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First Announcement: MODEL UNCERTAINTY AND ROBUST FINANCE
by Marco Maggis 12 May '16

12 May '16

Workshop MODEL UNCERTAINTY AND ROBUST FINANCE https://sites.google.com/site/2016murf/ <https://sites.google.com/site/2016murf/home> University of Milan, 10-11 November 2016 INVITED SPEAKERS: Giorgio DALL'AGLIO (Special historical talk) David HOBSON (University of Warwick) Jan OBLOJ (University of Oxford) Bernt ØKSENDAL (University of Oslo) Halil Mete SONER (ETH Zurich) Steven VANDUFFEL (VRIJE Brussels) DEADLINE FOR ABSTRACT SUBMISSION: September 30 ALL ACCEPTED CONTRIBUTED SPEAKERS WILL HAVE REGISTRATION FEE WAIVED. -- Marco Maggis, Ricercatore TD, Secs-S/06 Dipartimento di Matematica F. Enriques, Via Cesare Saldini 50, 20133, Milano Telefono: 0250316120

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Fwd: Probability -- SNS CALL FOR EXPRESSIONS OF INTEREST
by Francesco Caravenna 12 May '16

12 May '16

Ricevo e inoltro. > ---------- Forwarded message ---------- > From: CRM <crm(a)sns.it> > Date: 2016-05-11 20:08 GMT+02:00 > Subject: Probability -- SNS CALL FOR EXPRESSIONS OF INTEREST > To: CRM <crm(a)sns.it> > > > Dear Colleagues, > > the Scuola Normale Superiore decided to open an expression of interest in Probability, at the full professor level. > Please feel free to spread this information to anyone potentially interested. > Expressions of interest shall be addressed to: > > Prof. Vincenzo Barone > Preside della Classe di Scienze Matematiche e Naturali > Scuola Normale Superiore > Piazza dei Cavalieri, 7 > PISA – Italy > > and can be sent by email to the following address : classi(a)sns.it, writing EOI/PROB in the subject field. > > Here is the link for a detailed information: > > http://en.sns.it/bando/professorship-probability-theory-scuola-normale-supe… > > The deadline for submission is May 31st. > > Thank you for your collaboration. > > With best wishes, > > Stefano Marmi > Director > > Centro di Ricerca Matematica > Ennio De Giorgi > Palazzo Puteano > Piazza dei Cavalieri 3 > 56100 PISA > crm(a)sns.it >

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Seminario Prof. A. Olenko (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 09 May '16

09 May '16

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 12 Maggio, ore 11 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche "Sapienza" Università di Roma Prof. A.Olenko (La Trobe University, Melbourne, Australia) *Titolo:* Some asymptotic properties of geometric functionals of strongly dependent random fields *Sintesi:* Limit theorems for the volumes of excursion sets of strongly dependent heavy-tailed random fields will be presented. Special attention is paid to Student and Fisher random fields. We also discuss the rate of convergence to the Rosenblatt-type distributions in non-central limit theorems. In contrast to approaches based on the Malliavin calculus and Stein's method we use direct probability methods. Some examples and simulation results are shown. The presentation is based on the papers: N. Leonenko, A. Olenko, Sojourn measures of Student and Fisher-Snedecor random fields, Bernoulli, 20(3) (2014) 1454--1483. Vo Anh, N. Leonenko, A.Olenko. On the rate of convergence to Rosenblatt-type distribution, Journal of Mathematical Analysis and Applications, 425(1) (2015) 111-132. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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seminari Marco Frittelli in Bicocca
by Fabio Bellini 06 May '16

06 May '16

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An Introduction to Risk Measures. Corso per dottorandi- Valeria Bignozzi
by Lea Petrella 05 May '16

05 May '16

Si comunica che all’interno del Dottorato di Ricerca “Modelli per l’Economa e la Finanza” (Dipartimento MEMOTEF) la Dottoressa Valeria Bignozzi svolgera’ il ciclo di lezioni “An Introduction to Risk Measures” secondo il seguente calendario 13 maggio ore 18-20 17 maggio ore 16.30-18 18 maggio ore 11.30-13 Le lezioni si svolgeranno presso l’aula Maramma VI piano Economia, Via del Castro Laurenziano 9, 00161 Sapienza Universita’ di Roma. Gli interessati possono contattarmi via mail all'indirizzo lea.petrella(a)uniroma1.it Segue il programma del corso ed i riferimenti bibliografici An Introduction to Risk Measures: 1. Definition of a risk measure (rm) and its applications in finance and insurance; 2. Classical examples of rm: Value-at-Risk (VaR), Expected Shortfall (ES), Expectiles; 3. Computing risk measures for discrete and continuous distributions; 4. Properties: Monotonicity, Translation Invariance, Positive homogeneity, subadditivity, convexity, comonotonicity, law-invariance; Convex and coherent rm; 5. Non subadditivity of VaR and its consequences on portfolio diversification; 6. Estimation of rm (Historical estimation, generalised quantile regression, maximum likelihood methods, bayesian approach); 7.Risk measurement for an aggregate position. References: 1. Embrechts, P., F. Rudiger., and A. McNeil. "Quantitative risk management." *Princeton Series in Finance, Princeton* 10 (2005). 2. Föllmer, H., and A. Schied. *Stochastic finance: an introduction in discrete time*. Walter de Gruyter, 2011. 3. Jorion, P.. *Value at risk: the new benchmark for managing financial risk*. Vol. 3. New York: McGraw-Hill, 2007. -- **************************************************** Prof. Lea Petrella Memotef Department Sapienza University of Rome http://www.memotef.uniroma1.it/users/petrella-lea ***************************************************** -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Borse di Dottorato - Dipartimento di Matematica, Politecnico di Milano
by Laura M. Sangalli 04 May '16

04 May '16

Presso il Dipartimento di Matematica del Politecnico di Milano sono disponibili 10 borse di dottorato in Modelli e Metodi Matematici per l'Ingegneria. Nell'ambito di questo programma di Dottorato è possibile sviluppare un progetto di ricerca in Statistica. La scadenza per effettuare l’iscrizione è*venerdì 27 maggio 2016 ore 14.00* Al linkhttp://www.dottorato.polimi.it/entra-al-dottorato/concorso-di-ammissione-e-borse-di-studio/bandi/bando-xxxii-ciclo-dei-corsi-di-dottorato-20162017/ sono contenute tutte le informazioni relative al bando, alle borse e ai corsi di dottorato. Vi preghiamo di dare diffusione di questo avviso ai vostri Studenti potenzialmente interessati. Cordialmente, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Seminario CALATRONI (Matematica Applicata & ADAMSS, CIMAB)
by Giacomo Aletti 04 May '16

04 May '16

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti =============== Nell'ambito del Seminario di Matematica Applicata, in collaborazione col centro ADAMSS e il CIMAB, il giorno giovedì 12 Maggio 2016, alle ore 14.30, nella Sala di Rappresentanza (piano terra) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Image segmentation, graph clustering and Hough transform methods for object detection and measurement in images" Luca CALATRONI Dipartimento di Matematica Universita' di Genova Abstract: In this talk we consider the problem of image segmentation through the minimisation of a Ginzburg-Landau-type functional defined on graphs (i.e. the pixel images). Such approach has first been considered by A. Bertozzi and A. Flenner and provides a binary segmentation of the image via the extraction and the comparison of features (RGB, texture,...) with a dictionary in terms of an appropriate similarity measure. From a mathematical point of view, the segmentation is obtained by exploiting the spectral properties of the differential operators appearing when taking the $\ell^2$ gradient flow of the functional. In order to overcome the numerical difficulties due to the large size of the images considered, Nyström matrix completion techniques and convex splitting methods are employed. We apply such method to the problem of scale detection in images where a fuzzy region of interest is present together with a measurement tool (e.g. a ruler). In particular, by means of a Hough transform based algorithm, we apply our combined method to several measurement tasks arising in real-world applications such as zoology, medicine and archaeology. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell:+39-340-9739142

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International Summer School on Risk Measurement and Control 2016
by Roy Cerqueti 04 May '16

04 May '16

Cari colleghi, invio questa nota circa la Summer School che stiamo organizzando a Roma, che può essere di interesse per chi si occupa di matematica applicata alla finanza. Un caro saluto e a presto Roy %%% Caro collega, dal 6 all' 11 giugno 2016, a Roma, si terrà l'XI edizione l'International Summer School on Risk Measurement and Control in cui verranno trattati tre temi di fondamentale importanza: * Session 1 - New Frontiers in Risk Management; * Session 2 - Energy Risk Management; * Session 3 - The EURO project: shadows and lights. Ulteriori informazioni di dettaglio sono reperibili sul sito. <http://www.risksummerschool.eu/> Ti chiederei gentilmente, di far circolare la notizia dell'evento quanto più possibile tra i tuoi contatti e all'interno della tua istituzione di afferenza. Siamo convinti che questo evento, che vanta un parterre di docenti internazionali di assoluta rilevanza, possa essere di interesse per molti studiosi. In attesa di un cortese riscontro, ti mando i miei più cari saluti Roy Cerqueti (Comitato Organizzatore) -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Fwd: Open Position as a Scientific Employee at Ulm University (fwd)
by Tiziano Vargiolu 03 May '16

03 May '16

----- Forwarded message from Robert Stelzer <robert.stelzer(a)uni-ulm.de> ----- Date: Tue, 3 May 2016 15:33:10 +0200 From: Robert Stelzer <robert.stelzer(a)uni-ulm.de> Subject: Open Position as a Scientific Employee at Ulm University To: Robert Stelzer <robert.stelzer(a)uni-ulm.de> Dear Colleagues and Friends, please find below and attached the announcement for an open position as a scientific employee (Postdoc or PhD level) at the Institute of Mathematical Finance at Ulm University. It would be very kind if you would bring it to the attention of possible candidates. Best Regards, Robert (Stelzer) The Institute of Mathematical Finance at the Faculty of Mathematics and Economics of Ulm University invites applications for one non-permanent position as a Scientific Employee (E13 TV-L) starting October 1st, 2016, according to the rules of the German law for non-permanent scientific positions (Wissenschaftszeitvertragsgesetz). Prerequisite is a very good master degree in a mathematical field of study or a comparable degree, and interest in future research in at least one of the areas Financial Mathematics, Financial Econometrics, Statistics of Stochastic Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic Processes or Time Series Analysis. The opportunity for further scientific qualification (Habilitation/PhD) is given. The duties include contributing to the teaching activities of the institute. For a full position the teaching duty is four hours per week during the teaching period. The language of the courses is usually English. Thus no knowledge of German is initially necessary. Candidates with a completed PhD are going to be employed on a full position, otherwise candidates will be employed on a partial position according to individual agreement. The contract duration will be in accordance with the qualificaion aim. The Ulm University is committed to increase the share of women in research and teaching positions and therefore explicitly encourages female candidates to apply. Please send your application with the usual documents until May 31st, 2016, preferably in electronic form to Ulm University Prof. Dr. Robert Stelzer Institute of Mathematical Finance Helmholtzstra?e 18 89081 Ulm, Germany E-Mail: robert.stelzer(a)uni-ulm.de Please indicate the index number 51 on the envelope or in the reference line of the email. Job sharing is always possible for full time positions. Physically disabled applicants receive favourable consideration when equally qualified. The appointment is made by the central university administration. -- +++++++++++++++++++++++++++++++++++++++++ Prof. Dr. Robert Stelzer Institute of Mathematical Finance Ulm University Helmholtzstra?e 18 89081 Ulm Germany Phone: +49 731 50 23520 Fax: +49 731 50 31096 Email: robert.stelzer(a)uni-ulm.de http://www.uni-ulm.de/mawi/finmath/people/stelzer.html ----- End forwarded message -----

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Seminario NICKL
by Matteo Ruggiero 03 May '16

03 May '16

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi 6 Maggio 2016 alle ore 16:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Richard NICKL (University of Cambridge) NONPARAMETRIC BAYESIAN INFERENCE FOR DISCRETELY SAMPLED DIFFUSIONS We consider the nonlinear statistical inverse problem of making inference on the unknown parameters of a diffusion process describing the solution of a stochastic differential equation. The observation regime is such that the process is sampled at discrete time points that are a fixed distance apart, and we investigate the asymptotic regime when more samples accrue in the time horizon (thus avoiding unrealistic `high frequency’ assumptions). We shall briefly review frequentist estimation techniques and then turn to Bayesian nonparametric approaches to the problem, which have recently been shown to be computationally tractable (work of A. Stuart, G. Roberts and co-authors). A theory of frequentist contraction rates for the posterior distribution has been elusive for several years, and we present first rigorous, minimax optimal contraction rates for posterior distributions arising from natural prior distributions on infinite-dimensional parameter spaces on the drift and diffusion coefficient. We will discuss what can be learnt from these results for the choice of prior in such problems, as well as for the Bayesian analysis of general nonlinear inverse problems. In the proofs we obtain some new (functional) concentration inequalities for additive functionals of Markov chains arising from diffusions that are of independent interest. This is joint work with Jakob Soehl (Cambridge), see http://arxiv.org/abs/1510.05526 Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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