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University of Oslo - open positions for PhD and Postdoc within stochastic analysis
by Giulia Di Nunno 03 Feb '20

03 Feb '20

Dear Colleagues, This is to bring to your attention the opening of a number of positions involving stochastic analysis, both at PhD and Postdoc levels at the Department of Mathematics, University of Oslo. See here: https://www.mn.uio.no/math/om/jobb/ <https://www.mn.uio.no/math/om/jobb/> Deadline for application: February 29. An application to each position of interest (also if multiple) is mandatory for being considered in the evaluation. See also the presentation of STORM - Stochastics for Time-Space Risk Models and its group of researchers: https://www.mn.uio.no/math/english/research/projects/storm/ <https://www.mn.uio.no/math/english/research/projects/storm/> Strong of its large group, the interests of STORM are broad within stochastic analysis and its applications and include random fields, SDEs, SPDEs, finite and infinite dimensions, models of dependencies in dynamic setting, stochastic control, mathematical finance, energy finance. We are interested in numerical methods and machine learning. Please help us distribute this information among colleagues and all possibly interested people. Best regards, Giulia Di Nunno Professor Department of Mathematics University of Oslo, Norway http://folk.uio.no/giulian/ <http://folk.uio.no/giulian/>

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annucnio cncorso dottorato
by Franco Flandoli 02 Feb '20

02 Feb '20

A call for applications for 7 PhD student fellowships in Computational Methods and Mathematical Models for the Sciences and Finance has now been issued, see https://www.sns.it/en/admissions/phd/how-to-apply-for-the-phd-courses for application instructions. The first deadline is February 27 (Spring session), the second one is August 27 (Autumn session).

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bando RTD-B a Siena (fwd)
by Tiziano Vargiolu 31 Jan '20

31 Jan '20

---------- Forwarded message ---------- Date: Mon, 27 Jan 2020 12:08:32 +0100 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: bando RTD-B a Siena The Department of Economics and Statistics of the University of Siena calls for a full time position for assistant professor, tenure track for associate professor (ricercatore a tempo determinato senior): Academic recruitment area code: 13/D4 (Mathematical Methods of Economics, Finance and Actuarial Sciences) Academic scientific field code: SECS-S/06 (Mathematical Methods of Economics, Finance and Actuarial Sciences) Application deadline: February 23, 2020 Call text and application form (also in English):https://www.unisi.it/albo_pretorio/bandi/concorsi_interni/ricercatore-tempo -det-senior-3-anni-tempo-pieno-sc-13d4-metodi For further information: amministrazione.deps(a)unisi.it General requirements for candidates: Phd + 3 years post-doc position(s). Please, circulate this info. -- prof. Claudio Pacati Dean of the School of Economics and Management Director of the MSc. in Finance Department of Economics and Statistics University of Siena p.zza S. Francesco, 7 I-53100 Siena (Italy) tel. +39 0577 232772 https://docenti.unisi.it/it/claudiopacati

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Seminario di Filosofia della Matematica
by Stefania Ugolini 30 Jan '20

30 Jan '20

Segnalo questo interessante seminario di filosofia della matematica tenuto da un filosofo e matematico (probabilista).<signatureafterquotedtext></signatureafterquotedtext> Una Filosofia contemporanea della matematica contemporanea? Frederic Patras Dipartimento di Matematica, Università degli Studi di Milano, Martedì 4 Febbraio 2020, Aula 3, ore 14:30

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

[Link funzionante] Alla pagina web https://www.unimi.it/it/node/581/ <https://www.unimi.it/it/node/581/> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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RTD-B SECS-S/06 @UNIMI
by Giovanni Puccetti 30 Jan '20

30 Jan '20

Alla pagina web https://www.unimi.it/it/ateneo/lavora-con-noi/reclutamento-ricercatori/sele… <https://www.unimi.it/it/ateneo-lavora-con-noi-reclutamento-ricercatori-sele…> è consultabile il bando per la selezione pubblica per un posto di ricercatore a tempo determinato ai sensi dell’art. 24, comma 3, lett. b), nel settore 13/D4 (SECS-S/06), presso il Dipartimento di Economia, Management e Metodi Quantitativi dell’Università degli Studi di Milano.

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PhD lectures by G. Peccati in Pisa
by Dario Trevisan 29 Jan '20

29 Jan '20

Dear all, this is to inform you that the second part of the PhD lectures on Stein-Malliavin Method, given by G. Peccati, will begin next week and are scheduled as follows: *Poisson part *(G. Peccati) February 3: 3-6 PM February 4: 2-5 PM They will take place in Sala Seminari, first floor, Dipartimento di Matematica, Università degli studi di Pisa. Regards, Dario -- Dario Trevisan, Università degli Studi di Pisa, Dipartimento di Matematica, Largo Bruno Pontecorvo 5, 56127 - Pisa (PI) Italy telephone: (+39) 050 2213832 mobile: (+39) 331 2899761 Skype: dario-trevisan e-mail: dario.trevisan AT unipi.it webpage: http://people.dm.unipi.it/trevisan/

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ECSO - CMS 2020 second Call for Papers
by Martina Nardon 28 Jan '20

28 Jan '20

* Apologies for cross-posting Second Announcement and Call for Papers Joint EUROPEAN CONFERENCE ON STOCHASTIC OPTIMIZATION and COMPUTATIONAL MANAGEMENT SCIENCE Conference Venice 1-3 July 2020 We invite you to participate and submit your contribution to the joint conference ECSO - CMS 2020. Venue: Department of Economics, Ca’ Foscari University of Venice San Giobbe Campus – Cannaregio 873, 30121 Venice, Italy Webpage: www.unive.it/ecsocms2020 IMPORTANT DATES Abstract submission: March 1, 2020 Notification of acceptance: April 1, 2020 Early registration: April 15, 2020 ECSO - CMS 2020 is jointly organized by the Department of Economics of Ca’ Foscari University of Venice, the CMS Journal and the EURO Working Group on Stochastic Optimization. ECSO 2020 is the 3rd edition of a stream of conferences organized by the EURO Working Group on Stochastic Optimization (EWGSO). The previous editions were held in Paris (2014) and Rome (2017). The scope of the conference is to bring together researchers and professionals in Stochastic Optimization and its applications in different fields spacing from economics and finance to supply chain, logistics, etc. CMS 2020 is the 17th edition of an annual meeting associated with the journal of Computational Management Science published by Springer. The aim of the conference is to provide a forum for theoreticians and practitioners from academia and industry to exchange knowledge, ideas and results in a broad range of topics relevant to the theory and practice of computational methods in management science. This joint event will provide a forum for fruitful discussions and interactions among researchers and professionals from industry and institutional sectors on decision making under uncertainty in a complex world. The conference will be within the scopes of both CMS and EWGSO and, in particular, it will focus on models, methods and computational tools in stochastic, robust and distributionally robust optimization and on computational aspects of management science with emphasis on risk management, valuation problems, measurement applications. Traditional fields of application, such as finance, energy, water management, logistics, supply chain management, and emerging ones, such as healthcare, climate risk and sustainable development, will be included. A Best Student Paper Prize of 600 euro will be awarded. Papers should be nominated via e-mail by the students’ supervisors (ecsocms2020(a)unive.it) Deadline for the submissions to the prize is May 15. The program will include a devoted session for presenting the best papers to compete for the prize, such that the jury could make the final choice. The paper does not have to be published. The papers should be principally authored by the student, but co-authors are permitted as long as their contributions are clarified. Only registered participants’ papers will be considered for the prize. Jury for the Student Best Paper Prize: Stein-Erik Fleten (NTNU Norwegian University of Science and Technology), Milos Kopa (Charles University of Prague), Francesca Maggioni (University of Bergamo), Ruediger Schultz (University Duisburg-Essen). PLENARY SPEAKERS DARINKA DENTCHEVA, Stevens Institute of Technology (USA) DAVID MORTON, Northwestern University (USA) GAH-YI BAN, London Business School (UK) DANIEL KUHN, École polytechnique fédérale de Lausanne (CH) GIORGIO CONSIGLI, Università di Bergamo (I) WARREN POWELL, Princeton University (USA) Conference Secretariat: ecsocms2020(a)unive.it Conference hashtag: #ecsocms2020 Best Regards, Diana Barro, Stein-Erik Fleten and Martina Nardon Organizing and Program Committee Chairs -------------------------------------- Dr. Martina Nardon Dipartimento di Economia Università Ca' Foscari Venezia San Giobbe - Cannaregio, 873 30121 Venezia, Italy tel. +39 041 234 7413 --------------------------------------

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corso di B. Zegarlinski a Pavia - Disuguaglianze funzionali
by Carbone Raffaella 28 Jan '20

28 Jan '20

Cari colleghi, vi annuncio che il prof. Boguslaw Zegarlinski (Imperial College, London) terrà un corso di Dottorato dal titolo ''Introduction to coercive inequalities with applications in analysis and probability theory'' presso il Dipartimento di Matematica dell'Università di Pavia. Il corso si svolgerà nel periodo 22 marzo - 24 aprile 2020, si prevedono 6 ore settimanali tenute (orario provvisorio) il martedì, mercoledì e giovedì mattina. Il corso è finanziato dal Progetto Dipartimenti di Eccellenza del MIUR (2018–2022) - Dipartimento di Matematica “F. Casorati", Università di Pavia. Informazioni più dettagliate seguiranno a breve. Il corso è aperto a tutti ma chiederò di segnalare l'iscrizione tramite mail per motivi organizzativi. Cordiali saluti, Raffaella Carbone -- Raffaella Carbone, PhD Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Polimi Finance Seminars Paolo Di Tella (TU-Dresden)
by Carlo Sgarra 27 Jan '20

27 Jan '20

On Tuesday, February 11, at 10:30 in the Seminar Room at the third floor of the Department of Mathematics (Politecnico di Milano), in the framework of the quantitative finance seminars, Paolo Di Tella (TU-Dresden) will give a talk with title: * Semistatic and sparse variance-optimal hedging. ABSTRACT We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy‐and‐hold) positions in other assets. We give general representations of the optimal strategy and the hedging error under the criterion of variance optimality and provide tractable formulas using Fourier integration in case of the Heston model. We also consider the problem of optimally selecting a sparse semistatic hedging strategy, i.e., a strategy that only uses a small subset of available hedging assets and discuss parallels to the variable‐selection problem in linear regression. The methods developed are illustrated in an extended numerical example where we compute a sparse semistatic hedge for a variance swap using European options as static hedging assets. (joint work with M. Haubold, M. Keller-Ressel). All people interested are kindly invited to attend the talk. Carlo Sgarra

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