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Spring school on Random Interfaces
by Luigi Amedeo Bianchi 19 Sep '18

19 Sep '18

Dear all, this is the first announcement for the spring school on Random Interfaces to be held at the University of Augsburg, Germany, for three full days from March 13th to March 15th, 2019. The school will focus on random interfaces, both continuous (approached by means of stochastic partial differential equations) and discrete (together with their hydrodynamic limits). The school will feature a main course by Tadahisa Funaki (Waseda University/University of Tokyo), a minicourse by Fabio Toninelli (Université Claude Bernard Lyon 1) and an invited lecture by Dimitra Antonopoulou (University of Chester). A poster session for participants is also foreseen. This spring school is intended for PhD students and young researchers, but open for everyone. Registration to the school is free, but compulsory for organisatorial purposes. Limited funds are available to offer financial support to some selected students and young researchers (post-docs). The deadline for application is 15th December 2018. More information and the registration form are available on the website https://www.math.uni-augsburg.de/de/prof/ana/Workshops_Tagungen/Spring-Scho… <https://www.math.uni-augsburg.de/de/prof/ana/Workshops_Tagungen/Spring-Scho…> We are looking forward to seeing you in Augsburg. The organisers, Lisa Beck, Luigi Amedeo Bianchi, Dirk Blömker, Franco Flandoli, Marco Romito, Dario Trevisan

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I: Avviso di seminario
by Massimo Campanino 18 Sep '18

18 Sep '18

Il giorno 20 settembre alle ore 14 nell'Aula Seminario 2 del Dipartimento di Matematica dell'Università di Bologna in piazza Porta S. Donato 5 il prof. Pietro Rigo del Dipartimento di Matematica dell'Università di Pavia terrà un seminario dal titolo: CLASSICAL VERSUS COHERENT CONDITIONAL PROBABILITIES ABSTRACT: The standard (Kolmogorovian) notion of conditional probability is compared with the (de Finettian) notion based on the coherence principle. Each notion has both merits and drawbacks, and the talk aims to highlight them with special attention to the connection points. Various results, both old and new, are discussed and some open problems are mentioned. The talk is split into four parts. (i) Classical (Kolmogorovian) conditional probabilities; (ii) Disintegrability; (iii) Coherent (de Finettian) conditional probabilities; (iv) Some statistical implications.

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Fwd: DEM Workshop in Financial Mathematics - Verona 31.10. (fwd)
by Tiziano Vargiolu 18 Sep '18

18 Sep '18

Dear All, We are pleased to announce the "DEM Workshop in Financial Mathematics?, taking place at the Department of Economics (University of Verona, Italy) on October 31st, 2018. Description: the workshop is organised by the PhD course "Dottorato in Economia e Management" (DEM). Speakers will present recent developments in financial mathematics with focus on numerical methods, xVA and commodity markets. Speakers: Giorgia Callegaro (University of Padova) Daniele Marazzina (Politecnico of Milan) Andrea Pallavicini (Banca IMI and Imperial College London) Christa Cuchiero (University of Vienna) Registration: Registration is free. Interested participants are requested to register via an E-Mail to alessandro.gnoatto(a)univr.it Website/Program: See http://dse.univr.it/demwfm/ Best Regards, Alessandro Gnoatto

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Fwd: Fw: Job advert
by Marco Romito 18 Sep '18

18 Sep '18

ricevo e inoltro m. -------- Forwarded Message -------- Subject: Fw: Job advert Date: Thu, 13 Sep 2018 19:20:49 +0000 From: Pennanen, Teemu <teemu.pennanen(a)kcl.ac.uk> Dear Random, We would like to advertise the following position via your mailing list: Lecturer in Financial Mathematics King's College London https://my.corehr.com/pls/kingrecruit/erq_jobspec_version_4.jobspec?p_id=00… Deadline 14 October 2018. Please let me know if you require more info. Best, Teemu --------------------------------------------------------------------------------------------------- Professor of Mathematical Finance, Probability and Statistics Department of Mathematics King's College London http://www.mth.kcl.ac.uk/~teemu/

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Concorso Ricercatore tipo B - Lecce
by Enrico Priola 17 Sep '18

17 Sep '18

Gentili colleghi, con l'invito a volerne dare la massima diffusione, vi segnalo che e' uscito il bando per una posizione da Ricercatore a tempo Determinato tipo B nel settore MAT/06 (Probabilità e Statistica Matematica) presso il Dipartimento di Matematica e Fisica "E. De Giorgi" dell'Università del Salento. https://www1.unisalento.it/c/document_library/get_file?p_l_i d=63872469&folderId=64317337&name=DLFE-355230.pdf Un saluto. Prof. Diego Pallara Dipartimento di Matematica e Fisica "E. De Giorgi" Università del Salento diego.pallara(a)unisalento.it

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Eurocast 2019 – 30 years - Stochastic Models and Applications to Natural, Social and Technical Systems
by Antonio DI CRESCENZO 17 Sep '18

17 Sep '18

Dear Colleagues, we are pleased to inform you about the Conference Eurocast 2019 – 30 years 17th International Conference on Computer Aided Systems Theory Museo Elder de la Ciencia y la Tecnología. Las Palmas de Gran Canaria, Spain 17-22 February, 2019 http://eurocast2019.fulp.ulpgc.es/ Among the planned activities we point out the following workshop, that we hope you find of interest. An extended two pages abstract must be sent by the Abstract Submission form before November 15, 2018. *Stochastic Models and Applications to Natural, Social and Technical Systems (Nobile, Di Crescenzo)* The Workshop deals with theory and applications of probability in the modeling of random phenomena in the natural sciences, social sciences and technology, focusing on mathematical theory, analytical, algorithmic, experimental approaches and computational methods. Practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories, reliability, queueing theory, optimization and operations research are very welcome as well. Attention is given also to probabilistic methods in data science and related areas, and their applications to the treatment of big data. Many greetings, Amelia Nobile and Antonio Di Crescenzo

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Special Issue “Applications of Stochastic Optimal Control to Economics and Finance” in Risks
by salvatore federico 14 Sep '18

14 Sep '18

[Risks] Feature Paper (Free of Charge) Invitation for Special Issue “Applications of Stochastic Optimal Control to Economics and Finance” – edited by Salvatore Federico (University of Siena), Giorgio Ferrari (University of Bielefeld) and Luca Regis (University of Siena). We are pleased to inform you that we are guest editing for a special issue entitled “Applications of Stochastic Optimal Control to Economics and Finance” which will be published in //Risks// (<http://www.mdpi.com/journal/risks>http://www.mdpi.com/journal/risks <http://www.mdpi.com/journal/risks>, ISSN 2227-9091). This special issue is now open to receive submissions of full research articles and comprehensive review papers for peer-review. Details can be found at the following link: http://www.mdpi.com/journal/risks/special_issues/Stochastic_Optimal_Control <http://www.mdpi.com/journal/risks/special_issues/Stochastic_Optimal_Control> We welcome your contribution that will be peer-reviewed. If accepted, your article will be published free of charge (in Open Access form). Let me know as soon as possible if you can contribute by sending a tentative title and short abstract by email. The submission deadline is *30 November 2018*but it can be extended upon request. We also encourage authors to send a short abstract or tentative title to the Editorial Office (risks(a)mdpi.com <mailto:risks@mdpi.com> <mailto:risks@mdpi.com><mailto:risks@mdpi.com> <mailto:risks@mdpi.com>). For further details on the submission process, please see the instructions for authors at the journal website (<http://www.mdpi.com/journal/risks/instructions>http://www.mdpi.com/journal/risks/instructions <http://www.mdpi.com/journal/risks/instructions>) //Risks//is fully open access. Open access (unlimited and free access by readers) increases publicity and promotes more frequent citations, as indicated by several studies. Open access is supported by the authors and their institutes. This year, 2018, Risks has been accepted for funding by the Knowledge Unlatched initiative (http://www.knowledgeunlatched.org <http://www.knowledgeunlatched.org/>). The Article Processing Charges (350 CHF) for papers published in the journal are fully covered via the Knowledge Unlatched crowd-funding mechanism. Please note this is a pilot program experimenting ways to support authors in the humanities and social sciences fields publishing in open access format. Thank you very much in advance for your consideration of this request. Salvatore Federico Giorgio Ferrari Luca Regis Guest Editors of Special Issue “Applications of Stochastic Optimal Control to Economics and Finance”

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Luiss seminar, dott. Marco Bianchetti
by Sara 14 Sep '18

14 Sep '18

Dear all, on October 18 at 12 in Room 207, Marco Bianchetti, Unicredit, Head of Fair valuation and Financial risk models will give the following seminar: Title: "Bitcoin, Brexit and other Bubble Stories - Evidence from Quantitative Models" Abstract "We develop a bubble detection methodology based on a combination of quantitative models, calibration approaches, global stochastic optimization algorithms, and sentiment analysis. We apply such methodology to a variety of financial data related to cryptocurrency, Brexit and tech bubbles, confirming ex-ante a number of bubble events actually observed ex-post." -- 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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1year PostDoc position @ Scuola Normale Superiore
by Daniele Tantari 11 Sep '18

11 Sep '18

A call for a one-year postdoc is open at the Scuola Normale Superiore di Pisa, related to the project *“UNSUPERVISED LEARNING WITH MULTI-LAYER BOLTZMANN MACHINES: A STATISTICAL MECHANICS PERSPECTIVE”,* funded by Istituto Nazionale d'Alta Matematica. The topic of the research concerns Mathematical aspects of Data Mining through Neural Networks and applications, with emphasis to the study of phase transitions in inference and learning from a Statistical Mechanics perspective. The details of the call are at https://www.altamatematica.it/blog/2018/09/05/bando-di-concorso-a-n-1-asseg… The deadline is October 4, 2018. I would be grateful if you could forward this message to any potentially interested candidate. You can contact me for any further information. Thanks and all the best, Daniele Tantari

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International Conference in Venice - CALL FOR PARTICIPATION
by Monica Billio 09 Sep '18

09 Sep '18

CREDIT2018 <http://www.greta.it/credit/credit2018/credit2018.htm> * * *GRETA Associati *(Venice, Italy), the *European Investment Fund *(EIF, Luxembourg), *European DataWarehouse*(Frankfurt am Main, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018.* * The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. * * The Conference, organised under the auspices of the *Department of Economics**of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association* and *European Investment Bank*, is the seventeenth of a series dedicated to various aspects of credit risk.** The Scientific Committee consists of: *Hans Degryse *(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair) *Monica Billio *(Ca’ Foscari University of Venice & GRETA) *Vasso Ioannidou *(Lancaster University & CEPR) *Helmut Kraemer-Eis *(European Investment Fund) *Jan Pieter Krahnen *(SAFE - Goethe University) *Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Guillaume Plantin*(Sciences Po & CEPR) *Stephen Schaefer *(London Business School) *Enrico Sette *(Bank of Italy) *Ludovic Thebault *(European DataWarehouse) Sponsors** *GRETA* <http://www.greta.it/> *EIF* <http://www.eif.org/index.htm> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> Auspices** *ABI* <http://www.abi.it/Pagine/default.aspx> *EIB* <http://www.eib.org/> <http://www.unive.it/pag/16892> **PROGRAMME ** *Thursday, September 27 2018* * 9.15 - 11.00 Session I: RECENT DEVELOPMENTS IN CREDIT RISK MEASUREMENT *- Chairman: *Hans Degryse* (KU Leuven, Halle Institute for Economic Research & CEPR) • *Key-note talk:* /Trade Credit - for Better or Worse: Contagion, Risk-sharing, and Pricing/, *Tor Jacobsen*(Sweden's Central Bank) • /Credit Risk Analysis Using Machine and Deep Learning Models/, Peter Martey Addo (French Development Agency & Laboratory of Excellence for Financial Regulation, Paris), *Dominique Guegan* (Laboratory of Excellence for Financial Regulation, Paris, University Paris 1 Pantheon Sorbonne & Ca’ Foscari University of Venice) and Bertrand Hassani(Laboratory of Excellence for Financial Regulation, Paris & Capgemini Consulting, Courbevoie) - Discussant: *Monica Billio *(Ca’ Foscari University of Venice & GRETA) • /Estimation of Probability of Default with Machine Learning Techniques: A Comparative Approach/, *Stefano Bonini *(Accenture Finance&Risk & University of Bologna) and Giuliana Caivano (Accenture Finance&Risk & University of Bologna) - Discussant: *Roberto Casarin *(Ca’ Foscari University of Venice & GRETA) *11.30 - 13.00 Session II: DISCIPLINING BANKS, BAILOUTS AND BAIL-INS *- Chairman: *Alain Monfort *(CREST & Bank of France) • /Unconventional Monetary Policy and Credit Rating Inflation/, Nordine Abidi (European Central Bank), *Matteo Falagiarda* (European Central Bank)and Ixart Miquel-Flores (European Central Bank) - Discussant: *Stephen Schaefer* (London Business School) • /Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins/, Thorsten Beck (University of London, CEPR & CESifo), Samuel Da-Rocha-Lopes(European Banking Authority & Nova School of Business & Economics, Lisbon) and *André F. Silva* (University of London & International Monetary Fund) - Discussant: *Hans Degryse* (KU Leuven, Halle Institute for Economic Research & CEPR) • /Does Size Matter? Bailouts with Large and Small Banks/, Eduardo Dávila (New York University & NBER) and*Ansgar Walther* (University of Warwick) - Discussant:*Guillaume Plantin *(Sciences Po & CEPR) *14.30 - 16.00 Session III: * *BANK LENDING POLICIES *- Chairman: *Stephen Schaefer* (London Business School) • /Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits/, Oscar Arce (Bank of Spain), Miguel García-Posada (European Central Bank), *Sergio Mayordomo* (Bank of Spain) and Steven Ongena(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) - Discussant:*Glenn Schepens* (European Central Bank) • /Loan Underwriting Time: A New Determinant of Bank Lending Standards/, Mikel Bedayo (Bank of Spain), *Gabriel Jiménez* (Bank of Spain), José-Luis Peydró(ICREA, Pompeu Fabra University, Barcelona Graduate School of Economics, Imperial College London & CEPR) and Raquel Vegas(Bank of Spain)- Discussant: *Mike Mariathasan* (KU Leuven) • /Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China/, Fabio Braggion(Tilburg University & CentER), *Alberto Manconi* (Bocconi University) and Haikun Zhu(Tilburg University & CentER) - Discussant: *Christoph Basten *(University of Zurich) *16.00 - 17.00 Poster Session 1* *17.00 - 18.00 Session IV: DEFAULTS: TIME AND CONTAGION *- Chairman: *Domenico Sartore *(Ca’ Foscari University of Venice & GRETA)** • /Disastrous Defaults/, Christinan Gouriéroux(University of Toronto & Toulouse School of Economics), Alain Monfort (CREST & Bank of France), Sarah Mouabbi (Bank of France) and *Jean-Paul Renne*(HEC Lausanne) - Discussant: *Andrea Giacomelli *(Knowshape & GRETA) • /Time Matters: How Default Resolution Times Impact Final Loss Rates/, *Jennifer Betz* (Regensburg University), Ralf Kellner (Regensburg University) and Daniel Rösch (Regensburg University) - Discussant: *Alain Monfort* (CREST & Bank of France) *Friday, September 28 2018* *9.00 - 11.00 Session V: ***DEFAULTS, DEFAULT RISK AND DERIVATIVES**- Chairman: *Helmut Kraemer-Eis *(European Investment Fund)** • /The European Venture Capital Landscape: an EIF Perspective/, Helmut Kraemer-Eis (European Investment Fund) and *Simone Signore*(European Investment Fund) /• Residential Mortgage Defaults and Positive Equity: Lessons from Europe/, Virginia Gianinazzi (Università della Svizzera Italiana & Swiss Finance Institute), Loriana Pelizzon (Ca' Foscari University of Venice & SAFE-Goethe University Frankfurt)and *Alberto Plazzi* (Università della Svizzera Italiana & Swiss Finance Institute)- Discussant: *Ludovic Thebault* (European DataWarehouse) • /Credit Default Swaps Around the World: Investment and Financing Effects/, Söhnke M. Bartram (Warwick Business School), Jennifer Conrad (University of North Carolina at Chapel Hill), Jongsub Lee (University of Florida) and *Marti G. Subrahmanyam* (New York University) - Discussant: *Yalin Günduz* (Deutsche Bundesbank) • /The Differential Impact of Leverage on the Default Risk of Small and Large Firms/, Lara Cathcart (Imperial College London), Alfonso Dufour (ICMA Centre & University of Reading), Ludovico RossiICMA Centre & University of Reading) and *Simone Varotto* (ICMA Centre & University of Reading) - Discussant: *Roberto Savona *(University of Brescia) *11.30 - 13.15 Session VI: ***BANKS, COLLATERAL AND ASYMMETRIC INFORMATION **- Chairman: *Davide Alfonsi *(Intesa Sanpaolo, Turin)** •*Key-note talk: *C/ustomers and Investors: A Framework for Understanding Financial Institutions/, *Robert Merton*(Massachusetts Institute of Technology & NBER) • /Collateral and Asymmetric Information in Lending Markets/, Vasso Ioannidou (Lancaster University & CEPR), *Nicola Pavanini*(Tilburg University & CEPR) and Yushi Peng (University of Zurich & Swiss Finance Institute) - Discussant: *Bogdan Stacescu* (BI Norwegian Business School) • /Lending Relationships and the Collateral Channel/, Gareth Anderson (Bank of England), Saleem Bahaj (Bank of England), *Matthieu Chavaz* (Bank of England), Angus Foulis(Bank of England) and Gabor Pinter (Bank of England) - Discussant: *Olivier De Jonghe* (National Bank of Belgium & Tilburg University) *14.30 - 16.00 PANEL Session***: SMALL BUSINESS RISK, FINANCIAL REGULATION AND BIG DATA ANALYTICS**- Moderator: *Fabrizio Galimberti* (Columnist, Il Sole 24 Ore) *_Participants:_* *D**avide Alfonsi *(Group Risk Manager, Intesa Sanpaolo, Turin) *Renzo Avesani* (Chief Risk Officer, Unipol Gruppo Finanziario, Bologna) *Francesco Giavazzi* (Full professor of Economics, Bocconi University, Milan) *Dale Gray* (Senior Risk Expert, International Monetary Fund, Washington) *Nina B. Shapiro* (former Vice President Finance and Treasurer, World Bank Group's International Finance Corporation, Washington) *16.00 - 17.00 Poster Session 2* *17.00 - 18.15 Session VII: BANKS AND INCENTIVES *- Chairman: *Ludovic Thebault* (European DataWarehouse) • *Key-note talk:* /Marking to Market versus Taking to Market/, *Guillaume Plantin*(Sciences Po & CEPR) • /Bank Bonus Pay as a Risk Sharing Contract/, *Matthias Efing*(HEC Paris), Harald Hau (University of Geneva, CEPR & Swiss Finance Institute), Patrick Kampkötter(University of Tübingen) and Jean-Charles Rochet (University of Geneva & Swiss Finance Institute) - Discussant: *Roman Goncharenko* (University of Vienna moving to KU Leuven) **REGISTRATION** To register for the Conference you are requested to complete the registration form that is available on our website (_http://www.greta.it/credit/credit2018/credit2018.htm_). Registration fees are: Academics: 300 Euro + VAT Practitioners: 1000 Euro + VAT PhD Students*: 130 Euro + VAT ** *VAT is currently 22%* *Students will have to provide valid proof of their student status. The registration fees cover: * Admission to all scientific sessions * Lunches and coffee service during the Conference * Conference kit The registration fees do not fully cover the conference dinner on September 27th, 2018, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). More detailed information available on the Conference website: http://www.greta.it/credit/credit2018/credit2018.htm -- Nota automatica aggiunta dal sistema di posta.

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