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Postdoctoral positions in Buenos Aires
by davide gabrielli 30 Mar '17

30 Mar '17

Applications are invited for post-doctoral positions in Percolation, Particle Systems, and Stochastic Networks. Please feel free to forward this message to other colleagues and potential candidates. The positions last two years and have a monthly stipend of around 19600ARS, to start in April 2018. Candidates should send a complete application to probab(a)dm.uba.ar by June 15, attaching: - CV - Motivation letter - Research statement Two recommendation letters should be sent confidentially to probab(a)dm.uba.ar by June 20. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Thank you in advance, Buenos Aires Probability Group

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Seminar prof Cerny, LUISS -- change of time
by Sara 30 Mar '17

30 Mar '17

Dear all, I re-post the announcement for your convenience. The seminar will be next Tuesday, but at 2:30 pm in Room 307b. Professor A. Cerny from Cass will be visiting LUISS and on Tuesday April 4, at 2:30 pm in Room 307b -- viale Romania he will give the following seminar: OPTIMAL TRADE EXECUTION UNDER ENDOGENOUS PRESSURE TO LIQUIDATE: THEORY AND NUMERICAL SOLUTIONS We study optimal liquidation of a large trading position in a market with a temporary price impact. We endogenize the pressure to liquidate and hence allow the time horizon of liquidation to be determined endogenously, as part of the optimal strategy. The corresponding HJB equation leads to a severely singular initial value problem whose numerical solution we also study. In contrast to much of the existing literature spreading the liquidation strategy over a longer horizon is not necessarily beneficial to the trader. Joint work with Pavol Brunovský and Ján Komadel, Comenius University Bratislava -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Postdoc opportunities in Differential Geometry of Statistical Models
by Luigi Malagò 30 Mar '17

30 Mar '17

Cari colleghi, vi scrivo perché mi sono trasferito da 6 mesi in Romania, a Cluj-Napoca al RIST (www.rist.ro/en.html) un istituto privato no profit dove ho ottenuto un grant di 4 anni co-finanziato dall'Europa, per implementare il progetto di ricerca DeepRiemann "Riemannian Optimization Methods for Deep Learning". Ho diverse posizioni aperte per postdoc, e sto cercando giovani in gamba, con background in matematica (geometria differenziale e ottimizzazione Riemanniana), computer science, statistica, etc etc, per creare un gruppo qui a Cluj che si occuperà di Machine Learning e Ottimizzazione www.luigimalago.it/group.html Gli argomenti del progetto includono: *information geometry (differential geometry applied to statistical manifolds) *manifold optimization and second-order Riemannian optimization *machine learning and deep learning (using Riemannian methods) Vi chiederei gentilmente di inoltrare il messaggio a chi secondo voi potrebbe essere interessato ad una delle posizione Gli annunci sono disponibili alla seguente pagina: www.luigimalago.it/postdocs_th.html www.luigimalago.it/postdocs_dl.html <http://luigimalago.it/postdocs_dl.html> grazie mille, Luigi Malagò

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Bando per un posto da ricercatore a tempo determinato
by Massimo Campanino 29 Mar '17

29 Mar '17

E' stato pubblicato un bando per un posto da ricercatore a tempo determinato - Dipartimento di Matematica dell'Università di Bologna - SSD MAT/06 Scadenza presentazione domande: 27/04/2017. Pubblicato sulla Gazzetta Ufficiale 4° serie speciale n. 24 del 28/03/2017 Il bando è consultabile e scaricabile nei seguenti siti: Sito d'Ateneo: http://www.unibo.it/it/ateneo/concorsi-e-selezioni/bandi-ricercatore-a-temp… Sito Miur http://bandi.miur.it/jobs.php/public/cercaJobs Sito Euraxess (portale europeo): (pubblicazione in corso) http://ec.europa.eu/euraxess/

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Fwd: 10th European Summer School in Financial Mathematics - Second Announcement/Extension of Deadline
by Carlo Sgarra 29 Mar '17

29 Mar '17

I'm forwarding this annoucement for people eventually interested. Kind Regards, Carlo Sgarr*a* This is the second announcement for the *10th European Summer School in Financial Mathematics* *"Rough Volatility and Transaction Costs"* which will be held at TU Dresden in Dresden, Germany from August 28 - September 1, 2017. Mini-courses will be given by Jim Gatheral Johannes Muhle-Karbe Mathieu Rosenbaum Walter Schachermayer More detailed information on the summer school and instructions for application can be found at: https://www.math.tu- dresden.de/euroschoolmathfi17 *The application deadline has been extended to April 30, 2017*. Successful applicants will be sponsored for travel (within Europe) and accommodation. Please bring the announcement to the attention of PhD-students and other researchers who may be interested to attend. Martin Keller-Ressel, for the organizing committee: Bruno Bouchard, Stefano De Marco, Martin Keller-Ressel, Mathieu Rosenbaum, Nizar Touzi (Apologies if you have received this email in duplicate)

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annuncio seminario
by Gustavo Posta 28 Mar '17

28 Mar '17

Seminario di probabilità e statistica matematica Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo Lunedì 3 aprile, ore 16:00 Mauro Piccioni (Università di Roma La Sapienza) terrà una conferenza dal titolo: How it happened (to me) to meet ? Summary: The function ? was defined by Minkowski with the purpose of mapping quadratic irrationals bijectively onto the rationals of (0,1) (in addition, it maps the rationals onto the dyadic rationals). It has remarkable self-similarity properties and it maps (increasingly) the interval [0,1] into itself, with an almost everywhere vanishing derivative. For this reason it has been named the slippery devil’s staircase (to distinguish it from the Cantor set distribution function, which, not being strictly increasing, is not slippery!). In the talk we will obtain it as the equilibrium law of a random walk on the homogeneous space (H,PSL_2(Z)) where H is the upper half-plane in the complex plane and PSL_2(Z) is the modular group. The random walk walk drifts towards the real line with a limit in law X whose image under the function |x|v|x|^{-1} has distribution function ?. In proving this, the characterization of a ?-distributed random variable Y in term of its continued fraction expansion is also obtained. This is a joint work with Gerard Letac. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it ---------------------------------------------------------------- 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 ------------------------------------------------------------------

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PhD course by Costantinos Kardaras (LSE) in Padova
by Giorgia Callegaro 28 Mar '17

28 Mar '17

Dear all, this is to invite you to the PhD course which will be given next week by Costantinos Kardaras (LSE) at the Mathematics Department of the University of Padova. All the details follow: *Title*: *Growth optimality and recent applications to probability* *Timetable*: - April 3rd, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 4th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 5th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 6th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 7th, 2017, 16:00 - 17:30 Torre Archimede, Room 2BC/30 *Course requirements*: Probability and Stochastic Calculus *SSD*: MAT/06 and SECS-S/06 *Aim*: This course aims at providing an overview on recent developments in the Mathematical Finance research field, having as a central idea in mind the role of the growth optimal portfolio. Course contents: These lectures will touch upon recent developments in the applied probability, and more precisely mathematical finance. The vessel that is used to connect different topics is that of growth optimality, a notion that has proved extremely fruitful. A representative collection of what will be covered are applications in arbitrage theory, constrained optimisation, filtration enlargement, and semimartingale theory. Other areas of application, such as economics, robust optimisation, and even functional analysis, will be also discussed (if time permits). Thanks and have a nice day, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Cladag2017 - deadline 31 March for paper submission
by Francesca Greselin 27 Mar '17

27 Mar '17

The list of Invited Sessions for the Cladag2017 International Conference <http://www.cladag2017.unimib.it/>, including three exciting Keynote Talks, given by Antony Davison, J. Sunil Rao and Roberto Rocci, are currently available. Researchers interested in *classification, clustering, data analysis, multivariate analysis, computational statistics and their applications *are invited to participate. The conference will take place at the University of Milano-Bicocca in Milan, from 13-15 September. Invited sessions will include: Statistical models for complex extremes Classified Mixed Model Prediction New methods for clustering ordinal data Classification models in economics and business Advances in Classification and Clustering of Complex Data Network Analysis with applications on biological, financial and social networks Advances in Functional data analysis Heterogeneity and new statistical models Advances in Ordinal and Preference Data Advances in Biostatistics Innovative applications of multidimensional scaling and related techniques Latent class analysis Classification and Visualization Advances in Credit Risk Modeling Robust Clustering Designing clinical trials Big data and Design of Experiments Submissions for contributed, as well as invited talks, are currently open <http://www.cladag2017.unimib.it/registration-and-submission/submission/>, with a deadline of *31 March*. Talks can be one any topic related to statistics, data classification and the analysis of data. Submissions for posters are also welcomed. Registration for the conference is open <http://www.cladag2017.unimib.it/registration-and-submission/registration/>, with early booking discounts available until *30 May*. Francesca Greselin Chair of the Organizing Committee

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Seminar announcement, prof A. Cerny - LUISS G. Carli Roma
by Sara 27 Mar '17

27 Mar '17

Dear all, Professor A. Cerny from Cass will be visiting LUISS and on Tuesday April 4, at 12 in Room A410 -- viale Romania he will give the following seminar: *Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions* We study optimal liquidation of a large trading position in a market with a temporary price impact. We endogenize the pressure to liquidate and hence allow the time horizon of liquidation to be determined endogenously, as part of the optimal strategy. The corresponding HJB equation leads to a severely singular initial value problem whose numerical solution we also study. In contrast to much of the existing literature spreading the liquidation strategy over a longer horizon is not necessarily beneficial to the trader. Joint work with Pavol Brunovský and Ján Komadel, Comenius University Bratislava -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Seminario a Firenze 28/3: Statistical inference of supOU and mixed moving average processes, Imma Curato
by Cecilia Mancini 27 Mar '17

27 Mar '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze Martedì 28 Marzo 2017 (Edificio D6/Aula Bracco) ore 14.00 Imma Curato (Ulm University) terrà un seminario dal titolo: "Statistical inference of supOU and mixed moving average processes" ----- Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html

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