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Avviso di seminario :: Rue@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 17 Mar '17

17 Mar '17

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 23 Marzo, ore 11:00am ----------------------------------------------------------------------------- Aula III (terzo piano) Dipartimento di Scienze Statistiche Sapienza Università di Roma HÅVARD RUE (KAUST, http://www.r-inla.org/) terrà un seminario dal titolo PENALISING MODEL COMPONENT COMPLEXITY: A PRINCIPLED PRACTICAL APPROACH TO CONSTRUCTING PRIORS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Saluti Pierpaolo Brutti --- ABSTRACT Setting prior distributions on model parameters is the act of characterising the nature of our uncertainty and has proven a critical issue in applied Bayesian statistics. Although the prior distribution should ideally encode the users’ uncertainty about the parameters, this level of knowledge transfer seems to be unattainable in practice and applied statisticians are forced to search for a “default” prior. Despite the development of objective priors, which are only available explicitly for a small number of highly restricted model classes, the applied statistician has few practical guidelines to follow when choosing the priors. An easy way out of this dilemma is to re-use prior choices of others, with an appropriate reference. In this talk, I will introduce a new concept for constructing prior distributions. We exploit the natural nested structure inherent to many model components, which defines the model component to be a flexible extension of a base model. Proper priors are defined to penalise the complexity induced by deviating from the simpler base model and are formulated after the input of a user-defined scaling parameter for that model component, both in the univariate and the multivariate case. These priors are invariant to reparameterisations, have a natural connection to Jeffreys’ priors, are designed to support Occam’s razor and seem to have excellent robustness properties, all which are highly desirable and allow us to use this approach to define default prior distributions. Through examples and theoretical results, we demonstrate the appropriateness of this approach and how it can be applied in various situations, like random effect models, spline smoothing, disease mapping, Cox proportional hazard models with time-varying frailty, spatial Gaussian fields and multivariate probit models, etc. Further, we show how to control the overall variance arising from many model components in hierarchical models. This is joint work with a lot of people related to the R-INLA project, and is still work in progress.

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Workshop in Robust Finance, 26-28 April 2017 in Zurich
by Matteo Burzoni 16 Mar '17

16 Mar '17

Dear Colleagues, on behalf of the organising committee it is a pleasure to announce that the workshop "Young Researchers in Robust Mathematical Finance" will take place in Zürich on 26-28 April 2017. The keynote speakers are: Beatrice Acciaio (London School of Economics) Francesca Biagini (LMU München) Rama Cont (Imperial College London and CNRS) Alex Cox (University of Bath) Yan Dolinsky (Hebrew University of Jerusalem) Additionally, 14 young researchers working on topics related to robust, model-independent or pathwise mathematical finance will give 30 minute presentations. The workshop will start at 9 a.m. on the 26th and finish around 2 p.m. on the 28th with a plenary discussion involving all the keynote speakers and some professors from ETH. You can find more detailed information on the website of the workshop: https://people.math.ethz.ch/~prodavi/workshop.html. The registration is free of charge, for organizational purposes we kindly ask you to send an email to david.proemel(a)math.ethz.ch no later than 8th of April if you wish to participate. Poster presentations are welcome and encouraged. If you wish to present a poster, please send us title and abstract in your registration email. We look forward to welcoming you in Zürich. Best regards, Matteo Burzoni (ETH Zürich) Ariel Neufeld (ETH Zürich) David Prömel (ETH Zürich) Candia Riga (University of Zürich)

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post-doc positions at Scuola Normale, Pisa
by Davide Erminio Pirino 16 Mar '17

16 Mar '17

Dear all, the Scuola Normale Superiore <http://en.sns.it/> (SNS) has opened two new post-doctoral positions (assegno di ricerca) financed under the SIR program "A New Measure of Liquidity" <https://davidepirino7.wixsite.com/davidepirino/projects> and the SNS <http://normalenews.sns.it/nasce-il-dynamics-and-information-research-instit…> -UniCredit <https://www.unicreditgroup.eu/it/press-media/press-releases/2014/nasce-il--…> collaboration "Dynamics and Information Research Institute". Please follow this link <http://en.sns.it/bando/research-contract-named-%E2%80%9Ctopological-time-se…> to apply for the position "Topological Time Series Analysis" and this link <http://en.sns.it/bando/research-contract-named-%E2%80%9Cmeasures-illiquidit…> to apply for the position "Measures of illiquidity in financial markets using infill asymptotics". The deadline is *April, 3, 2017*. Regards, Davide.

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Invitation to upcoming PhD course
by Daniele Marazzina 15 Mar '17

15 Mar '17

Con preghiera di diffusione To Whom It May Concern >>>>>> Upcoming PhD Course <<<<<<<<<<<<<<<<<<<<<<<<<<<< Giorgia Callegaro (Università degli Studi di Padova) Lucio Fiorin (Università degli Studi di Padova) Daniele Marazzina (Politecnico di Milano) Option Pricing: from Monte Carlo Methods to Quantization The PhD Course (5 CFU) will take place in the Seminar Room of the Third Floor of the Department of Mathematics, Politecnico di Milano, in via Bonardi, 9, Milano, according to the following calendar: > May, 8th: 11am-1pm and 2pm-6pm > May, 9th: 9am-1pm and 2pm-4pm > May, 15th: 11am-1pm and 2pm-6pm > May, 16th: 9am-1pm and 2pm-4pm > May, 17th: 10am-12pm and 1pm-3pm For further details, please contact Daniele Marazzina daniele.marazzina(a)polimi.it Giorgia Callegaro gcallega(a)math.unipd.it >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Abstract: Monte Carlo methods are extensively used in finance to value and analyze complex instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value. The advantage of Monte Carlo methods over other techniques increases as the dimensions (sources of uncertainty) of the problem increase. However, it is well known that the disadvantage of Monte carlo methods is the slow convergence, and thus the high computational cost of the algorithms. Quantization is a way to approximate a random vector or a stochastic process using a nearest neighbour projection on a finite codebook. The birth of quantization dates back to the 1950s, when in the Bell laboratories ad hoc signal discretization procedures were developed for signal transmission. In the last years, Quantization has been deeply considered in numerical probability, especially for solving problems arising in mathematical finance, presenting itself as a de facto alternative to Monte Carlo methods. The purpose of the course is to highlight the characteristics of the two methodologies and to deeply analyze (and implement) their applications in financial context, mainly option pricing.

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UiO - PhD and PostDoc in stochastic analysis available
by Giulia Di Nunno 14 Mar '17

14 Mar '17

Dear Colleagues, this is to bring to your attention the available calls for 2 PhD positions and 1 PostDoc at the Department of Mathematics, University of Oslo. The descriptions are a little different from each other and can interest various candidates. https://www.jobbnorge.no/ledige-stillinger/stilling/135500/phd-research-fel… https://www.jobbnorge.no/ledige-stillinger/stilling/135491/phd-research-fel… https://www.jobbnorge.no/ledige-stillinger/stilling/134569/postdoctoral-res… Please help to distribute the information among your students and contacts. Thank you in advance for your help. Best regards, Giulia -- Giulia Di Nunno Professor Department of Mathematics University of Oslo http://folk.uio.no/giulian/

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PHD Lectures on Stochastic Processes - Prof. Youri Davydov
by Francesca Greselin 14 Mar '17

14 Mar '17

Nelle due prossime settimane, nelle giornate di martedì 21 -venerdì 24, e lunedi 27- giovedì 30 marzo, dalle 9.00 alle 12.00 si terrà un corso di Processi Stocastici, per il Dottorato in Statistica e Matematica per la Finanza, presso l'Università di Milano Bicocca. Le lezioni saranno tenute (in inglese) dal prof. Youri Davydov, del Laboratoire Painlevé, dell'Université Lille 1. La partecipazione al corso è aperta agli interessati, cui è chiesto solo di inviare una mail alla dott.ssa Nicoletta Alghisi, ( nicoletta.alghisi(a)unimib.it) per ragioni organizzative. (di seguito un breve sillabo del corso e bibliografia) PHD Lectures on Stochastic Processes Prof. Youri Davydov Laboratoire Painlevé - Université Lille 1 Syllabus • Definitions and general notions • Examples • Processes with independent increments • Stationary processes • Gaussian processes • Martingales. References 1. Gikhman, I. I., & Skorokhod, A. V. (1969). Introduction to the theory of random processes. Philadelphia: WB Saunders. 2. Lamperti, J. (2012). Stochastic processes: a survey of the mathematical theory (Vol. 23). Springer Science & Business Media. 3. Resnick, S. I. (1992). Adventures in Stochastic Processes, Birkhauser, Boston. -- Francesca Greselin Department of Statistics and Quantitative Methods University of Milano Bicocca Tel +39 02 6448 3118 Fax +39 02 6448 3105 *www.economia.unimib.it/ <http://www.economia.unimib.it/>GRESELIN* google scholar <http://scholar.google.com/citations?user=xOOTbBAAAAAJ&hl=en> researchgate <https://www.researchgate.net/profile/Francesca_Greselin> *Skype: francesca.greseli <francesca.greselin(a)unimib.it>n*

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Avviso di Seminario del Prof. Claudio Macci
by Enrica Pirozzi 14 Mar '17

14 Mar '17

AVVISO di SEMINARIO Asymptotic results for runs and empirical cumulative entropies Prof. Claudio Macci Dipartimento di Matematica Università di Roma Tor Vergata Abstract: We prove large and moderate deviations for two sequences of estimators based on the order statistics and, more precisely, on spacings. In the first case we deal with runs, and we have sums of independent Bernoulli distributed random variables. In the second case we deal with empirical cumulative entropies, and we have linear combinations of independent exponentially distributed random variables. Joint work with Rita Giuliano and Barbara Pacchiarotti. Il seminario si terrà il giorno 16 Marzo 2017 ore 15:00 nella Sala Professori secondo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminario di Probabilità - Padova
by Paolo Dai Pra 13 Mar '17

13 Mar '17

Ho il piacere di invitarvi al seguente seminario, che si terrà Lunedì 20 Marzo, alle 14:15, in aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Francesca Nardi AFFILIATION: Università di Firenze TITLE: Hitting Time Asymptotics for Hard-Core Interactions on Grids ABSTRACT: We consider the hard-core model with Metropolis transition probabilities on finite grid graphs and investigate the asymptotic behavior of the first hitting time between its two maximum-occupancy configurations in the low-temperature regime. In particular, we show how the order-of-magnitude of this first hitting time depends on the grid sizes and on the boundary conditions by means of a novel combinatorial method. Our analysis also proves the asymptotic exponentiality of the scaled hitting time and yields the mixing time of the process in the low-temperature limit as side-result. In order to derive these results, we extended the model-independent framework in Manzo et al. (J Stat Phys 115(1/2):591–642, 2004) for first hitting times to allow for a more general initial state and target subset. Work in collaboration with A. Zocca S. C. Borst Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Seminario DE IORIO
by Matteo Ruggiero 10 Mar '17

10 Mar '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 17 Marzo 2017 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Maria DE IORIO (University College London) DEPENDENT GENERALISED DIRICHLET PROCESS PRIORS We propose a novel Bayesian nonparametric process prior for modelling a collections of random discrete distributions. This process is defined by combining a Generalised Dirichlet Process with a suitable Beta regression framework that introduces dependence among the discrete random distributions. This strategy allows for covariate dependent clustering of the observations. Some advantages of the proposed approach include wide applicability, ease of interpretation and efficient MCMC algorithms. The methodology is illustrated through two real data applications involving acute lymphoblastic leukaemia and London primary schools quality evaluations. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats <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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seminari Bernard e Vanduffel in Bicocca
by Fabio Bellini 10 Mar '17

10 Mar '17

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