* https://paviamilanoseminars.wordpress.com/ <http://paviamilanoseminars.wordpress.com> Participation is free and welcome! (though limited to 100 participants for technical reasons). Best regards *The organizers* (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella) - - - Maurizia Rossi Dipartimento di Matematica e Applicazioni Università di Milano-Bicocca

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Fwd: [owps] OWPS Talks June 24
by Faggionato, Alessandra 23 Jun '21

23 Jun '21

Buongiorno vi giro l'annuncio del OWPS di domani (notate che nella mail scrivono June 25 ma poi hanno mandato una seconda mail di rettifica). Buona giornata Alessandra ---------- Forwarded message --------- Da: One World Probability <ow.probability(a)gmail.com> Date: mer 23 giu 2021 alle ore 08:14 Subject: [owps] OWPS Talks June 25 To: <owps(a)lists.bath.ac.uk> Dear All, Thursday June 25 we have a session on Probability Theory and Population Genetics, Speakers: Cornelia Pokalyuk and Anton Wakolbinger. This is the last session before the summer break! (Note: the time is in UTC. Due to time changes, you should check what that translates to in your location) ------------------------------------------------ (14:00-16:00 UTC) Speakers: Cornelia Pokalyuk and Anton Wakolbinger Fixation of slightly beneficial alleles from a backward and a forward perspective Cornelia Pokalyuk and Anton Wakolbinger (Goethe Universität Frankfurt) For a slightly beneficial mutant whose mean offspring number is by a factor 1+s larger than that of the wild types, the probability of being established in a large population is \approx 2s/v^2, where v^2 is the offspring variance. This approximation has been derived (for v^2=1) by Haldane (1927). In our tandem talk we will present some mathematics behind and beyond Haldane's formula within the class of Cannings models (which in the neutral case generalize the prototypic Wright-Fisher model from multinomial to exchangeable offspring numbers). It turns out that for ``moderately strong'' selection the {\em forward perspective} of the Galton-Watson approximation helps to prove the Haldane asymptotics in the large population limit, whereas for ``moderately weak'' selection a {\em backward perspective} is appropriate, which relies on an ancestral selection graph in discrete time. These parts of the presentation are based on F. Boenkost, A. Gonz\’alez Casanova, C.P., A.W., Haldane's formula in Cannings models: - The case of moderately weak selection, Electron. J. Probab. 26(4) (2021) - The case of moderately strong selection, arXiv:2008.02225 [1] [math.PR], submitted. In the last part of the talk we will give an outlook on work in progress on analoga of Haldane's formula for a class of Cannings models with asymptotically infinite offspring variance. A. Introduction Anton Wakolbinger B. Forwards perspective Cornelia Pokalyuk C. Backwards perspective Anton Wakolbinger D. Outlook Cornelia Pokalyuk The Zoom link is on the OWPS webpage. It can also be accessed directly via https://tum-conf.zoom.us/j/67179046628 <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Ftum-conf.…> Meeting ID:671 7904 6628 Passcode: 160041 Best wishes, Julien and Nina -- ************************************************* 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 *************************************************

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International Master in Economics and Finance (IMEF) 2021-2022
by Roberto Casarin 22 Jun '21

22 Jun '21

Dear Colleagues, We are pleased to announce that (with our apologies for cross-posting) the *2021-2022* edition of the *International Master in Economics and Finance* (IMEF), a quantitative economics and finance program offered by Ca' Foscari University of Venice, is forthcoming! Main sponsors: *Generali Italia* and *KPMG*. * * *Deadline for application*: September 10th, 2021. For further information please visit: www.unive.it/imef <http://www.unive.it/imef> Best Regards, Roberto Casarin -- Roberto Casarin, PhD Professor of Econometrics Associate Editor - Bayesian Analysis University Ca' Foscari, Venice Address: San Giobbe 873/b, 30121 Venezia, Italy Web:http://sites.google.com/view/robertocasarin/ <http://sites.google.com/view/robertocasarin/> *25th Edition! * * includes Bloomberg Lab modules and gives the opportunity to get the *Bloomberg Certification <https://www.bloomberg.com/professional/expertise/universities/students/>**!* * offers new courses on *Real Estates*, *Finance*, *Machine Learning for Finance*, *Introduction to Coding* that will still be taught by the members of our *International Faculty <http://www.unive.it/pag/33235/> *and *Advanced Risk Management taught by KPMG.* * Students will benefit from reduced fees thanks to the sponsors contribution. *Why choose IMEF?* 1) IMEF provides a highly qualified programme thanks to its prestigious International Faculty 2) Students’ Placement is supported directly by IMEF Secretariat and Ca' Foscari Placement Office. Please have a look at Former students' experience: http://www.unive.it/pag/33229/ <http://www.unive.it/pag/33229/> 3) Attending IMEF courses will introduce you to high quality jobs, which wouldn’t be achievable with only a Master’s Degree title. 4) Preparation for the admission to PhD Programmes. Further information: Federica Varosio at imef(a)unive.it <mailto:imef@unive.it>, tel. 041 234 9108.

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Fwd: Announcemnt - OOPS 2021
by Faggionato, Alessandra 18 Jun '21

18 Jun '21

Ricevo e inoltro con piacere Saluti Alessandra ---------- Messaggio inoltrato ---------- Da: <angel(a)math.ubc.ca> Data: venerdì 18 giugno 2021 Oggetto: Announcemnt - OOPS 2021 A: Dear Friend of OOPS, Following the success of last year's open online probability school (OOPS, https://www.math.ubc/ca/Links/OOPS) and based on overwhelmingly positive replies to the poll sent out earlier this summer, we are happy to announce the 2021 edition of OOPS, which will take place this July and August. The target audience is graduate students and postdocs in probability, as well as more senior researchers who wish to expand their horizons. Please forward this information to anyone who may be interested. A tentative schedule is up at https://www.math.ubc.ca/Links/OOPS . No registration is required. We will be sending roughly weekly schedule notices to our mailing list. If you wish to be added to or removed from our mailing list, let us know at this link: https://forms.gle/i8KCFdMqe6FUEak57 best wishes, Omer Angel Other organizers: Yu-Ting Chen, Alex Fribergh, Sarai Hernandez-Torres, Thomas Hughes, James Martin, Rourab Ray, Leo Rolla -- ************************************************* 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 *************************************************

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Dottorato su "Uncertainty and stochasticity in genome replication" al Kent
by Enrico Scalas 18 Jun '21

18 Jun '21

Care colleghe e colleghi, con preghiera di diffusione a persone interessate, Vi segnalo che all'Università del Kent nel Regno Unito è disponibile una posizione di dottorato su Uncertainty and stochasticity in genome replication con il dottor Eduard Campillo-Funollet (E.Campillo-Funollet(a)sussex.ac.uk) come supervisore. Maggiori informazioni si possono trovare a questi link: https://cdn-researchkent.pressidium.com/statistics/wp-content/uploads/sites… https://www.kent.ac.uk/scholarships/search/FN17SMSASE01 La scadenza per le domande è il 27 giugno. Cordiali saluti, Enrico Scalas

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Assegno di ricerca Sapienza Università di Roma
by Claudio Durastanti 17 Jun '21

17 Jun '21

Care/i iscritte/i, il Dipartimento di Scienze di Base e Applicate per l'Ingegneria di "Sapienza Università di Roma" bandisce un *assegno di ricerca di categoria B - tipologia I* annuale (rinnovabile) dal titolo "*Analisi e sviluppo di modelli per l'interazione tra molecole di DNA e substrato nanostrutturato*" all'interno del Progetto DIANA - "DIAgnostic potential of disorder: development of an innovative NAnostructured platform for rapid, label-free and low-cost analysis of genomic DNA" (IT) Il progetto di ricerca riguarda lo sviluppo e l’applicazione di tecniche statistiche finalizzate allo studio di dati spettrali ottenuti dall’analisi per deposizione diretta della soluzione contenente le molecole target di DNA genomico su vetrini standard da microscopia appositamente ricoperti dalle nanostrutture sonda e letti da apparati Raman. In particolare, al fine di analizzare i risultati sperimentali, saranno applicati diversi metodi statistici per ridurre ed interpretare i dati ottenuti, come ad esempio l’Analisi in Componenti Principali (ACP) o l’Analisi Fattoriale (AF). L’obiettivo sarà quello di individuare eventuali clusters di dati associati a possibili esiti nell’ambito della diagnostica del DNA in campo oncologico. Ulteriore finalità sarà quindi quella di sviluppare modelli predittivi, in grado di individuare l’appartenenza ad un determinato cluster di nuovi dati. Il lavoro di analisi statistica sarà sviluppato mediante uno o più linguaggi di programmazione (R Cran, Python, Matlab...). (EN) The research project regards the development and the application of statistical techniques aimed to study spectral data obtained by the analysis of spectral data from the direct deposition of the solution containing target molecules of genomic DNA on standard microscopy slides covered by the probe nanostructures and read by Raman machines. In particular, to analyze the experimental results, several different methods will be applied to the data, such as Principal Component Analysis (PCA) and Factorial Analysis (FA). The target is to identify potential clusters of data related to possible outcomes in the setting of DNA diagnostic in the oncology framework. Another goal is to develop predictive models, to identify the belonging of new data to a given cluster. The work of statistical analysis will be performed within one or more programming languages (R Cran, Python, Matlab...) La scadenza del bando è il *17 Luglio 2021* Maggiori informazioni, bando e materiale per la domande sono reperibili qua https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/178055/2021-07-17T… Cordiali saluti -- Claudio Durastanti Dipartimento di Scienze di Base Applicate per l'Ingegneria La Sapienza - Università di Roma Via Antonio Scarpa 16 00161 Roma -- ________________________________________________________ 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*

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concorso MAT/06 Università di Milano
by Marco Alessandro Fuhrman 16 Jun '21

16 Jun '21

Buongiorno. E' stato bandito un concorso per un posto di prima fascia nel Settore MAT/06 presso l'Università degli Studi di Milano, destinato al Dipartimento di Matematica. Il bando si trova al seguente link: https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-professori/proce… La scadenza per la presentazione delle domande è il 12 luglio 2021 alle ore 12:00. Cordiali saluti a tutti. Marco Fuhrman

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Fwd: [owps]
by Faggionato, Alessandra 16 Jun '21

16 Jun '21

Buongiorno sotto l'annuncio del OWPS di domani. Grazie dell'attenzione Saluti Alessandra ---------- Forwarded message --------- Da: One World Probability <ow.probability(a)gmail.com> Date: mer 16 giu 2021 alle ore 08:05 Subject: [owps] To: <owps(a)lists.bath.ac.uk> Dear All, Thursday June 17 we have two talks, by Amir Dembo and Nick Cook. (Note: all times are in UTC. Due to time changes, you should check what that translates to in your location) ------------------------------------------------ (14:00-15:00 UTC) Speaker: Amir Dembo Sparse random graphs with unusually large subgraph counts In this talk, based on joint works with Nicholas Cook, Huy Tuan Pham and Sohom Bhattacharya, I will discuss recent developments in the emerging theory of nonlinear large deviations, focusing on sharp upper tails for counts of several fixed subgraphs in a large sparse random graph (such as Erdős–Rényi or uniformly d-regular). These results allow in turn to determine the typical structure of samples from an associated class of Gibbs measures, known as Exponential Random Graph Models, which are widely used in the analysis of social networks. (14:00-15:00 UTC) Speaker: Nicholas Cook Large deviations and the regularity method for the Erdős–Rényi (hyper)graph I will describe a quantitative approach to the large deviations of random graphs and hypergraphs, emphasizing connections with graph limit theory and the regularity method from extremal combinatorics. The approach rests on new decomposition theorems and counting lemmas for sparse hypergraphs, formulated in terms of a novel class of cut-type norms for Bernoulli tensors. Based on joint work with Amir Dembo and Huy Tuan Pham. The Zoom link is on the OWPS webpage. It can also be accessed directly via https://tum-conf.zoom.us/j/69798781442 <https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Ftum-conf.…> Meeting-ID: 697 9878 1442 Kenncode: 245940 Best wishes, Julien and Nina -- ************************************************* 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 *************************************************

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Corso di Alta Formazione in Finanza Matematica, Università di Bologna - pubblicazione bando
by Andrea Pascucci 15 Jun '21

15 Jun '21

Con gentile richiesta di diffusione ------------------------------------------------------------------------ È stato pubblicato il bando di iscrizione alla *XVIII Edizione del Corso di Alta Formazione in Finanza Matematica* dell'Università di Bologna: https://site.unibo.it/finanza-matematica/it <https://site.unibo.it/finanza-matematica/it> L'esperienza delle precedenti edizioni ha evidenziato un notevole interesse da parte degli istituti finanziari nei confronti di persone con Laurea o Dottorato di Ricerca nei seguenti settori: *Fisica, Ingegneria, Matematica, Statistica, Astronomia, Informatica, Economia*. Principali caratteristiche: * compatibile con la frequenza ai corsi di Laurea o Dottorato; * al termine, permette l’acquisizione di 25 crediti formativi universitari che possono concorrere al conseguimento del titolo di Laurea; * propone una formazione avanzata sulla teoria economica e modellizzazione matematica dei mercati finanziari; * utilizza un approccio quantitativo ed attività didattiche interattive con esercitazioni, laboratori e project works; * prevede l'erogazione di borse di studio da parte di istituzioni private Il bando è disponibile all'indirizzo: https://www.unibo.it/it/didattica/corsi-di-alta-formazione/2021-2022/finanz… <https://www.unibo.it/it/didattica/corsi-di-alta-formazione/2021-2022/finanz…> *Scadenza iscrizioni: 07 Settembre 2021 * *Selezioni: 13 Settembre 2021 (in modalità telematica) * -------------------------------------------------------------------------------- Corso di Alta Formazione in Finanza Matematica https://site.unibo.it/finanza-matematica/it <https://site.unibo.it/finanza-matematica/it>// _dipmat-finanza(a)unibo.it_ Dipartimento di MatematicaUniversità di Bologna Piazza di Porta San Donato, 540126 Bologna

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