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Stochastic Analysis workshop - 19 Sept 2016 - Leeds
by Elena Issoglio 28 Jul '16

28 Jul '16

This is to announce a one-day workshop on Topics in SDEs and their link to (S)PDEs. The workshop will be held in the School of Mathematics in Leeds (UK) on 19 September 2016. Registration is FREE but COMPULSORY (for catering porpuses). If you intend to take part please send an email to Elena Issoglio (e.issoglio(a)leeds.ac.uk). ______________________________________________ Programme 12:00-13:00 - Buffet lunch 13:00-13:45 - Russo, F. - BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk 13:45-14:30 - Issoglio, E. - Forward-Backward SDEs with distributional coefficients 14:30-14:50 - Shi, Q. - American Eagle Options 14:50-15:30 - Coffee Break 15:30-16:15 - Dos Reis, G. - TBA 16:15-16:35 - Dhariwal, G. - 2D Stochastic Constrained Navier-Stokes Equations 16:35-16:55 - Johnson, P. - Optimal Stopping in Mathematical Statistics 18:30 - Social Dinner _______________________________________________ This workshop is sponsored by the LMS. Partial travel funding is available for young researchers including PhDs and Post-Docs. Please email Elena for further information about financial support. For more details see http://www.maths.leeds.ac.uk/topics_in_sdes Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

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PhD in Financial Mathematics at the Scuola Normale Superiore (Pisa). Call 2016-2017
by Fabrizio Lillo 27 Jul '16

27 Jul '16

The call for applications to the 2016/2017 PhD program in Financial Mathematics at the Scuola Normale Superiore, Pisa, is available on the web site phd.sns.it/en, and on the home page of the institutional web site of the Scuola (www.sns.it). We are attaching with this letter an informative poster to distribute to your colleagues at other institutions. For the Autumn call (deadline August 30) three fellowships are available. For any further information, please address your request to Fabrizio Lillo ( fabrizio.lillo(a)sns.it). Thank you very much in advance. -- Quantitative Finance Research Group Scuola Normale Superiore *http://mathfinance.sns.it/ <http://mathfinance.sns.it/>* ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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PostDoc position at BCAM, Bilbao - Spain
by Gianni Pagnini 26 Jul '16

26 Jul '16

Dear colleagues, I would like to promote a two-year PostDoc position at BCAM - Basque Center for Applied Mathematics, Bilbao, Basque Country - Spain www.bcamath.org [1]. The research will be focused on modelling front propagation with application to wild-land fires and turbulent premixed combustion. The deadline is the 20th of September 2016. For more information please contact me: pagnini(a)bcamath.org http://www.bcamath.org/en/research/job/ic2016-summer-postdoctoral-fellow-in… [2] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM16_Postdoc_Pr… [3] Sincerely, Gianni -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini [4] _ _ _(__ __matematika mugaz bestalde )_ Links: ------ [1] http://www.bcamath.org [2] http://www.bcamath.org/en/research/job/ic2016-summer-postdoctoral-fellow-in… [3] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM16_Postdoc_Pr… [4] http://www.bcamath.org/gpagnini

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Monique Jeanblanc in Bologna April 14-15
by Sabrina Mulinacci 22 Jul '16

22 Jul '16

Dear all, I am pleased to announce that the Quantitative Finance Graduate Course of the University of Bologna will host a lecture from Prof. Monique Jeanblanc on the topic “ENLARGEMENT OF FILTRATION” The workshop will take place according to the following schedule: Thursday, 14 April, 2016: 15.00-18.00 Classroom 2 – Piazza Scaravilli 2, School of Economics, Ground Floor Friday, 15 April, 2016: 10.00-13.00 Classroom VII – Via Ranzani 1, Ground Floor Participation is free, but for logistic purposes we ask to register by sending an e-mail to: facecon.qfinance(a)unibo.it Sabrina Mulinacci 5x1000 AI GIOVANI RICERCATORI DELL'UNIVERSITÀ DI BOLOGNA Codice Fiscale: 80007010376

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Stochastic analysis day in Pisa, July 25
by Marco Romito 19 Jul '16

19 Jul '16

This is to announce a one-day conference in stochastic analysis and stochastic PDEs. The conference will take place in the Aula Magna of the Maths department in Pisa on Monday, July 25 2016. Speakers include: G. Da Prato (Scuola Normale Superiore),S. Cerrai (University of Maryland), A. Debussche (ENS Bretagne), G. Tessitore (Università di Milano Bicocca), M. Fuhrman (Politecnico di Milano), E. Priola (Università di Torino), L. Zambotti (UPMC Paris VI). For more details: http://www.dm.unipi.it/pages/romito/SPASS/workshop/20160725/ m.

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Bando SECS-S/06 II fascia a Siena (fwd)
by Tiziano Vargiolu 18 Jul '16

18 Jul '16

---------- Forwarded message ---------- Date: Mon, 18 Jul 2016 12:26:35 +0200 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Bando SECS-S/06 II fascia a Siena Caro Tiziano, puoi diffondere sulla tua mailing list e su RANDOM questa informazione? Grazie, Claudio The Department of Economics and Statistics calls for an Associate Professor full time position in the scientific sector SECS-S/06 (Mathematical methods of economy, finance and actuarial sciences). Application term: August 4, 2016. Call:http://www.unisi.it/albo_pretorio/bandi/concorsi_interni/1-posto-di-profess ore-universitario-di-ruolo-fascia-degli-76 (direct link to the English text: http://www.unisi.it/sites/default/files/bando_inglese_23_13.pdf). >From the call: The candidate is a scholar with proven and relevant research activity and proven teaching experience, both undergraduate and graduate, also in English, on mathematical methods and tools (including scientific computing and data processing) useful in the construction and in the analysis of models and problems related to finance, to the analysis of financial markets, to financial risk management. He or she will be required to teach the following courses: Financial Mathematics (undergraduate, in Italian or English), Financial Modeling (graduate, in English). The selection committee will adhere to the following judging criteria: - Degree of internationalization of research activity. - Analytic evaluation of the scientific production, with particular regard to impact and diffusion in the corresponding scientific community and its international relevance, also considering the main bibliometric indicators used in the same scientific community. The selection committee has to consider originality, innovativeness, methodological strictness of the scientific production and the degree of independence of the candidates. For the evaluation of the scientific production, candidates are required to submit a maximum of twelve (12) publications. - Proven teaching experience in the reference scientific sector (Mathematical methods of economy, finance and actuarial sciences). A proven ability to organize and coordinate national and international research groups and national or international awards, contribute to the appreciation of the candidate. The commission may ask candidates to hold a seminar in English. -- prof. Claudio Pacati Dean of the School of Economics and Management Department of Economics and Statistics University of Siena p.zza S. Francesco, 7 I-53100 Siena (Italy) tel. +39 0577 232772

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job opportunity in ARPM
by Elisa Appolloni 15 Jul '16

15 Jul '16

Dear all, I am reaching out to you because at ARPM (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Thank you, Elisa Appolloni *** *The company * ARPM, LLC (www.arpm.co) is a privately held research institution based in New York City, directed by Attilio Meucci. ARPM's mission is to spread Advanced Risk and Portfolio Management ideas and techniques in the financial industry and in academia. *The opportunity* ARPM is looking for new consultants for its research project in Advanced Risk and Portfolio Management (see also http://www.arpm.co/jobposting/). The job, which requires a full time commitment, consists of reviewing and coding case studies in advanced quantitative finance. The consultant will work remotely from home or from one of the affiliate universities, communicating via multi-media with other members of the ARPM team. The position represents an excellent academic experience for applicants who intend to pursue a PhD, which ARPM may sponsor. The position also presents a great opportunity for candidates (that maybe have already a PhD) who wish to remain in the financial industry. Indeed, the learning curve is constantly steep, and the compensation is competitive. *The candidate* - Master's level degree in Physics, Mathematics or Economics (the PhD or master's degree in Quantitative Finance is a plus) - Good knowledge of multivariate calculus, linear algebra, multivariate statistics, probability, financial mathematics - Proficiency in LaTeX - Proficiency in MATLAB, Python, or similar programming languages - Working knowledge of English *Compensation* 22,000 euros per year (Graduate) 24,000 euros per year (Master in Quantitative Finance/PhD) -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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Siena Finance Workshop (fwd)
by Tiziano Vargiolu 15 Jul '16

15 Jul '16

---------- Forwarded message ---------- Date: Thu, 14 Jul 2016 19:53:56 +0200 From: Prof. Claudio Pacati <claudio.pacati(a)unisi.it> To: vargiolu(a)math.unipd.it Subject: Siena Finance Workshop Dear Tiziano, could you please submit to your mailing this announcement (attached) of a Finance workshop to be held in Siena September 30, 2016. Thanks, Claudio Pacati and Antonio Roma

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bando assegno di ricerca
by Sara Pasquali 13 Jul '16

13 Jul '16

Si informa che e' stato pubblicato il bando per un assegno di ricerca presso il CNR-IMATI di Milano, avente per argomento di ricerca la simulazione di dinamiche di popolazioni invasive. Il bando e' disponibile al sito http://www.imati.cnr.it/index.php/opportunities?layout=edit&id=490 Per la partecipazione alla selezione e' richiesto il possesso del diploma di laurea in una delle seguenti discipline: Matematica, Statistica, Fisica, Ingegneria biomedica, Ingegneria delle Telecomunicazioni, Ingegneria Elettronica, Ingegneria Informatica, Ingegneria per l’Ambiente e il Territorio, conseguito durante il periodo di vigenza di qualsiasi ordinamento dei corsi di laurea e identificati dai codici LM-40, LM-44, LM-82, LM-17, LM-21, LM-27, LM-26, LM-29, LM-25, LM-32, LM-35. Costituira' titolo preferenziale la capacita' di sviluppare in autonomia codici di programma per la simulazione di modelli matematici o l’esperienza nell’analisi di modelli descritti da equazioni differenziali. Per maggiori informazioni sul bando e sull'attivita' da svolgere si prega di contattare la Dott.ssa Sara Pasquali all'indirizzo e-mail: sara.pasquali(a)mi.imati.cnr.it Cordiali saluti Sara Pasquali -- ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Dr. Sara Pasquali CNR-IMATI Via Bassini, 15 20133 MILANO - ITALY =========== Tel. +39 02 23699525 Fax. +39 02 23699538 e-mail: sara.pasquali(a)mi.imati.cnr.it ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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StaTalk Roma
by Clara Grazian 11 Jul '16

11 Jul '16

Dear all, we are pleased to announce that the third meeting of the *StaTalk* series will be held at *Facoltà di Economia di Sapienza Università di Roma*on *September 9, 2016*. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. StaTalks are endorsed by Y-SIS ( https://sites.google.com/site/youngsocietaitalianastatistica/), the young section of the Italian Statistical Society. The topic of the third StaTalk will be on *Computational Tools for Statistical Modelling*. We will present and discuss both standard and new computational methods which represents fundamental tools for new challenging applications, such as economic, finance, genetic and official statistics. *Programme* *09.30-10.00 *Opening *10.00-10.40 *Christian Macaro (SAS System) "*A mixture of heterogeneous models with time dependent weights*" *10.40-11.10* Coffee break *11.10-11.50* Clara Grazian (MEMOTEF Department) "*Modelling financial dependence through approximate Bayesian inference*" *11.50-12.30* Stefano Vaccari (MEMOTEF Department) "*Pricing in the Presence of Social Learning: Modelling Information Aggregation in a Competitive Market*" *12.30-14.30* Lunch break *14.30-15.10 *Andrea Tancredi (MEMOTEF Department) "*A Bayesian approach for de-duplication, record linkage and inference with linked data.*" *15.10-15.50 *Luca Tardella (Department of Statistical Science) "*Alternative approaches for approximating marginal likelihood.*" *15.50-16.20* Coffee break *16.20-17.00 *TBA *17.00-17.30 *Closing Additional info can be found at the workshop page https://sites.google.com/site/youngsocietaitalianastatistica/events/statalk… REGISTRATION to the third StaTalk are now open. *No conference fees are due, but registration is mandatory*, using the form available on the website. Clara Grazian PhD in Statistics Research Fellow *Memotef* *Facoltà di Economia* *Sapienza Università di Roma* via del Castro Laurenziano 9, 00161, Roma

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