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Assegno di ricerca SECS-S/01 -- Università di Torino
by Raffaele Argiento 14 Feb '18

14 Feb '18

Con preghiera di diffusione a tutti gli interessati. Si segnala l'uscita di un bando per un assegno di ricerca di un anno per il settore scientifico disciplinare SECS-S/01 - Statistica. Si riporta, in calce alla mail, una breve descrizione del progetto di ricerca (in inglese). Le domande di ammissione alla selezione devono essere presentate utilizzando esclusivamente l'apposita procedura online al link https://pica.cineca.it/unito/assegni-di-ricerca-unito-2018-I/ dove è anche possibile scaricare il testo completo del bando. La presentazione delle domande di partecipazione dovrà essere perfezionata e conclusa improrogabilmente entro le ore 13.00 (ora di Roma) del 05/03/2018. Un saluto, Raffaele Argiento ########## PROJECT DESCRIPTION ####### TITLE: Dependent nonparametric priors for microbiome studies ABSTRACT: Microbiology is experiencing a revolution brought on by recent developments in sequencing technology. The unprecedented volume of microbiome data being generated poses significant challenges that are highly stimulating the research in the applied statistical field. In this project, we aim at assessing the effect of the Mediterranean diet on the gut microbioma. To take into account heterogeneity in the population under study, the research fellow will set up a Bayesian dependent nonparametric model. The study has an applied profile but it will also deals with methodological issues, focusing on the computational issues arising under the Bayesian nonparametric approach when dealing with complex data. RESEARCH SCIENTIFIC SUPERVISOR: Dott. Raffaele Argiento -- Dr. Raffaele Argiento University of Torino and Collegio Carlo Alberto www.raffaeleargiento.it

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MSP 2018 - ERRATA CORRIGE
by gianluca cassese 14 Feb '18

14 Feb '18

*SECOND CALL FOR PAPERS* *The Mathematics of Subjective Probability - MSP 2018* The MSP 2018 Workshop will be held in September 3-5, at the University of Milan Bicocca. https://sites.google.com/view/MSP-2018. The workshop will host as keynote speakers - Ehud Kalai; - Rajeeva Karandikar; - Massimo Marinacci, - Eugenio Regazzini; - William D. Sudderth; MSP 2018 is open to contributions from all fields in which the subjective approach to probability is relevant, from Statistics to Economics and Game Theory. The list of potential topics includes (*but is not limited to*): - Ambiguity; - Bayesian statistics; - Coherence; - Conditioning; - Decision models under risk and uncertainty; - Equivalent martingale measures; - Finitely additive probabilities; - Gambling; - Game Theory; - Limit theorems; - Mass transportation; - Merging of opinions; - Multiple priors; - Partial knowledge. The Springer Journal "Decisions in Economics and Finance" plans to devote a special issue to the workshop *Important dates* - *Paper submission -- March 31st* - *Notification of acceptance -- April 30th* - *Conference subscription -- June 30th* The organizing committee, -------------------------------------------------------------------- Gianluca Cassese (Università Milano-Bicocca) Pietro Rigo (Università di Pavia) Barbara Vantaggi (Università Roma - La Sapienza) --------------------------------------------------------------------

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MSP 2018 - Second CALL
by gianluca cassese 13 Feb '18

13 Feb '18

*SECOND CALL FOR PAPERS* *The Mathematics of Subjective Probability - MSP 2018* The MSP 2018 Workshop will be held in September 3-5, at the University of Milan Bicocca Piazza della Scienza 4, 20126 Milan. The workshop will host as keynote speakers - Ehud Kalai; - Rajeeva Karandikar; - Massimo Marinacci, - Eugenio Regazzini; - William D. Sudderth; MSP 2018 is open to contributions from all fields in which the subjective approach to probability is relevant, from Statistics to Economics and Game Theory. The list of potential topics includes (*but is not limited to*): - Ambiguity; - Bayesian statistics; - Coherence; - Conditioning; - Decision models under risk and uncertainty; - Equivalent martingale measures; - Finitely additive probabilities; - Gambling; - Game Theory; - Limit theorems; - Mass transportation; - Merging of opinions; - Multiple priors; - Partial knowledge. The Springer Journal "Decisions in Economics and Finance" plans to devote a special issue to the workshop *Important dates* - *Paper submission -- March 31st* - *Notification of acceptance -- April 30th* - *Conference subscription -- June 30th* The organizing committee, --------------------------- Gianluca Cassese Pietro Rigo Barbara Vantaggi --------------------------

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Workshop in honour of Maurizio Pratelli
by Marco Romito 12 Feb '18

12 Feb '18

*Workshop in honour of Maurizio Pratell**i* We are delighted to announce a Workshop in honour of Maurizio Pratelli, which will be held on June 29, 2018, in the Aula Magna of the Department of Mathematics of the University of Pisa. Invited speakers are Paolo Baldi, Freddy Delbaen, Hans Foellmer, Marco Frittelli, Paolo Guasoni, Huyen Pham, Wolfgang Runggaldier, see http://people.dm.unipi.it/spass/workshop/20180629/ There is no registration fee, but participants are kindly requested to register sending an email to pratelline(a)gmail.com <mailto:pratelline@gmail.com> Since there is limited space available, admission will be on a first come, first served basis. The Organisation Committee Anna Battauz Francesca Biagini Sara Biagini Marzia de Donno Sabrina Mulinacci Dario Trevisan Franco Flandoli Marco Romito

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seminario MACCI
by Elena Villa 12 Feb '18

12 Feb '18

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. ******************************************* A v v i s o d i S e m i n a r i o ******************************************* *Mercoledì 21 Febbraio 2018, ore 11* Sala Rappresentanza, Dipartimento di Matematica, Universita' degli Studi di Milano via C. Saldini 50, Milano il Professor *CLAUDIO MACCI*(Università di Roma Tor Vergata) terrà un seminario dal titolo *Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets* ABSTRACT: In this article, we consider sequences of partial sums of iid Gaussian random sets (with respect to the Minkowski sum) and we study the asymptotic behavior of some hitting probabilities (of suitable sets of $R^d$) for these partial sums. We also illustrate the use of the importance sampling for the estimation of these hitting probabilities by Monte Carlo simulations. We obtain the analog of well-known results for level crossing probabilities of random walks, and we refer to a version of the classical Cramér's Theorem in large deviations for random compact sets existing in the literature. Joint work with Barbara Pacchiarotti. Tutti gli interessati sono invitati a partecipare. Saluti Elena Villa -- ******************************************* Elena Villa Dipartimento di Matematica, Universita' degli Studi di Milano via C.Saldini 50, 20133 Milano, Italy Phone: +39 0250316132 - Fax: +39 0250316090 Web-page:http://users.mat.unimi.it/~villa

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Seminar at Scuola Normale Superiore, 16 February 2018, Paolo dai Pra
by Giulia 09 Feb '18

09 Feb '18

Dear all, On Friday, 16 February 2018 — from 11:30 to 13:00 — at the Scuola Normale Superiore (Room: Fermi) Prof. Paolo dai Pra (University of Padova, department of Mathematics) will hold the following Seminar: Title : Rhythmic behavior in complex stochastic dynamics Abstract: Interacting particle systems may exhibit, in the thermodynamic limit, a time-periodic behavior in the evolution of their law. We have made an attempt to understand which factors may produce this phenomenon, in particular those related to the time-symmetry breaking of the dynamics: dissipation, delay, asymmetry in the interaction. We will first review some examples of mean field dynamics for which the thermodynamic limit can be explicitly computed and analyzed. Later we will focus on some partial results concerning the first, to our knowledge, example of rhythmic behavior for a system with local interaction: the Ising model with dissipation. Fill free to forward this announcement to your colleagues. Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Advanced School on complexity and emergence: first announcement
by elisa mastrogiacomo 09 Feb '18

09 Feb '18

This is the *first announcement* of the upcoming *Advanced School on complexity and emergence: ideas, methods, with a special attention to economics and finance (CEIM)* The School will be held in the magnificent Villa del Grumello, Como (Italy) along the Lake Como shore on July 22-27, 2018. The main courses will be given by L. Boi (EHESS – Paris), I. Capelli (Università dell’Insubria), I. Ekeland (Ceremade - Universitè Paris-Dauphine), F. Guerra (Sapienza Università di Roma), J. Jost (Max Planck Institute for Mathematics in the Sciences - Leipzig), Florent McIsaac, (Agence Française pour le Développement), F. Patras (Université de Nice Sophia-Antipolis), F. Riedel (Center for Mathematical Economics, Bielefeld University), F. Semboloni (Università degli studi di Firenze), R. Seri (Università dell’Insubria). The potential participants of the School are primarily master and doctorate students of mathematics, information sciences, theoretical physics, and economics, as well as research workers in those areas, who want to enlarge their spectrum of knowledge towards the area of complexity. The aim of the School is to provide these researchers useful instruments from the theory of complex systems, both on the theoretical level and the methodological ones, bridging the present disciplinary gap, and profiting from knowledge and insights from both communities. The School may have some (limited number of) financial supports. Details about the registration, the application for financial support and the website will come soon in a follow-up message. We would be grateful if you could circulate this announcement among your PhD students, postdocs and colleagues. With our best regards, Sergio Albeverio Elisa Mastrogiacomo Fabio Minazzi Emanuela Rosazza Gianin Stefania Ugolini

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INdAM-DP-COFUND Call 2 is open
by davide gabrielli 09 Feb '18

09 Feb '18

lIstituto Nazionale di Alta Matematica Francesco Severi (INdAM), Ente Nazionale di Ricerca vigilato dal Ministero dellIstruzione, Università e Ricerca, ha bandito il secondo concorso per 10 borse di dottorato del programma INdAM Doctoral Programme in Mathematics and/or Applications Cofunded by Marie Sklodowska-Curie Actions, cofinanziato dalla UE nellambito di Horizon 2020. Il programma offre a ricercatori da tutto il mondo lopportunità di accedere a uno dei più di 20 dottorati italiani in Matematica e/o applicazioni che partecipano al Programma. La scadenza per la presentazione delle domande è il 31 maggio 2018. La scadenza per la presentazione del titolo di accesso al dottorato prescelto è il 30 settembre 2018 per i cittadini europei, il 31 maggio 2018 per i cittadini extra-europei Il sito per la presentazione delle domande è https://cofund.altamatematica.it The Istituto Nazionale di Alta Matematica Francesco Severi (INdAM) has published the second call for 10 PhD fellowships of the programme INdAM Doctoral Programme in Mathematics and/or Applications Cofunded by Marie Sklodowska-Curie Actions, in the framework of the European Horizon 2020 Marie Sklodowska-Curie Co-funding of Regional, National and International Programmes. These fellowships offer to researchers from all over the world the opportunity to enter a PhD School in Matehematics and/or applications in Italy. The deadline for submission of the application is 31 May 2018; the deadline for submission of the degree/diploma which allows to embark in a doctorate in Italy : EU citizens 30 September 2018, non EU citizens 31 May 2018. For further information, please visit the following link: Application website: https://cofund.altamatematica.it where the complete Call announcement and a Guide for applicants can be downloaded

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Annuncio Seminario
by gianmario tessitore 08 Feb '18

08 Feb '18

Mercoledì 7 Febbraio 2018 alle ore 14:30 nell'aula 3014 del Dipartimento di Matematica dell' Università di Milano-Bicocca il dottor James Ting Feng Yang (University of Sydney) terrà un seminario dal titolo: Titolo: "A Survey into Singularly Perturbed Linear-Quadratic Stochastic Differential Games" Abstract: The purpose of this survey is to gain a clear understanding to open questions with regards to linear-quadratic (LQ) stochastic differential games whereby the dynamics of the two players evolve at different speeds. Some interesting questions include the existence and uniqueness of Nash equilibrium and the formulation and convergence of the limiting system as the speed of the two players diverge. To do so, we examine recent literature in LQ stochastic differential game theory and singularly perturbed LQ optimal control theory. As the array of literature is rather small in these fields, we will also talk about some achievements in their non-linear counterparts. Tutti gli interessati sono invitati a partecipare cordiali saluti Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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First announcement Summer School on "Information Theory: Inequalities, Distances and Analysis", Paris, June 25-29 2018 (fwd)
by Michele Gianfelice 07 Feb '18

07 Feb '18

Salve, ricevo ed inoltro p.c. scusandomi con chi l'ha già ricevuto. Cordialmente, m.gianfelice ---------- Forwarded message ---------- Date: Tue, 6 Feb 2018 10:51:13 +0100 From: Cyril ROBERTO <cyril.roberto(a)math.cnrs.fr> Reply-To: Cyril Roberto <summerschoolihp2018(a)gmail.com> Cc: Vincent Beffara <vbeffara(a)ens-lyon.fr>, hugo.duminil(a)gmail.com, izc202(a)nyu.edu, eyal(a)microsoft.com, Gerard Ben Arous <gba1(a)nyu.edu>, J. v.d. Berg <J.van.den.Berg(a)cwi.nl>, Amir Dembo <adembo(a)stat.stanford.edu>, r.w.v.d.hofstad(a)tue.nl, albertogandolfi(a)gmail.com, Fabio Martinelli <martin(a)mat.uniroma3.it>, Charles Newman <newman(a)courant.nyu.edu>, Vladas Sidoravicius <sidoravi(a)courant.nyu.edu>, richth(a)mathematik.uni-muenchen.de, bhamidi(a)email.unc.edu, colomo(a)fi.infn.it, toninelli.fabio(a)gmail.com, hochberg(a)macs.biu.ac.il, daniel(a)ueltschi.org, Demeter Kiss <D.Kiss(a)cwi.nl>, lorebaglio(a)hotmail.it, blondel(a)clipper.ens.fr, orenshtein.tal(a)gmail.com, Vetõ Bálint <vetob(a)math.bme.hu>, Quentin Berger <quentin.berger(a)ens-lyon.fr>, Balázs Ráth <rathb(a)math.ethz.ch>, Peter Windridge <pete(a)windridge.org.uk>, mfathi(a)clipper.ens.fr, artem.sapozhnikov(a)math.ethz.ch, luigi.bianchi(a)sns.it, m.t.joosten(a)vu.nl, t.vande.brug(a)vu.nl, Loren.Coquille(a)unige.ch, alessandra.cipriani(a)math.uzh.ch, Luca Avena <luca.avena(a)math.uzh.ch>, a.klymovskiy(a)tue.nl, alessandra7791(a)googlemail.com, Vladislav.Vysotsky(a)asu.edu, david.belius(a)math.ethz.ch, gagnebin.m(a)gmail.com, philipp.thomann(a)math.uzh.ch, renato(a)math.leidenuniv.nl, Owen.Daniel(a)warwick.ac.uk, sava(a)tugraz.at, bnblima(a)mat.ufmg.br, marcelo(a)impa.br, kim.dang(a)math.uzh.ch, laurent.tournier(a)normalesup.org, huss(a)mathematik.uni-siegen.de, vincent.tassion(a)ens-lyon.fr, markus(a)math.leidenuniv.nl, ptrapman(a)math.su.se, gianfelice(a)mat.unical.it, christophe.garban(a)gmail.com, caputo(a)mat.uniroma3.it, serban.nacu(a)gmail.com, "Olga Paseka, Moscow, MSU" <paseka(a)physics.msu.ru>, Prasad Tetali <tetali(a)math.gatech.edu>, Nicoletta Cancrini <Nicoletta.Cancrini(a)roma1.infn.it>, Alessandra Faggionato <faggiona(a)gmail.com>, Nathael Gozlan <nathael.gozlan(a)univ-mlv.fr>, SAMSON Paul-Marie <Paul-Marie.Samson(a)univ-mlv.fr>, Pascal Romon <pascal.romon(a)univ-mlv.fr> Subject: First announcement Summer School on "Information Theory: Inequalities, Distances and Analysis", Paris, June 25-29 2018 Dear Colleague, You are cordially invited to participate in the Summer School at the Henri Poincaré Institute, Paris, June 25-29, 2018. We are pleased to inform you that Sergey Bobkov (University of Minneapolis) and Mokshay Madiman (Delaware University) will give 10 hours lectures (each) on "Information theory: Inequalities, distances and analysis". To get more information about this Summer School, please go to the following web page: http://sites.math.u-pem.fr/summerschool.2018/index.php/Main_Page Registration is free but mandatory. In order to register, go to the "registration" link. Note that the school may have some (limited number of) financial supports for young people (PhD, postdocs). In case you ask for a support, please indicate it during the registration. Financial support is up to approximately 500 euros. Looking very much forward to seeing you in Paris, With all best wishes, The organizers (Nathael Gozlan, Cyril Roberto and Paul-Marie Samson) P.S.: Please bring this Summer School to the attention of graduate students, postdocs and colleagues who may be interested. P.P.S.: Sorry for the multiple instances of the same message.

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PhD position in Bern
by fabio bellini 07 Feb '18

07 Feb '18

A message from Prof. Ilya Molchanov: UNIVERSITY OF BERN (INSTITUTE OF MATHEMATICAL STATISTICS AND ACTUARIAL SCIENCE) PhD POSITION in PROBABILITY THEORY Funding from the SNF (Swiss National Science Foundation) is available for a PhD student (3 years) to work on the project `Poisson approximation and extreme values in stochastic geometry' awarded by SNF to Prof. Ilya Molchanov and Dr. Matthias Schulte. The whole project funds two PhD positions and one PostDoc and focuses on topics such as the Malliavin-Chen-Stein method, extreme values in stochastic geometry, random simplicial complexes and metric measure spaces. The advertised PhD position will be supervised by Ilya Molchanov. The research topics concern properties of point processes in metric measure spaces, related extreme values, and some generalisations of convex hulls involving marked point processes. Interactions with other members of the team will be encouraged. It is anticipated that the prospective PhD student has a background in mathematics with emphasis on probability theory. The salary will be at the level foreseen by the SNF, see http://www.snf.ch/SiteCollectionDocuments/allg_doktorierende_d.pdf. There is a possibility to complement the salary by taking up teaching and statistical consulting duties in the department. The starting date is September 2018 or as can be arranged by a mutual agreement. Applications (cover letter, CV, transcripts from the studies, and e-mail address of an academic referee) should be e-mailed as a single pdf file to Prof. Ilya Molchanov ilya.molchanov(a)stat.unibe.ch Deadline: 25/February 2018. E-mail enquiries are welcome.

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Fwd: FW: Research Associate post
by Elisabetta Candellero 07 Feb '18

07 Feb '18

---------- Forwarded message ---------- ________________________________________ From: Prof W.S.Kendall [w.s.kendall(a)warwick.ac.uk] Sent: Tuesday, February 6, 2018 2:08 PM To: Candellero, Elisabetta Subject: RA post Dear Elisabetta The ad for my RA, to follow up on my work with Bedard and Zanella on Dirichlet forms for MCMC, has just gone out. I'd be very grateful if you forwarded this to anyone you know who might be interested. Anyone who is interested could of course watch one of the movies at the following links (though of course they would also be very welcome to send enquiries to me): youtube.com/watch?v=_GJVwmaeH9U<https://www.youtube.com/watch?v=_GJVwmaeH9U> maths.dur.ac.uk/lms/106/movies/1341kend.mp4<http:// www.maths.dur.ac.uk/lms/106/movies/1341kend.mp4> Best W ------------------------------------------------------- The Department of Statistics at the University of Warwick invites applications for a 3-year EPSRC-funded Research Associate post, to work with Professor Wilfrid Kendall on recent advances in the applications of Dirichlet form theory to Markov chain Monte Carlo (MCMC). Candidates with a background either in probability / stochastic analysis, or in the development of statistical methodology relating to MCMC, and interested in working on novel interactions of these two sub-disciplines, are encouraged to apply. The detailed job advertisement and a link for online application can be found at https://atsv7.wcn.co.uk/search_engine/jobs.cgi?owner= 5062452&ownertype=fair&jcode=1713098 (note that the person spec mistakenly refers to "(a) Application Form, (b) Test/Exercise, (c) Interview, (d) Presentation" where it should read "(a) Application Form, (b) Interview, (c) Presentation": this is being corrected!) The post is funded for 36 months, starting 1 July, 2018 (or by agreement). Application deadline is 4 March 2018: note that applicants should arrange for 3 referees to email references to Paula.Matthews(a)warwick.ac.uk<mailto: Paula.Matthews(a)warwick.ac.uk> (Departmental Administrator, Statistics, University of Warwick) by the closing date.. Informal enquiries may be made to Prof Wilfrid Kendall (email w.s.kendall(a)warwick.ac.uk<mailto:w.s.kendall@warwick.ac.uk>) ------------------------------------------------------- -- Wilfrid S Kendall Phone: +44 (0)24 7652 3082 Department of Statistics<http://www.warwick.ac.uk/stats> Fax: +44 (0)24 7652 4532 University of Warwick<http://www.warwick.ac.uk> WWW: warwick.ac.uk/wsk<http://www.warwick.ac.uk/wsk> Coventry CV4 7AL, UK<http://tinyurl.com/2sxlbm> Email: w.s.kendall(a)warwick.ac.uk<mailto:w.s.kendall@warwick.ac.uk> My linkedIn profile<http://www.linkedin.com/in/wilfridkendall> Twitter: @WilfridKendall<http://twitter.com/WilfridKendall> My sporadic blog, "Random Curiosities"<http://blogs.warwick.ac.uk/ randomcuriosities/> Bernoulli Society for Mathematical Statistics and Probability<http://www. bernoulli-society.org> Academy for PhD Training in Statistics (APTS)<http://www.apts.ac.uk>, training Statistics PhDs from across the UK and beyond.

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CIMPA School Buenos Aires. First Announcement
by davide gabrielli 06 Feb '18

06 Feb '18

Dear friends, This is the first announcement of the School Geometry and scaling of random structures at Buenos Aires July 16 to 27, 2018. This is a CIMPA School, the X Escuela Santaló and an ICM Rio Satellite workshop, There will be 4-hour courses by Amine Asselah, Christophe Garban, Milton Jara, Claudio Landim, Jason Miller and Perla Sousi and around 35 40-minute talks. More information and registration: http://mate.dm.uba.ar/~probab/cimpaBA2018/ Deadline for applying for support: March 11, 2018. Thank you in advance for passing this announcement forward to your Phd students, post-docs and colleagues. Best regards, Amine Asselah and Pablo Ferrari

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ISBA 2018: CALL FOR ABSTRACTS
by Matteo Ruggiero 06 Feb '18

06 Feb '18

Cari colleghi, inoltro una comunicazione su richiesta degli organizzatori. > *ISBA 2018: CALL FOR ABSTRACTS* > > The call for abstracts for ISBA 2018---the World Meeting of the International Society for Bayesian Analysis---is now live! > > https://bayesian.org/isba2018 <https://bayesian.org/isba2018> > > The meeting will take place in June 24-29, 2018 <x-apple-data-detectors://8>, in Edinburgh, a beautiful and historical location intimately associated with Thomas Bayes, who studied logic and theology at the University of Edinburgh as an undergraduate (circa 1719-1722). > > ISBA 2018 is the continuation of the traditional Valencia/ISBA Meetings regularly held since 1979. They represent a unique event where the Bayesian community gathers together to discuss recent advances and the future of the profession. > > Deadline for abstract submission: 1 March, 2018 <x-apple-data-detectors://10> > ISBA 2018; 24-29 June 2018 <x-apple-data-detectors://11>, Edinburgh UK > https://bayesian.org/isba2018 <https://bayesian.org/isba2018> --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Avviso seminario_Delio Mugnolo_giovedì 8 febbraio_ore 11:00
by Stefano Bonaccorsi 05 Feb '18

05 Feb '18

Avviso di seminario, Università di Trento Parabolic theory of bi-Laplacians giovedì 8 febbraio 2018 *Luogo: *Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari "-1" *Ore*: 11.00 Relatore: - Delio Mugnolo (Università di Hagen - Germania) Abstract: The integral kernel of the semigroup generated by the bi-Laplacian on $\mathbb R^d$ has been studied in several papers by E.B. Davies, while other authors have successively studied positivity issues. Most of these properties strongly depend on the fact that the bi-Laplacian acts on functions in $H^4(\mathbb R)$ as the square of the Laplacian; this is not true anymore if functions on bounded domains with generic boundary conditions are considered. We are going to show how the properties of the semigroup generated by bi-Laplacians on intervals and, more generally, network-like spaces strongly depend on the boundary conditions. Our most surprising finding is that, upon allowing the system enough time to reach diffusive regime, the parabolic equations driven by certain realizations of the bi-Laplacian on networks display Markovian features: analogous results seem to be unknown even in the classical case of domains. This is joint work with Federica Gregorio. *Referente: *Stefano Bonaccorsi

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bando per ricercatore di tipo a in SECS-S/06
by emanuela rosazza gianin 04 Feb '18

04 Feb '18

Si avvisa che è stato bandito un posto da ricercatore a tempo determinato di tipo A nel settore SECS-S/06 presso il Dipartimento di Statistica e Metodi Quantitativi dell'Università di Milano Bicocca. Scadenza del bando: 4 marzo 2018 Bando ed informazioni: https://www.unimib.it/ateneo/gare-e-concorsi/rtda-dr-n-16385-del-1012018 Vi prego di diffondere questa e-mail e di inoltrarla a tutti i possibili interessati. Un saluto cordiale, Emanuela ************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it ****************************************************

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Fwd: 4th Barcelona Summer School on Stochastic Analysis
by Marco Romito 04 Feb '18

04 Feb '18

ricevo e inoltro m. -------- Forwarded Message -------- Subject: 4th Barcelona Summer School on Stochastic Analysis Date: Wed, 31 Jan 2018 09:29:13 +0100 From: Bústia CRM Difusions <crmdifusions(a)crm.cat> We are pleased to announce the upcoming *4th Barcelona Summer School on Stochastic Analysis* which will be held at the Centre de Recerca Matemàtica <http://www.crm.cat/en/About/General/Pages/LocationDirections.aspx>in Bellaterra (Barcelona) from *July 9 to July 13, 2018*. The school is addressed to PhD students and young researchers mainly in stochastic analysis. The courses will be the following: * /Some stochastic models in eco-evolution/, by *Sylvie Méléard*(École Polytechnique, France) * /Topology of zero sets of smooth random Gaussian functions, by**/*Mikhail Sodin*(Tel Aviv University, Israel) -Registration deadline: *June 1^st , 2018. * ** The period for submissions of proposals for poster presentations and contributed talks is currently open. The deadline to apply is *May 1^st , 2018*. ** *Financial support:* The CRM announces a call for full grants (registration+lodging) for those participants interested in taking part in this activity. Accommodation for granted participants will be in a shared apartment on campus from July 8^th to 14^th , 2018. ** -Deadline to apply for financial support: *April 1^st , 2018*. We invite you to visit the homepage of the school www.crm.cat/2018/StochasticAnalysisBCN <http://www.crm.cat/2018/StochasticAnalysisBCN>to keep posted with the progress of and news about the organization. *Organizing Committee* Xavier Bardina (Universitat Autònoma de Barcelona) Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) Marta Sanz-Solé (Universitat de Barcelona) Josep Vives (Universitat de Barcelona) *___________________________________________* *cid:part3.74A55CC1.61BE51D0@mat.uab.cat* *Centre de Recerca Matemàtica* *Campus de Bellaterra, Edifici C* *08193 Bellaterra (Barcelona)* *Tel.: + 34 93 581 10 81* *Fax: + 34 93 581 22 02* *www.crm.cat* <http://www.crm.cat/> *@CRMatematica* <https://twitter.com/CRMatematica>

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Conference "Recent Advances in Random Processes" in honor of Paolo Baldi's 70th birthday - first announcement
by Rossi Maurizia 03 Feb '18

03 Feb '18

Dear colleagues, we are glad to announce the conference "Recent Advances in Random Processes" in honor of Paolo Baldi's 70th birthday taking place in Rome on September 10-11, 2018, at Citta` dellAltra Economia, in (the picturesque) Rione Testaccio. The conference focuses on random processes and their recent use to several fields, for example finance, mathematical physics, statistics or cosmology, and wishes to celebrate Paolo Baldi's scientific contributions to probability and academic life. The meeting is supported by Gnampa-INdAM funds and the ERC Grant PASCAL n. 277742. For more details (e.g. invited speakers, registration and venue) please visit the (preliminary) conference website http://www.mat.uniroma2.it/~ricerca/probab/rarp/home.html For any other information do not hesitate to contact us at rarp(a)mat.uniroma2.it We are looking forward to welcoming you in Rome! Lucia Caramellino Claudio Macci Domenico Marinucci Barbara Pacchiarotti Maurizia Rossi Giulia Terenzi --- Maurizia Rossi FSMP Postdoctoral Fellow Laboratoire MAP5, Université Paris Descartes 45, Rue des Saints Pères 75006 Paris (France)

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Prof. Macci a Pisa
by RITA GIULIANO 02 Feb '18

02 Feb '18

Il Prof. Claudio Macci sara' ospite del Dipartimento di Matematica, Universita' di Pisa, nei giorni 15, 16 e 17 febbraio prossimi. Terra' un seminario il 15 febbraio alle ore 15 in Aula Seminari. TITOLO Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets ABSTRACT In this article, we consider sequences of partial sums of iid Gaussian random sets (with respect to the Minkowski sum) and we study the asymptotic behavior of some hitting probabilities (of suitable sets of $R^d$) for these partial sums. We also illustrate the use of the importance sampling for the estimation of these hitting probabilities by Monte Carlo simulations. We obtain the analog of well-known results for level crossing probabilities of random walks, and we refer to a version of the classical Cramér’s Theorem in large deviations for random compact sets existing in the literature. Joint work with Barbara Pacchiarotti. Tutti gli interessati sono invitati Rita Giuliano

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annuncio seminario - dott.ssa L.Altieri
by Serena Arima 01 Feb '18

01 Feb '18

Tutti gli interessati sono invitati a partecipare. Dipartimento di Metodi e Modelli per l'Economia, il Territorio e la Finanza Facoltà di Economia, Sapienza Università di Roma Giovedì 15 febbraio Ore 14.00, auletta A, IV piano *A new approach to spatial entropy measures* L. Altieri, D. Cocchi, G. Roli Entropy is widely employed in many applied sciences to measure the heterogeneity of observations. Recently, many attempts have been made to build entropy measures for spatial data, in order to capture the influence of space over the variable outcomes. The main limit of these developments is that all indices are computed conditional on a single distance and do not cover the whole spatial configuration of the phenomenon under study. Moreover, most of them do not satisfy the desirable additivity property between local and global spatial measures. We compare some recent developments in this field to a new approach which achieves substantial innovations. Firstly, Shannon’s entropy may be decomposed into two terms: spatial mutual information, accounting for the role of space in determining the variable outcome, and spatial global residual entropy, summarizing the remaining heterogeneity carried by the variable itself. Secondly, both terms satisfy the additivity property, being sums of partial entropies measuring what happens at different distance classes. The new entropy measures are shown to be more informative and to answer a wider set of questions than the current proposals of the literature. A case study is presented with categorical lattice data, concerning the spatial heterogeneity of land use over the Emilia Romagna region.

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Annuncio seminario al CNR di Milano
by Sara Pasquali 01 Feb '18

01 Feb '18

A tutti gli interessati. SEMINAR ANNOUNCEMENT ON BIG DATA, OPTIMIZATION AND LEARNING /Prof. Andrea Lodi //(Department of Mathematical and Industrial Engineering, Polytechnique Montréal, Canada; Canada Excellence Research Chair in Data Science for Real-Time Decision-Making) / In this talk I review a couple of applications on Big Data that I personally like and I try to explain my point of view as a Mathematical Optimizer – especially concerned with discrete (integer) decisions – on the subject. I advocate a tight integration of Machine Learning and Mathematical Optimization (among others) to deal with the challenges of decision-making in Data Science. For such an integration I try to answer three questions: 1) what can optimization do for machine learning? 2) what can machine learning do for optimization? 3) which new applications can be solved by the combination of machine learning and optimization? Monday, February 5, 2018; 11:00 CNR Via Corti 12, 20133 Milan Room EXPO ORGANISERS Ettore Lanzarone ettore.lanzarone(a)cnr.it Silvia Zuffi silvia(a)mi.imati.cnr.it ᐧ

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DEF Call for Papers – Special Issue on “Quantitative developments in financial volatility - theory and practice"
by Maria Elvira Mancino 31 Jan '18

31 Jan '18

Dear colleagues and friends, We hope the email finds you well in the beginning of spring, 2018. We are delighted to inform that the journal of Decisions in Economics and Finance, the official publication vehicle of the Italian Association for Mathematics Applied to Social and Economic Sciences (AMASES), is now calling for papers for its special issue on "QUANTITATIVE DEVELOPMENTS IN FINANCIAL VOLATILITY - THEORY AND PRACTICE" On behalf of the co-editors of the journal's special issue, we cordially invite you to submit your recent work on financial volatility to the special issue. Contributions are welcome from all areas of study in financial volatility including but not restricted to * Parametric and nonparametric modeling of volatilities * Volatility estimation * Calibration and forecast of volatility models * Pricing of volatility linked derivatives * Modeling and inference of implied volatility * Efficient simulation schemes For more details, please see the attached PDF file or visit the journal's webpage at http://www.springer.com/economics/economic+theory/journal/10203?detailsPage… [1] Please allow us to reiterate that the submission DEADLINE for the special issue is _JULY 31, 2018._ Accepted papers will be published online individually prior to the final print publication. Please address all your inquiries concerning the submission to the special issue directly to us. We apologize if you receive the same email multiple times. Please kindly help us forward the call to your colleagues. We look forward to receiving your submissions. With best regards, Special issue co-editors Elisa Alos, Maria Elvira Mancino, and Tai-Ho Wang Decisions in Economics and Finance Links: ------ [1] http://www.springer.com/economics/economic+theory/journal/10203?detailsPage…

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Expressions of interest in the broad areas of Economics, Management and Statistics
by Giovanni Puccetti 31 Jan '18

31 Jan '18

The Department of Economics, Management and Quantitative Methods (DEMM) seeks expressions of interest for junior (post-doc and assistant professor) and senior (associate professor) positions from candidates interested in working with us in the broad areas of Economics, Management and Statistics. The University of Milan is a major research and teaching institution located in one of Europe’s most thriving cities. It is ranked in the top 200 for Economics in the Shanghai Ranking of World Universities. According to RepEc, the Department of Economics, Management, and Quantitative Methods – DEMM is one of the top five departments of economics in Italy and in the top four percent in Europe. The recent Italian research evaluation exercise (VQR 2011-2014) placed DEMM among the top 10 departments in the area of economics, management and statistics in Italy. DEMM has also been the recipient of a generous competitive funding in the recent “Bando Dipartimenti di Eccellenza” grant, awarded by the Italian ministry of education (MIUR) and aimed at creating the Centre of Excellence in Economics and Data Science (CEEDS). Particular attention will be given to candidates with an excellent research record and showing the potential to cooperate with the current members of the department in pursuing DEMM’s strategy. Informal enquiries may be directed via mail to Francesca Cottone, francesca.cottone(a)unimi.it. Interested candidates are invited to submit a CV to francesca.cottone(a)unimi.it, together with a short motivation letter specifying for which position they intend to apply for. There is no formal deadline for the expression of interest but an early assessment is expected to start in the second half of February 2018. Successful applicants will be contacted to work on the application for post-doc (2+2 years), assistant (tenure-track) or associate (permanent) professor positions. Gross salary: €30,000-40,000 according to experience (post-doc), €38,500 (assistant professor), €51,000 (associate professor) per annum. Tax exemption: a four-year tax exemption on 90 percent of the salary is available according to the Italian tax law for those candidates who have been residing outside Italy for 2 years or more. This would result in the following net salary (approx.): €33,500 (assistant professor), €45,000 (associate professor) per annum.

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PHD Lectures on Stochastic Processes
by Francesca Greselin 30 Jan '18

30 Jan '18

In the next two weeks, the Emeritus professor *Youri Davydov* will give lectures on* Stochastic Processes, * from Monday 5 till Thursday 15, February, from 9:30 to 12:30 in Room 2062, second floor, Building U7, Università degli Studi di Milano Bicocca. Prof. Davydov's Lectures will be given for the PhD curriculum in Statistics, Department of Statistics and Quantitative Methods. *PHD Lectures on Stochastic Processes* *Prof. Youri Davydov* *Emeritus Professor Laboratoire Painlévé - Université Lille 1,* *and St. Petersbourg State University, St. Petersbourg, Russia* Syllabus: Stochastic processes 1. Denitions and general notions 2. Examples 3. Processes with independent increments 4. Stationary processes 5. Gaussian processes 6. 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. People interested to attend the lectures should send an e-mail to francesca.greselin(a)unimib.it for organizational purposes.

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A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS
by Francesca Romana Nardi 30 Jan '18

30 Jan '18

Carissimi, stiamo cercando di organizzare in Italia, sulla falsariga del M. Kac Seminar in Olanda, una serie di incontri di probabilita` e delle sue applicazioni alla Fisica, Biologia e Scienze sociali, per stimolare lo scambio di idee e offrire ai piu` giovani l'opportunita` di venire a contatto con un ampio panorama di temi di ricerca. E` con grande gioia che vi comunico che il primo di questi eventi si terra` venerdì 26 Maggio 2017 a Firenze, in un'aula universitaria vicino alla stazione di S. Maria Novella. Sara` un'occasione per goderci una giornata scientifica insieme e per esplorare le possibilita` e le modalita` piu` opportune per ripetere questo tipo di incontri. Di seguito trovate i dettagli della giornata del 26 Maggio, che vedra` come oratori R. Fernandez (University of Utrecht, Olanda) e R. Morris (IMPA Instituto Nacional de Matemática Pura e Aplicada Rio de Janeiro, Brazil). A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 26 May 2017 Lecturers: R. Fernandez (Utrecht) and R. Morris (IMPA). Location: Aula Magna di Via S. Gallo 10, Firenze Prof. Roberto Fernandez Title: Signal description: process or Gibbs? Abstract: The distribution of signals such as spike trains is naturally modeled through stochastic processes where the probability of future states depend on the pattern of past spikes. Mathematically, this corresponds to distributions *conditioned on the past*. From a signal-theoretic point of view, however, one could wonder whether a more efficient description could be obtained through the simultaneous conditioning of past *and* future. Furthermore, such a formalism could be appropriate when discussing string without a particular "time" order, such as the distribution of DNA nucleotides, or even issues related to anticipation and prediction in neuroscience. On the mathematical level this double conditioning would correspond to a Gibbsian description analogous to the one adopted in statistical mechanics. In this talk I will introduce and contrast both approaches ---process and Gibbsian based--- reviewing existing results on scope and limitations of them. Prof. Robert Morris Title: Monotone cellular automata Abstract: Cellular automata are interacting particle systems whose update rules are local and homogeneous. Since their introduction by von Neumann almost 50 years ago, many particular such systems have been investigated, but no general theory has been developed for their study, and for many simple examples surprisingly little is known. Understanding their (typical) global behaviour is an important and challenging problem in statistical physics, probability theory and combinatorics. In this talk I will outline some recent progress in understanding the behaviour of a particular (large) family of monotone cellular automata -- those which can naturally be embedded in d-dimensional space -- with random initial conditions. For example, in the case where a site updates (from inactive to active) if at least r of its neighbours are already active, these models are known as bootstrap percolation, and have been extensively studied for various specific underlying graphs. Apart from their inherent mathematical interest, the study of these processes is motivated by their close connection to models in statistical physics, and I will discuss some applications to a family of models of the liquid-glass transition known as kinetically constrained spin models. Program: 11.00-11.45 Introductory lecture: R. Fernandez 11.45-12.00 Break 12.00-12.45 Seminar: R. Fernandez 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: R. Morris 15.15-15.30 Break 15.30-16.15 Seminar: R. Morris Note pratiche: 1) E` importante prenotare il biglietto del treno il piu` presto possibile per poter usufruire di sconti!!!! 2) Stiamo prenotando un ristorante con un paio di menu fissi che possa ospitarci, ma ho bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati chiedo di mandare un email a francescaromana.nardi(a)unifi.it Resta fermo il fatto che saremo in pieno centro di Firenze, quindi ci sono moltissime altre possibilita` per mangiare se preferite regolarvi indipendentemente. Organizers: F. Caravenna N. Cancrini E.N.M. Cirillo P. Dai Pra A. De Masi D. Fanelli F. Flandoli C. Giardina` R. Livi F. Martinelli I.G. Minelli F.R. Nardi E. Presutti B. Scoppola E. Scoppola Vi aspettiamo, Francesca R. Nardi Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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Assegno annuale SSD: MAT/05 e MAT/06
by Faggionato, Alessandra 30 Jan '18

30 Jan '18

E' stato pubblicato sul sito web del Dipartimento il seguente bando per assegno di ricerca https://www2.mat.uniroma1.it/sites/default/files/bando2018-1.pdf n.1/2018 per il conferimento di n. 1 assegno annuale categoria B tip. II SSD: MAT/05 e MAT/06 scadenza: 1° marzo 2018 Responsabile scientifico: Dott.ssa Nadia Ansini -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Workshop “One day in Stochastic Analysis” [Verona - Dept. Comp. Science]
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the workshop "One day in Stochastic Analysis", that will take place the next 5th of February, within the Verona Paris Stochastic Modeling Semester: vpsms2018.org Invited speakers and their contributions are: Sergio Albeverio ( Bonn University ) *S(P)DEs,asymptotics,singularities: emerging structures* Robert Dalang ( Ecole Polytechnique Fédérale de Lausanne ) *Hitting probabilities for systems of stochastic partial differential equations* Francesco Russo ( ENSTA ParisTech ) *Bsdes, Martingale problems, associated deterministic equations and applications* You can find more details here: vpsms2018.org/event/workshop-one-day-in-stochastic-analysis Do not hesitate to contact me if you need further info. LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Head of R&D info(a)hpa8.com | www.hpa8.com

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PhD opportunity at Verona - Stochastic geometric control and applications
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the opportunity for a PhD fellowship funded by the University of Verona, Department of Computer Science, and focused on stochastic geometric control, with particular emphasis about parameters estimation and random noise actions within the Lie group theory framework. Possible applications to real systems, e.g. in robotics, will be considered. Due to Department's constraints, we ask potential candidates to write their expression of interest, an email to the underwritten will be sufficient, *within next** two weeks.* Selections for the fellowship are foreseen between May/June 2018, while the PhD fellowship is supposed to effectively start in October. Every interested people are cordially invited to write me for further info. All the best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Head of R&D info(a)hpa8.com | www.hpa8.com

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PhD opportunity at Verona - Stochastic geometric control and applications
by Luca di persio 29 Jan '18

29 Jan '18

Dear all, this is to announce the opportunity for a PhD fellowship funded by the University of Verona, Department of Computer Science, and focused on stochastic geometric control, with particular emphasis about parameters estimation and random noise actions within the Lie group theory framework. Possible applications to real systems, e.g. in robotics, will be considered. Due to Department's constraints, we ask potential candidates to write their expression of interest, an email to the underwritten will be sufficient, *within next** two weeks.* Selections for the fellowship are foreseen between May/June 2018, while the PhD fellowship is supposed to effectively start in October. Every interested people are cordially invited to write me for further info. All the best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Head of R&D info(a)hpa8.com | www.hpa8.com

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Marie Sklodowska-Curie Ph.D. studentship in Statistical Sciences at the University of Padova (Italy) - Deadline April 15, 2018 at 5PM CET
by Patrizia Piacentini - PhD 29 Jan '18

29 Jan '18

As a partner of the Marie Skłodowska-Curie European Innovative Training Network (ITN) named "/International Training Network of Statistics for High Energy Physics and Society/" (*INSIGHTS*), the INFN (Italian National Institute for Nuclear Physics) offers a *Ph. D. scholarship in Statistical Sciences at the University of Padova*. The early-stage researcher (ESR) recipient of the scholarship will be hired by INFN and enrolled in the three-year Ph. D. program offered by the Department of Statistical Sciences of the University of Padova. The ESR will conduct his or her research at the Padova section of INFN; the research will focus on statistical methods targeting the analysis of data from proton-proton collisions collected by the CMS experiment at the Large Hadron Collider operating at the CERN laboratory in Geneva, Switzerland, aiming at the detection of new physics phenomena. The research and training plan includes the participation to international doctoral schools, workshops, and conferences in Physics and Statistics, as well as month-long visiting periods to CERN and to other European institutions belonging to the Network, plus a three-month internship at a non-academic institution, for a stage centered on industry applications of Machine Learning tools. The trainee will work in close connection with a dozen ESR colleagues hired by the partners of the INSIGHTS network. The network vows to provide outstanding, interdisciplinary training and to provide the trainees with excellent employability, both within and outside the academic world. At the end of the three-year program the ESR will obtain a Ph. D. title from the University of Padova. * ELIGIBILITY CRITERIA *Candidates should have an at least four year full time university education degree in Statistics, Mathematics, Physics or related fields, *formally enabling them to embark in a doctorate program in the country where the degree was obtained*; in any case they should possess a strong background in Mathematics, Statistics and Statistical Learning. Additional favorable traits include good computing skills and an interest in the application of statistical methods to fundamental research. *The application of females is encouraged as INSIGHTS applies affirmative-action measures to ensure gender neutrality in the recruitment process*. In addition to the above, at the time of recruitment by INFN eligible candidates*must NOT have resided or carried out their main activity (work, studies, etc.) in Italy *for more than 12 months in the three years immediately preceding the recruitment date (short stays such as holidays are not taken into account). Eligible candidates must *NOT have been awarded a doctoral degree* and also be, at the time of recruitment, *in the first four years* (full-time equivalent) of their research careers. This is measured from the date when they obtained the degree which would formally entitle them to embark on a doctorate, either in the country in which the degree was obtained or in Italy. * CONDITIONS *The gross scholarship amounts to euro *3,318.37*/month; in addition to it, a gross mobility allowance of euro *600.00*/month is provided for, as well as a gross family allowance of euro *500.00*/month if applicable. The cost of enrolment in the Ph. D. school and of the doctoral courses, as well as all expenses related to travel to schools, workshops, and network-organized events and internships will be sustained by the network. * HOW TO APPLY*Applications shall be sent by e-mail to the address insights(a)pd.infn.it <mailto:insights@pd.infn.it> until the deadline, set to *April 15^th 2018 at 5PM CET*. Eligible applications shall be entirely written in English, and have as e-mail subject the text “/INSIGHTS application -/” followed by last name and first name of the applicant; in case of memory limitations, applicants may send the material in more than one e-mail by adding to the subject a proper numbering ("/part 1/", "/part 2/", etc.). E.g., “/INSIGHTS application – Doe, John (part 1)” /for the first e-mail, and/“INSIGHTS application – Doe, John (Part 2)/” for the second. The e-mail(s) shall include as attachments: -a properly filled *application form,* which can be downloaded at this link: http://www.pd.infn.it/%7Edorigo/INSIGHTS.docx -an exhaustive *curriculum vitae*; -scans of the original certificates for all titles (university degree, scholarships, etc.) claimed by the applicant in the application form; -a readable *passport scan*. Applications will be considered valid if *at least one, and no more than two reference letters* supporting the applicant are received before the above deadline by the already mentioned e-mail address. The subject of e-mails containing reference letters should be of the form “/Reference letter for INSIGHTS application of /” followed by the candidate’s last and first name.** * SELECTION PROCESS *After a preselection, the most promising candidates will be invited to a one-hour colloquium by video-conference with the selection committee in early May 2018; non-preselected candidates will be notified by e-mail of the result of the preselection. The selection committee will be formed by INFN and Padova University personnel. During the colloquia candidates will be asked to introduce themselves and shortly describe their past research experience. The outcome of the selection process will be notified to preselected candidates within two weeks. *The research activities and scholarship will start in the month of September 2018*, and the Ph. D. program courses are expected to start at the beginning of October 2018. The hired candidate is required to _take residence in the province of Padova_ for the full duration of the program. Further information on the position and on the program of the INSIGHTS training network can be obtained by visiting the network’s web site at https://www.insights-itn.euor by contacting by e-mail the ESR supervisor Prof. Bruno Scarpa at scarpa(a)stat.unipd.it <mailto:scarpa@stat.unipd.it>or the INFN PI dr. Tommaso Dorigo at dorigo(a)pd.infn.it <mailto:dorigo@pd.infn.it> *INSIGHTS ITN - Call for applications* https://lhcb.web.cern.ch/lhcb/lhcb_page/collaboration/jobs/INSIGHTS%20call%…

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Workshop “One day in Stochastic Analysis” [Verona - Dept. Comp. Science]
by Luca di persio 28 Jan '18

28 Jan '18

Dear all, this is to announce the workshop "One day in Stochastic Analysis", that will take place the next 5th of February, within the Verona Paris Stochastic Modeling Semester: vpsms2018.org Invited speakers and their contributions are: Sergio Albeverio ( Bonn University ) *S(P)DEs,asymptotics,singularities: emerging structures* Robert Dalang ( Ecole Polytechnique Fédérale de Lausanne ) *Hitting probabilities for systems of stochastic partial differential equations* Francesco Russo ( ENSTA ParisTech ) *Bsdes, Martingale problems, associated deterministic equations and applications* You can find more details here: vpsms2018.org/event/workshop-one-day-in-stochastic-analysis Do not hesitate to contact me if you need further info. LuCa __ Luca Di Persio - PhD Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <+39%20045%20802%207968> Head of R&D info(a)hpa8.com | www.hpa8.com

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Fwd: Workshop "Interplay of Random Media and Stochastic Interface Models"
by Francesco Caravenna 26 Jan '18

26 Jan '18

Ricevo e inoltro. > Inizio messaggio inoltrato: > > Da: Sebastian Andres <sa836(a)cam.ac.uk> > Oggetto: Workshop "Interplay of Random Media and Stochastic Interface Models" > > Dear friends and colleagues, > > On the occasion of Jean-Dominique Deuschel’s 60th birthday we are organising the workshop "Interplay of Random Media and Stochastic Interface Models" taking place at TU Berlin on June 25-27, 2018. You can find more details and a list of speakers on the conference website > > http://www3.math.tu-berlin.de/stoch/RMSI2018/ <http://www3.math.tu-berlin.de/stoch/RMSI2018/> > > The registration will be opened in the upcoming days. On behalf of Jean-Dominique we most warmly invite you to participate in the event. We would also be most grateful if you could help us advertising the workshop by displaying the attached poster in your department. > > With best regards, > Sebastian Andres, Wolfgang König, Martin Slowik

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Seminario LEISEN
by Matteo Ruggiero 26 Jan '18

26 Jan '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 2 Febbraio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Fabrizio LEISEN (University of Kent) COMPOUND RANDOM MEASURES Compound Random Measures (CoRM's) have been recently introduced by Griffin and Leisen (2017) and represent a general and tractable class of vectors of Completely Random Measures. This talk aims to provide an overview about CoRM's by illustrating some recent developments about their use in Bayesian nonparametrics. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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Bocconi summer school on "Graphical Models"
by Antonio Lijoi 23 Jan '18

23 Jan '18

** CALL FOR APPLICATIONS ** Bocconi Summer School in Advanced Statistics and Probability: “Graphical Models” July 9-20, 2018 http://asps.lakecomoschool.org We are pleased to announce that the 2018 edition of the Bocconi Summer School in Advanced Statistics and Probability, on "GRAPHICAL MODELS", will take place on July 9-20, 2018, at Villa del Grumello, on the shores of the Lake of Como, Italy. PROGRAM Graphical models yield a rich framework for encoding probability distributions over complex domains, involving large numbers of random variables that interact with each other. These representations rely on concepts from probability theory, graph algorithms, statistics, computer science and more. They are the basis for revolutionary methods in a wide variety of applications, such as medical diagnosis, image understanding, forensic genetics, speech recognition, natural language processing, machine learning problems, and much more. The course will present the fundamental theory and methodology, illustrated with applications and case studies. INSTRUCTORS Steffen Lauritzen (Department of Mathematical Sciences, University of Copenhagen) Robin Evans (Department of Statistics, University of Oxford, UK) Tutorials: Søren Wengel Mogensens (Department of Mathematical Sciences, University of Copenhagen) The Bocconi Summer School in Statistics and Probability is offered by Bocconi University, Milano, and is hosted by the Lake Como School of Advanced Studies. The aim of the School is to establish a track of high level courses on cutting-edge topics in Statistics and Probability. The school offers lectures delivered by internationally leading scholars on the specific designated topic, and supervised tutorials. The summer school is open to all interested scholars, but is especially addressed to PhD students, and possibly to brilliant MSc graduates/students interested in pursuing doctoral studies in Statistics, Probability, Data Science, Computer Science and related fields. APPLICATIONS: In order to foster active interaction among students and instructors, the School is targeted for a class of at most 30 qualified and selected participants. Applications can be submitted by March 15, 2018. REGISTRATION and FEES. The registration fee (450 euro) covers all the school activities and course material; wi-fi connection; all work-days lunches; welcome cocktail; accommodation for the 2 weeks (July 8-July 21, 2018). Admitted participants should register by April 20, 2018. For more information, please visit the school website http://aspas.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it

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Seminar at Scuola Normale Superiore, 15 February 2018, Luciano Campi
by Giulia 22 Jan '18

22 Jan '18

Dear all, On Thursday, 15 February 2018 — from 11:00 to 13:00 — at the Scuola Normale Superiore (Room: Mancini) Prof. Luciano Campi (London School of Economics) will hold the following Seminar: Title : Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications Abstract: We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities for the value functions and the optimal strategies of the two players. As an application, we study an impulse game with a one-dimensional state variable, following a real-valued scaled Brownian motion, and two players with linear and symmetric running payoffs. We fully characterize a Nash equilibrium and provide explicit expressions for the optimal strategies and the value functions. We also prove some asymptotic results with respect to the intervention costs. Finally, we consider two further non-symmetric examples where a Nash equilibrium is found numerically. Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Workshop “Stochastic Models in Ecology and Evolutionary Biology” - second announcement
by Marco Formentin 22 Jan '18

22 Jan '18

Dear colleagues, we are glad to announce the workshop “Stochastic Models in Ecology and Evolutionary Biology” that will be held in Venice, 5-7 April 2018, at the Istituto Veneto di Scienze, Lettere ed Arti. Aim of the workshop is to bring together scientists with different background - people from biology, physics and mathematics - interested in stochastic models in ecology and evolutionary biology, to discuss issues and exchange methods and ideas. A partial list of topics includes: stochastic population dynamics, branching processes, robustness and adaptability of ecosystems, resilience and criticality of ecological systems, models and prediction of biodiversity, molecular evolution, and microbial community dynamics. Invited Speakers (in alphabetical order -*tbc): J.-F. Arnoldi, E. Baake, Otto X. Cordero, J. Dalmau, J. Friedman, J. Gore*, A. Lambert, M. Loreau, P. Metha, , T. Parsons*, A. Sanchez, B. Trubenova*. The cost for workshop attendance will be 90 Euro, which includes coffee breaks and workshop material. There are TWO registration free waivers for Ph.Ds / young Post-docs. Look in the website for instructions. We will also have contributed talks and posters sessions. The call of abstracts will close on March 2, 2018. For abstracts submission, information on accommodation and programme, please check http://www.pd.infn.it/~maritan/veniceworkshop/veniceworkshop.html Please help us to promote this meeting by forwarding this email to anyone you know might be interested, and especially bring this announcement to the attention of your students or post-docs, who are those most likely not to be on our mailing lists. Apologies for cross-posting. The organizers, Paolo Dai Pra Amos Maritan Marco Formentin Samir Suweis

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Reminder - mini-workshop on "Machine Learning and Big Data Analytics with MATLAB" at Roma Tre University
by Francesco Cesarone 19 Jan '18

19 Jan '18

Dear Colleagues, on 23 January 2018 from 14:00 to 17:00 (Computer Lab, ground floor, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma), Dr. Francesca Perino, Application Engineer at MathWorks, will hold a mini-workshop on "Machine Learning and Big Data Analytics with MATLAB". The attendance of the course is free, but for organizational reasons it is necessary to register to register on the following web page: https://it.mathworks.com/company/events/seminars/ml-da- with-matlab-2373496.html. *Overview* *At the heart of many financial applications are machine learning techniques used for risk classification, economic analysis, credit scoring, time series forecasting, estimating default probabilities, and data mining. Big data represents an opportunity for quantitative analysts and data scientists alike to impact the way organizations make informed business decisions. By building machine learning models that harness big data, a greater level of insight and confidence can be achieved.* *However, implementing and comparing machine learning techniques to choose the best method can be challenging. Furthermore, there is no single approach to solving the many challenges arising from working with big data. MATLAB minimizes these challenges by providing you with a number of built-in functions and tools for quick prototyping, integration, and scaling, to take you from initial prototype all the way to business-critical production system.* *In this session, we will introduce ways of working with big data systems, the different types of machine learning techniques in MATLAB, how to determine the best techniques for your problem by evaluating model performance, and rapidly deploying your machine learning models into production. We will cover several new workflows and data types in MATLAB and the toolboxes that have been designed to address the most common challenges with big data analytics and machine learning.* *Highlights* *Data management and integration with databases, live market data, and big data environments* *Efficient workflows for heterogenous time-series data using new data management capabilities* *Parallel Computing techniques to speed up long-running computations and deal with out-of-memory data* *Predictive modeling and using supervised machine learning techniques to build a credit rating engine* We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Reminder - ARPM mini-workshop on "Advanced statistical techniques across disparate asset classes" at Roma Tre University
by Francesco Cesarone 19 Jan '18

19 Jan '18

Dear Colleagues, on 24 January 2018 from 9:30 to 13:00 (Aula 8, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Dr. Angela Loregian, senior researcher at ARPM <https://www.arpm.co/>, will hold a min-workshop on "Advanced statistical techniques across disparate asset classes" ( http://disa.uniroma3.it/wp-content/uploads/2017/03/ARPM-mini-workshop-A3.pdf ). The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - ARPM mini-workshop. *About the Program.* *We introduce the concept of "risk driver" and **"invariant“, illustrating:* *- the asset-specific art of building risk drivers across the financial markets* *- the asset-agnostic science of applying statistics (econometrics and **machine learning) to extract the invariants and estimate their joint * *distribution. **Then, we translate the above statistical analysis into the asset-specific **joint distribution of instrument returns.* We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Seminario a RM1
by Faggionato, Alessandra 18 Jan '18

18 Jan '18

Seminario di Probabilita' Aula di Consiglio, Dipartimento di Matematica, La Sapienza Lunedi' 22 Gennaio, ore 16.00 Speaker: A. Chiarini (ETH Zurigo) Title: Invariance principle for the degenerate dynamic random conductance model. Abstract: After the brilliant result of Papanicolau and Varadhan (1979) in the case of bounded stationary and ergodic environments, there has been a recent upsurge in the research of quenched homogenization in random media. In particular, to identify the optimal conditions that a general stationary and ergodic environment must satisfy in order to obtain the convergence to a non-degenerate Brownian motion, is still an open problem. In this talk, we study a continuous-time random walk on Z^d in an environment of dynamic random conductances. We assume that the law of the conductances is ergodic and stationary with respect to space-time shifts. We prove a quenched invariance principle for the random walk under some moment conditions on the environment. The key result on the sublinearity of the corrector is obtained by the celebrated Moser’s iteration scheme. This is joint work with S. Andres, J-D. Deuschel and M. Slowik. ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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1st international conference on " Quantitative Finance and Financial Econometrics ", sponsored by SoFiE - Marseille - May 2018
by Monica Billio 17 Jan '18

17 Jan '18

-------- Messaggio Inoltrato -------- Oggetto: 1st international conference on " Quantitative Finance and Financial Econometrics ", sponsored by SoFiE - Marseille - May 2018 Data: Wed, 17 Jan 2018 21:14:38 +0100 Mittente: Sébastien Laurent <sebastien.laurent(a)univ-amu.fr> Rispondi-a: qffe2018(a)amse-aixmarseille.fr A: qffe2018(a)amse-aixmarseille.fr Dear colleagues, I am pleased to announce the organisation of the first conference on " Quantitative Finance and Financial Econometrics " (QFFE) that will be held in Marseille (France) from May 30^th to June 1^st , 2018. This conference received a scientific sponsorship from the Society for Financial Econometrics (SoFiE). Our guest speakers are *Andrew J. PATTON (*Duke University) and *Dick van DIJK (*Erasmus University Rotterdam). Prior to this conference we also organise a summer school made up by two courses delivered from May 28^th to May 30^th , 2018 by *Sébastien LAURENT* (Aix-Marseille University), on /Forecasting Risk with Intra-Day Data/ and *Andrew J. PATTON (*Duke University) on /Forecasting Risk with Intra-Day Data/ For more information (on submission, registration, accommodations, etc), see the attached call for papers and the conference website https://qffe2018.sciencesconf.org/ _Important dates:_ Submissions of a complete paper : February 28th, 2018 Decision : March 20th, 2018 Registration deadline for the conference and/or summer school: May 2nd, 2018 _Submissions on the following topics are welcome:_ • Big-data in finance • Empirical finance • High-frequency data • New methods in quantitative finance • Time series forecasting • Volatility and risk modeling On behalve of the conference chairs and the scientific committee, Best Regards Sébastien Laurent -- Nota automatica aggiunta dal sistema di posta.

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New Perspectives in Analysis, Probability and Applications
by Enrico Scalas 16 Jan '18

16 Jan '18

Dear Colleagues, On January 24-26 there will be a 3 day workshop at Sussex funded by the London Mathematical Society on New Perspectives in Analysis, Probability and Applications January 24: "Mathematics in Materials Science" (speakers: John Ball, Lucia Scardia and Konstantinos Koumatos) January 25: "Diffusions: Theory and Applications” (speakers: Michela Ottobre, Grigorios Pavliotis and Andrew Duncan) January 26: “Markov Chains” (speakers: Dmitry Korshunov, Denis Denisov and Vladislav Vysotsky) The venue is Room Pevensey 1A6 at the Falmer Campus and all details can be found here http://www.sussex.ac.uk/maths/research/perspectives Please do come along (coffee will be provided) and, if you know of anyone else who may be interested to attend, feel free to circulate this email. Kind regards, Enrico Scalas

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Bayesian Young Statisticians Meeting (BAYSM2018)
by Raffaele Argiento 16 Jan '18

16 Jan '18

The 4rd Bayesian Young Statisticians Meeting, BAYSM2018, will take place at University of Warwick, Coventry, UK (2-3 July 2018), as a satellite to the ISBA 2018 world meeting. BAYSM is dedicated to Ph.D. Students, M.S. Students, Post-Docs, Young and Junior Reseachers working in the field of Bayesian statistics, providing an opportunity to connect with the Bayesian community at large. Senior discussants will be present at each session, providing participants with advise and comments to their work. Recognized figures of the Bayesian community will also participate as keynote speakers, making an altogether exciting program. Registration is now open (https://warwick.ac.uk/baysm) and will be available with an early bird discount until April 30. The event will be hosted by the Department of Statistics of the University of Warwick ( https://warwick.ac.uk/statistics/). It will include social events, providing the opportunity to get to know other junior Bayesians. Young researchers interested in giving a talk or presenting a poster are invited to submit an abstract. The call for submissions is now open and closes March 26 (https://warwick.ac.uk/baysm/calldates/). Thanks to generous support of ISBA, a number of travel awards are available to support young researchers. Keynote speakers: Kerrie Mengersen (Queensland University of Technology) Igor Prünster (Bocconi University) Judith Rousseau (University of Oxford) Stephen Senn (University of Glasgow) Yee Whye Teh (University of Oxford) Discussants: Deborah Ashby (Imperial College) Bärbel Finkenstädt Rand (University of Warwick) Jim Griffin (University of Kent) Michele Guindani (University of California, Irvine) Amy Herring (Duke University) Jim Smith (University of Warwick) Mark Steel (University of Warwick) Sebastian Vollmer (University of Warwick) While the meeting is organized for and by junior Bayesians, attendance is open to anyone who may be interested. For more information, please visit the conference website: https://warwick.ac.uk/baysm On behalf of the BAYSM2018 organizing committee (https://warwick.ac.uk/baysm/organiserssponsors/) Raffaele Argiento -- Dr. Raffaele Argiento University of Torino and Collegio Carlo Alberto www.raffaeleargiento.it

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Seminari prof. Berger
by Brunero Liseo 16 Jan '18

16 Jan '18

A completamento dell'annuncio sul ciclo di seminari che il prof. James O. Berger terrà presso la facoltà di Economia Sapienza Università di Roma secondo il calendario seguente Bayesian Model Selection Aula 6B, piano terra F acoltà di Economia, Via del Castro Laurenziano, 9, Lunedì 22 gennaio ore 11-13 Martedì 23 gennaio ore 16.30-18 Mercoledì 24 gennaio 11.30-13 Mercoledì 24 gennaio 14.30-16 si allega abstract dei singoli seminari Abstract: These lectures address the Bayesian approach to hypothesis testing and model uncertainty, with extensive comparisons to the classical approaches to these subjects. The first lecture, "Introduction to Bayesian Hypothesis Testing," begins with a brief introduction to Bayesian analysis, for students who have not been exposed to the subject. The lecture then goes on to highlight the main issues, through a discussion of p-values (the classical approach to hypothesis testing) versus Bayes factors (the Bayesian approach), primarily done through pedagogical examples. The first lecture (after a break) will go on to present the formalism of Bayesian hypothesis testing, with examples. The second lecture "Interfaces Between Testing Paradigms," will take a step back to the historical development of statistics, and describe how the classical and Bayesian approaches of hypothesis testing developed, and show that there is currently methodology that is completely compatible with both perspectives. The third lecture "Essentials of Bayesian Model Uncertainty," extends the first two lectures to the subject of dealing with many possible statistical models. Interestingly, none of the basic methodology changes - it just becomes more difficult to implement. The final lecture focuses on "Variable Selection in the Linear Model," arguably the most important statistical problem, and discusses Bayesian resolutions that have amazing properties, as well as software that implements the methodology. -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *https://sites.google.com/a/uniroma1.it/bruneroliseo/ <https://sites.google.com/a/uniroma1.it/bruneroliseo/>* ============================================

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Fwd: Postdoc Position at Washington University in St. Louis
by Cecilia Mancini 15 Jan '18

15 Jan '18

-------- Messaggio Inoltrato -------- Oggetto: Postdoc Position at Washington University in St. Louis Data: Sun, 14 Jan 2018 21:05:03 +0000 Mittente: Figueroa-Lopez, Jose <figueroa-lopez(a)wustl.edu> A: Figueroa-Lopez, Jose <figueroa-lopez(a)wustl.edu> Dear Colleagues, I hope this email finds you well. My department has an opening for a Postdoc in statistics, probability, or a related area (including mathematical finance). Please encourage strong candidates to apply to MathJobs. Personal references of potential candidates are very much welcomed. The teaching load is 2 courses per semester and the official posting can be found at https://www.mathjobs.org/jobs/jobs/11299 Department of Mathematics, Washington University in St. Louis <https://www.mathjobs.org/jobs/jobs/11299> www.mathjobs.org Full service online faculty recruitment site for mathematical institutions worldwide, offered by the American Mathematical Society (AMS). Thank you very much and happy new year, Jose Enrique. J.E. FIGUEROA-LÓPEZ Professor of Mathematics Washington University in St. Louis One Brookings Drive, St. Louis, MO 63130-4899 Phone: (314)935-7539 E-mail: figueroa(a)math.wustl.edu

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PhD in Statistics @Bocconi
by Antonio Lijoi 15 Jan '18

15 Jan '18

------------------------------------------------------------- PhD in Statistics -- Bocconi University, Milano Call for applications for PhD student positions ------------------------------------------------------------- The PhD School of Bocconi University, Milano, offers four positions with scholarships for the PhD in Statistics. The scholarship amounts to 20.280 euro per annum in the 1st and 2nd year, and 13.838 euro per annum for the 3rd and 4th year. Further funding is available for teaching and research assistanships. Visit www.unibocconi.eu/admissionphd for all information. ** Applications are due by February 1, 2018. ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics provides a solid grounding for high level research, either theoretical or applied, in statistics, probability and data science. The curricula is organized over two years of courses and two years entirely devoted to research. Students acquire a deep mathematical and methodological preparation through the first-year courses, and more specialized competence, addressed to the doctoral dissertation, through the second-year courses. The third and forth years are entirely devoted to research. Both theoretical and applied research, including methods for machine learning and data science, are supported and encouraged. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The PhD in Statistics is designed for highly motivated students who wish to undertake first-rate research careers in theoretical or applied statistics and data science. Career opportunities also include central banks, financial institutions, governments and international organizations, and public health institutions. Highly qualified and motivated students with M.Sc. degrees in Statistics, Mathematics, Economics, Engineering, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. For more information about the PhD program in Statistics at Bocconi, visit our website www.unibocconi.eu/phdstatistics and please feel free to contact the PhD Director, Professor Sonia Petrone, at sonia.petrone(a)unibocconi.it or our Program Assistant at infophd(a)unibocconi.it ------------------------- PhD School - Università Bocconi Via Roentgen, 1 20136 Milano (Italia) Tel.+39-02.5836.3367 angela.baldassarre(a)unibocconi.it

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PhD studentship in Probability at University of Bath (UK)
by Alexandre Stauffer 12 Jan '18

12 Jan '18

The position will be held in the probability group at the University of Bath, under the supervision of Alexandre Stauffer. The project is flexible, but the main areas of interest are interacting particle systems, random walks, and Markov chain mixing time. Applications should be submitted through the online system (see http://www.bath.ac.uk/math-sci/postgraduate/). Interested candidates are encouraged to write to a.stauffer(a)bath.ac.uk to discuss their research interests. Best wishes, Alexandre

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Seminario di Probabilita' a RM1
by Faggionato, Alessandra 12 Jan '18

12 Jan '18

Giovedi' 18 Gennaio, ore 12.00, Aula C Speaker: M. Maurelli (WIAS, Berlin) Title: Enhanced Sanov theorem for Brownian rough paths and an application to interacting particles Abstract: We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations principle for the (k-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in turn implies a propagation of chaos result in rough path spaces and allows for a robust subsequent analysis of the particle system and its McKean-Vlasov type limit. The talk is based on a work in collaboration with J.D. Deuschel, P. Friz and M. Slowik -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Seminario LA VECCHIA
by Matteo Ruggiero 12 Jan '18

12 Jan '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 19 Gennaio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Davide LA VECCHIA (University of Geneva) SADDLEPOINT TECHNIQUES FOR DEPENDENT DATA Saddlepoint techniques provide numerically accurate, higher-order, small sample approximations to the distribution of estimators and test statistics. While a rich theory is available for saddlepoint techniques in the case of independently and identically distributed observations, only a few results have been obtained for dependent data. In this talk, we explain how to fill this gap in the literature. Using the method of the tilted-Edgeworth expansion, we devise new saddlepoint density approximations and saddlepoint test statistics in the settings of time series (short or long memory) and spatial processes (panel data models, with fixed effects, time-varying covariates and spatially correlated errors). We compare our new approximations to the ones obtained by standard asymptotic theory, by Edgeworth expansion and by resampling methods. The numerical exercises illustrate that our approximations yield accuracy's improvements, while preserving analytical tractability. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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ARPM min-workshop on "Advanced statistical techniques across disparate asset classes" at Roma Tre University
by Francesco Cesarone 11 Jan '18

11 Jan '18

Dear Colleagues, on 24 January 2018 from 9:30 to 13:00 (Aula 8, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Dr. Angela Loregian, senior researcher at ARPM, will hold a min-workshop on "Advanced statistical techniques across disparate asset classes". The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - ARPM min-workshop. *About the Program.* *We introduce the concept of "risk driver" and **"invariant“, illustrating:* *- the asset-specific art of building risk drivers across the financial markets* *- the asset-agnostic science of applying statistics (econometrics and **machine learning) to extract the invariants and estimate their joint * *distribution. **Then, we translate the above statistical analysis into the asset-specific **joint distribution of instrument returns.* For more details, see the attached pdf file. We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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min-workshop on "Machine Learning and Big Data Analytics with MATLAB" at Roma Tre University
by Francesco Cesarone 11 Jan '18

11 Jan '18

Dear Colleagues, on 23 January 2018 from 14:00 to 17:00 (Computer Lab, ground floor, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma), Dr. Francesca Perino, Application Engineer at MathWorks, will hold a min-workshop on "Machine Learning and Big Data Analytics with MATLAB". The attendance of the course is free, but for organizational reasons it is necessary to register to register on the following web page: https://it.mathworks.com/company/events/seminars/ml-da-with-matlab-2373496.… . *Overview* *At the heart of many financial applications are machine learning techniques used for risk classification, economic analysis, credit scoring, time series forecasting, estimating default probabilities, and data mining. Big data represents an opportunity for quantitative analysts and data scientists alike to impact the way organizations make informed business decisions. By building machine learning models that harness big data, a greater level of insight and confidence can be achieved.* *However, implementing and comparing machine learning techniques to choose the best method can be challenging. Furthermore, there is no single approach to solving the many challenges arising from working with big data. MATLAB minimizes these challenges by providing you with a number of built-in functions and tools for quick prototyping, integration, and scaling, to take you from initial prototype all the way to business-critical production system.* *In this session, we will introduce ways of working with big data systems, the different types of machine learning techniques in MATLAB, how to determine the best techniques for your problem by evaluating model performance, and rapidly deploying your machine learning models into production. We will cover several new workflows and data types in MATLAB and the toolboxes that have been designed to address the most common challenges with big data analytics and machine learning.* *Highlights* *Data management and integration with databases, live market data, and big data environments* *Efficient workflows for heterogenous time-series data using new data management capabilities* *Parallel Computing techniques to speed up long-running computations and deal with out-of-memory data* *Predictive modeling and using supervised machine learning techniques to build a credit rating engine* We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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[Forum SIS] : Seminari prof. Berger, Duke University
by Brunero Liseo 11 Jan '18

11 Jan '18

Avviso Ciclo di Seminari Il prof. James O. Berger, Duke University, https://en.wikipedia.org/wiki/Jim_Berger_(statistician) sarà ospite del Dipartimento MEMOTEF, Sapienza Università di Roma dal 22 al 26 gennaio 2018. Nel corso della settimana il prof. Berger terrà una serie di seminari su Bayesian Model Selection I seminari si terranno in Aula 6B, al piano terrà della facoltà di Economia, Via del Castro Laurenziano, 9, secondo il seguente orario: Lunedì 22 gennaio ore 11-13 Martedì 23 gennaio ore 16.30-18 Mercoledì 24 gennaio 11.30-13 Mercoledì 24 gennaio 14.30-16 I seminari sono rivolti ad un pubblico di dottorandi ma tutti gli interessati sono invitati a partecipare. Brunero Liseo -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *https://sites.google.com/a/uniroma1.it/bruneroliseo/ <https://sites.google.com/a/uniroma1.it/bruneroliseo/>* ============================================

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Correction: RISM School in Developements in SPDEs, first announcement
by gianmario tessitore 10 Jan '18

10 Jan '18

My pevious mail contained a missprint in the title of the school following is the correct announcement Gianmario Tessitore ======================================== Dear Colleagues, This is the first announcement of the upcoming sixth RISM school DEVELOPMENTS IN STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS in honor of Giuseppe Da Prato. It will take place in Varese during the week July 23-27, 2018 at the Riemann International School of Mathematics, Universita’ degli Studi dell'Insubria, and it will be directed by Martin Hairer. Please find the poster and further details at the link www.rism.it. The school will consist of three courses delivered by: Arnaud Debussche (Ecole Normale Superieure Rennes) Martin Hairer (Imperial College, London) Felix Otto (Max Planck Institute, Leipzig) and of three specialized talks aimed at presenting recent advances and challenges of contemporary research in SPDEs in connection with the work of Giuseppe Da Prato. Moreover young participants will be offered the possibility to present short communications on their own research. Interested people can register at the link http://www.rism.it/registration_rism5_45.html (a modest registration fee will cover 5 lunches and local transportations). IMPORTANT: PhD students, young researchers and postdocs are invited to apply for financial support towards lodging expenses by sending a CV to presidente(a)rism.it For organizing purposes we kindly ask participants to get registered as soon as possibe and, in any case, by the end of March 2018. With very best regards and wishes for a prosperous 2018, Scientific Committee: M. Hairer (Imperial College - London), S. Cerrai (University of Maryland), A. Debussche (ENS - Rennes), L. Zambotti (Universite Pierre et Marie Curie - Paris). Organizing Committee: D. Cassani (Univ. Insubria), M. Fuhrman (Univ. Milano), G. Guatteri (Politecnico di Milano), F. Masiero and G. Tessitore (Univ. Milano-Bicocca) -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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RISM School in Developements in SDEs, first announcement
by gianmario tessitore 10 Jan '18

10 Jan '18

Dear Colleagues, This is the first announcement of the upcoming sixth RISM school DEVELOPMENTS IN STOCHASTIC DIFFERENTIAL EQUATIONS in honor of Giuseppe Da Prato. It will take place in Varese during the week July 23-27, 2018 at the Riemann International School of Mathematics, Universita’ degli Studi dell'Insubria, and it will be directed by Martin Hairer. Please find the poster and further details at the link: www.rism.it. The school will consist of three courses delivered by: Arnaud Debussche (Ecole Normale Superieure Rennes) Martin Hairer (Imperial College, London) Felix Otto (Max Planck Institute, Leipzig) and of three specialized talks aimed at presenting recent advances and challenges of contemporary research in SPDEs in connection with the work of Giuseppe Da Prato. Moreover young participants will be offered the possibility to present short communications on their own research. Interested people can register at the link http://www.rism.it/registration_rism5_45.html (a modest registration fee will cover 5 lunches and local transportations). IMPORTANT: PhD students, young researchers and postdocs are invited to apply for financial support towards lodging expenses by sending a CV to presidente(a)rism.it For organizing purposes we kindly ask participants to get registered as soon as possibe and, in any case, by the end of March 2018. With very best regards and wishes for a prosperous 2018, Scientific Committee: M. Hairer (Imperial College - London), S. Cerrai (University of Maryland), A. Debussche (ENS - Rennes), L. Zambotti (Universite Pierre et Marie Curie - Paris). Organizing Committee: D. Cassani (Univ. Insubria), M. Fuhrman (Univ. Milano), G. Guatteri (Politecnico di Milano), F. Masiero and G. Tessitore (Univ. Milano-Bicocca) -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Fwd: 3 year postdoc at Oxford in economic complex systems modeling
by Fabrizio Lillo 10 Jan '18

10 Jan '18

Ricevo e inoltro ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica Università di Bologna ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159 <+39%20050%20509159> ---------- Forwarded message ---------- From: Doyne Farmer <Doyne.Farmer(a)inet.ox.ac.uk> Date: 2017-12-22 13:34 GMT+01:00 Subject: 3 year postdoc at Oxford in economic complex systems modeling To: Fabrizio Lillo <fabrizio.lillo(a)sns.it> We are seeking to appoint a Senior Research Associate to participate in the ‘Sensitive Intervention Points in the Transition to the Post-Carbon Society” project funded by the Oxford Martin School under the leadership of the Principal Investigators, Professor Doyne Farmer and Professor Cameron Hepburn. The project will study the transition to carbon neutral energy generation from economic, sociological and technological points of view. Key duties include playing a leadership role in managing the project, working closely with the principal investigators and the other members of the team to achieve the goals of the project; managing and undertaking academic research and write articles for publication in scientific journals; managing and co-ordinating research activities, administrative activities and grant reporting; playing a mentoring role, and act as a source of information and advice to other members of the group; disseminating research and presenting research outputs at conferences, workshops and to stakeholders; and developing ideas for generating research income and take a leadership role in finding additional sources of funding and making applications for research grants. The successful candidate will have ability to undertake interdisciplinary research, with strong skills in mathematics, programming, and large-scale data analysis; a PhD/DPhil in a field of quantitative science such as economics, mathematics, physics, computer science, social science, biology, statistics or engineering; fluency in written and spoken English; and a demonstrated track record in writing papers for publication. An ability to work in a demanding environment subject to deadlines and exacting professional and academic standards is essential. The appointment will be available for up to 36 months.

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Postdoctoral Research Associate position: "Postdoctoral Research Associate position “Laboratoire des Sciences du Climat et de l’Environnement” (LSCE, Gif-sur-Yvette, France) funded by CEA on "Event Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators" (fwd)
by Michele Gianfelice 10 Jan '18

10 Jan '18

Ricevo ed inoltro p.c. . Cordialmente, m.gianfelice p.s: Among the Skills & diploma requested, the successful candidate should possess: - A PhD in Statistics, Applied Mathematics or related fields; - Strong bases on stochastic models including their statistical inference; - An excellent knowledge of R (recommended) or Python (second choice) programming languages; - English proficiency and attitude to work in an international research environment. ---------- Forwarded message ---------- Date: Wed, 10 Jan 2018 14:05:07 +0100 (CET) From: Davide Faranda <davide.faranda(a)lsce.ipsl.fr> Cc: Mathieu Vrac <mathieu.vrac(a)lsce.ipsl.fr> Subject: Postdoctoral Research Associate position: "Postdoctoral Research Associate position ?Laboratoire des Sciences du Clima t et de l?Environnement? (LSCE, Gif-sur-Yvette, France) funded by CEA on "E vent Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators" Dear Colleague, (sorry for cross-posting) please circulate this announcement for a post-doctoral position at LSCE starting Spring 2018 for (at least) 16 months. Applications will be open untill January 31, 2018 Best Regards, Mathieu Vrac, Davide Faranda Postdoctoral Research Associate position ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE, Gif-sur-Yvette, France) funded by CEA on Event Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators Expected starting date: Spring 2018. Duration: 16 months Context of the position: There is an increasing interest worldwide in assessing the extent to which recent extreme weather and climate events can be solely linked to natural climate variability or be significantly altered in frequency or intensity by human-induced climate change (Stott, 2016). Examples are numerous: Paris flood in June 2016, drought in Central Europe in Summer 2015, or the extremely cold European winter of 2009/10. The usual question is to know to what extent such extremes are linked to climate change, and if they are becoming (or will become) more or less frequent. Therefore, the science of ?event attribution? is evolving rapidly. This postdoctoral position is part of the European ERA4CS ?EUPHEME? project, whose one of the main objectives is to develop state-of-the-art event attribution methods for a range of timescales, and new techniques for evaluating their reliability. The vision of the EUPHEME project is to place extreme weather events in the context of climate variability and change, thereby helping European citizens adapt to a changing climate and mitigate its worst effects. Scientific context: Event attribution relies on comparisons of various statistics of extreme events between a ?factual world? (i.e., the world as we observe it or at least with the real physical forcings) and a ?counter-factual world? (i.e., the world as it would be without one or several given forcings, as human-induced greenhouse gas emissions). Those comparisons are usually performed based on a very high number (1000s of runs) of climate model simulations. One issue is that General circulation models are generally too expensive to be run as long as needed to compute such statistics and at the demanded resolution. Stochastic weather generators (SWGs) are therefore a valid alternative: they are statistical models calibrated on past observations to simulate as many datasets as desired with the same statistical properties [Wilks, 2010, 2012]. Moreover, the dynamics of atmospheric motions depends on the observed atmospheric states. Recently, a technique to measure such state-dependent dynamical properties have been found [Faranda et al., 2017] by the computation of the so-called local dimensions (a measure of the state disorder) and the local persistence. Preliminary studies have shown that such information can be lumped with the statistical model to obtain ?conditional SWGs? (e.g., Wong et al., 2014) providing simulations with a realistic dynamics. Main goals: The goal of the postdoctoral research is to provide both a theoretical framework and a numerical tool to build conditional SWGs driven by dynamical systems properties. - The first step will be to introduce such properties and indicators in simple autoregressive models to mimic the dynamical properties of univariate time series of climate variables and simple dynamical systems. - Those state-dependent indicators will then be used to condition progressively more sophisticated SWGs (e.g., Vrac et al., 2007), up to spatial models (i.e., simulating fields) for climate variables as wind, temperature or precipitation. - At each stage, the different conditional SWGs developed will be applied in an event attribution purpose to evaluate the improvements achieved or still needed, depending on the extreme events of interest. Skills & diploma requested: The successful candidate should possess: - A PhD in Statistics, Applied Mathematics, Statistical Physics, Climate sciences or related field; - Strong bases on stochastic models including their statistical inference; - A basic knowledge of climate dynamics; - An excellent knowledge of R (recommended) or Python (second choice) programming languages; - A basic knowledge of dynamical systems framework will be a plus but is not mandatory; - English proficiency and attitude to work in an international research environment. Geographical location & scientific team: This postdoctoral position will be located at Gif-sur-Yvette (France), in the ?Extremes ? Statistics ? Impacts ? Regionalization? (ESTIMR) scientific research team of the ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE). The ESTIMR team develops a methodological research aiming to better understand the climate data: statistical analyses of observations and simulations in order to investigate the variability and identify the trends, modelling of extreme events, detection and attribution of their changes, downscaling, bias adjustment of simulations, uncertainty modelling of climate projections, etc. The ESTIMR team leads and participates to international projects, from pure to more applied science project. The main activity of the team relies on the use and development of advanced statistical models via a strong multidisciplinary interaction among climatology, modelling and statistics. How to apply: Applications will be open until January 31, 2018 (or until the position is filled) and have to be submitted by e-mail to M. Vrac (mathieu.vrac[at]lsce.ipsl.fr) and D. Faranda (davide.faranda[at]lsce.ipsl.fr) as soon as possible and must include: - a CV (max 2 pages + Publication list), - A statement of research interests describing why the candidate fits the position (max 2 pages), - The names of at least two references including e-mail addresses and telephone numbers. More information on the ?Extremes ? Statistics ? Impacts ? Regionalization? (ESTIMR) team: http://www.lsce.ipsl.fr/en/Phocea/Vie_des_labos/Ast/ast_groupe.php?id_group… More information on the ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE): http://www.lsce.ipsl.fr/ References: Davide Faranda, Gabriele Messori and Pascal Yiou. Dynamical proxies of North Atlantic predictability and extremes. Scientific Reports, 7-41278, 2017 Vrac, M., M. Stein, K. Hayhoe. Statistical downscaling of precipitation through nonhomogeneous stochastic weather typing. Climate Research, 2007, 34: 169-184, doi: 10.3354/cr00696 Wilks DS. Use of stochastic weather generators for precipitation downscaling. WIRES Clim Change 2010, 1(6):898?907 Wilks, D. S. (2012), Stochastic weather generators for climate-change downscaling, part II: multivariable and spatially coherent multisite downscaling. WIREs Clim Change, 3: 267?278. doi:10.1002/wcc.167 Wong, G., D. Maraun, M. Vrac, M. Widmann, J.M. Eden, and T. Kent, 2014: Stochastic Model Output Statistics for Bias Correcting and Downscaling Precipitation Including Extremes. J. Climate, 27, 6940?6959, https://doi.org/10.1175/JCLI-D-13-00604.1 -- Davide Faranda LSCE - CNRS http://www.lsce.ipsl.fr/Pisp/davide.faranda/

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Master programmes at the University of Kent
by Fabrizio Leisen 10 Jan '18

10 Jan '18

Con preghiera di diffusione. Contattami pure se avete bisogno di ulteriori informazioni. Cordiali saluti, Fabrizio Leisen A postgraduate degree in Statistics from the University of Kent can open many doors both in industry and research. The taught programmes in Statistics and Statistics with Finance provide exemption from the professional examinations of the Royal Statistical Society and qualification for Graduate Statistician status. The School of Mathematics, Statistics and Actuarial Science has a strong reputation for world-class research and a well-established system of support and training, with a high level of contact between staff and research students. Postgraduate students develop analytical, communication and research skills. Developing computational skills and applying them to mathematical problems forms a significant part of the postgraduate training in the School. The School encourages all postgraduate statistics students to take part in statistics seminars and to help in tutorial classes. The Statistics Group is forward-thinking, with varied research, and received high rankings in the Research Excellence Framework (REF) 2014 for research power and quality. An overview of the Statistics group activities can be found at https://www.kent.ac.uk/smsas/statistics/research/index.html For more information about postgraduate statistics programmes at Kent visit www.kent.ac.uk/smsas or contact the Admissions Officer: E: smsaspgadmissions(a)kent.ac.uk T: +44 (0) 1227 816050 Director: Fabrizio Leisen, F.Leisen(a)kent.ac.uk -- Fabrizio Leisen Reader in Statistics School of Mathematics, Statistics and Actuarial Sciences Sibson Building, University of Kent, Canterbury, CT2 7FS http://www.kent.ac.uk/smsas/statistics/our-people/profiles/leisen_fabrizio.… http://sites.google.com/site/fabrizioleisen/

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Seminario di Probabilità e Statistica Matematica a RM1
by Fabio Spizzichino 09 Jan '18

09 Jan '18

Il Prof. Yaakov Malinovsky (University of Maryland, Baltimore County) terra' un seminario dal titolo *Nested Group Testing Procedures and Generalized GT Problem* Giovedi' 11 Gennaio, ore 14:00, Aula B del Dipartimento di Matematica dell'Università La Sapienza, Piazzale A. Moro, 2 Tutte le persone interessate sono invitate ad intervenire Fabio Spizzichino ================ Abstract Group testing has its origins in the identi cation of syphilis in the US army during World War II. It is a useful method that has broad applications in medicine, engineering, and even in airport security control. Consider a finite population of N units, where unit i has a probability p to be defective. A group test is a simultaneous test on an arbitrary group of units with two possible outcomes: all units are good or at least one of the units is defective. The goal is to construct a procedure which classi fies all units in a given population, with as small as possible expected number of tests. In this talk I shall review previously known results in the group testing literature and present new results characterizing optimality of commonly used nested group testing procedures. In the second part of the talk, the generalized group testing problem (where unit i has a probability p_{i} to be defective) will be discussed as well. <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> Virus-free. www.avast.com <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> <#DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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mini corso di Mustafa Pinar su Combinatorial e Robust Optimization
by fabio bellini 09 Jan '18

09 Jan '18

Nei giorni 29-30-31/1 e 1-2/2, dalle ore 14 alle 17, il prof. Mustafa Pinar della Bilkent University di Ankara terrà un mini corso di dottorato su "Combinatorial and Robust Optimization". Le lezioni avranno luogo presso la Aula Seminari 2062 al secondo piano dell'edificio U7, in via Bicocca degli Arcimboldi 8. Tutti gli interessati sono invitati a partecipare; la partecipazione è libera; per motivi organizzativi occorre preiscriversi inviando una mail a nicoletta.alghisi(a)unimib.it. Saluti -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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MURF18 - Deadline for abstract submission: JAN 31, 2018
by Giovanni Puccetti 09 Jan '18

09 Jan '18

MURF18 - Deadline for abstract submission: JANUARY 31, 2018 Model Uncertainty and Robust Finance (II edition), University of Milano, MARCH 15-16, 2018 https://sites.google.com/site/murf2018/ CONFIRMED INVITED SPEAKERS Carole BERNARD (VUB & Grenoble EM) Roger COOKE (TU Delft) David LI (SAIF & SJTU Shangai) Massimo MARINACCI (Bocconi University) Walter SCHACHERMAYER (University of Vienna) Ludovic TANGPI (University of Vienna) FREE REGISTRATION FOR ACCEPTED CONTRIBUTED SPEAKERS (Deadline for abstract submission: JANUARY 31, 2018) DE FINETTI RISK SEMINAR on MARCH 14, 2018 (Lecture by W. SCHACHERMAYER and Welcome Reception) SPECIAL ISSUE in DEPENDENCE MODELING edited by Marco Frittelli and Emanuela Rosazza-Gianin

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Bando RTD-A presso Politecnico di Torino
by Franco Pellerey 09 Jan '18

09 Jan '18

A tutti gli interessati segnalo che presso il Politecnico di Torino e' stata indetta la procedura di selezione per la copertura di una posizione da Ricercatore Universitario a tempo determinato di tipo A, nell'SSD Mat/06, riservata a candidati che abbiano conseguito il Dottorato di Ricerca in data non antecedente al 01/01/2013. Il termine di scadenza per la presentazione delle domande alla predetta procedura di selezione è fissato per il giorno Giovedì 1° febbraio 2018. Il testo del bando e' reperibile al link https://www.swas.polito.it/services/concorsi/240.asp?id_documento_padre=147… Cordiali saluti, Franco Pellerey Dipartimento di Scienze Matematiche Politecnico di Torino

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de Finetti Risk Seminar - January 2018
by Emanuela Rosazza 09 Jan '18

09 Jan '18

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture David Hobson University of Warwick TITLE: Optimal stopping, time inconsistency and naive agents ABSTRACT: Many problems from finance and economics can be cast as optimal stopping problems. In the classical framework when we model agents as maximisers of expected utility the optimal stopping rule is a threshold rule. But what happens if we move beyond the standard setting? We discuss some examples from cautious stochastic utility and prospect theory. Then the problems become time-inconsistent and we must discuss how agents respond to time inconsistency. LOCATION: The seminar will be held on Wednesday, Januar 17, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) ****************************************************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Sapienza bando RTB/B SSD MAT/06
by Barbara Vantaggi 09 Jan '18

09 Jan '18

Con preghiera di diffusione a tutti gli interessati Si segnala l'uscita di un bando per un posto di RTD-B nel settore MAT/06 in Sapienza Università di Roma, presso il Dipartimento SBAI. Il bando ha scadenza 05/02/2018 ed è disponibile alla pagina https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/93601 Cordiali saluti Barbara Vantaggi

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REMINDER - January 15 deadline for Papers and Abstracts - 10th World Congress of the Bachelier Finance Society
by Paolo Guasoni 08 Jan '18

08 Jan '18

10th World Congress of the Bachelier Finance Society Dublin, July 16-20, 2018 Every two years, the World Congress of the Bachelier Finance Society brings together academics and practitioners in the Mathematical and Quantitative Finance community to exchange ideas, discuss the latest trends, and find new collaborations and employment opportunities. Submissions of papers and abstracts are open through January 15, 2018 at http://bacheliercongress2018.com/ Registration fees and accommodation options will be announced in the coming weeks on the website. Bachelier Finance Society Junior Scholar Award - sponsored by SIG At SIG, Quantitative Researchers explore the latest concepts in Financial Mathematics to solve problems found in the markets. Sponsored by SIG, this new award will honour the most outstanding contribution by a PhD student or postdoc with EUR 5000 (conditions apply). The award has been created to recognise scholars who share SIG’s passion for cutting-edge research. Conference participants will also have the opportunity to submit their CVs and potentially interview with our sponsors. For details on the Bachelier Finance Society Junior Scholar Award, see http://www.bachelierfinance.org/awards/junior-scholar-award.html Plenary Speakers René Aïd (Paris Dauphine), Hansjoerg Albrecher (HEC Lausanne), Bruno Bouchard (Paris Dauphine), J. Doyne Farmer (Oxford), Masaaki Fukasawa (Osaka), Xin Guo (Berkeley), Monique Jeanblanc (Evry), Charles-Albert Lehalle (Capital Market Fund), Walter Schachermayer (University of Vienna), José A. Scheinkman (Columbia), Mete Soner (ETH Zurich), Jianfeng Zhang (USC). Scientific Committee Pauline Barrieu (LSE), Erhan Bayraktar (University of Michigan), Michel Crouhy (Natixis), Jean-Pierre Fouque (Santa Barbara), Paolo Guasoni (Dublin City University), Takaki Hayashi (Keio), Vicky Henderson (Warwick), Alexander Lipton (Stronghold Labs), Andrew Lo (MIT), Jin Ma (USC), Huyên Pham (Paris VII), Jean-Charles Rochet (University of Zurich), Mathieu Rosenbaum (Ecole Polytechnique), Alexander Schied (Waterloo), Wim Schoutens (KU Leuven). -- *Séanadh Ríomhphoist/Email DisclaimerTá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://www4.dcu.ie/iss/seanadh-riomhphoist.shtml>This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://www4.dcu.ie/iss/email-disclaimer.shtml>* -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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Intensive Course in Optimization of Mustafa Pinar at Roma Tre University
by Francesco Cesarone 08 Jan '18

08 Jan '18

Dear Colleagues, on 15-16-17-18-19-22 January 2018 from 14:00 to 17:00 and on 23 January 2018 from 10:00 to 13:00 (Aula 18, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Prof. Mustafa Pinar of Bilkent University in Ankara will hold an intensive course on "Optimization in Economics and Finance". The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - course on Optimization. PROGRAM Optimization: theory and algorithms - Static optimization - Equality and inequality constraints. Lagrange multipliers, KKT conditions - The role of convexity and its generalizations in optimization - Lagrangian duality - Applications in Economics and Finance - Univariate uncostrained optimization - Multivariate unconstrained optimization (gradient-based methods, Newton's method and its variants) - Constrained optimization (penalty and barrier methods, augmented lagrangian method, sequential quadratic programming) - Optimization Software References - Optimization: Insights and Applications, J. Brinkhuis and V. Tikhomirov - Convex Optimization, S. Boyd and L. Vandenberghe - Convex Analysis and Optimization, Lecture Notes by A. Nemirovski We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Posto di ricercatore di Tipo A), Settore SECS-S/ 06èpresso la Luiss, Roma
by Fausto Gozzi 08 Jan '18

08 Jan '18

Vi segnalo che sono stati pubblicati in G.U. il 5 gennaio 2018 2 bandi (Ricercatore lett. a), settori SECS-S/06 e SECS-P/11). In particolare si segnala il bando seguente e si invitano tutti gli interessati a presentare domanda. 13/D4 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Pubblicato sulla Gazzetta Ufficiale in data 5 gennaio 2018 Settore scientifico-disciplinare SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie presso il Dipartimento di Economia e Finanza della LUISS Libera Università Internazionale degli Studi Sociali Guido Carli. Ricercatore art. 24, comma 3, lett. a) Codice concorso DEF-RIC-03/2018 Scadenza: 19 febbraio 2018 * <http://www.luiss.it/sites/www.luiss.it/files/BANDO_DEF-RIC-03-2018.pdf>Bando DEF-RIC-03/2018 Fausto Gozzi Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it

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Seminaio di N. Torri a Milano-Bicocca (11 gen 2018)
by Francesco Caravenna 08 Jan '18

08 Jan '18

Giovedì 11 gennaio 2018 alle ore 15:30 Niccolò Torri (Université Paris 6 - Pierre et Marie Curie) terrà un seminario dal titolo "Scaling limit of the prudent random walk" Aula 3014, Dipartimento di Matematica e Applicazioni (edificio U5, terzo piano, via Cozzi 55, Milano) Università di Milano-Bicocca Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%% The self-interacting self-avoiding random walk (ISAW) is a mathematical model introduced for studying the behavior of a polymer dipped in a repulsive solvent. In this model the possible spatial configurations of the polymer are provided by self-avoiding walk trajectories. However, self avoiding walks, especially in dimension 2 and 3, are complicated objects. This is the reason why, in the mathematical literature, the ISAW model was studied for sub-families of self-avoiding walks, as for instance the partially directed self-avoiding walk. A natural generalization of the partially directed self-avoiding walk is given by the so called "prudent random walk". A prudent path a non-directed self-avoiding path which cannot take a step towards a previously visited lattice site. The prudent self-avoiding walk has attracted the attention of the combinatorial and probabilistic community over recent years and already the 2-dimensional case presents challenging issues. In this talk we consider two of such issues, concerning the scaling limit as well as exponential growth rate of the set of prudent paths, making a link with the general context of the ISAW model. Joint work with N. Pétrélis and R. Sun %%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Post-Doc research grant in Padova
by Tiziano Vargiolu 08 Jan '18

08 Jan '18

(sorry for possible cross-postings) Dear all, the Interdepartmental Centre "Giorgio Levi Cases" for Energy, Economics and Technology (University of Padova) issues a research grant on the topic "Capacity markets and the definition of the value of Reliability Options" to be performed at the Department of Mathematics under the supervision of Prof. Tiziano Vargiolu (as the scientific responsible), in cooperation with Prof. Fulvio Fontini, of the Department of Economics and Management. - duration: 27 month; - deadline: January 18, 2017 - topic: In energy markets, it is of particular interest the problem of a fair evaluation of Reliability Options (RO), namely, physical call options derived on electricity, issued by generators and acquired by a subject to hedge adequacy risk of power generation. The aim of this grant is to define a fair pricing of RO, which requires techniques which go beyond those classically used in financial markets to price and hedge derivative assets. - call for grant: http://www.math.unipd.it/it/news/?id=2152 The English version is at the bottom (2 downloadable files). The successful candidate will not have teaching duties (however, there is in principle the possibility to teach, if wanted) and will have access to the Department's fundings for travel. For further information, feel free to contact me (vargiolu(a)math.unipd.it). Please circulate -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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University of Leeds - one post for a Professor of Mathematics or Statistics
by Elena Issoglio 07 Jan '18

07 Jan '18

Dear All, I am glad to announce that the School of Mathematics at the University of Leeds is advertising one post for a Professor of Mathematics or Statistics. Please follow the link for details https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1074 Closing date: 31st January 2018. I would be most grateful if you could please forward this announcement to suitable candidates. Best wishes, Elena 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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European Geosciences Union: Mathematics of Planet Earth
by Tobias Kuna 05 Jan '18

05 Jan '18

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Call for Abstracts: StochMod 2018 at Lancaster University
by Cecchi, F. 04 Jan '18

04 Jan '18

On behalf of Peter Jacko. Dear colleagues, We would like to invite you to submit abstracts for presentation at the 7th Stochastic Modelling meeting (StochMod 2018), which will take place on 13-15 June 2018 at Lancaster University, UK. Abstract submission closes on 14 February 2018. The StochMod meeting is run biennially by the EURO working group on stochastic modelling, and its scope covers both the theory and applications of stochastic models. StochMod 2018 will include keynote talks from - Margaret Brandeau (Stanford University) - Kevin Glazebrook (Lancaster University) - Kalyan Talluri (Imperial College London) and a tutorial by - Warren B. Powell (Princeton University). We will also have a panel discussion on "Teaching of stochastic modelling in the era of business analytics and data science", chaired by Ger Koole (VU-Amsterdam). [X] For additional information about StochMod 2018, please visit the meeting's webpage: http://www.lancaster.ac.uk/staff/jacko/stochmod2018/ We look forward to welcoming you in Lancaster! Best regards, Peter Jacko and Rouba Ibrahim (StochMod 2018 co-chairs)

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Univ. Ca' Foscari: SCADENZA 15-01-2018 - RTDa in Econometria
by Roberto Casarin 03 Jan '18

03 Jan '18

Gentili Colleghi, Il Dipartimento di Economia dell’Università Ca' Foscari di Venezia ha aperto un bando per una posizione di ricercatore a tempo determinato, di tipo A, della durata di 3 anni, per il settore SECS P/05 - Econometria: http://intra.unive.it/plapps/bandi/common/file_bandi/28096.pdf Si segnalano tra gli ulteriori requisiti indicati nel bando: "Il ricercatore dovrà essere particolarmente competente nell'uso di software econometrici e statistici come R o Matlab, avere conoscenza approfondita di statistica, econometria e modelli e metodi per l'analisi delle serie storiche" Il termine di presentazione della domanda è il 15 gennaio 2018 (vedere dettagli nel bando). Vi chiedo la cortesia di diffondere la notizia ai potenziali interessati. Cordiali saluti, Roberto Casarin -- Prof. Roberto Casarin Director of IMEF - International Master in Economics and Finance University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Web: http://venus.unive.it/r.casarin/ IMEF: http://virgo.unive.it/imef/ -- Nota automatica aggiunta dal sistema di posta.

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Posizione Ricercatore tipo B in SECS-06 Sapienza
by Gabriele Stabile 02 Jan '18

02 Jan '18

Con preghiera di diffusione a tutti gli interessati Concorso per un posto di *RTD-B* nel settore *SECS-S/06* in* Sapienza Università di Roma*, presso il Dipartimento MEMOTEF, per attività di ricerca sul tema *Metodi quantitativi, modelli matematici e tecniche numeriche per il pricing di strumenti finanziari e per la valutazione del rischio. * Il bando ha *scadenza 22/01/2018 *ed è disponibile alla pagina https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/93163 Un saluto Gabriele Stabile

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Postdoctoral position in Probability (Paris)
by Paolo Dai Pra 28 Dec '17

28 Dec '17

Postdoctoral position in Probability (ANR grant SWiWS) We offer a 2-year postdoctoral position in Probability Theory beginning September 2018 and funded by the ANR grant SWiWS. All candidates with a background in Probability or Mathematical Physics, and interested in working on the mathematical aspects of polymer folding, interacting random walks and related topics, are encouraged to apply. The position is officially attached with Paris-Est, and collaboration is expected with members of the SWiWS project (see below). Eligibility criteria: Holding a PhD in Mathematics. The selection will be based on the excellence of previous scientific achievements and the quality of the scientific project. Members of SWiWS project: Amine Asselah, Quentin Berger, Francis Comets, Yueyun Hu, Julien Poisat, Bruno Schapira, Perla Sousi. Contract details: Funding will also be available to participate in scientific events related to the project. Research stays in Marseille and Cambridge are possible. Applications should be sent by email and include: a CV, a list of publications, a description of research project as well as 2 letters of recommendation. Contact : Any member of the SWiWS project. See the following webpage: http://perso-math.univ-mlv.fr/users/asselah.amine/anr.html <http://perso-math.univ-mlv.fr/users/asselah.amine/anr.html> 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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PhD vacancy in Multi-State models
by Spitoni, C. (Cristian) 26 Dec '17

26 Dec '17

Project description Multi-state models are finding increased application in medical research. They allow a detailed view of the disease or recovery process of a patient, and they can be used to obtain prediction probabilities of future events, after a given event history. The offered position will involve developing novel statistical methods for the analysis of competing risks and multi-state models. Particular big emphasis will be given to new methodologies needed for modeling disease progression in the Intensive Care Unit (ICU) setting. Among the new methods to be explored: causal inference, correction for time dependent confounding, prediction for non Markov models. The offered position is a shared position between the Department of Mathematics of Utrecht University (50%) and the University Medical Center of Utrecht (50%). Hence, the student will work along with researchers from the Julius Center for Health Sciences and Primary Care (UMCU) and with physicians of the ICU, in order to build up models of medical relevance. Prerequisites We are seeking a candidate with a Master’s degree in Mathematics or a Master’s degree in Statistics and a strong affinity for mathematics. You have experience with programming languages, including statistical programming languages. Good communication skills in both written and spoken English are also essential. General information You will be offered a full-time position for four years. The gross monthly salary will amount to EUR 2.146,- in the first year to EUR 2.744,- in the fourth year (P-scale of the Collective Labour Agreement Dutch Universities). It is supplemented with a holiday bonus of 8% and an end-of-year bonus of 8,3% per year. In addition Utrecht University offers a pension scheme and a partially paid parental leave. Deadline for application February 23, 2018<x-apple-data-detectors://0> Latest starting date September 1, 2018<x-apple-data-detectors://1> How to apply Please submit the following material: 1. a cover letter including an explanation why you consider pursuing a Ph.D. in<http://ph.d.in/> multi-state modelling, 2. your curriculum vitae, 3. a list of all courses taken for your bachelor's and master's degrees together with grades, 4. your master's thesis, 5. names, contact information, and e-mail addresses of two academic referees. Contact Cristian Spitoni, email: C.Spitoni(a)uu.nl<mailto:C.Spitoni@uu.nl>

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Fwd: Pisa
by Cristian Giardina 23 Dec '17

23 Dec '17

Ricevo da Ellen Baake (Bielefeld) ed inoltro annuncio per un posto di dottorato in "mathematical population genetics". Saluti cordiali C. Giardina' ---------- Forwarded message ---------- From: Ellen Baake <ebaake(a)techfak.uni-bielefeld.de> Date: Fri, Dec 22, 2017 at 11:17 AM To: Cristian Giardina <cristian.giardina(a)unimore.it> Dear Cristian, I have another opening for a PhD student, see http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/ Anzeigen/Wiss/wiss17345_engl.pdf in case you know someone who might be interested. Season's greetings Ellen

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Fwd: Bandi PhD SNS 2018/2019
by Marco Romito 19 Dec '17

19 Dec '17

-------- Messaggio Inoltrato -------- Oggetto: nuovi Bandi PhD 2018/2019 Data: Tue, 19 Dec 2017 09:26:37 +0100 Mittente: segreteria studenti <segreteria.studenti(a)sns.it> Gentilissimi, si comunica che sono usciti i nuovi bandi di concorso a posti di perfezionamento e dottorato alla Scuola Normale Superiore. E' stato emanato un bando distinto per Data Science trattandosi di un dottorato congiunto. Ne trovate notizia, oltre che all'Albo Ufficiale della Scuola, sul sito sns https://www.sns.it/ammissione/ammissione-al-phd e sul sito dedicato dalla Scuola al PhD http://phd.sns.it/ La procedura on line per le candidature è già attiva su Ser.se https://serse.sns.it/it/ Scadenze: 28 febbraio per la presentazione delle candidature; 22 marzo-12 aprile colloqui. Si prega di darne massima diffusione. Cordiali saluti.

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Workshop “Stochastic Models in Ecology and Evolutionary Biology” - first announcement
by Marco Formentin 18 Dec '17

18 Dec '17

Dear All, we are glad to announce the workshop “Stochastic Models in Ecology and Evolutionary Biology” that will be held in Venice, 5-7 April 2018, at the Istituto Veneto di Scienze, Lettere ed Arti. Aim of the workshop is to bring together scientists with different background - people from biology, physics and mathematics - interested in stochastic models in ecology and evolutionary biology, to discuss issues and exchange methods and ideas. A partial list of topics includes: stochastic population dynamics, branching processes, molecular evolution, resilience and criticality of ecological systems, models and prediction of biodiversity, ecological interaction and microbial community dynamics. Invited Speakers (in alphabetical order - *TBC): J.-F. Arnoldi, E. Baake, Otto X. Cordero, J. Dalmau, K. Faust*, J. Friedman, A. Lambert, M. Loreau, T. Parson*, A. Sanchez, B. Trubenova*. The cost for workshop attendance will be 90 Euro, which includes coffee breaks and conference material. We will also have contributed talks and poster sessions. The call for abstracts will close on March 2, 2018. For all information about abstract submission, registration, accommodation and location, please check http://www.pd.infn.it/~maritan/veniceworkshop/veniceworkshop.html Best regards, The organizers, Paolo Dai Pra, Amos Maritan, Marco Formentin, Samir Suweis

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Posizione Ricercatore tipo A in Mat-05 e MAT-06
by Pietro Caputo 18 Dec '17

18 Dec '17

Ricevo e inoltro: ---------- Messaggio inoltrato ---------- Da: "Pierangelo Marcati" <pierangelo.marcati(a)gssi.it> Data: 18 Dic 2017 2:00 PM Oggetto: Posizione Ricercatore tipo A in Mat-05 e MAT-06 A: Cc: Cari Colleghi vi ricordo le posizioni RTD-A MAT/05 (Analisi Matematica) e MAT/06 (Probabilità) presso il GSSI in scadenza a fine mese: http://www.gssi.it/albo-ufficiale-online-gssi Cordiali saluti Piero Marcati

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seminario Carlo Sala in Bicocca
by fabio bellini 15 Dec '17

15 Dec '17

Il giorno martedì 19 dicembre alle ore 14.30, presso la aula demografica del DISMEQ al secondo piano dell'edificio U7 della Università di Milano-Bicocca, il dott. Carlo Sala dell'ESADE di Barcellona terrà un seminario su S&P 500 Index, an Option-Implied Risk Analysis Abstract The forward-looking nature of option market data allows one to derive economically-based and model-free conditional risk measures. The option-implied methodology overcomes the elicitability issue and is an interesting tool for regulators and companies to perform external or internal risk analysis without posing assumptions on the distribution of returns. The article proposes the first comprehensive analysis of the performances of these measures compared with classical risk measures for the S&P500. The option-implied estimates deliver good results during the financial crisis and emerge as a convenient alternative to the existing risk measures. Tutti gli interessati sono invitati a partecipare. -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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Assegno di ricerca biennale
by Elvira Di Nardo 14 Dec '17

14 Dec '17

Con preghiera di diffusione a tutti gli interessati. Si segnala l'uscita di un bando per un assegno di ricerca biennali nell'area 01 per matematica applicata. La ricerca si propone lo studio di nuove problematiche attuali della matematica applicata, con particolare riferimento a quelle elencate nel progetto scientifico del Dipartimento di Matematica dell'Università di Torino: http://www.dipmatematica.unito.it/do/home.pl/View?doc=dip_prog_scien.html per i seguenti settori scientifico-disciplinari: Calcolo delle Probabilità e Statistica Fisica Matematica Analisi Numerica Le tematiche di ricerca attive per il SSD MAT/06 sono reperibili al seguente link: http://www.dipmatematica.unito.it/do/gruppi.pl/Show?_id=2oge&tab=2 Le domande di ammissione alla selezione devono essere presentate utilizzando esclusivamente l'apposita procedura online al link https://pica.cineca.it/unito/assegni-di-ricerca-unito-cofinanziati-miur-xx/ dove è anche possibile scaricare il testo completo del bando. La presentazione delle domande di partecipazione dovrà essere perfezionata e conclusa improrogabilmente entro le ore 13.00 (ora di Roma) del 04/01/2018. Un saluto. Elvira Di Nardo -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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de Finetti Risk Seminar - December 21
by Emanuela Rosazza 14 Dec '17

14 Dec '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture TITLE: Probability measure valued polynomial processes Christa Cuchiero University of Vienna ABSTRACT: We introduce polynomial diffusions taking values in the space of probability mea- sures on a locally compact Polish space, generalizing the well-known Fleming-Viot process. We provide a representation of the corresponding extended generators, and prove well- posedness of the associated martingale problems. In particular, we obtain uniqueness by establishing a formula for the conditional moments of the solution, which in the finite-dimensional case reduces to a matrix exponential. The talk is based on joint work with Martin Larsson and Sara Svaluto Ferro. LOCATION: The seminar will be held on Thursday, December 21, at 17.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Seminario ARMSTRONG
by Matteo Ruggiero 12 Dec '17

12 Dec '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Mercoledì 20 Dicembre 2017, alle ore 11:30, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ John ARMSTRONG (King’s College London) STOCHASTIC DIFFERENTIAL EQUATIONS AS JETS We explain how Ito Stochastic Differential Equations (SDEs) on manifolds may be defined using 2-jets of smooth functions. We show how this relationship can be interpreted in terms of a convergent numerical scheme. We show how jets can be used to derive graphical representations of Ito SDEs and how jets give rise to a coordinate free approach to understanding SDEs and diffusions on manifolds. We will consider some applications of this approach. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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Seminario Luciano Campi a L'Aquila
by Fabio Antonelli 11 Dec '17

11 Dec '17

Il giorno 18 dicembre 2017 alle ore 12:30 presso il Laboratorio di Didattica della Matematica (Coppito 1 piano terra) il prof. Luciano Campi - London School of Economics terrà il seminario Nonzero-sum stochastic differential games with impulse controls: a verication theorem with applications Abstract: We consider a general nonzero-sum impulse game with two players. The main mathemat- ical contribution of the paper is a verication theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities for the value functions and the optimal strategies of the two players. As an application, we study an impulse game with a one-dimensional state variable, following a real-valued scaled Brownian motion, and two players with linear and symmetric running payos. We fully characterize a Nash equilibrium and provide explicit expressions for the optimal strategies and the value functions. We also prove some asymptotic results with respect to the intervention costs. Finally, we consider two further non-symmetric examples where a Nash equilibrium is found numerically. Fabio Antonelli

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PhD studentship on Pólya urns @ Bath (UK)
by Alessandra Cipriani 11 Dec '17

11 Dec '17

Ricevo ed inoltro. Alessandra Cipriani ---------------------------------------- Dear all, we offer a PhD studentship to be held at the University of Bath, in the prestigious Probability group Prob-L@B, under the supervision of Dr Cécile Mailler on reinforced stochastic processes, and in particular Pólya urns. The deadline for applications is January 28th, the starting date is October 1st; more information is available at https://www.findaphd.com/search/ProjectDetails.aspx?PJID=92845, and informal enquiries are encouraged and should be directed at c.mailler(a)bath.ac.uk. Best wishes, Cécile Mailler

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Seminario M. Maurelli a Pisa, 18 dicembre
by Marco Romito 11 Dec '17

11 Dec '17

Dear all, I would like to announce the following talk in the probability seminar at the University of Pisa. DATE AND TIME: Monday, December 18, 15:00h - 16:00h LOCATION: Aula Seminari, Dipartimento di Matematica, Universita' di Pisa SPEAKER: Mario Maurelli (Weierstrass Institute for Applied Analysis and Stochastics, Berlin, & Technische Universität Berlin) TITLE: A McKean-Vlasov SDE with reflecting boundaries ABSTRACT: McKean-Vlasov SDEs are SDEs where the coefficients depend on the law of the solution to the SDE. Their interest is in the links with nonlinear PDEs on one side (the SDE-related Fokker-Planck equation is nonlinear) and with interacting particles on the other side (the McKean-Vlasov SDE can be approximated by a system of weakly coupled SDEs). In this talk, motivated by a model of lithium-ion batteries, we introduce a McKean-Vlasov SDE constrained on a bounded domain. The novelty lies in the particular interplay between the mean field interaction and the boundary conditions. We study well-posedness and particle approximation. Our analysis combines techniques for SDEs with Neumann boundary terms (Skorokhod equation, Lions-Sznitman) and ideas from a recent approach to McKean-Vlasov SDEs (Cass-Lyons). Everyone is invited to participate.

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Fwd: Saint-Flour 2018, July 8-20
by Marco Romito 10 Dec '17

10 Dec '17

FIRST ANNOUNCEMENT Dear colleagues The 48th Saint-Flour Probability Summer School will be held on July 8-20, 2018. This year, the three courses will be: *Hugo Duminil-Copin* (IHES Paris-Saclay):/Graphical representations of the Ising model/. *Asaf Nachmias* (Tel Aviv University):/Planar maps, random walks and the circle packingtheorem/. *Balint Tóth* (University of Bristol):/Scaling limits for random walks and diffusion with long memory/. Further information can be found on the conference website: recherche.math.univ-bpclermont.fr/stflour/stflour-en.php Online registration will open in February. You will receive another announcement at that time. Please give the information to anyone else who might be interested. Best regards, The organizing committee Christophe Bahadoran, Hacène Djellout, Arnaud Guillin, Laurent Serlet ------------------------------------------------- Laboratoire de Mathématiques Blaise Pascal, CNRS UMR 6620 Université Clermont-Auvergne, Campus des Cézeaux 3, place Vasarely TSA 60026 CS 60026 63178 Aubière cedex, France Tel: +33 (0)4 73 40 70 50 Fax: +33 (0)4 73 40 54 50 mailto:stflour@math.univ-bpclermont.fr

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de Finetti Risk Seminar - December 2017
by emanuela rosazza gianin 10 Dec '17

10 Dec '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Learning Consumer Tastes from Dynamic Assortments: A Nonparametric Bayesian Model Canan Ulu Georgetown University Abstract. We study dynamic assortment decisions of a firm learning about consumer tastes by observing sales of the products offered. Each period, the firm offers an assortment to maximize expected total profits over a finite horizon given its subjective beliefs on consumer tastes. The consumers choose a product that maximizes their own utility and the firm updates its beliefs on consumer tastes after having observed the sales of each product in the assortment. We model consumer tastes as locations on a Hotelling line and develop a nonparametric Bayesian learning model using Polya tree priors that makes no assumptions on the form of the consumer taste distribution. Our nonparametric learning model results in optimal profits that are robust to misspecification in the consumer taste distribution. We develop upper bounds on the firm’s total profit based on information relaxations and study the performance of various heuristic policies with respect to these upper bounds. LOCATION: The seminar will be held on Wednesday, December 13, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen <https://maps.google.com/?q=Via+Rontgen+1&entry=gmail&source=g> 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) ************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it ****************************************************

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Study group with industry
by Enrico Scalas 08 Dec '17

08 Dec '17

Dear Colleagues, If you are in the London area, you might be interested in this Energy Systems Study Group with Industry with a probabilistic twist: http://www.sussex.ac.uk/maths/research/essgi Best wishes, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Avviso di mini-corso :: Bakka@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 07 Dec '17

07 Dec '17

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Dipartimento di Scienze Statistiche Sapienza Università di Roma ----------------------------------------------------------------------------- Mercoledì, 13 Dicembre, ore 08:30-12:30 (Aula VI, 4 piano) Giovedì, 14 Dicembre, ore 15:00-19:00 Venerdì, 15 Dicembre, ore 15:00-19:00 ----------------------------------------------------------------------------- Il corso è gratuito, prevalentemente rivolto agli studenti del curriculum internazionale della Laurea Magistrale in Statistics and Decision Sciences, ma aperto anche alla partecipazione di esterni. Dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form entro domenica 10 Dicembre: url: https://goo.gl/vfM9FM Entro lunedì 11 Dicembre verrà inviata conferma dell'effettiva disponibilità del posto all’indirizzo email fornito. Ovviamente “first come, first served”, con possibile piccolo bias in favore di studenti e dottorandi. Buon ponte lungo... Pierpaolo Brutti ----------------------------------------------------------------------------- W H O / Haakon Bakka (https://www.ntnu.edu/employees/haakon.bakka) T I T L E / Introduction to R-INLA for Bayesian Spatial Modelling A B S T R A C T / The course starts with a general overview of the possibilities in INLA, for applied research and for model development. We will proceed to examples of generalised linear models with several random effects. We discuss the cool ideas making INLA fast; why most likelihoods are near-Gaussian in the posterior, how to represent random effects with sparse matrices, and more. The last part of the course is looking at spatial random effects and how they fit into the INLA framework; using the brilliant SPDE approach. In the SPDE approach we approximate the spatial random effect itself, representing it in the entire study area, without needing to know the observation locations. Inference in INLA is so fast that we can run all examples live in class! I am looking forwards to giving the course, and I hope to see you there. S Y L L A B U S / Introduction - What is INLA? Why are so many using it? Why the high impact? - Why you should be very excited to be in this course! - The two core ideas: GMRF, Laplace - Bayesian fitting and prediction Time series and several nonlinear effects - Data: Unemployment - INLA inputs and outputs - GMRF structure with spare precision matrix - Run time O(N) - Simulation-inference Exploring hyper-space - Conditionally Gaussian - Gradient descent - Good computational parametrisations - Logfile & Inference diagnostics - Representing the posterior NOT as samples but as... Non-Gaussian likelihoods - Data: Seeds - Laplace approximation / Nested Laplace - Simulation-inference What models exist in INLA - What likelihoods and links? - What happens when we change the link function? - Multiple likelihoods - Rgeneric: Every model is possible! Priors and interpretable parameters - Interpretable parametrisation vs computational parametrisation - Uninformative priors, conjugate priors - Good priors! - Hierarchical models and “analysis of component variance” Disease-mapping with Besag - Spatial model - Revisiting all the topics so far Continuous spatial models - Data: Fish larvae - How to get O(N^1.5) instead of O(N^3) - De-connecting observation locations and the underlying model - The famous SPDE-approach - Finite Element method and mesh - Simulation-inference -----------------------------------------------------------------------------

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[RTD-B] Posizione in Statistica - Scadenza 29/12/2017
by stefano iacus 06 Dec '17

06 Dec '17

Il Dipartimento di Economia, Management e Metodi Quantitativi ha bandito la seguente posizione RTD-B di Statistica. [N. 1 posto s.c. 13/D1, ssd SECS -S/01 (Codice 3733). Bando D.R. 4169/2017 del 7.11.2017 (G.U. n. 91 del 28.11.2017; settore concorsuale 13/D1 - Statistica, ssd SECS-S/01 - Statistica] SCADENZA: 29 dicembre 2017, ore 12:00 (ora italiana) Cosa si aspetta il dipartimento? (*) Il ricercatore vincitore della procedura di valutazione verrà inserito nei progetti di ricerca di Statistica Computazionale e Data Science del Dipartimento. Contribuirà con le sue ricerche al DataScienceLab (http://datasciencelab.unimi.it) e parteciperà anche alla didattica del nuovo Master in Data Science for Economics, Business and Finanza e alla futura Laurea Magistrale in Data Science and Economics. Chi cerchiamo? (*) I migliori candidati, con solide basi metodologiche ma che si muovono nell'alveo della Data Science e che possano spingere il Dipartimento ancora più avanti nella ricerca in questo campo. Per maggiori informazioni e per inviare la domanda di partecipazione: http://www.unimi.it/ateneo/valcomp/94001.htm <http://www.unimi.it/ateneo/valcomp/94001.htm> Contatti ulteriori: datasciencelab(a)unimi.it <mailto:datasciencelab@unimi.it>, stefano.iacus(a)unimi.it <mailto:stefano.iacus@unimi.it> Con preghiera di massima diffusione Stefano M. Iacus (*) Fatti salvi i requisiti concorsuali e gli obblighi di legge in merito a reclutamento, ecc ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of MEF - Master in Finance & Economics http://www.mef.unimi.it CEO/CTO/Co-Founder VOICES from the Blogs http://www.voices-int.com Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en http://orcid.org/0000-0002-4884-0047 Master in Finance & Economics http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further information at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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RTD-A MAT/05 e MAT 06 al GSSI
by Francesco Caravenna 06 Dec '17

06 Dec '17

Ricevo e inoltro. > Da: Pierangelo Marcati <pierangelo.marcati(a)gssi.infn.it> > Oggetto: RTD-A MAT/05 e MAT 06 al GSSI > Data: 5 dicembre 2017 19:38:04 CET > > 2 posti RTD-A in Analisi Mat. (MAT05) and Probabilità(MAT06) al GSSI > si prega dare massima diffusione > > http://www.gssi.it/albo-ufficiale-online-gssi <http://www.gssi.it/albo-ufficiale-online-gssi> > > > ----------------------------- > * Pierangelo Marcati * > ----------------------------- > Scientific Director > Mathematics Division > GranSasso Science Institute, > INFN - L'Aquila - Italy > http://www.gssi.it <http://www.gssi.it/> > +39(086)242-80262 > > Professor at DISIM (on leave) > Dept. of Information Engineering, Computer Science and Mathematics > University of L'Aquila - Italy > Skype name: p.marcati > http://univaq.it/~marcati <http://univaq.it/~marcati> > +39(086)243-3143

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EFI3, February 15-16, 2018, Pescara (Italy): deadline extension
by Tiziano Vargiolu 06 Dec '17

06 Dec '17

Dear all, due to several requests, we are extending the deadline for submissions to December, 18. Those who are eligible and interested in the ACRI Young Investigator Training Program (see below) are kindly requested to REGISTER as soon as possible, and express qualification and interest by answering YES to the related question, to the link: https://docs.google.com/forms/d/e/1FAIpQLSeDMDCIUiS765NkPuK2I5CxaaECO4xOTb1… We are glad to invite you to contribute and take part in the third edition of the workshop Energy Finance Italia, this time held in Pescara (Italy) on February 15-16, 2018 http://energyfinanceitalia.dtdns.net/index.php/efi3 A selection of papers contributed to the workshop will be published on the Journal of Energy Markets. Call for papers: acceptance of submissions has started. The deadline for extended abstract submission is December 18, 2017. The format of the abstract is maximum two pages, in pdf, in which the name of the presenting Author and the title of the presentation have to be specified. The abstract should be sent to the address energyfinanceitalia(a)gmail.com Fees: 100 euros per person. They include session break refreshments, lunches and the social dinner. Instructions about how to pay will be given soon. EFI3 Young Investigator Training Program ---------------------------------------- The network of Italian universities behind EFI3 will participate in a competitive call of the Associazione di Fondazioni e di Casse di Risparmio (ACRI) named 'YOUNG INVESTIGATOR TRANING PROGRAM'. If financed, this program will allow our network to issue some grants to young researchers (younger than 40 years of age) working outside Italy (Italian or not) to facilitate them 1) to participate to the EFI3 workshop, and 2) to spend one month in one of the universities of the network. These grants will be awarded on a competitive basis, and will be of 3000 Euro for European residents and 4000 Euro for non-European residents. ACRI is expected to announce the results of its financing competition by the end of December 2017. News about this initiative will appear on the website http://energyfinanceitalia.dtdns.net/index.php/efi3 We all hope to see you all in Pescara! Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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seminari Jara e Gubinelli
by FRANCO FLANDOLI 05 Dec '17

05 Dec '17

Giovedì 7 dicembre, nell'aula Cantimori della Scuola Normale Superiore (Palazzo D'Ancona), si terranno i seguenti seminari: 14:00 Milton Jara (IMPA) Title: Entropy methods in interacting particle systems. 15:00 Massimiliano Gubinelli (Bonn) Title: Weak universality of singular SPDEs. Seguono gli abstract. Tutti gli interessati sono invitati a partecipare. Abstract M. Jara: We develop a variational formula to estimate the moment generating function of additive functionals of Markov processes. Combined with a related variational formula for the evolution of the relative entropy of the law of the process with respect to suitable reference measures, this variational formula serves as a substitute for the martingale method pioneered by Kipnis-Varadhan in the case of out-of-equilibrium interacting particle systems. Abstract M. Gubinelli: I will discuss the problem of controlling the large scale limit of weakly non-linear SPDEs in the regime where the non-linearity survives at the macroscopic scale giving rise to singular non-linear SPDEs.

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(senza oggetto)
by enea giuseppe bongiorno 01 Dec '17

01 Dec '17

Cari colleghi, segnalo l'apertura del seguente bando per assegni di ricerca presso l'Università del PIemonte Orientale: - Bando D.R. n. 1396/2017 (id. 393) per il conferimento di n. 27 Assegni di Ricerca – tipologia a - Bando Fondazione CRT (affissione: 30/11/2017 - scadenza: 15/01/2018) Il bando è stato pubblicato sul sito dell'ateneo www.uniupo.it (Ricerca/Assegni di ricerca/bandi), consultabile cliccando il seguente indirizzo: http://www.uniupo.it/it/ricerca/assegni-di-ricerca/bandi Nei prossimi giorni le informazioni relative al bando verranno pubblicati anche sul sito del Ministero (http://bandi.miur.it/) e su quello dell’Unione europea (http://ec.europa.eu/euraxess/) Segnalo che per il nostro settore risultano di interesse le due seguenti tematiche di ricerca (rispettivamente la 24 e la 25 dell'elenco allegato al bando): Semi and Nonparametric techniques for functional data with applications to economic and financial data (codice ERC PE1_14) Risk measures and Capital allocation problems with applications to market and insurance risks in a changing world (codice ERC PE1_21) Un cordiale saluto, E.Bongiorno -- ------ Enea Bongiorno, PhD Università degli Studi del Piemonte Orientale Via Perrone 18, 28100, Novara, Italia Tel: +390321375317 <0321%20375317> e-mail: enea.bongiorno(a)uniupo.it personal page: https://sites.google.com/site/eneabongiorno/

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Kolmogorov meets Turing @ Roma Tre 01/12/17
by Pietro Caputo 01 Dec '17

01 Dec '17

Friday December 1st 2017, Roma Tre University *Kolmogorov meets Turing 4th edition*, a workshop on probabilistic methods for the analysis of stochastic processes and randomized algorithms. Link: http://www.mat.uniroma3.it/users/caputo/kmt2017.html ********************************* Aula F, Dipartimento di Matematica e Fisica, Roma Tre Largo S. Murialdo 1, 00146 Roma 14:30-15:20 Chris Schwiegelshohn *PCA for k-means: Preserving Cost, Clusters, And Beyond* 15:25-16:15 Marco Scarsini *When is selfish routing bad? The price of anarchy in light and heavy traffic. * 16:20-16:45 Coffe break 16:45-17:35 Francesco Pasquale *Rationality and Randomness. * 17:40-18:30 Alexandre Stauffer *Multi-particle diffusion limited aggregation. * Organizers: Luca Becchetti, Pietro Caputo, Andrea Clementi, Stefano Leonardi, Marco Scarsini

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Fwd: Búsqueda de candidatos para contratos posdoctorales - Searching for post-doctoral candidates
by enea giuseppe bongiorno 01 Dec '17

01 Dec '17

Cari colleghi, ricevo ed inoltro. Cordiali saluti, EB ---------- Forwarded message ---------- From: Ana Almécija Pereda <ana.almecija(a)udc.es> Date: 2017-12-01 10:14 GMT+01:00 Subject: Búsqueda de candidatos para contratos posdoctorales - Searching for post-doctoral candidates To: ana.almecija(a)udc.es Buenos días: En nombre de los profesores Ricardo Cao Abad y Juan Vilar Fernández, coordinadores del grupo de investigación Modelización, Optimización e Inferencia Estadística (MODES) de la Universidad de A Coruña (UDC), remito el anuncio adjunto con el fin de seleccionar doctores candidatos que deseen llevar a cabo su investigación en el grupo MODES, en el ámbito de la estadística o la investigación operativa. El perfil de los candidatos es el de un doctor en estadística o investigación operativa, con un buen registro de publicaciones en uno de estos ámbitos. Se valorará la experiencia posdoctoral, aunque no se excluye la posibilidad de concurrencia de candidatos que obtengan su título de doctor en muy breve plazo. Los seleccionados podrán ser contratados con cargo a alguno de los proyectos de investigación vigentes en el grupo MODES. Además, podrán participar, conjuntamente con el grupo MODES, en diversas convocatorias competitivas de contratos posdoctorales (Juan de la Cierva Formación, Juan de la Cierva Incoporación y Ramón y Cajal entre ellas). Las personas interesadas pueden enviar su expresión de interés, junto con su CV, a esta dirección de correo electrónico (ana.almecija(a)udc.es) no más tarde del *13 de diciembre de 2017*. Os agradeceríamos que dieseis difusión a este anuncio. Muchas gracias por adelantado. Un saludo, ------------------------------------------------------------ ------------------------------------------------------------ ---------------------------------------------------- Dear Sir/Madam, On behalf of professors Ricardo Cao Abad and Juan Vilar Fernández, coordinators of the research group Modeling, Optimization and Statistical Inference (MODES) of the University of A Coruña (UDC), I forward the attached announcement in order to select post-doctoral candidates to carry out their research in the group MODES, in the fields of statistics or operations research. The profile of the candidates is a doctor in statistics or operations research, with a good record of publications in one of these areas. Post-doctoral experience will be valued but candidates who are obtaining their PhD in a very short period of time are not excluded. The selected candidates will be hired via research funds already obtained by MODES. In addition, they may apply, together with MODES, to different competitives calls for post-doctoral contracts (Juan de la Cierva Formación, Juan de la Cierva Incorporación and Ramón y Cajal among others). Interested candidates should send their expression of interest, togeher with their CV, to this email address (ana.almecija(a)udc.es) not later than *December 13th 2017*. We will appreciate if you could spread this announcement. Thank you very much in advance. Kind regards, -- Ana Almécija Pereda Técnico de Gestión de Proyectos Departamento de Matemáticas Facultade de Informática Universidade da Coruña Campus de Elviña s/n 15071 A Coruña Tfn: (+34) 981 167 000 <+34%20981%2016%2070%2000> (ext. 1308)ana.almecija(a)udc.es -- ------ Enea Bongiorno, PhD Università degli Studi del Piemonte Orientale Via Perrone 18, 28100, Novara, Italia Tel: +390321375317 <0321%20375317> e-mail: enea.bongiorno(a)uniupo.it personal page: https://sites.google.com/site/eneabongiorno/

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Bando posto ricercatore tempo determinato RTD A (13/D1 STATISTICA)- Università Ca' Foscari Venezia
by Carlo Gaetan 30 Nov '17

30 Nov '17

Presso il Dipartimento di Scienze Ambientali, Informatica e Statistica (DAIS) dell'Università Ca' Foscari Venezia è stato bandito un posto per un ricercatore di tipo A nel settore scientifico concorsuale 13/D1 STATISTICA (Settore scientifico-disciplinare SECS-S/01). Il bando, che ha scadenza il 14 dicembre 2017 ore 12:00 CET, è disponibile all'indirizzo: http://intra.unive.it/plapps/bandi/common/showbando?id=27993 Cordiali saluti Carlo Gaetan -- Dipartimento di Scienze Ambientali, Informatica e Statistica - DAIS Università Ca' Foscari - Venezia Edificio Zeta Via Torino, 155 I-30172 Mestre (VE) ITALY phone: ++39 041 234 8404 mobile phone: ++39 366 629 7899 e-mail:[gaetan"at"unive"dot"it] web:[http://www.dais.unive.it/~gaetan] Please don't print this e-mail unless you really need to. Please avoid sending me Word, Excel or PowerPoint attachments. See http://www.gnu.org/philosophy/no-word-attachments.html. Per favore non stampate questo messaggio se non è proprio necessario. Per favore non mandatemi allegati in Word, Excel o PowerPoint. Le ragioni sono spiegate qui http://www.gnu.org/philosophy/no-word-attachments.it.html

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An Autumn Day in Probability and Statistical Physics
by Francesca Romana Nardi 29 Nov '17

29 Nov '17

Carissimi, scrivo per annunciare che il 15 Dicembre 2017 si svolgera` il secondo incontro della serie di giornate sulla probabilita` e le sue applicazioni alla Fisica, Biologia e Scienze sociali. Ricordo che lo scopo e` di stimolare lo scambio di idee, la collaborazione scientifica tra i partecipanti e offrire ai piu` giovani l'opportunita` di venire a contatto con un ampio panorama di temi di ricerca. L'incontro si svolgera` in un'aula universitaria vicino alla stazione di Firenze S. Maria Novella, per rendere piu` agevole la partecipazione. Di seguito trovate i dettagli della giornata AN AUTUMN DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 15 December 2017 Lecturers: Milton Jara (IMPA) and Nikos Zygouras (Warwick) Location: Aula Magna di Via S. Gallo 10, Firenze Dr. Milton Jara (IMPA: Istituto de Matematica Pura e Aplicada, Rio de Janeiro, Brasil) Title: Weak universality of the stationary KPZ equation Dr. Nikos Zygouras (University of Warwick, Coventry, UK) Title: Combinatorial structures in KPZ stochastic models Program: 11.00-11.45 Introductory lecture: Jara 11.45-12.00 Break 12.00-12.45 Seminar: Jara 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: Zygouras 15.15-15.30 Break 15.30-16.15 Seminar: Zygouras Organizers: F. Caravenna N. Cancrini E.N.M. Cirillo P. Dai Pra A. De Masi D. Fanelli F. Flandoli C. Giardina` R. Livi F. Martinelli I.G. Minelli F.R. Nardi E. Presutti B. Scoppola E. Scoppola Note pratiche: 1) E` importante prenotare il biglietto del treno il piu` presto possibile per poter usufruire di sconti!!!! 2) Stiamo prenotando un ristorante con un paio di menu fissi che possa ospitarci, ma ho bisogno del numero di persone che vogliono mangiare insieme. A coloro che fossero interessati chiedo di mandare un email a francescaromana.nardi(a)unifi.it Resta fermo il fatto che saremo in pieno centro di Firenze, quindi ci sono moltissime altre possibilita` per mangiare se preferite regolarvi indipendentemente. Vi aspettiamo, Francesca R. Nardi Dipartimento di Matematica e Informatica Università degli Studi di Firenze Viale Morgagni 67, Firenze, Italy

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2018 ABS Summer School on Bayes and Sport (Como, Italy)
by Consonni Guido 29 Nov '17

29 Nov '17

We are glad to announce that the 2018 Applied Bayesian Statistics Summer School (15th edition) will be held in the magnificent Villa del Grumello, Como (Italy) along the Lake Como shore. BAYESIAN STATISTICAL MODELLING AND ANALYSIS IN SPORT 4-8 June, 2018 Lecturer: Kerrie MENGERSEN, Distinguished Professor of Statistics, Queensland University of Technology, Brisbane, Australia. Further details are provided below. Guido Consonni and Fabrizio Ruggeri ABS18 Directors Raffaele Argiento ABS18 Executive Director ------------------------------------------------------------------------ ******************************* * ABS18 * ******************************* Applied Bayesian Statistics School BAYESIAN STATISTICAL MODELLING AND ANALYSIS IN SPORT Villa del Grumello, Como, Italy 4-8 June, 2018 Lecturer: Kerrie MENGERSEN, Distinguished Professor of Statistics, Queensland University of Technology, Brisbane, Australia. The conference webpage is >>>> web.mi.imati.cnr.it/conferences/abs18.html <<<< Registration is now open. Please note that the conference room allows only for a limited number of participants. The ABS18 Secretariat can be contacted at fabrizio(a)mi.imati.cnr.it COURSE OUTLINE The aim of this course is to increase students' ability to develop Bayesian models and computational solutions for real problems in the world of sport. A case study based teaching approach will be taken for the course. Each day, students will be presented with one or two problems posed by Sports Institutes regarding aspects of athlete training for world games. Through participatory problem solving, the students will be challenged to learn about theory, methods and applications of a range of Bayesian models including mixtures, spatio- temporal models, hidden Markov models and experimental design, and computational approaches including Markov chain Monte Carlo and Approximate Bayesian Computation. This hands-on course pays equivalent attention to theory and application, foundation and frontiers in Bayesian modelling and analysis. While the focus of the case studies is on sport, both sporting novices and lovers of sports are welcome, noting that the learning obtained in the course will be widely applicable to many other areas. COURSE SCHEDULE Day 1: Lectures on introduction to Bayesian modelling and computation. Presentation of Problem 1: ranking and benchmarking athletes. Discussion and implementation of potential Bayesian hierarchical models and computational solutions. Communication of results. Day 2: Lectures on foundational Bayesian theory. Presentation of Problem 3: modelling swimmers' effective work per stroke. Discussion and implementation of potential Bayesian high dimensional regression models and computational solutions. Communication of results. Presentation of Problem 4: modelling cyclists' wearable data. Discussion and implementation of potential (marked) time series models and computational solutions. Communication of results. Day 3: Lectures on foundational Bayesian computation. Presentation of Problem 5: optimising athletes' resilience. Discussion and implementation of potential Bayesian mixture models to relate performance, fatigue and recovery. Communication of results. Day 4: Lectures on foundational Bayesian computation and frontier Bayesian theory. Presentation of Problem 6: optimal sampling strategies. Discussion and implementation of potential Bayesian experimental design methods for acquiring data from athletes. Presentation of Problem 7: using video data to compare planned and set play in team sports. Discussion and implementation of potential Bayesian spatio-temporal models. Communication of results. Day 5: Lectures on frontier Bayesian computation. Finalisation of problems 1-7. Extensions. Concluding remarks. PRACTICAL INFORMATION The school will replicate the successful format of the previous years, and will feature lectures and practical sessions (run by a junior researcher), as well as participants' talks. It will start on Monday after lunch and end on Friday before lunch; Wednesday afternoon is free. Accommodation is available either at the Villa guesthouse or in downtown hotels (info will appear soon on the website). Como can be easily reached by train from Milan and its airports. More details are available on the website.

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Seminario C. Olivera @ UniTo
by Cristina Zucca 29 Nov '17

29 Nov '17

A tutti gli interessati. Lunedì 4 dicembre alle ore 14:30 in aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Prof. Christian Olivera (Universita` di Campinas) terrà un seminario dal titolo: "On a class of stochastic transport equations for L^2_loc vector fields" Abstract: //In this talk we discuss the existence and uniqueness of solutions to a class of stochastic transport equations with irregular coefficients. Asking only boundedness of the divergence of the coefficients (a classical condition in both the deterministic and stochastic setting), we can lower the integrability regularity required in known results on the coefficients. This is based on a joint work with Ennio Fedrizzi and Wladimir Neves. -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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seminar at LUISS
by Marco Scarsini 27 Nov '17

27 Nov '17

Tuesday December 5, at 12:00 room 209 LUISS Viale Romania 32 00197 Roma, ITALY Speaker: Tim Roughgarden (Stanford University) Title: Data-Driven Optimal Auction Theory Abstract: The traditional economic approach to revenue-maximizing auction design posits a known prior distribution over what bidders are willing to pay, and then solves for the auction that maximizes the seller's expected revenue with respect to this distribution. But where does this distribution come from? One obvious answer is from data, in the form of previous bids by comparable bidders in auctions for comparable items. We survey recent work that develops theory to help reason about questions such as: (i) How much data is necessary and sufficient to identify a near-optimal auction? (ii) What is the optimal way to use data? (iii) Are there fundamental trade-offs between auction complexity and auction optimality? ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Deadline extension - Quantitative Finance Workshop 2018 - Uniroma3
by Francesco Cesarone 27 Nov '17

27 Nov '17

==================================================================== EXTENSION OF THE DEADLINE TO DECEMBER 7TH QFW2018 XIX edition of the Workshop on Quantitative Finance Department of Business Studies - Roma Tre University, Rome, Italy 24-25-26 January 2018 http://disa.uniroma3.it/qfw2018/ ==================================================================== Dear Colleagues, Due to several requests, the deadline for submitting an Extended Abstract is extended to December 7th, 2017. We recall that there is no registration fee, conference sponsors will provide coffee-breaks, lunches and the social dinner. Furthermore, several research prizes connected with the conference could be made available for young researchers (for more details see http://disa.uniroma3.it/qfw2018/#1488886813070-37410e9c-f120). We also organized several satellite events before the conference: 1) on 15-16-17-18-19-22-23 January 2018, Prof. Mustafa Pinar of Bilkent University in Ankara will hold an intensive course on Optimization in Economics and Finance; 2) on 23 January 2018, Mathworks <https://www.mathworks.com/>Researchers will organize a mini-workshop; 3) on 24 January 2018, Advanced Risk and Portfolio Management (ARPM <https://www.arpm.co/>) Researchers will organize a mini-workshop. The attendance of these three events is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: for event 1): Name Surname - course on Optimization; for event 2): Name Surname - Mathworks mini-workshop; for event 3): Name Surname - ARPM mini-workshop. We look forward to meeting you in Rome! Best regards, The organizing committee -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Seminario MLADEN SAVOV (presso Federico II - dip di Matematica)
by Bruno Toaldo 27 Nov '17

27 Nov '17

Lunedì 4 dicembre alle ore 15 in aula E al III livello del dipartimento di Matematica e Applicazioni "Renato Caccioppoli" dell'Università degli Studi di Napoli Federico II si svolgerà il seguente seminario: Speaker: Mladen Savov (Bulgarian Academy of Sciences) Titolo: Bernstein-gamma functions and exponential functionals of Lévy processes Abstract: In this talk we introduce a new class of special functions, called Bernstein-gamma functions. This simple class extends the classical Gamma function. We derive the Stirling asymptotic and describe the main analytic properties of the class of Bernstein-gamma functions. We then use these functions to evaluate explicitly the Mellin transform of the so-called exponential functionals of Levy processes which in turn allows a thorough study of these random variables. We also discuss the link between the Bernstein-gamma functions and many quantities related to one-dimensional self-similar Markov processes. The latter suggests that Bernstein-gamma functions can play the same role the Gamma function plays in the understanding of many continuous path stochastic processes. This is joint work with Pierre Patie (Cornel, US) Tutti gli interessati sono invitati a partecipare. Bruno Toaldo

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Fwd: Ausschreibung der Stochastikstelle (W3 professorship in Ulm)
by Marco Romito 26 Nov '17

26 Nov '17

The Faculty of Mathematics and Economics at Ulm University invites applications for a Professorship (W3, associate) in "Stochastics" to be filled by 1 October 2018. Candidates should have an internationally outstanding research and teaching record in Stochastics (Probability Theory and Mathematical Statistics) as well as experience in the acquisition of third party funding. The research focus should be in the area of Stochastics at the interface with Analysis (e.g. Stochastic Partial Differential Equations) with relations to applications in the natural or life sciences or in engineering. A particular interest in collaborations within the various research areas of Ulm University and with further local research institutions is desired. The teaching includes courses for students in our mathematical and teacher training programmes as well as mathematical courses for students in other study programmes. Conditions for appointment are a completed course of studies at a university, pedagogical aptitude, doctorate and additional academic qualification (§ 47 LHG). Ulm University is committed to increase the share of women in research and teaching and therefore explicitly encourages female candidates to apply. Applications with the usual documents (including CV, teaching experience, the three most important publications, and certificates of academic degrees and other relevant verifications) are due by 5 January 2018 to the Dean of the Faculty of Mathematics and Economics, Prof. Dr. Alexander Lindner, Ulm University, D-89069 Ulm, (Phone: +49 731 50 23500, Fax: +49 731 50 23610, http://www.uni-ulm.de/mawi). Please send all documents in electronic form in one single PDF file (Email: mawi.dekanat(a)uni-ulm.de) indicating the reference number 118 in the subject line. Physically disabled applicants receive favourable consideration when equally qualified.

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Prize Fellow positions at the University of Bath (UK)
by Ilaria Prosdocimi 26 Nov '17

26 Nov '17

Dear all, May I bring to your attention the University-wide Prize Fellowship at the University of Bath (UK): http://www.bath.ac.uk/campaigns/university-of-bath-prize-fellowships-in-the… In particular there is one fellowship at the Department of Mathematical Sciences for fellows interested in working on probability & its connections and one fellowship at the Institute fro Mathematical Innovation (IMI) for fellows interested in working on Machine learning, Statistics and data science or Mathematical modelling in industry. Please share this with whoever you think might be interested to apply - links for the specific posts are given below. Best wises Ilaria Prosdocimi https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5354 - Faculty of Science Fellowship https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5353 - IMI Fellowship

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Post-doctoral positions in Paris (deadline december 1st)
by Cristina Toninelli 25 Nov '17

25 Nov '17

The Fondation Science Mathematiques de Paris (FSMP) offers *postdoctoral positions of one or two years in mathematics and computer science available from october 2018*. *20 postdoctoral years* will be provided in total. Find here the detailed offer: https://www.sciencesmaths-paris.fr/en/postdoctoral-programmes-247.htm *Online applications until December 1st:* https://www.sciencesmaths-paris.fr/en/2012-2013- postdoctoral-positions-380.htm Please forward this information to your students or to any interested person. Best regards, Gaël Octavia Responsable de la communication Fondation Sciences Mathématiques de Paris www.sciencesmaths-paris.fr IHP - 11 rue Pierre et Marie Curie 75231 Paris Cedex 05 communication(a)fsmp.fr Tél : 33 (0)1 44 27 67 70 Fax : 33 (0)1 44 27 68 04

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EFI3, February 15-16, 2018, Pescara (Italy): deadline approaching
by Tiziano Vargiolu 23 Nov '17

23 Nov '17

(sorry for cross-postings) Dear all, we are glad to invite you to contribute and take part in the third edition of the workshop Energy Finance Italia, this time held in Pescara (Italy) on February 15-16, 2018 http://energyfinanceitalia.dtdns.net/index.php/efi3 A selection of papers contributed to the workshop will be published on the Journal of Energy Markets. Call for papers: acceptance of submissions has started. The deadline for extended abstract submission is November 26, 2017. The format of the abstract is maximum two pages, in pdf, in which the name of the presenting Author and the title of the presentation have to be specified. The abstract should be sent to the address energyfinanceitalia(a)gmail.com Fees: 100 euros per person. They include session break refreshments, lunches and the social dinner. Instructions about how to pay will be given soon. EFI3 Young Investigator Training Program ---------------------------------------- The network of Italian universities behind EFI3 will participate in a competitive call of the Associazione di Fondazioni e di Casse di Risparmio (ACRI) named 'YOUNG INVESTIGATOR TRANING PROGRAM'. If financed, this program will allow our network to issue some grants to young researchers (younger than 40 years of age) working outside Italy (Italian or not) to facilitate them 1) to participate to the EFI3 workshop, and 2) to spend one month in one of the universities of the network. These grants will be awarded on a competitive basis. ACRI is expected to announce the results of its financing competition by the end of December 2017. News about this initiative will appear on the website http://energyfinanceitalia.dtdns.net/index.php/efi3 We all hope to see you all in Pescara! Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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PhD Positions at IST Austria
by Giovanni Alessandro ZANCO 23 Nov '17

23 Nov '17

Dear Colleague, The Institute of Science and Technology Austria (IST Austria) is looking for highly qualified candidates to apply for our ISTScholar PhD program. We offer fully-funded PhD positions in the natural and mathematical sciences in a world-class research environment on the outskirts of Vienna. The research topics that might interest students in your department include: Mathematics Barton Mathematical Models of Evolution Edelsbrunner Algorithms, Computational Geometry and Topology Erdős Mathematical Physics, Probability Fischer Theory of Partial Differential Equations, Applied and Numerical Analysis Hausel Geometry and its Interfaces Maas Stochastic Analysis, Optimal Transport Seiringer Quantum Statistical Mechanics, Mathematical Physics Wagner Discrete and Computational Geometry and Topology Our PhD program is characterized by innovative training with a special focus on interdisciplinarity, close mentoring by outstanding faculty within small research groups, and access to first-rate facilities. Students spend the first year completing coursework and rotations before choosing a thesis group and passing the qualifying exam. Our PhD graduates have gone on to top positions in academia and industry all over the world. Students with a bachelor’s or master’s degree in a relevant field are encouraged to apply. We offer internationally competitive salaries co-funded by an EU Marie Sklodowska-Curie grant, full health benefits, and subsidized on-campus housing in the first year. For more information about the ISTScholar PhD program and application process, as well as faculty profiles, please visit our website at http://phd.ist.ac.at. The deadline for PhD applications is January 8th 2018 for a start date in September 2018. Yours sincerely, Hania Köver, Ph.D. Head of the Graduate School Office Institute of Science and Technology Austria Giovanni Zanco Stochastic Analysis group Institute of Science and Technology Austria gradschool(a)ist.ac.at Am Campus 1 3400 Klosterneuburg Austria ---------------------------------- Download our 2018 PhD open call flyers here: https://phd.pages.ist.ac.at/downloads/

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seminario di probabilità a Pavia
by benedetta.ferrario 22 Nov '17

22 Nov '17

Mercoledi` 29 novembre alle ore 14:30 in aula Beltrami del Dipartimento di Matematica dell'Università di Pavia si svolgerà il seguente seminario: *Titolo* On a class of stochastic transport equations for L^2_loc vector fields *Relatore * Christian Olivera (Universita` di Campinas) *Abstract *In this talk we discuss the existence and uniqueness of solutions to a class of stochastic transport equations with irregular coefficients. Asking only boundedness of the divergence of the coefficients (a classical condition in both the deterministic and stochastic setting), we can lower the integrability regularity required in known results on the coefficients. This is based on a joint work with Ennio Fedrizzi and Wladimir Neves. Tutti gli interessati sono invitati a partecipare.

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Seminario di Probabilita' e Statistica Matematica a Roma 1
by Faggionato, Alessandra 21 Nov '17

21 Nov '17

Buongiorno, Martedi' 28 Novembre alle ore 14.00 ci sara' il seguente seminario in Aula di Consiglio (Dipartimento di Matematica, Universita' La Sapienza) : *Speaker: *Lorenzo Dello Schiavo (Institut für Angewandte Mathematik — Universität Bonn) *Title: *Two characterizations of Dirichlet—Ferguson measures *Abstract:* We consider the Dirichlet—Ferguson (DF) measure, a random probability on a locally compact Polish space X introduced by Ferguson in [1]. The measure has ever since found many applications, widely ranging from Bayesian non-parametrics to population genetics and stochastic dynamics of infinite particle systems. Firstly, we compute the characteristic functional of DF measures (addressing, if time permits, connections of these measures with Lie algebra theory and Pólya Enumeration Theory). Secondly, we prove a characterization of DF measures via a Mecke-type integral identity. Profiting of connections between DF measures and Poisson measures on configuration spaces, we argue how DF measures may be regarded as ‘canonical' measures on the space P(X) of Borel probability measures on X. Partly based on joint work with E. W. Lytvynov, University of Swansea, Wales, UK. [1] Ferguson, T. S., Ann. Stat. 1(2), pp. 209-230, 1973 Cordialmente, Alessandra -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Job Posting - four fixed term lectureships at Ca' Foscari University of Venice
by Antonella Basso 20 Nov '17

20 Nov '17

Ca’ Foscari University of Venice invites expressions of interest for four fixed term lectureships (“ricercatore a tempo determinato tipo a, rtdA”) in the Department of Economics. The positions are for three years with the possibility of an extension for two more years conditional on a positive evaluation by the department. There is also the possibility to apply for tenure track positions before the end of the contract. - The first position is in applied economics. - The second position is in econometrics. - The third position is in energy economics. - The fourth position is in Financial mathematics, mathematics for economics, actuarial sciences Applications should be received by December 10th, 2017. Further information on the web page: https://econjobmarket.org/postings.php?posid=4838 best regards, Antonella Basso -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 E-mail address: basso(a)unive.it Web page: http://www.unive.it/data/persone/5591751

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Reminder - Call for Papers - Quantitative Finance Workshop 2018 - Uniroma3
by Francesco Cesarone 20 Nov '17

20 Nov '17

Dear Colleagues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is *26 November 2017*. Notification of acceptance will be given by 23 December 2017. The full paper for the discussant will have to be provided by 7 January 2018. We point out that there is no registration fee, conference sponsors will provide coffee-breaks, lunches and the social dinner. Furthermore, several research prizes connected with the conference could be made available for young researchers (for more details see http://disa.uniroma3.it/ qfw2018/#1488886813070-37410e9c-f120). Looking forward to seeing you in Rome! Best regards, The organizing committee -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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3-year Lecturership in Statistics at University of Leeds
by Tiziano De Angelis 17 Nov '17

17 Nov '17

Dear All, I am glad to announce that the School of Mathematics at the University of Leeds is advertising one post for a fixed term (3 years)* Lecturer in Statistics*. Please follow the link for details: https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1070 <https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1070> *Deadline for application: *31 December 2017. The expected interview dates are 5 February 2018. I would be most grateful if you could please forward this announcement to suitable candidates. Best wishes Tiziano

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avviso di seminario
by Marco Alessandro Fuhrman 16 Nov '17

16 Nov '17

Il giorno 22 novembre, alle ore 14.30, in Aula C del Dipartimento di Matematica dell'Università degli Studi di Milano (via Saldini, 50) il prof. Matteo Barigozzi (London School of Economics, Londra) terrà un seminario dal titolo "Statistical analysis of high-dimensional time series via factor models" Abstract High-dimensional time series are among the most common type of dataset available today, and have entered current practice in many areas, including meteorology, genomics, chemometrics, complex physics simulations, biological and environmental research, finance and econometrics. The analysis of such datasets poses significant challenges, both from a statistical as well as from a numerical point of view. Some of the most successful procedures so far have been based on dimension reduction techniques and, more particularly, on high-dimensional factor models which have been developed, essentially, within time series econometrics. In this talk I will first review the main results on the representation of high-dimensional stationary times series as generalized dynamic factor models. Then I will present two different estimation techniques based on principal component analysis and on Kalman filtering. Both a time and a frequency domain approach are considered. Last, some extensions to non-stationary time series are also discussed. Tutti gli interessati sono invitati a partecipare ------------------------------------------- Carati Andrea, Dipartimento di Matematica, Via Saldini 50, 20133 Milano, Italy ------------------------------------------- tel: ++39/02/5835.6139 fax: ++39/02/5835.6090 -------------------------------------------

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Fwd: Posizione aperta a Finscience
by enea giuseppe bongiorno 16 Nov '17

16 Nov '17

Ricevo ed inoltro posizione aperta presso finscience. Cordiali saluti, EB ---------- Forwarded message ---------- From: Alberto Santangelo <alberto.santangelo(a)finscience.com> Date: 2017-11-15 16:12 GMT+01:00 Subject: Posizione aperta a Finscience To: enea.bongiorno(a)uniupo.it Ciao Enea, Ti chiedo una cortesia: potresti girare la job description in allegato alle persone che secondo te potrebbero essere interessate? La figura che stiamo cercando deve avere un'esperienza dimostrabile in campo Natural Language Processing, e buone conoscenza statistico-matematiche. Non deve essere necessariamente una figura con molti anni di esperienza. Grazie -- [image: FinScience Srl] <http://www.finscience.com/> ALBERTO SANTANGELO FINANCIAL QUANTITATIVE ANALYST Office: (+39) 02 76281064 <+3902+76281064>Foro Buonaparte, 71 - Milano WWW.FINSCIENCE.COM <http://www.finscience.com/> Le informazioni contenute in questo messaggio email sono riservate e destinate esclusivamente al destinatario. In caso di ricevimento del presente messaggio da parte di soggetti diversi dal destinatario, questi è avvertito che qualsiasi uso, copia, diffusione di quanto in esso contenuto è assolutamente proibita. Se questa comunicazione Vi è pervenuta per errore, Vi preghiamo di rispondere a questa mail e successivamente cancellarla dal Vostro sistema. Information contained in this email is confidential and intended for the addressee only. Any use, copy or dissemination of this information by persons or entities other than the intended recipient is prohibited. If you receive this message in error, please reply to this e-mail and delete the material from your computer.

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Final announcement: "Winter school on Energy Systems", Eindhoven (NL), 11-15 December 2017
by Zocca, Alessandro 15 Nov '17

15 Nov '17

Dear colleagues, we are pleased to announce that the “Winter school on Energy Systems” will take place in the week of December 11-15, 2017, in Eindhoven (NL). This winter school is part of a longer tradition of workshops, called YEQT (Young European Queueing Theorists), organized annually by the Eurandom research institute for Stochastics located at the Eindhoven University of Technology. This year we organize the 11th edition of the YEQT workshop on the theme "Stochastic modelling and analysis of energy networks". This year’s YEQT has a different structure than usual, being structured as a winter school. The workshop consists of several tutorials presented by six renowned researchers: - Ana Bušić (INRIA, Paris) - James Cruise (Heriot-Watt University) - Pär Holmberg (Research Institute of Industrial Economics, Stockholm) - Pierre Pinson (Technical University of Denmark) - John Moriarty (Queen Mary University of London) - Kostya Turitsyn (MIT) Next to the tutorials, there will be 16 research talks given by invited young researchers and a poster session. For more information, program, titles and abstracts, we welcome you to take a look at the winter school webpage: https://www.eurandom.tue.nl/events/workshops/2017/YEQT_XI_2017/YEQT_XI_2017… Registration is free, but compulsory for organizational purposes (see the link in the webpage). Best wishes, Alessandro Zocca (Caltech) Nicolas Gast (INRIA, Grenoble) Fiona Sloothaak (Eindhoven University of Technology)

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Seminario di probabilità al Politecnico di Milano
by Fabio Zucca 15 Nov '17

15 Nov '17

Si avvisa che in data 23/11/2017, alle ore 10:00 precise, presso l'Aula Seminari del III piano del DIpartimento di Matematica del Politecnico di Milano si svolgerà il seguente seminario: Titolo: On segmentation with hidden, pairwise and triplet Markov models Relatore: Juri Lember, University of Tartu, Estonia Abstract: The well-known hidden Markov model (HMM) is a two-dimensional stochastic process (X,Y), where Y is a Markov chain and conditionally on Y, the X-process consists of independent random variables, the distribution of the random variable X_t depending on Y_t, only. Over the last decades, HMM's have become very popular stochastic models with applications to speech recognition, signal processing, linguistic, computational molecular biology and so on. Often the Y-process is unobserved (hidden) and the goal of the inference is to estimate its unobserved realization based on a realization of X-process. This task is called the segmentation problem and the standard ways to solve it is to use either maximum likelihood (so-called Viterbi) path or pointwise maximum likelihood (so-called PMAP) path. A trivial but important property of HMM is that the process Z=(X,Y) is itself a Markov process with a product state space. This observation allows naturally enlarge the class of HMM's to the class of pairwise Markov models (PMM) as follows: Z=(X,Y) is a PMM if Z has Markov property. Now it is clear that PMM's are a much larger class of models whose HMM\'s is just a little subclass. We briefly discuss several PMM's like Markov switching models and HMM's with dependent noise. It is important to note that if (X,Y) is a Markov process, then neither X nor Y need to have Markov property, but conditionally on X, the Y-process is Markov and vice versa. It turns out that many good properties of HMM's are mainly due to the Markov property of Z and hence these properties carry on to PMM's as well. In particular the well-known Viterbi and forward-backward algorithms apply and so standard segmentation approaches can be applied in the case of PMM's. Moreover, PMM-models provide a rather flexible and realistic model for the homology of random sequences. A triplet Markov model (TMM), introduced by W. Pieczynski, is a three-dimensional Markov process (X,Y,U), where, as previously, X stands for observations and Y is the hidden state sequence of interest. But in addition, there is another hidden component U. Since conditionally on U, the pair (X,Y) is an inhomogeneous PMM, the U-component models now the change of environment. It turns out that adding the U-component makes the model really flexible. We give a general approach to the risk-based segmentation problem that also applies for PMM's and TMM's, discuss the weaknesses standard approaches and introduce a way to overcome these problems. We also discuss the asymptotics of Viterbi segmentation for PMM\'s. Tutti gli interessati sono invitati a partecipare Fabio Zucca

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Lectureship position in Probability and Statistics at the University of Birmingham
by Francesco Caravenna 15 Nov '17

15 Nov '17

Ricevo e inoltro. > Applications are invited for a Lectureship position in the School of > Mathematics at the University of Birmingham, in the area of > Probability and Modern Statistics, broadly defined, including any area > of statistics, probability theory, computational data analysis, > machine learning, or related areas. The position is full-time and > permanent. > > Detailed information about the position can be found under > > http://www.jobs.ac.uk/job/BFD545/lecturer-in-probability-and-modern-statist… > > For information on the department and the Birmingham Combinatorics and > Probability group, please visit > > http://web.mat.bham.ac.uk/combinatorics/ > > Application deadline: 13 December 2017 > > For informal enquiries, please contact Professor Daniela Kühn, > d.kuhn(a)bham.ac.uk or Professor Deryk Osthus, d.osthus(a)bham.ac.uk.

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Bernoulli Society New Researcher Award
by Antonio Di Crescenzo 15 Nov '17

15 Nov '17

> > > > > >Dear fellow members of the Bernoulli Society, >The Bernoulli Society welcomes submissions to >the New Researcher Award. The details about the >award can be found below. We would very much >appreciate it if you could share this >information with anyone who might be interested >in applying. >Many thanks in advance! > >Best wishes, >Parthanil Roy - Youth Representative >Leonardo T. Rolla - Membership Secretary > > >Bernoulli Society New Researcher Award > >The Bernoulli Society welcomes submissions to >the New Researcher Award. Each awardee will >deliver a 30-minute talk at the ISI World >Statistics Congress in Malaysia in 2019, and >will receive funding (up to EUR 1000) to >compensate for travel and other expenses. >Bernoulli News will publish announcements >including each awardee's picture and a piece >about their work. > >Candidates should submit a 3-page synopsis of >their presentation, along with their CV, >to <mailto:ber.soc.yra@gmail.com>ber.soc.yra(a)gmail.com by February >28, 2018. > >To be eligible, candidates should: > >- be active researchers in Mathematical Statistics; >- at the time of submission, be regular members of the Bernoulli Society >- have received their PhD within the last >5 years (female candidates get 1 extra year for >each child born since receiving the PhD). > > > --

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MSP - 2018
by gianluca cassese 14 Nov '17

14 Nov '17

The University of Milano Bicocca jointly with the University of Pavia and University Bocconi is pleased to announce the first workshop on: "THE MATHEMATICS OF SUBJECTIVE PROBABILITY" to be held in Milan on 3-5 September 2018. We aim at putting together researchers from such diverse fields as probability, statistics, gambling, game theory or economics who view probability as a mathematical model of subjective attitudes. Contributed talks and sessions are welcome and will undergo a regular refereeing process (submission deadline: March 31; notification of acceptance: April 30). Further details: https://sites.google.com/view/MSP-2018 The Organizing Committee: Gianluca Cassese, Pietro Rigo and Barbara Vantaggi -- *Gianluca Cassese* ------------------------------------------------------------------------------- Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa Università degli Studi di Milano-Bicocca via Bicocca degli Arcimboldi, 8 - 20126, Milan, Italy Building U7 - Room 2097 -------------------------------------------------------------------------------

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seminario Chiara Corsato
by Emanuela Rosazza 13 Nov '17

13 Nov '17

Si avvisa che il giorno lunedì 20 novembre alle ore 15 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario: Speaker: Chiara Corsato (Università di Trieste) Titolo: “Weak Dutch Books: the lose-or-draw case with lower previsions” Abstract: This seminar is devoted to present some recent results obtained in the field of Imprecise Previsions. We introduce the general topic evidencing the link with risk measures and we concentrate on the notions of convex and Williams' coherent imprecise previsions. These concepts are interpreted in a betting scheme, following de Finetti's approach to subjective probability. Uncertainty assessments for imprecise previsions based on those consistency conditions require that the suprema of certain random numbers, interpreted as gains, are non-negative. The extreme situation that a supremum is zero represents what is called a Weak Dutch Book (WDB). The core of this presentation aims to analyse the properties of WDBs with convex and Williams' coherent imprecise previsions. Namely, we show that WDB assessments ensure a certain `local precision' property and imply, in the agent's evaluation, some kind of `protection' against real losses. Further, these properties vary with the consistency notion we adopt, tending to vanish with the weaker one of convexity. A generalisation of the classical strict consistency notions is also discussed, in order to rule out the extreme situations caused by WDBs. Tutti gli interessati sono invitati a partecipare. Un saluto cordiale, Emanuela ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Assistant Professor and Postdoctoral Fellow in Financial Mathematics at Dublin City University
by Paolo Guasoni 11 Nov '17

11 Nov '17

Dear Colleague, Dublin City University has two openings in Financial Mathematics: Assistant Professor (Permanent) https://www4.dcu.ie/sites/default/files/hr/lecturer_financial_maths_nov_201… Postdoctoral Fellow (Two-year) https://www4.dcu.ie/sites/default/files/hr/postdoct_financial_maths_nov_201… The closing date for both applications is January 7th, 2018. With best regards, Paolo Guasoni -- *Séanadh Ríomhphoist/Email DisclaimerTá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://www4.dcu.ie/iss/seanadh-riomhphoist.shtml>This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://www4.dcu.ie/iss/email-disclaimer.shtml>* -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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Seminario MARIUCCI
by Matteo Ruggiero 10 Nov '17

10 Nov '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 17 Novembre 2017, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Ester MARIUCCI (Humboldt-Universität zu Berlin) WASSERSTEIN DISTANCES AND OTHER METRICS FOR DISCRETELY OBSERVED LÉVY PROCESSES We present some upper bounds for the Wasserstein distance of order p between the product measures associated with the increments of Lévy processes with possibly infinite Lévy measures. As an application, we derive an upper bound for the total variation distance between the marginals of Lévy processes with possibly infinite Lévy measures and non-zero Gaussian components. A lower bound for the Wasserstein distance of order p is also presented. Furthermore, we investigate the relation between Wasserstein distances, total variation distance and Toscani-Fourier distance; several results connecting these metrics are discussed. This is a joint work with Markus Reiß. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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Prize Fellowship in Probability and its connections, Prob-L@B, Bath
by Elvira Di Nardo 10 Nov '17

10 Nov '17

Apologies for cross postings The University of Bath is celebrating its 50th birthday by offering an expansive number of Prize Fellowships. Prize fellowships are two year postdoctoral fellowships which lead into a tenure track assistant professorship (called a Lectureship in the UK). The probability laboratory (http://www.bath.ac.uk/research/centres/probability- laboratory/) at the Department of Mathematical Sciences invites candidates for consideration. For more information on the Prize Fellowship concept at the University of Bath, visit: http://www.bath.ac.uk/campaigns/university-of-bath-prize-fellowships/ For more information on the particular Prize Fellowship in Prob-L@B follow the link at: http://www.bath.ac.uk/campaigns/university-of-bath-prize-fellowships-in-the- faculty-of-science/ Applications made on line here: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5354 Important dates: Deadline 31st December 2017. First round of Skype Interviews during the week of 15th January 2018. Second round of interviews in person on Thursday 8th and 9th February 2018 For further information, please contact, Professor Andreas Kyprianou ( a.kyprianou(a)bath.ac.uk) or contact one of our existing prize fellows: Dr. Tim Rogers (t.c.rogers(a)bath.ac.uk) Dr. Matt Roberts (M.I.Roberts(a)bath.ac.uk), Dr. Alexander Stauffer (a.stauffer(a)bath.ac.uk) Dr. Cecile Mailler (C.Mailler(a)bath.ac.uk) -- Professor Andreas Kyprianou Co-director of EPSRC CDT SAMBa Director of Prob-L@B Department of Mathematical Sciences University of Bath BA2 7AY -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %-------------------------------------------------------

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Seminario di Probabilita`, Universita` La Sapienza (Roma)
by Faggionato, Alessandra 10 Nov '17

10 Nov '17

Martedi' 14 Novembre, ore 14, Aula di Consiglio. Titolo: Well-posedness of semilinear SPDEs with singular drift: a variational approach Speaker: Luca Scarpa ( Department of Mathematics University College London, UK) Abstract. Well-posedness is proved for singular semilinear SPDEs on a smooth bounded domain D in R^n. The linear part is associated to a coercive linear maximal monotone operator on L^2(D) while the drift is represented by a multivalued maximal monotone graph everywhere defined on R, on which no growth nor smoothness conditions are required. Moreover, the noise is given by a cylindrical Wiener process on a Hilbert space U, with a stochastic integrand taking values in the Hilbert-Schmidt operators from U to L^2(D): classical Lipschitz-continuity hypotheses for the diffusion coefficient are assumed. The proof consists in approximating the equation, finding uniform estimates both pathwise and in expectation on the approximated solutions, and then passing to the limit using compactness and lower semicontinuity results. Finally, possible generalizations are discussed. This study is based on a joint work with Carlo Marinelli (University College London). -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Half day in Stochastic Processes - Esame finale Dottorato
by Paolo Dai Pra 09 Nov '17

09 Nov '17

In occasione dell’esame finale di Dottorato di Luisa Andreis, vi annuncio il seguente: Half day in stochastic processes Giovedì 16 Novembre 2017, presso l’aula 2AB45 del Dipartimento di Matematica dell’Università di Padova, si svolgeranno i seguenti seminari. 14:15 Elisabetta Scoppola (Università di Roma III). Conditionally strong quasi-stationary times and metastability Abstract: We generalise the notion of strong stationary time to define a conditionally strong quasi-stationary times that turns out to be a crucial tool for the study of metastability in a completely general setting. 15:00 Davide Gabrielli (Università dell'Aquila). Exchange dynamics, reversibility and tournaments Abstract: We consider a generalization to N types of particles of the classic ABC model. We have particles of different types stochastically evolving on a one dimensional lattice with an exchange dynamics. The rates of exchange are local but under suitable conditions the dynamics is reversible with a Gibbsian like invariant measure with long range interactions. We discuss geometrically the conditions of reversibility on a ring that correspond to a gradient condition on the graph of configurations or equivalently to a divergence free condition on a graph structure associated to the types of particles. We show that much of the information on the interactions between particles can be encoded in associated \emph{Tournaments} that are a special class of oriented graphs. In particular we show that the interactions of reversible models are corresponding to strongly connected tournaments. The possible minimizers of the energies are in correspondence with the Hamiltonian cycles of the tournaments. We can then determine how many and which are the possible minimizers of the energy looking at the structure of the associated tournament. As a byproduct we obtain a probabilistic proof of a classic Theorem of Camion on the existence of Hamiltonian cycles for strongly connected tournaments. Using these results we obtain in the case of an equal number of k types of particles new representations of the Hamiltonians in terms of translation invariant k-body long range interactions. We show that when k=3,4 the minimizer of the energy is always unique up to translations. Starting from the case k=5 it is possible to have more than one minimizer. In particular it is possible to have minimizers for which particles of the same type are not joined together in single clusters. Joint work with F. Roncari. 15:45 - 16:00 Break 16:00. Luisa Andreis (Università di Padova e Weierstrass Institute Berlin). McKean-Vlasov limits, propagation of chaos and long-time behavior of some mean field interacting particle systems (Ph.D. Defense) Un caro saluto Paolo Dai Pra 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 Prof. Albeverio - 15 Novembre - DIECO Università dell'Insubria
by elisa mastrogiacomo 09 Nov '17

09 Nov '17

On November 15, 2017, 13.00-14.00, Prof. Sergio Albeverio (University of Bonn) will give a talk on “Infinite dimensional integrals, asymptotics, stochastic differential equations and applications”. Below you find the abstract of Sergio’s talk. You are all invited. Best regards, Elisa Mastrogiacomo ----------------------------------------------------- *Location: * Dipartimento di Economia, Via Monte Generoso n. 71, 21100, Varese. *Time*: 13:00 *Abstract:* We present general ideas for infinite dimensional integrals, having in mind applications to solutions and asymptotics for (stochastic) partial differential equations arising in aereas like mathematical physics and finance. Some recent developments are also mentioned. Keywords: infinite dimensional integrals, SPDEs, asymptotic expansions.

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EFI3, February 15-16, 2018, Pescara (Italy): first announcement (fwd)
by Tiziano Vargiolu 09 Nov '17

09 Nov '17

(sorry for cross-postings) Dear all, I am glad to invite you to contribute and take part in the third edition of the workshop Energy Finance Italia, this time held in Pescara (Italy) on February 15-16, 2018 http://energyfinanceitalia.dtdns.net/index.php/efi3 A selection of papers contributed to the workshop will be published on the Journal of Energy Markets. Call for papers: acceptance of submissions has started. The deadline for extended abstract submission is November 26, 2017. The format of the abstract is maximum two pages, in pdf, in which the name of the presenting Author and the title of the presentation have to be specified. The abstract should be sent to the address energyfinanceitalia(a)gmail.com Fees: 100 euros per person. They include session break refreshments, lunches and the social dinner. Instructions about how to pay will be given soon. EFI3 Young Investigator Training Program ---------------------------------------- The network of Italian universities behind EFI3 will participate in a competitive call of the Associazione di Fondazioni e di Casse di Risparmio (ACRI) named 'YOUNG INVESTIGATOR TRANING PROGRAM'. If financed, this program will allow our network to issue some grants to young researchers (younger than 40 years of age) working outside Italy (Italian or not) to facilitate them 1) to participate to the EFI3 workshop, and 2) to spend one month in one of the universities of the network. These grants will be awarded on a competitive basis. ACRI is expected to announce the results of its financing competition by the end of December 2017. News about this initiative will appear on the website http://energyfinanceitalia.dtdns.net/index.php/efi3 We all hope to see you all in Pescara! Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Fwd: Please share: PhD opportunities in Mathematical Sciences at the University of Bath
by pietro caputo 06 Nov '17

06 Nov '17

---------- Forwarded message ---------- From: Jessica Ohren <J.M.Ohren(a)bath.ac.uk> Date: Mon, Nov 6, 2017 at 2:23 PM Subject: Please share: PhD opportunities in Mathematical Sciences at the University of Bath To: Dear all, I would be very grateful if you could circulate these opportunities from the University of Bath widely. Applications to SAMBa - our *Centre for Doctoral Training in Statistical Applied Mathematics* (go.bath.ac.uk/samba) - are now open. We aim to recruit 10-12 students on fully funded scholarships (for UK and EU students) to begin September 2018. A poster and an advert which includes how to apply are attached. You can also find information online: https://www.findaphd.com/search/PhDDetails.aspx?CAID=2444&LID=79. There is no formal closing date but we expect to fill all our places by March 2018 so early application is encouraged. We also have two individual PhD projects available in collaboration with Syngenta, which are available from 1st January. These are also open to UK and EU students and provide an opportunity to be part of a vibrant, creative and supportive environment in the Mathematical Sciences department here in Bath. *Mathematical modelling for safe, yet effective, pesticide development and usage.* Lead supervisor: Jane White <http://www.bath.ac.uk/math-sci/contacts/academics/jane-white/>. https://www.findaphd.com/search/ProjectDetails.aspx?PJID=86111&LID=79 Closing date: Wednesday 15th November This project is about creating and analysing a series of mathematical models that can be used to compare and contrast pesticide absorption through leaf surfaces and human skin and to begin to understand how different pesticide components contribute to the optimal solution of high leaf, but negligible skin, penetration. Working with colleagues from Syngenta means that there will be data available to estimate model parameters and to validate the model outputs. *Modern statistical techniques for assessing and predicting herbicide performance*. Lead supervisor: Evangelos Evangelou <http://www.bath.ac.uk/math-sci/contacts/academics/evangelos-evangelou/>. https://www.findaphd.com/search/ProjectDetails.aspx?PJID=85079&LID=79 Closing date: Wednesday 15th November This project will be at the interface of statistics and computer science with significant mathematical, methodological, and computational components. You will develop statistical models and methodology for assessing chemical compounds from their descriptive characteristics and their performance on screening tests, and accordingly compute a quantitative score for each chemical. You will apply this methodology to tackle real problems provided by Syngenta using data from their screening experiments on herbicides. An opportunity is also available to join Bath Maths through a BioMedicine Centre, led from the University of Bristol. The PhD would not start until September 2018 but the closing date is the end of this month. *Tortoise and hare: Physical activity profiles and their impact on cardiometabolic disease risk*. Bath supervisor: Nicole Augustin <http://www.bath.ac.uk/math-sci/contacts/academics/nicole-augustin/>. https://www.findaphd.com/search/ProjectDetails.aspx?PJID=89645&LID=1761 Closing date: Friday 24th November This project will be best suited to a student with very strong statistical/applied mathematics skills. The student will develop practical skills related to the processing of data in very large datasets, linkage to health records, and the refinement and use of novel statistical methods in survival analyses. This project aims to refine statistical methods, apply these methods to the development of integrated physical activity profiles, and develop a ‘scoring system’ that integrates information from across the activity dimensions to make it easier for people to understand the risks associated with their physical activity profiles. [image: cid:image006.jpg@01D1B4D0.1F73E020] Jessica Ohren, Centre for Doctoral Training Administrator Statistical Applied Mathematics (SAMBa) Condensed Matter Physics University of Bath <http://www.bath.ac.uk/> 4W1.16 Department of Mathematical Sciences Bath BA2 7AY, United Kingdom | Telephone: +44 (0)1225 385631 <+44%201225%20385631> | Email: j.m.ohren(a)bath.ac.uk Follow us on Twitter @SAMBa_CDT www.bath.ac.uk/samba

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EMS-IAMP Summer School in Mathematical Physics, Ischia 11-15 June 2018
by Francesco Caravenna 05 Nov '17

05 Nov '17

> Da: giuliani(a)mat.uniroma3.it > Oggetto: EMS-IAMP Summer School in Mathematical Physics, Ischia 11-15 June 2018 > Data: 3 novembre 2017 22:47:07 CET > > Dear colleague, > > this is the first announcement of the EMS-IAMP Summer School in Mathematical Physics on `Universality in Probability Theory and Statistical Mechanics', which will be held in Ischia (Naples, Italy) on June 11-15, 2018. > > The main courses (6 hours each) will be given by: > > - L. Erdoes (IST Austria) > - R. Peled (Univ. Tel Aviv) > - F.-L. Toninelli (Univ. Lyon-1) > - Y. Velenik (Univ. Geneve) > > The school is targeted to PhD students, postdocs and young researchers. The four courses will introduce at a graduate level different methodologies used to understand in complementary ways several instances of universality, ranging from eigenvalue statistics of random matrices, to the large scale dynamics of stochastic surfaces, to their massless Gaussian free field behavior at equilibrium. > > The school will take place in Grand Hotel Re Ferdinando > http://www.hotelreferdinandoischia.it/meeting.aspx > in Ischia, the largest island of the gulf of Naples. > > We will provide financial support for students and young researchers. > > Details about the registration, the application for financial support and the website will come soon in a follow-up message. If, in the meantime, you need more informations, please contact us via email at agnese.dorazio(a)mat.uniroma3.it. > > We would be grateful if you could circulate this announcement among your students, postdocs and collegues. > > With our best regards, > > Serena Cenatiempo > Alessandro Giuliani > Rafael Greenblatt > Domenico Monaco

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post-doc position (2 years) at the Università degli Studi di Bergamo (Italy)
by Francesca Greselin 03 Nov '17

03 Nov '17

Dear colleagues We are looking for candidates for a post-doc position (2 years) at the Università degli Studi di Bergamo (Italy): Public selection based on qualifications and interview for the awarding of no. 13 grants lasting 24 months for conducting research in accordance with art. 22 of law of 30.12.2010 no. 240 at the Departments of the University of Bergamo within the research Programme called “*Stars supporting talented researcher*” – action 1 for the year 2017 – II tranche (CUP: F52F16001350001) The specific post doc-position is the following: Department of Management, Information and Production Engineering Parametric methods for efficiency frontiers estimation with temporary and persistent random components 13/A4 – Applied Economics SECS-P/06 – Applied Economics https://www.unibg.it/bando/bando-di-concorso-relativo-alla- selezione-pubblica-titoli-e-colloquio-il-conferimento-di-n-1-0 Please circulate this message as much as possible! Regards _____________________________ Gianmaria Martini *Full Professor of Economics* *Department of Management, Information and Production Engineering* *Università degli Studi di Bergamo* Via Pasubio 7/b 24044 Dalmine (BG) ITALY tel: +390352052342 <+39%20035%20205%202342> fax: +390352052043 <+39%20035%20205%202043> My research at: orcid.org/0000-0001-9503-4999

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Seminario LATUSZYŃSKI
by Matteo Ruggiero 03 Nov '17

03 Nov '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 10 Novembre 2017, alle ore 12:00, presso la nuova sede del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Krzysztof LATUSZYŃSKI (University of Warwick) Exact Bayesian inference for discretely observed jump-diffusions The standard approach to inference for parametric diffusion processes relies on discretisation techniques (such as the Euler method) that introduce an approximation error difficult to quantify especially for discontinuous models, like jump-diffusions. In this talk, I will present methodology for exact inference that avoids discretisation errors and allows to design MCMC samplers targeting the exact posterior distribution of the diffusion parameters and diffusion path between observations. The approach is based on Bernoulli Factory type subroutines, and is a general alternative to pseudo-marginal inference. The talk will be based on http://imstat.org/bjps/papers/BJPS374.pdf https://arxiv.org/pdf/1707.00332.pdf and is joint work with Flavio Goncalves and Gareth Roberts. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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Fifth edition of the StaTalk series (workshops on statistical topics)
by Euloge C. Kenne Pagui 03 Nov '17

03 Nov '17

*************************************************************************** 5th STATALK @ Department of Statistical Sciences, University of Padua, 17 Nov 2017 **************************************************************************** Dear all, this is a reminder that the fifth edition of the StaTalk series will be held at the Department of Statistical Sciences of the University of Padua, on November, 17, 2017. All the information, including the updated program and abstracts of the presentations, can be found at the workshop page statalk.stat.unipd.it Deadline for registration: 12th November 2017. 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. Registrations, as in the past StaTalk events, is free of charge but mandatory. Best regards, The Organising Committee --------------------------------------------------------- Department of Statistical Sciences, University of Padova. Via Cesare Battisti, 241 - 35121 Padova ---------------------------------------------------------

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monDay 13th nOveMber - vENice econometrICs wOrkshop
by Monica Billio 02 Nov '17

02 Nov '17

/We are happy to annouce this one-day workshop in honor of Domenico Sartore. The workshop will aim at presenting to the large community of scientists researching in quantitative economics some recent results obtained by the Econometrics group at Ca' Foscari University of Venice in the analysis of latent variable models and high dimensional stochastic models with applications to economics and finance. // / // /Domenico Sartore greatly contributed to the field of time series econometrics and to the development of the econometric community in Italy. Since the beginning of his career in academia he showed a unique talent in attracting a huge number of students, turning them into leading scholars that keep contributing to the area of Econometrics both in academia and out of academia. / /The workshop will feature many contributions by young researchers, discussions from colleagues and former students of Domenico and an invited seminar by Matteo Barigozzi. The main topics will be: stochastic volatility, factor models, regimes switching models, temporal networks, graphical models, Bayesian methods, systemic risk, and business cycle analysis. We will be delighted if you can join us and congratulate Domenico. For organisation reasons, please confirm your presence Kind regards, Monica Billio (billio(a)unive.it) Massimiliano Caporin Roberto Casarin ///Loriana Pelizzon /Francesco Ravazzolo/ Mon*D*ay 13th N*O*ve*M*ber V*EN*ice Econometr*IC*sW*O*rkshop Dipartimento di Economia, Meeting Room 1, San Giobbe Università Ca’ Foscari Venezia *10.00 Welcome* *10.30 Macroeconometrics* ·On the Role of Domestic and International Financial Cyclical Factors in Driving Economic Growth /Monica //Billio/, Michael Donadelli, Giulia Livieri,*Antonio Paradiso *(Università Ca’ Foscari Venezia) ·Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area Roberto Golinelli, *Irene Mammi *(Università Ca’ Foscari Venezia), Antonio Musolesi Discussant: Francesco Ravazzolo (Università di Bolzano) *11.30 Financial Econometrics* ·Forecasting Electricity Prices with RES penetration Angelica Gianfreda, /Francesco Ravazzolo/, *Luca Rossini *(Università di Bolzano) ·Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures Giacomo Bormetti, /Roberto Casarin, Fulvio Corsi/,*Giulia Livieri*(Scuola Normale Superiore, Pisa) Discusssant: Loriana Pelizzon (Università Ca’ Foscari Venezia) *12.30 Seminar* Sequential testing for structural stability in approximate factor models *Matteo Barigozzi *(London School of Economics), Lorenzo Trapani *13.30 Lunch* *15.00 Network Econometrics* ·The impact of network connectivity on factor exposures, asset pricing and portfolio diversification /Monica Billio/, /Massimiliano Caporin/, *Roberto Panzica *(Goethe University, Frankfurt), /Loriana Pelizzon/ ·Networks in risk spillovers: A multivariate GARCH perspective /Monica Billio, Massimiliano Caporin/, *Lorenzo Frattarolo *(Università Ca’ Foscari Venezia), /Loriana Pelizzon/ ·Financial Bridges and Network Communities /Roberto Casarin/, *Michele Costola *(Goethe University, Frankfurt), Erdem Yenerdag ·Bayesian Markov switching tensor regression for time-varying networks /Monica Billio, Roberto Casarin/,*Matteo Iacopini *(Università Ca’ Foscari Venezia) Discussant: Fulvio Corsi (Università Ca’ Foscari Venezia) *17.00 Farewell: Domenico Sartore * -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mailbillio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en

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Reminder - Call for Papers - Quantitative Finance Workshop 2018 - Uniroma3
by Francesco Cesarone 02 Nov '17

02 Nov '17

Dear Colleagues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is *26 November 2017*. Notification of acceptance will be given by* 23 December 2017*. The full paper for the discussant will have to be provided by *7 January 2018*. Looking forward to seeing you in Rome! Best regards The organizing committee -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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monDay 13th nOveMber - vENice econometrICs wOrkshop
by Monica Billio 01 Nov '17

01 Nov '17

/We are happy to annouce this one-day workshop in honor of Domenico Sartore. The workshop will aim at presenting to the large community of scientists researching in quantitative economics some recent results obtained by the Econometrics group at Ca' Foscari University of Venice in the analysis of latent variable models and high dimensional stochastic models with applications to economics and finance. // / // /Domenico Sartore greatly contributed to the field of time series econometrics and to the development of the econometric community in Italy. Since the beginning of his career in academia he showed a unique talent in attracting a huge number of students, turning them into leading scholars that keep contributing to the area of Econometrics both in academia and out of academia. / /The workshop will feature many contributions by young researchers, discussions from colleagues and former students of Domenico and an invited seminar by Matteo Barigozzi. The main topics will be: stochastic volatility, factor models, regimes switching models, temporal networks, graphical models, Bayesian methods, systemic risk, and business cycle analysis. We will be delighted if you can join us and congratulate Domenico. For organisation reasons, please confirm your presence Kind regards, Monica Billio (billio(a)unive.it) Massimiliano Caporin Roberto Casarin ///Loriana Pelizzon /Francesco Ravazzolo/ Mon*D*ay 13th N*O*ve*M*ber V*EN*ice Econometr*IC*sW*O*rkshop Dipartimento di Economia, Meeting Room 1, San Giobbe Università Ca’ Foscari Venezia *10.00 Welcome* *10.30 Macroeconometrics* ·On the Role of Domestic and International Financial Cyclical Factors in Driving Economic Growth /Monica //Billio/, Michael Donadelli, Giulia Livieri,*Antonio Paradiso *(Università Ca’ Foscari Venezia) ·Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area Roberto Golinelli, *Irene Mammi *(Università Ca’ Foscari Venezia), Antonio Musolesi Discussant: Francesco Ravazzolo (Università di Bolzano) *11.30 Financial Econometrics* ·Forecasting Electricity Prices with RES penetration Angelica Gianfreda, /Francesco Ravazzolo/, *Luca Rossini *(Università di Bolzano) ·Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures Giacomo Bormetti, /Roberto Casarin, Fulvio Corsi/,*Giulia Livieri*(Scuola Normale Superiore, Pisa) Discusssant: Loriana Pelizzon (Università Ca’ Foscari Venezia) *12.30 Seminar* Sequential testing for structural stability in approximate factor models *Matteo Barigozzi *(London School of Economics), Lorenzo Trapani *13.30 Lunch* *15.00 Network Econometrics* ·The impact of network connectivity on factor exposures, asset pricing and portfolio diversification /Monica Billio/, /Massimiliano Caporin/, *Roberto Panzica *(Goethe University, Frankfurt), /Loriana Pelizzon/ ·Networks in risk spillovers: A multivariate GARCH perspective /Monica Billio, Massimiliano Caporin/, *Lorenzo Frattarolo *(Università Ca’ Foscari Venezia), /Loriana Pelizzon/ ·Financial Bridges and Network Communities /Roberto Casarin/, *Michele Costola *(Goethe University, Frankfurt), Erdem Yenerdag ·Bayesian Markov switching tensor regression for time-varying networks /Monica Billio, Roberto Casarin/,*Matteo Iacopini *(Università Ca’ Foscari Venezia) Discussant: Fulvio Corsi (Università Ca’ Foscari Venezia) *17.00 Farewell: Domenico Sartore * -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mailbillio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en

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Bocconi Call for Applications - PhD in Statistics 2018/19 - deadline Feb 1st, 2018 (fwd)
by Michele Gianfelice 01 Nov '17

01 Nov '17

Salve, ricevo ed inoltro p.c.. Cordialmente, m.gianfelice ---------- Forwarded message ---------- Date: Wed, 1 Nov 2017 05:00:31 +0100 From: Sonia Petrone <sonia.petrone(a)unibocconi.it> Reply-To: angela.baldassarre(a)unibocconi.it To: gianfelice(a)mat.unical.it Subject: Bocconi Call for Applications - PhD in Statistics 2018/19 - deadline Feb 1st, 2018 Dear colleague, I would be grateful if you could bring the Bocconi PhD program in Statistics to the attention of your best master students. The deadline for application is February 1st, 2018. ---------------------------------------------------------------------------------- PhD in Statistics Call for applications for PhD student positions Within the PhD School at Bocconi University, the four-year PhD program in Statistics provides a solid grounding for high level research in statistics, probability and data science. The curricula is organized over two years of courses and two years entirely devoted to research. Students acquire a deep methodological preparation through the first-year courses, which cover the fundamentals of probability and statistics. Specialized competence is acquired through the second-year courses, which are already focused on the doctoral thesis project. Both theoretical and applied research, including methods for machine learning and data science, are supported and encouraged. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi?s PhD School, as well as research experience abroad, are encouraged. The program includes monographic courses held by visiting professors from the most prestigious Universities and research institutions. The Ph.D. in Statistics is designed for highly motivated students who wish to undertake first rate research careers in theoretical or applied statistics and data science. Career opportunities also include central banks, financial institutions, governments and international organizations, and public health institutions. Highly qualified and motivated students with M.Sc. degrees in Statistics, Mathematics, Economics, Engineering, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. The Bocconi PhD School offers at least 4 student positions with fellowship for the PhD in Statistics and further positions with fellowship or tuition waiver are possibly available. See the full official call ? attached ? or visit www.unibocconi.eu/admissionphd for all information. Applications are due by February 1st, 2018. For more information about the program, its courses and the admission procedures, please feel free to contact our Program Assistant at infophd(a)unibocconi.it or visit our website www.unibocconi.eu/phdstatistics Sincerely, Sonia Petrone Director, PhD program in Statistics Bocconi University Milano, Italy -------------------------------------------------- Angela Baldassarre PhD School Administrative Assistant Bocconi University Via Röntgen 1 1st floor - room 1-E3-FM02 20136 Milano, Italy T: +39 02 5836.3367 E: angela.baldassarre(a)unibocconi.it

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Senior Data Scientist e Data Scientist in ISI Torino
by Eva Riccomagno 01 Nov '17

01 Nov '17

Buongiorno a Tutti La fondazione ISI di Torino ha messo a bando due posizioni, una di Senior Data Scientist e una di Data Scientist, su un progetto di ricerca nell'ambito AI/ML applicato al problema della copertura dei rischi nei mercati finanziari. Il progetto e’ in collaborazione con la Banca IMI. Ulteriori dettagli sono disponibili al link https://www.isi.it/en/news-events/open-position-isi-applied-research Sperando che l’informazione sia di interesse ed utile, porgo cordiali saluti Eva Riccomagno ————————————————————————————— Dipartimento di Matematica - Universita` degli Studi di Genova Via Dodecaneso, 35 - 16146 Genova - ITALIA Tel: +39 - 010 - 353 6938 Fax: +39 - 010 - 353 6960 www.dima.unige.it/~riccomag

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reminder for paper submission
by Davide Erminio Pirino 31 Oct '17

31 Oct '17

Dear Colleagues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is *26 November 2017*. Notification of acceptance will be given by* 23 December 2017*. The full paper for the discussant will have to be provided by *7 January 2018*. Looking forward to seeing you in Rome! Best regards The organizing committee

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Politecnico di Milano - Seminario L. Finos
by Laura M. Sangalli 31 Oct '17

31 Oct '17

Si avvisa che in data 07-11-2017, alle ore 15:30 precise, presso l'Aula Seminari "F. Saleri" VI piano, Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Livio Finos, Università degli Studi di Padova Titolo: Robust testing of generalized linear models by sign-flipping score contributions Sommario: We consider the problem of testing a generalized linear model (GLM) with possibly misspecified distribution. In this case, the traditional tests lose their good properties, since the Fisher information is estimated under incorrect assumptions. Here we present a testing approach that is based on random sign-flipping of score contributions, while not requiring any estimate of the Fisher information. As long as the link function is correct and under mild assumptions, our method is robust (i.e. asymptotically exact, consist) against several types of model misspecification, such as overdispersion, heteroscedasticity and, in some cases, ignored nuisance parameters. Among the other features, the methods extends easily to the multivariate (and multiple testing) framework, since it deals efficiently with the dependence of univariate tests without the need of estimating it. Some application to real data is shown and discussed. Based on joint work with Jesse Hemerik and Jelle Goeman Tutti gli interessati sono invitati a partecipare. Cordiali saluti, 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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liste per contratti d'insegnamento
by Marco Scarsini 30 Oct '17

30 Oct '17

Sono stati riaperti i bandi per la formazione di liste di idonei per il conferimento di incarichi di insegnamento ufficiale a contratto nei Corsi di Laurea alla LUISS. Sono aperti i bandi di tutti i Settori Scientifici Disciplinari afferenti agli insegnamenti offerti nel prossimo anno accademico. http://www.luiss.it/faculty/reclutamento-docenti-contratto/bandi I bandi scadono alle ore 14.00 del 20 novembre 2017. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Associate professor or lecturer positions in financial computing at UCL
by Guido Germano 30 Oct '17

30 Oct '17

Segnalo un bando open-rank per lecturer o professore associato presso il Financial Computing and Analytics Group, Department of Computer Science, University College London, con scadenza l’8 novembre 2017: http://www.jobs.ac.uk/job/BEO568/lecturer-senior-lecturer-in-financial-comp… Per fare domanda occorre compilare un modulo web entro la mezzanotte dell'ora di Londra. Il posto al bando è uno, ma nel frattempo ne è diventato disponibile un altro; non mi è ancora chiaro se tale secondo posto possa essere ricoperto attingendo allo stesso bando preparato in precedenza per il primo, o se sarà necessario un ulteriore bando. In ogni caso consiglio di fare domanda. L’insegnamento previsto è di due corsi di 30 ore l’uno per i MSc programmes Computational Finance, http://www.cs.ucl.ac.uk/prospective_students/msc_computational_finance Financial Risk Management, http://www.cs.ucl.ac.uk/prospective_students/msc_financial_risk_management Financial Mathematics, http://www.ucl.ac.uk/maths/courses/msc-financial I primi due sono amministrati dal Department of Computer Science e il terzo dal Department of Mathematics. È inoltre prevista la collaborazione con il Doctoral Training Centre in Financial Computing (in collaborazione coi dipartimenti di matematica di Imperial College e LSE) ed il Systemic Risk Centre (in cooperazione con la LSE: www.systemicrisk.ac.uk). Cordiali saluti Guido Germano Senior Lecturer, Department of Computer Science, University College London Research Associate, Systemic Risk Centre, London School of Economics Programme Director, MSc Computational Finance www.cs.ucl.ac.uk/people/G.Germano > Begin forwarded message: > > From: "Aste, Tomaso" <t.aste(a)ucl.ac.uk> > Subject: Associate professor and lecturer positions > Date: 19 October 2017 at 21:22:37 PM CEST > To: "Aste, Tomaso" <t.aste(a)ucl.ac.uk> > > Dear Friend, > you might be interested to know that there are two associate professor or lecturer positions opening in our group. (Senior lecturer will automatically take the title of Associate Professor from 2018.) > We do exciting researches on markets, societies and the economy in this digital era. We look for talented scientists with the ambition of a thriving career in one of the world’s top universities. > http://www.jobs.ac.uk/job/BEO568/lecturer-senior-lecturer-in-financial-comp… > Please distribute. > Regards, > Tomaso Aste > > ----------------------------------------------------------------------------------------------------------- > Tomaso Aste t.aste(a)ucl.ac.uk > UCL Computer Science http://www.cs.ucl.ac.uk/staff/tomaso_aste/ > Office 4.04, 66-72 Gower Street Tel. +44 203 108 7103 > London WC1E 6EA Fax. +44 20 7387 1397 > ----------------------------------------------------------------------------------------------------------- > > http://blockchain.cs.ucl.ac.uk/barac-project/

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seminar at LUISS
by Marco Scarsini 27 Oct '17

27 Oct '17

Thursday November 2 from from 12:00 to 13:00, Department of Economics and Finance LUISS room 207 viale Romania 32 00197 Roma. Speaker: Tristan Garrec (Université Toulouse Capitole) Title: Irreducible and Cyclic Zero-Sum Product Stochastic Games Abstract: We study two classes of zero-sum stochastic games with compact action sets and a finite product state space. For on-one-side irreducible games, we prove the existence of the uniform value. For cyclic games, we prove that the asymptotic value may fail to exist. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Two Associate Professor or lecturer positions at University College London
by Fabrizio Lillo 26 Oct '17

26 Oct '17

Prof. Tomaso Aste of UCL asked me to forward the following announcement: Two Associate Professor or lecturer positions opening in the Financial Computing and Analytics group of University College London. (Senior lecturer will automatically take the title of Associate Professor form 2018) The Financial Computing and Analytics group does exciting researches on markets, societies and the economy in this digital era. Candidates should have demonstrated a capability of initiating and conducting exciting world-class research in financial computing and related areas. They should also be able to demonstrate evidence for their ability to attract funding, for example by holding a personal fellowship, and peer esteem for their work. Candidates must hold an earned Ph.D. by the time of the application. They will be evaluated chiefly on the significance and novelty of their research to date, and their promise for leading a group in a fruitful program of research. They must also demonstrate a zest for innovative and challenging teaching at the graduate and undergraduate levels. A proven record of ability to manage time and evidence of ability to teach and to supervise academic work by undergraduates, masters, and doctoral students are desirable. http://www.jobs.ac.uk/job/BEO568/lecturer-senior-lecturer-in-financial- computing/ ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica Università di Bologna ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

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Postdoc on Models and algorithms for large networks from Big Data
by Fabrizio Lillo 26 Oct '17

26 Oct '17

The call for a 20 month postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is *Models and algorithms for large networks from Big Data”* under the following EU project: *“SoBigData Research Infrastructure”, *Acronym “*SoBigData*” (call H-2020-INFRAIA-2014-2015). The details of the call are at https://en.sns.it/bando/research-contract-named-%E2%80%9Cmodels-and-algorit… The research fellow shall carry out the following activities: study and implementation of models and algorithms for the study of the dynamics of complex networks of social, economic, financial origin; networks from time series; social pattern discovery; empirical analysis of Big Data. The deadline is November 8. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica Università di Bologna ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159

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Educazione finanziaria - Concorso per idee
by Daniele Marazzina 24 Oct '17

24 Oct '17

Con preghiera di diffusione >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Cari colleghi, da ormai un anno il laboratorio di Finanza Quantitativa del Dipartimento di Matematica del Politecnico di Milano, Qfinlab, è attivo nel campo dell’Educazione Finanziaria. Tutte le nostre attività in tal senso sono confluite nel sito www.imparalafinanza.it<http://www.imparalafinanza.it/>. Certamente importante è stato il lancio del primo MOOC di Educazione Finanziaria in Italia, la cui seconda edizione si avvia ormai alla conclusione, tramite il quale abbiamo raggiunto oltre 2000 persone. Una seconda iniziativa è stata la caccia al tesoro finanziaria (www.cacciaaltesorofinanziaria.it<http://www.cacciaaltesorofinanziaria.it/>), che ha visto protagonisti 45 ragazzi delle superiori, che si sono sfidati su argomenti di finanza, imparando. Vi scriviamo per chiedervi un aiuto nella diffusione della nostra terza iniziativa, il concorso per idee https://www.mate.polimi.it/concorso_edufin/ Il concorso è volto a far emergere idee interessanti e originali in merito a come comunicare nell'ambito dell’educazione finanziaria. È un concorso a livello nazionale ed è rivolto a singoli partecipanti o a gruppi composti al massimo da tre partecipanti, di età non superiore ai 35 anni. Le sezioni del concorso sono due, video e letteratura (testi scritti nelle più diverse forme), e saranno premiati i primi tre lavori di ognuna delle due categorie. È possibile iscriversi al concorso entro il 15 dicembre 2017, con consegna delle opere entro il 22 gennaio 2018. Per ulteriori informazioni https://www.mate.polimi.it/concorso_edufin/. Per la buona riuscita dell’iniziativa, che siamo sicuri troverete meritevole, vi chiediamo di diffondere il più possibile questo annuncio, sia tra i vostri colleghi e studenti universitari, sia tra le scuole o altri canali, se ne avete la possibilità. Vi ringraziamo per la vostra collaborazione. Emilio Barucci Daniele Marazzina

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Concorso RtdA SECS-S/06, Sapienza Università di ROMA
by Gabriele Stabile 24 Oct '17

24 Oct '17

Segnalo che presso il Dip. di Metodi e Modelli per l'Economia, il Territorio e la Finanza (MEMOTEF), Sapienza Università di ROMA, è indetta una procedura di valutazione a 1 posto do ricercatore a tempo determinato di tipo A per il SSD SECS-S/06 La ricerca è sulla tematica *"metodi quantitativi e modelli matematici per l’analisi e la valutazione di problemi di ambito finanziario e assicurativo"*. Il bando e' reperibile qui: https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/87104 Scadenza: 20 novembre 2017

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Junior research positions at the Centro De Giorgi, SNS, Pisa (fwd)
by Tiziano Vargiolu 24 Oct '17

24 Oct '17

----- Forwarded message from Luigi Ambrosio <luigi.ambrosio(a)sns.it> ----- Date: Mon, 23 Oct 2017 18:25:50 +0200 From: Luigi Ambrosio <luigi.ambrosio(a)sns.it> Subject: [CvGmt News] Junior research positions at the Centro De Giorgi, SNS, Pisa To: news(a)cvgmt.sns.it IT: https://www.sns.it/bando/assegni-di-ricerca-denominati-junior-visiting-posi… <https://www.sns.it/bando/assegni-di-ricerca-denominati-junior-visiting-posi…> EN: https://en.sns.it/bando/research-contracts-named-%E2%80%9Cjunior-visiting-p… <https://en.sns.it/bando/research-contracts-named-%E2%80%9Cjunior-visiting-p…> ----- End forwarded message -----

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volume speciale "Stochastic Processes with Applications"
by Antonio Di Crescenzo 24 Oct '17

24 Oct '17

Si rende noto che la rivista "Mathematics" (http://www.mdpi.com/journal/mathematics) -casa editrice MDPI- ha attivato un volume speciale intitolato "Stochastic Processes with Applications". La scadenza per la sottomissione dei contributi è: 30 aprile 2018. Informazioni dettagliate sono presenti al sito <http://www.mdpi.com/journal/mathematics/special_issues/Stochastic_Processes…>http://www.mdpi.com/journal/mathematics/special_issues/Stochastic_Processes… Per altre informazioni potete contattarci. Cordialmente, Antonio Di Crescenzo (adicrescenzo(a)unisa.it) Claudio Macci (macci(a)mat.uniroma2.it) Barbara Martinucci (bmartinucci(a)unisa.it) --

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5th Workshop on Fractional Calculus, Probability and non-local Operators
by Enrico Scalas 24 Oct '17

24 Oct '17

Car* collegh*, Vi puo' interessare la quinta edizione di "Workshop on Fractional Calculus, Probability and non-local Operators" che si terra' a Bilbao (BCAM) dall'8 al 10 Novembre 2017. Per piu' informazioni: http://www.bcamath.org/en/workshops/fcpnlo2017 Cordiali saluti, Enrico Scalas

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PhD position in Bern
by fabio bellini 24 Oct '17

24 Oct '17

A message from Johanna Ziegel and Ilya Molchanov: UNIVERSITY OF BERN (INSTITUTE OF MATHEMATICAL STATISTICS AND ACTUARIAL SCIENCE) PhD POSITION in PROBABILITY THEORY Funding from the SNF (Swiss National Science Foundation) is available for a PhD student (3 years) to work on the project `Poisson approximation and extreme values in stochastic geometry' of Prof. Ilya Molchanov and Dr. Matthias Schulte. The focus of this project is on topics such as the Malliavin-Chen-Stein method, extreme values in stochastic geometry, random simplicial complexes and metric measure spaces. The PhD student will be supervised by Dr. Matthias Schulte. It is anticipated that the prospective PhD student has a background in mathematics with emphasis on probability theory. The salary will be at the level foreseen by the SNF, see http://www.snf.ch/ SiteCollectionDocuments/allg_doktorierende_d.pdf. There might be a possibility to complement the salary by taking up teaching and statistical consulting duties. The starting date should be as soon as possible or as can be arranged by a mutual agreement. Applications (cover letter, CV, and transcripts from the studies) giving the name and address (postal and e-mail) of an academic referee should be e-mailed as a single file to Prof. Ilya Molchanov ilya.molchanov(a)stat.unibe.ch and Dr. Matthias Schulte matthias.schulte(a)stat.unibe.ch. Applications are considered until the position is filled. Informal e-mail enquiries are welcome. http://www.imsv.unibe.ch

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Fwd: Junior research positions at the Centro De Giorgi, SNS, Pisa
by Marco Romito 24 Oct '17

24 Oct '17

IT: https://www.sns.it/bando/assegni-di-ricerca-denominati-junior-visiting-posi… <https://www.sns.it/bando/assegni-di-ricerca-denominati-junior-visiting-posi…> EN: https://en.sns.it/bando/research-contracts-named-%E2%80%9Cjunior-visiting-p… <https://en.sns.it/bando/research-contracts-named-%E2%80%9Cjunior-visiting-p…>

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Avviso seminario_Ennio Fedrizzi_Martedì 31 ottobre_ ore 11:00
by Stefano Bonaccorsi 23 Oct '17

23 Oct '17

Avviso di seminario, Università di Trento "Regularization by noise for transport and kinetic equations" Martedì 31 ottobre 2017 *Luogo:* Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari "-1" *Ore*: 11.00 - *Relatore: *Ennio Fedrizzi (Applied Mathematical Department, ENSTA ParisTech) *Abstract: *For some differential equations the addition of a carefully chosen, random noise term can produce a regularising effect (e.g. solutions are more regular, or restored uniqueness). I will first mention a few easy examples (ODEs) to introduce some of these regularising mechanisms, then detail two cases where we have regularisation for a PDE: the linear transport equation and a kinetic equation with force term. I will present some classical results for these two equations, related to well-posedness and regularity of solutions, that in the stochastic setting can be obtained under weaker hypothesis. These results are based on a careful analysis of the stochastic characteristics and the regularising properties of some associated parabolic/elliptic PDE. If time allows, I will conclude by introducing a new strategy of proof based on stochastic exponentials and an associated parabolic PDE, which allows to obtain, under even weaker hypothesis, well-posedness for stochastic PDEs in a class of solutions which are only regular in mean. This will be illustrated by an application to the transport equation. *Referente: *Stefano Bonaccorsi

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Fwd: Post-doctoral position in data science @ENS Paris "Laplace Chair 2018"
by Davide FICHERA 23 Oct '17

23 Oct '17

Ricevo e inoltro, nella speranza che possa esser utile. Cordiali saluti, D. Fichera ---------- Forwarded message ---------- From: Florent KRZAKALA <florent.krzakala(a)ens.fr> Date: 2017-10-20 14:46 GMT+02:00 Subject: Post-doctoral position in data science @ENS Paris "Laplace Chair 2018" To: Florent KRZAKALA <florent.krzakala(a)ens.fr> Dear colleagues We are looking for excellent candidates in ENS for the Laplace Junior Professor Chair in Data Sciences. Please circulate this message as much as possible! Regards Florent ------------------------------ The Ecole Normale Supérieure (ENS Paris) invites applications for a Junior Research and Teaching Laplace chair in data science at the postdoctoral level, funded by CFM (Capital Fund Management) and the ENS. The chair is named after Pierre-Simon, marquis de Laplace, who between many accomplishments, was one of the early founders of statistical inference and data science. The Laplace chair aims at recruiting outstanding candidates in all areas of data sciences including theoretical statistics, machine learning, optimization, signal processing, computer science, applied mathematics and statistical physics, or working on applications to other sciences such as physics, biology, medicine, social sciences or economics. Appointments will be for two years with a possible extension for a third year. Salary is competitive and the positions are endowed with travel resources. The successful candidate will carry out research in ENS, with reduced teaching duties which will be adapted. Applications should consist of a single file and be send before December 31th, 2017 by email to laplacechair2018(a)gmail.com. - A cover letter ; - A complete CV including a list of publications ; - A research statement (maximum 4 pages in A4 format) taking into account possible interactions with research groups/faculty within the different department of ENS (Computer science,Mathematics, Physics,Biology, etc.) ; - Three letters of recommendation from senior scientists, to be sent directly by email to laplacechair2018(a)gmail.com. More information about the scientific environnement of this program can be found on the webpage of the Data Science Chair of the ENS at https://data-ens.github.io. Short-listed candidates will be invited for an interview (video conference) in mid-January 2018.

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seminar at LUISS
by Marco Scarsini 20 Oct '17

20 Oct '17

October 26 from 12:00 to 13:00, Department of Economics and Finance LUISS room 207 viale Romania 32 00197 Roma. Speaker: Sylvain Sorin (IMJ, Université Pierre at Marie Curie) Title: Optimization, learning and games. ``Replicator dynamics: old and new’’ Abstract: We will describe the unilateral version associated to the replicator dynamics and its connection to on-line learning procedures and classical gradient algorithms in discrete and continuous time. We will survey recent results on extensions of this dynamics: regularization functions and variable weights, time average and link to best reply dynamics in games, equilibria and variational inequalities, potential and dissipative games, Hessian Riemannian metrics. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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MAF 2018 - Mathematical and Statistical Methods for Actuarial Sciences and Finance
by Marco Corazza 20 Oct '17

20 Oct '17

Dear All, we are glad to announce that the call for papers for the conference *MAF 2018 - Mathematical and Statistical Methods for Actuarial Sciencea and Finance* is open. MAF 2018 will be held on *April 4-6, 2018* at *Universidad Carlos III de Madrid* (Campus Madrid-Puerta de Toledo), Spain. Our website address is *http://www.est-econ.uc3m.es/maf2018/ <http://www.est-econ.uc3m.es/maf2018/>*. Interested people should submit a 1-page abstract within *December 1, 2017*. See you in Madrid! -- Marco Corazza, Ph.D. Department of Economics Ca' Foscari University of Venice San Giobbe, Cannaregio 873 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it -- <<Neuroscientists have shown that monetary gain stimulates the same reward circuitry as cocaine and that financial loss activates the same fight-or-flight response as a physical attack. Th ese reactions are hardwired into human physiology.>> *A.W. Lo, "Adaptive markets. Financial evolution at the speed of thought", Princeton University Press, 2017)* [page 101]

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Fwd: Excellence Laboratory Milyon scholarships: call for applications 2018
by Gianfausto SALVADORI 19 Oct '17

19 Oct '17

Ricevo e inoltro, nella speranza che possa esser utile a qualche nostro studente. Cordiali saluti, G. Salvadori > Dear colleagues, > > Please forward the following announcement for Master and Bachelor level scholarships for research programs in Mathematics and Computer Science in the Lyon—Saint-Étienne area. > > Best regards, > Christophe Sabot > Responsible of the Excellence Laboratory Milyon <http://milyon.universite-lyon.fr/> > > ——————————————————————————————— > > The Excellence Laboratory Milyon is a “Future Investments Program” in the Lyon—Saint-Étienne area. Milyon federates 350 researchers from three research units in Mathematics and Fundamental Computer Science: Institut Camille Jordan, Laboratoire de l’Informatique du Parallélisme, Unité de Mathématiques Pures et Appliquées. > > Milyon fosters interdisciplinary research. It also stimulates interactions between Mathematics and Computer Science and between the researchers from the three research units in three main directions: > research > support to innovative training programs > dissemination of scientific culture. > > Milyon offers scholarships for Master and 3rd year Bachelor students. Of 1,000 euros net/month/10 months, the scholarships are intended to students with outstanding academic records willing to enroll in the research programs in Mathematics and Computer Science supported by Milyon. > > The 2018 call for applications is open > Deadline for applications: January 9th, 2018 > Results will be communicated around February 15th, 2018 > > Useful links : > > Milyon’s scholarships program <http://milyon.universite-lyon.fr/en/formation/bourses/> > Programs eligible for Milyon scholarships <http://milyon.universite-lyon.fr/en/formation/cursus-innovants/> > Milyon’s website <http://milyon.universite-lyon.fr/en/> ____________________________________________________ Gianfausto SALVADORI ____________________________________________________ Università del Salento Dipartimento di Matematica e Fisica "E. De Giorgi" Provinciale Lecce-Arnesano, P.O.Box 193 I-73100 Lecce (Italy) ____________________________________________________ PHONE: +39-0832-29 7584. FAX: +39-0832-29 7594 ____________________________________________________ E-MAIL: gianfausto.salvadori(a)unisalento.it http://www.unisalento.it/people/gianfausto.salvadori <http://www.unisalento.it/people/gianfausto.salvadori> (OPEN) "Dependence Modeling" Editorial Board member http://www.degruyter.com/view/j/demo ____________________________________________________

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Seminar by prof. Walter Schachermayer at LUISS
by Sara 18 Oct '17

18 Oct '17

Dear all, on Friday 24 November at 9:30, room A105 prof Schachermayer will give the following seminar: *Title:* The amazing power of dimensional analysis: Quantifying market impact *Abstract:* A basic problem when trading in financial markets is to analyze the prize movement caused by placing an order. Clearly we expect - ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called market impact. Following Kyle and Obizhaeva we apply dimensional analysis - a line of arguments wellknown in classical physics - to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order. The mathematical tools of this analysis reside on elementary linear algebra. Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi. Regards, Sara -- 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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10th World Congress of the Bachelier Finance Society
by Paolo Guasoni 18 Oct '17

18 Oct '17

10th World Congress of the Bachelier Finance Society Banner BFS Congress 2018 <http://www.bachelierfinance.org/wp/wp-content/uploads/2017/10/banner_congre…> Trinity College Dublin, July 16-20, 2018 Call for Papers Every two years, the *World Congress* of the *Bachelier Finance Society* brings together academics and practitioners in the Mathematical and Quantitative Finance community to exchange ideas on the state-of-the-art, discuss the latest trends in the field, and find new collaborations and employment opportunities. The 10th World Congress of the Bachelier Finance Society will take place at *Trinity College Dublin, July 16-20, 2018*. Plenary Speakers René Aïd (Paris Dauphine), Hansjoerg Albrecher (HEC Lausanne), Bruno Bouchard (Paris Dauphine), J. Doyne Farmer (Oxford), Masaaki Fukasawa (Osaka), Xin Guo (Berkeley), Monique Jeanblanc (Evry), Charles-Albert Lehalle (Capital Market Fund), Walter Schachermayer (University of Vienna), José A. Scheinkman (Columbia), Mete Soner (ETH Zurich), Jiangfeng Zhang (USC). Scientific Committee Pauline Barrieu (LSE), Erhan Bayraktar (University of Michigan), Michel Crouhy (Natixis), Jean-Pierre Fouque (Santa Barbara), Paolo Guasoni (Dublin City University), Takaki Hayashi (Keio), Vicky Henderson (Warwick), Alexander Lipton (Stronghold Labs), Andrew Lo (MIT), Jin Ma (USC), Huyên Pham (Paris VII), Jean-Charles Rochet (University of Zurich), Mathieu Rosenbaum (Ecole Polytechnique), Alexander Schied (Waterloo), Wim Schoutens (KU Leuven). Submissions open now Submissions are open on the conference website through January 15, 2018: http://bacheliercongress2018.com/ Bachelier Finance Society Junior Scholar Award - sponsored by SIG At SIG <https://sig.com/>, Quantitative Researchers explore the latest concepts in financial mathematics to solve problems found in the markets. Sponsored by SIG, this new award will honour the most outstanding contribution by a PhD student or postdoc with EUR 5000 (conditions apply). The award has been created to recognise scholars who share SIG’s passion for cutting-edge research. Conference participants will also have the opportunity to submit their CVs and potentially interview with our sponsors. Click here <http://www.bachelierfinance.org/awards/junior-scholar-award.html> to read more about the Bachelier Finance Society Junior Scholar Award. Poster The poster of the Congress can be downloaded here <http://bacheliercongress2018.com/uploads/files/BFS-A4-flyer5.pdf>.

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Conference in Bologna
by Sabrina Mulinacci 17 Oct '17

17 Oct '17

Dear all, Like every year, the opening of the Graduate course in Quantitative Finance is celebrated with an international conference devoted to hot topics in risk management. As always, the conference takes place in the days around Halloween, and for this reason, and also for the risk topics addresses, is known among Quantitative Finance alumni's as the Halloween conference. This year, the conference will take place on October 26th and 27th, and topic covered will be: Sovereign Risk and the Euro: Lessons from the Crisis Info about the program and participation is in the website below. Participation is free of charge, but for organizational reasons we kindly ask you to notify participation to marialuigia.loiudice(a)unibo.it<mailto:marialuigia.loiudice@unibo.it> http://www2.stat.unibo.it/sovereign-risk/Home.html Looking forward to seeing you in Bologna! Umberto Cherubini and Sabrina Mulinacci

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Bruti Liberati Prize
by Daniele Marazzina 16 Oct '17

16 Oct '17

Con preghiera di diffusione XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX We are happy to announce the Bruti Liberati Prize 2017. The Bachelier Finance Society and the Department of Mathematics of the Politecnico di Milano, in cooperation with Springer, are proud to announce the Seventh Nicola Bruti Liberati Prize which is to be awarded for a doctoral thesis defended in 2016-2017 in all subjects of Mathematical Finance Application deadline is 31 January 2018. You find all the necessary information on the website https://www.mate.polimi.it/brutiliberatiprize/ Qfinlab Department of Mathematics Politecnico di Milano Bruti-Liberati Prize - Politecnico di Milano<https://www.mate.polimi.it/brutiliberatiprize/> www.mate.polimi.it The Bachelier Finance Society and the Department of Mathematics of the Politecnico di Milano, in cooperation with Springer, are proud to announce the Sixth Nicola ...

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Fwd: The 9th International Conference on Stochastic Analysis and Its Applications - Save the date
by Michele Coghi 16 Oct '17

16 Oct '17

Dear all, this is the first announcement for "The 9th International Conference on Stochastic Analysis and Its Applications" (ICSAA) to be held at Bielefeld University, Germany, from 3th - 7th September 2018. The main topics of the conference series include but are not limited to: * Stochastic analysis and its applications * Stochastic differential and partial differential equations * Markov processes including jump type processes and measure-valued processes * Dirichlet forms * Analysis on fractals and percolation clusters * Random walk in random media and on random graphs More information and (soon) the registration form are available on the website https://www.math.uni-bielefeld.de/icsaa/ We are looking forward to seeing you in Bielefeld, Michele Coghi Local organizer

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Fwd: Stimulate
by Marco Romito 15 Oct '17

15 Oct '17

ricevo e giro la segnalazione di borse PhD nell'ambito del progetto Stimulate (Simulation in multiscale physical and biological systems). Il flyer dell'annuncio: http://www.stimulate-ejd.eu/sites/default/files/stimulate_poster.png Per maggiori informazioni: http://www.stimulate-ejd.eu

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Position at the UK Office for National Statistics
by Enrico Scalas 13 Oct '17

13 Oct '17

Dear Colleagues, The Office for National Statistics in the UK is recruiting statisticians. You might wish to circulate the ads to interested persons (deadline 22 Oct): https://www.civilservicejobs.service.gov.uk/csr/index.cgi?SID= c2VhcmNoX3NsaWNlX2N1cnJlbnQ9MiZjc291cmNlPWNzcXNlYXJjaCZwYWdl YWN0aW9uPXZpZXd2YWNieWpvYmxpc3QmcGFnZWNsYXNzPUpvYnMmb3duZXJ0 eXBlPWZhaXImdXNlcnNlYXJjaGNvbnRleHQ9NDUyMjYyOTUmb3duZXI9NTA3 MDAwMCZqb2JsaXN0X3ZpZXdfdmFjPTE1NTgyODYmcmVxc2lnPTE1MDcxMTg3 ODUtZjA0NTBmNjVhOWM2NDc4ZjFiZTZiNWVkNmYxMjk3NTQwZTcyMTEwOQ== https://www.civilservicejobs.service.gov.uk/csr/index.cgi?SID= Y3NvdXJjZT1jc3FzZWFyY2gmb3duZXJ0eXBlPWZhaXImdXNlcnNlYXJjaGNv bnRleHQ9NDUyMjYyOTUmam9ibGlzdF92aWV3X3ZhYz0xNTU4MjgzJnNlYXJj aF9zbGljZV9jdXJyZW50PTEmb3duZXI9NTA3MDAwMCZwYWdlY2xhc3M9Sm9i cyZwYWdlYWN0aW9uPXZpZXd2YWNieWpvYmxpc3QmcmVxc2lnPTE1MDcxMTg2 NTQtYmRmN2M0MWQ1MDhmYzEwNGQ0ZGY5NzkxMmVkMGU3ZmEzM2EyODZjMA== I hope the links above do work. If not, please feel free to contact me personally in case you are interested. Best regards, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Assegno di Ricerca SECS-S/06 a Roma Tre
by Pietro Caputo 12 Oct '17

12 Oct '17

Segnalo il seguente assegno di ricerca bandito presso il Dipartimento di Studi Aziendali, SSD SECS-S/06 "Metodi matematici per l'analisi di problemi relativi alla gestione aziendale, alla finanza, alle scelte individuali, strategiche e collettive". Il bando e' reperibile qui: http://europa.uniroma3.it/dottorati2010/assegni/6ef6e164-5bf6-48de-ab04- d5f9d4f62994.pdf Scadenza: 20 ottobre 2017

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Model Uncertainty and Robust Finance (II edition)
by Giovanni Puccetti 12 Oct '17

12 Oct '17

FIRST ANNOUNCEMENT for the Workshop Model Uncertainty and Robust Finance (II edition), University of Milano, MARCH 15-16, 2018 https://sites.google.com/site/murf2018/ CONFIRMED INVITED SPEAKERS Carole BERNARD (VUB & Grenoble EM) Roger COOKE (TU Delft) David LI (SAIF & SJTU Shangai) Massimo MARINACCI (Bocconi University) Walter SCHACHERMAYER (University of Vienna) Ludovic TANGPI (University of Vienna) FREE REGISTRATION FOR ACCEPTED CONTRIBUTED SPEAKERS (Deadline for abstract submission: JANUARY 31, 2018) DE FINETTI RISK SEMINAR on MARCH 14, 2018 (Lecture by W. SCHACHERMAYER and Welcome Reception) SPECIAL ISSUE in DEPENDENCE MODELING edited by Marco Frittelli and Emanuela Rosazza-Gianin Hope to see you soon in Milan!

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Fifth edition of the StaTalk series (workshops on statistical topics)
by Euloge C. Kenne Pagui 12 Oct '17

12 Oct '17

Dear all, we are pleased to announce that the fifth edition of the StaTalk series will be held at the Department of Statistical Sciences of the University of Padua, on November, 17, 2017. 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. The topic of this fifth edition will cover many areas of research currently undergoing at the Department of Statistical Sciences of the University of Padua ranging from methodological statistics to demography. Registrations, as in the past StaTalk events, is free of charge but mandatory. Additional information, can be found at the workshop page statalk.stat.unipd.it Best regards, The Organising Committee --------------------------------------------------------- Department of Statistical Sciences, University of Padova. Via Cesare Battisti, 241 - 35121 Padova ---------------------------------------------------------

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Lezioni inaugurali - MSc FIRM - Firenze (mar 17/10)
by Giacomo Scandolo 11 Oct '17

11 Oct '17

Inaugural Lectures MSc in Finance and Risk Management (Università di Firenze) Academic Year 2017/2018 17 October 2017 Aula 0.05, D15 building, Polo di Novoli PROGRAM 9.30 Institutional greetings 9.45 Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" 10.45 Coffee-break 11.15 Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" 12.30 Dimitri LORENZANI (European Commission, Directorate General for Economic and Financial Affairs) "The European Commission's 2017 Country Report: analytical insights" More information http://www.frm.unifi.it/ Abstracts Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" Large life insurance companies are internationally diversified. The cost-effectiveness or business-cycle smoothing of international diversification is not always at work. How can the empirical evidence be rationalized, then? We show that diversification gains from international expansion can reduce risk margins and Solvency requirements due to longevity risk. Gains are more pronounced in a low-interest rates regime. To show that result, we build parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in different populations. We define a diversification index and measure diversification gains in capital requirements according to the current regulation. We present a calibrated example, based on annuity portfolios of UK and Italian males. The results of our application show that diversification gains, evaluated as the reduction in the portfolio risk margin following the international expansion, may be non-negligible. Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" Abstract: Implied volatility modeling has been a mainstream research in academia and industry almost since the trading of options was introduced to the financial world. In this talk, we review stylized facts of implied volatility in equity market, followed by an introduction to the commonly used models that captures partly the stylized facts. The models include local volatility model, stochastic volatility model, local-stochastic volatility, and the fractional volatility model. The last in the list has been regaining great attentions these days. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. We conclude the talk by the pricing of financial instruments that are directly or indirectly related to implied volatilities. Dimitri Lorenzani (European Commission, Directorate General for Economic and Financial Affairs) " The European Commission's 2017 Country Report: analytical insights" Abstract: In the 2017 Country Report, the European Commission assessed Italy's economy in the light of the economic priorities established through the 2017 Annual Growth Survey: (i) boosting investment; (ii) pursuing structural reforms; and (iii) ensuring responsible fiscal policies. The presentation aims to provide insights into some of the analytical work underpinning the European Commission's findings. The Country Report indicates that, despite some important reforms in recent years, significant structural weaknesses in diverse policy areas continue to undermine Italy's productivity growth, slowing the correction of Italy's excessive macroeconomic imbalances. In particular, the high public debt remains a major source of vulnerability for the Italian economy given the low potential growth and a still fragile fiscal position. Moreover, the competitiveness gap of the Italian economy vis-à-vis the rest of the euro area persists also due to the insufficient innovation capacity of Italian firms. The legacies of the long-lasting crisis also weigh on Italy's growth prospects since sizeable non-performing loans hamper banks' ability to support investment, while long-term and youth unemployment remain high.

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Seminario Tai-Ho Wang 19 ottobre 2017 presso Università Cattolica sede di Milano
by Marina DI GIACINTO 11 Oct '17

11 Oct '17

Seminario di Tai-Ho Wang (Department of Mathematics - Baruch College - The City University of New York) Giovedi' 19 ottobre 2017 - ore 14:30 - aula 200 Università Cattolica del Sacro Cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Modeling of implied volatility and its recent progress ABSTRACT: Modeling of implied volatility has been active ever since the introduction of trading of option. In this talk, starting from the minimal and complete local volatility model, we discuss the development of more sophisticated models that aim to capture stylized facts observed in the market. In addition to local volatility models, the models include stochastic volatility model, exponential Levy models, and the recently revived fractional models. We also elaborate which of the styles facts are, and which aren't, captured by these models. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. Tutti gli interessati sono invitati a partecipare.

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2 postdoc positions in Geometric Methods for Deep and Reinforcement Learning at RIST
by Luigi Malagò 09 Oct '17

09 Oct '17

=========================================================== *Subject*: 2 postdoc positions in Machine Learning (1 year, renewable up to 3 years) *Institution*: RIST - Romanian Institute of Science and Technology, Cluj-Napoca *Keywords*: Deep Learning, Reinforcement Learning, Stochastic Optimization, Optimization over Manifolds, Information Geometry, Riemannian Geometry *Application deadline*: 20 October 2017 (applicants are encouraged to apply earlier) *Salary*: around 2190 euro net *Official announcement*: http://rist.ro/en/details/news/postdoc- positions-in-deep-learning-and-machine-learning.html =========================================================== Dear colleagues, the Romanian Institute of Science and Technology (RIST) has an opening for 2 postdoc positions, in the context of the DeepRiemann project “Riemannian Optimization Methods for Deep Learning”, funded by European structural funds through the Competitiveness Operational Program (POC 2014-2020). The appointments will be for 1 year, with possible extensions up to 3 years. The DeepRiemann project aims at the design and analysis of novel training algorithms for Neural Networks in Deep Learning, by applying notions of Riemannian optimization and differential geometry. The task of the training a Neural Network is studied by employing tools from Optimization over Manifolds and Information Geometry, by casting the learning process to an optimization problem defined over a statistical manifold, i.e., a set of probability distributions. The project is highly interdisciplinary, with competences spanning from Machine Learning to Optimization, Deep Learning, Statistics, and Differential Geometry. The objectives of the project are multiple and include both theoretical and applied research, together with industrial activities oriented to transfer knowledge, from the institute to a startup or spin-off of the research group. The positions will be part of the new Machine Learning and Optimization group http://luigimalago.it/group.html, which performs research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, from the unifying perspective of Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST, where about 20 new postdoctoral research associates and research software developers will be hired by 2018. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in- deep-learning-and-machine-learning.html Informal inquiries can be sent to Dr. Luigi Malagò <malago(a)rist.ro>, principal investigator of the DeepRiemann project. Application deadline: 20 October 2017 (applicants are encouraged to apply earlier) best regards, Luigi Malagò

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Fwd: Summer School in Probability and Mathematical Physics at IST Austria
by pietro caputo 09 Oct '17

09 Oct '17

---------- Forwarded message ---------- From: Jan Maas <jan.maas(a)ist.ac.at> Date: Mon, Oct 9, 2017 at 10:46 AM Subject: Summer School in Probability and Mathematical Physics at IST Austria To: pmp-2018(a)ist.ac.at Dear colleagues, IST Austria organizes a Summer School in Probability and Mathematical Physics which takes place on June 4-8, 2018. The school consists of three lecture series by eminent mathematicians: Hugo Duminil-Copin (IHES): Sharp threshold phenomena via randomized algorithms Martin Hairer (Imperial College London): A BPHZ theorem for stochastic PDEs Jason Miller (University of Cambridge): The Gaussian free field and Liouville quantum gravity The event is aimed at a broad audience of researchers, particularly focusing on PhD students and postdocs. It takes place at the campus of IST Austria, a young international institute dedicated to basic research and graduate education in the natural and mathematical sciences. The institute is located in Klosterneuburg on the outskirts of Vienna. Limited support is available for partially covering the costs of travel and/or accommodation for qualified (PhD) students and postdocs. More information and a registration form can be found at http://ist.ac.at/pmp2018/ We would be grateful if you could bring this information to the attention of researchers who may be interested to attend. Best regards, Laszlo Erdos, Jan Maas, Robert Seiringer

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seminar at LUISS
by Marco Scarsini 09 Oct '17

09 Oct '17

Thursday October 12 from 12:00 to 13:00, room 207 Department of Economics and Finance LUISS viale Romania 32 00197 Roma. Speaker: Fabio Martinelli Title: Bootstrap percolation and interacting particle systems with kinetic constraints Abstract: Recent years have seen a great deal of progress in understanding the behavior of bootstrap percolation models, a particular class of monotone cellular automata. In the two-dimensional lattice, there is now a quite satisfactory understanding of their evolution starting from a random initial condition, with a strikingly beautiful universality picture for their critical behavior (length and time scales). Much less is known for their non-monotone stochastic counterpart, namely kinetically constrained models (KCM). In KCMs the state of each vertex which could be infected by the bootstrap percolation rules is resampled (independently among the vertices) at rate one by tossing a p-coin. In particular, the infection can also heal, hence the non-monotonicity. Besides their connection with bootstrap percolation, KCMs have a strong interest in their own: as p ↓ 0 they display some of the most striking features of the liquid/glass transition, a major and still largely open problem in condensed matter physics. In this talk, after an introductory first part, I shall discuss (i) some recent conjectures relating the universality behavior of critical KCMs to their bootstrap percolation counterpart and (ii) some very recent progress towards proving the above conjectures. Joint project with C. Toninelli (Univ. Paris VII) and R. Morris (IMPA, Rio de Janeiro) ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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PhD Course on Hawkes Processes and Applications in Finance
by Carlo Sgarra 07 Oct '17

07 Oct '17

In my previous message announcing a PhD Course at Politecnico di Milano on "Hawkes Processes and Applications in Finance" a systematic misprint on the dates of the lectures appeared. The lectures will take place in JANUARY 2018, not January 2017 (as appearing in the previous message); the other informations concerning classrooms, days and times were correct. I apologize for the misprint. Kind Regards, Carlo Sgarra

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Seminario KAKAMU
by Matteo Ruggiero 06 Oct '17

06 Oct '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 13 Ottobre 2017, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Kazuhiko KAKAMU (Kobe University) HOW DOES MONETARY POLICY AFFECT INCOME INEQUALITY IN JAPAN? EVIDENCE FROM GROUPED DATA We examine the effects of monetary policy on income inequality in Japan using a novel econometric approach that jointly estimates the Gini coefficient based on micro-level grouped data of households and the dynamics of macroeconomic quantities. Our results indicate different effects on income inequality depending on the monetary policy measure under consideration: A traditional rate increase decreases income inequality, whereas a reduction of asset purchases leads to more inequality. Movements of inflation expectations and equity prices might account for theses differences. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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PhD Course on Hawkes Processes and Aplications in Finance
by Carlo Sgarra 06 Oct '17

06 Oct '17

The Mathematics Department of Politecnico di Milano will offer a PhD course on the subject "Hawkes Processes and Applications in Finance". The course will be given by Carlo Sgarra. The calendar and the subjects of the lectures will be the following: January 8, 2017 9:30-12:30 Motivation for introducing Hawkes processes in financial models, the self-exciting features of jumps and the clustering property. January 8, 2017 14:30-16:30 Introduction to point processes: their basic properties. January 9, 2017 9:30-12:30 Definition and basic properties of Hawkes processes. January 9, 2017 14:30-16:30 The microstructure foundation of Hawkes processes. January 10, 2017 9:30-12:30 Multivariate Hawkes processes. January 10, 2017 14:30-16:30 Simulation of Hawkes processes. The time change technique. January 15, 2017 9:30-12:30 The Statistics of Hawkes processes: parametric estimation. The Maximum Likelihood Estimator for Hawkes Processes. January 15, 2017 14:30-16:30 Hawkes processes and pricing. January 16, 2017 9:30-12:30 Hawkes processes and the branching property. Branching processes in continuous time and their relation with Hawkes. January 16, 2017 14:30-16:30 Hawkes processes and power market. January 17, 2017 9:30-12:30 Hawkes processes and rough volatility models: an introduction to rough volatility models. January 17, 2017 14:30-16:30 Optimal control problems in Hawkes framework: a few examples from the literature. Some slides will be available at the end of the course. The lectures will take place in the classroom inside the Department of Mathematics located at the third floor of the building called "La Nave". Best Regards, Carlo Sgarra

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Fwd: 4th Barcelona Summer School on Stochastic Analysis
by Marco Romito 06 Oct '17

06 Oct '17

-------- Forwarded Message -------- Subject: 4th Barcelona Summer School on Stochastic Analysis Date: Thu, 5 Oct 2017 15:43:29 +0200 From: Bústia CRM Difusions <crmdifusions(a)crm.cat> Dear colleague, We are pleased to announce the upcoming *4th Barcelona Summer School on Stochastic Analysis*, which will be held at the Centre de Recerca Matemàtica in Bellaterra (Barcelona) from *July 9 to July 13, 2018*. The school is intended for PhD students and young researchers mainly in stochastic analysis. The courses will be the following: * /Some stochastic models in eco-evolution/, by *Sylvie Méléard*(École Polytechnique, France) * /Topology of zero sets of smooth random Gaussian functions, by**/*Mikhail Sodin*(Tel Aviv University, Israel) We invite you to visit the homepage of the school http://www.crm.cat/en/Activities/Curs_2017-2018/Pages/4th-BCN-Summer-School… to keep posted with the progress of and news about the organization. Sincerely Yours, The Organizing Committee: Xavier Bardina (Universitat Autònoma de Barcelona) Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) Marta Sanz-Solé (Universitat de Barcelona) Josep Vives (Universitat de Barcelona) *CRM_LOGO_P* Centre de Recerca Matemàtica Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 *www.crm.cat <http://www.crm.cat/>*** *@CRMatematica <https://twitter.com/CRMatematica>*

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DataScience@Sapienza
by Pierpaolo Brutti 05 Oct '17

05 Oct '17

A tutti gli interessati, Venerdì 6 ottobre si terrà il simposio "DataScience@Sapienza" al termine del quale il rettore Eugenio Gaudio proclamerà i primi laureati magistrali in "Data Science" dell'Ateneo. Durante il simposio sono previsti gli interventi della direttrice di ricerca Google per il Machine learning, Corinna Cortes e del direttore per i servizi IT di Eurostat, Emanuele Baldacci. Inoltre, si discuterà sulle opportunità di lavoro e sulle competenze della figura del data scientist attraverso la partecipazione di alcune delle numerose realtà industriali che hanno collaborato con il Corso di laurea magistrale (IBM, Microsoft, SAS, Banca d'Italia e Unicredit). Per maggiori informazioni: DataScience@SAPIENZA: Symposium and Graduation Ceremony url: http://news.uniroma1.it/06102017_0900 --P

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Open full professorship, Prob-L@B, University of Bath, UK
by Alexandre Stauffer 03 Oct '17

03 Oct '17

Apologies for cross postings The Department of Mathematical Sciences at the University of Bath is inviting applications for a full professorship in Probability. Applicants must have a strong research vision, and a track record of engagement within their Department and across the wider mathematical community. Applicants are expected to have an excellent track record of publications and research grant acquisition, commensurate to their stage of career, as well as a keen interest in pursuing excellence in teaching and in supervising graduate students. Key attributes are strategic leadership and the ability to influence and shape the output and success of the Department. We particularly welcome applications from established Professors, as well as from Readers, Senior Lecturers and Associate Professors or equivalent who can demonstrate a significant upward trajectory. Applications from all groups currently under-represented in academic posts are particularly encouraged. Both the Department and the University are committed to providing a supportive and inclusive working environment. Flexible working options will be considered wherever possible. For more information visit http://www.bath.ac.uk/hr/working/flexible-working/. For further information on how to apply, please visit https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5266 Contact Professor Andreas Kyprianou (a.kyprianou(a)bath.ac.uk) should you have further questions. Best wishes, Alexandre

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avviso di seminario - Univ. Milano-Bicocca
by Emanuela Rosazza 03 Oct '17

03 Oct '17

Si avvisa che il giorno mercoledì 11 ottobre alle ore 16 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- Sala del Consiglio) si terrà il seguente seminario: Speaker: Prof. Giorgio Ferrari (Università di Bielefeld, Germania) Titolo: “On a Class of Optimal Dividend Problems with Capital Injection” Abstract: In this talk I present some recent results on the optimal dividend problem with capital injection. That is the problem of a fund manager aiming at maximising the discounted dividend payments, net of the penalised discounted capital injections needed to avoid bankruptcy of the fund. In our model the surplus dynamics is driven by a general linearly controlled one-dimensional diffusion, that is reflected at zero. Moreover, we assume that the dividend payments are subject to surplus-dependent taxes/transaction costs. We show that depending on the properties of the surplus-dependent taxes/transaction costs we can have different kinds of optimal strategies for the dividend payments. Either it is optimal to follow a classical barrier strategy, or not paying dividend at all is the best thing to do. Tutti gli interessati sono invitati a partecipare. Un saluto cordiale, Emanuela ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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French-Italian Statistics Workshop
by Matteo IACOPINI 02 Oct '17

02 Oct '17

Dear all, it is our pleasure to announce the French-Italian workshop "New Challenges in Statistics for Social Sciences", which will take place on 16-17 October 2017 at Ca' Foscari University of Venice, Department of Economics (Meeting Room 1, Campus Economico, Fondamenta San Giobbe 873). This workshop aims at presenting recent developments in both theoretical and applied statistics for social sciences, with particular attention to economics and finance. The workshop will feature six presentations by international speakers and two tutorial classes will be offered: - Bayesian inference for Poisson processes, by prof. Fabrizio Ruggeri (CNR IMATI of Milan) - Introduction to Approximate Bayesian Computation by prof. Christian Robert (Université Paris Dauphine and University of Warwick). The sponsors of the event are: - Université Franco-Italienne (UFI) - GRETA research group - Dipartimento di Economia dell'Università Ca’ Foscari di Venezia All interested researchers, as well as PhD students, are invited to participate. The participation is free, but for organization reasons, people interested in attending the Workshop are kindly requested to contact the local organizers within October 7 via the following account: Matteo Iacopini: matteo.iacopini(a)unive.it <mailto:matteo.iacopini@unive.it> For further information please visit: http://sites.google.com/site/ifstatseminar/ <http://sites.google.com/site/ifstatseminar/> We apologize for cross-posting and look forward to seeing you in Venice! Best regards, Monica Billio, Roberto Casarin and Matteo Iacopini

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Fwd: 3-year post-doctoral fellowship in probability at Durham
by Pietro Caputo 02 Oct '17

02 Oct '17

---------- Forwarded message ---------- From: Andrew Wade <andrew.wade(a)durham.ac.uk> Date: Mon, Oct 2, 2017 at 11:05 AM Subject: 3-year post-doctoral fellowship in probability at Durham To: Dear colleagues, Apologies if you receive more than one copy of this message. Please allow us to draw your attention to the fact that Durham University is advertising for a 3-year post-doctoral fellowship (Willmore Fellowship) in probability or a closely related area of analysis (closing date 25 October 2017): https://recruitment.durham.ac.uk/pls/corehrrecruit/erq_ jobspec_details_form.jobspec?p_id=008217 Please pass this on to anyone who you think might be interested. Many thanks, Sunil Chhita Nicholas Georgiou Ostap Hryniv Mikhail Menshikov Andrew Wade

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Quantitative Finance Workshop 2018 - Call for Papers
by Davide Erminio Pirino 30 Sep '17

30 Sep '17

[image: Immagine incorporata 1] Dear Collegues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is 26 November 2017. Notification of acceptance will be given by 23 December 2017. The full paper for the discussant will have to be provided by 7 January 2018. Looking forward to seeing you in Rome! Best regards The organizing committee

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Call for abstracts - opening conference of the thematic semester on “Stochastic modeling” - Verona, Italy - December 18th to 21st, 2017
by Luca di persio 30 Sep '17

30 Sep '17

*Call for abstracts* *Opening conference of the thematic semester on* *“Stochastic modeling”* *December 18th to 21st, 2017* *Verona, Italy * We would like to invite both academics and practitioners to submit abstracts to the *opening conference of the thematic semester on “Stochastic modeling” taking place in Verona, Italy from December 18th to 21st, 2017. *The aim of the thematic semester, and in particular this opening conference, is to enhance existing connections and to foster new collaborations between researchers in the fields of stochastic modeling, financial mathematics, stochastic control and risk management. The scientific program will feature plenary lectures, invited and contributed talks, as well as poster sessions. *Confirmed plenary speakers are: * Paolo Baldi (Roma 2 University) Viorel Barbu (Romanian Academy) Alberto Bressan (Penn State university) Christa Cuchiero (Vienna university) Romuald Elie (Paris Est university) Damir Filipovic (EPFL and Swiss Finance Institute) Franco Flandoli (Pisa university) Marco Furhman (Milano university) Dylan Possamaï (Columbia university) Young researchers – especially PhD students and junior postdocs – are encouraged to submit their work for a contributed talk or a poster presentation. *Abstracts for contributed talks and posters must be in English and can be submitted at info(a)vpsms2018.org <info(a)vpsms2018.org> (Please indicate during submission if you are willing to do a poster presentation)* *The deadline for abstract submission is October 31st, 2017.* *Decisions on acceptance / rejection will be communicated to the authors by November 7th, 2017.Registration for Participation: November 15th, 2017 (Early registration)Registration fees: 120 euros (Early registration) - 170 euros (Regular registration)* For further information about the conference, please visit our *website:* http://vpsms2018.org/event/opening-conference/ If you have any queries, do not hesitate to *contact us at:* info(a)vpsms2018.org Warm wishes, The organizing committee Etienne Chevalier (Evry university) Luca Di Persio (Verona university) Idris Kharroubi (Paris 6 university) Sergio Pulido (ENSIIE Paris-Evry) __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <+39%20045%20802%207968> Head of R&D info(a)hpa8.com | www.hpa8.com

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Fwd: Postdoc positions at Luiss - Roma. A final reminder
by Fausto Gozzi 29 Sep '17

29 Sep '17

Sorry there was a mistake in the email below (sent this morning) the correct text is the following. Final reminder. Applications are open for three postdoc positions at LUISS on theÂ following topics: Proff. Marco SCARSINI, Marco DALLAGLIO Efficiency of equilibria in large games. Deterministic and stochastic viewpoints Deadline: October 16th, 2017 - 14:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Sara BIAGINI, Fausto GOZZI Stochastic control and duality methods to tackle model uncertainty in finance and insurance Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Giuseppe RAGUSA, Francesco SOBBRIO, Giovanna VALLANTI High-Dimensional Data: Applications to Economics Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Information can be found here: <http://economiaefinanza.luiss.it/en/node/5166>http://economiaefinanza.luiss.it/en/node/5166 >Date: Fri, 29 Sep 2017 10:17:47 +0200 >To: random(a)dm.unipi.it >From: Fausto Gozzi <faustogozziluiss(a)gmail.com> >Subject: Postdoc positions at Luiss - Roma. A final reminder > >Final reminder. > >Applications are open for three postdoc >positions at LUISS on theÂ following topics: > >Proff. Marco SCARSINI, Marco DALLAGLIO >Efficiency of equilibria in large games. >Deterministic and stochastic viewpoints > Deadline: September 30, 2017 - 12:00 p.m. - > Central European Summer Time (CEST), UTC +2 > > >Proff. Sara BIAGINI, Fausto GOZZI >Stochastic control and duality methods to tackle >model uncertainty in finance and insurance > Deadline: September 30, 2017 - 12:00 p.m. - > Central European Summer Time (CEST), UTC +2 > > >Proff. Giuseppe RAGUSA, Francesco SOBBRIO, Giovanna VALLANTI >High-Dimensional Data: Applications to Economics >Deadline: October 16th, 2017 - 14:00 p.m. - >Central European Summer Time (CEST), UTC +2 > >The application deadline is September 30. > >Information can be found here: > ><http://economiaefinanza.luiss.it/en/node/5166>http://economiaefinanza.luiss.it/en/node/5166 > >Fausto Gozzi >Dipartimento di Economia e Finanza >LUISS - Guido Carli >Viale Romania, 32 >00197 Roma >Italy >tel 06.85225723 (office) >FAX 06.86506513 >e-mail: fgozzi(a)luiss.it >webpage: http://docenti.luiss.it/gozzi/ > >old address, sometimes still used: > >Fausto Gozzi >Dipartimento di Matematica >Universita' di Pisa >Largo Bruno Pontecorvo n.5 >56127 Pisa >Italy >tel 050/2213270 >e-mail: gozzi(a)dm.unipi.it Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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Postdoc positions at Luiss - Roma. A final reminder
by Fausto Gozzi 29 Sep '17

29 Sep '17

Final reminder. Applications are open for three postdoc positions at LUISS on theÂ following topics: Proff. Marco SCARSINI, Marco DALLAGLIO Efficiency of equilibria in large games. Deterministic and stochastic viewpoints Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Sara BIAGINI, Fausto GOZZI Stochastic control and duality methods to tackle model uncertainty in finance and insurance Deadline: September 30, 2017 - 12:00 p.m. - Central European Summer Time (CEST), UTC +2 Proff. Giuseppe RAGUSA, Francesco SOBBRIO, Giovanna VALLANTI High-Dimensional Data: Applications to Economics Deadline: October 16th, 2017 - 14:00 p.m. - Central European Summer Time (CEST), UTC +2 The application deadline is September 30. Information can be found here: <http://economiaefinanza.luiss.it/en/node/5166>http://economiaefinanza.luiss.it/en/node/5166 Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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Seminario BERESTYCKI
by Matteo Ruggiero 29 Sep '17

29 Sep '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 6 Ottobre 2017, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Julien BERESTYCKI (University of Oxford) BRANCHING BROWNIAN MOTION WITH ABSORPTION What does the genealogy of a population under selection look like? This question is crucial for ecology and evolutionary biology and yet it is not fully understood. Recently, Brunet and Derrida have conjectured that for a whole class of models of such populations, we can expect the genealogy to be described by a universal scaling limit: the Bollthausen-Sznitman coalescent. The purpose of this talk is to present several recent results which put this prediction on a rigorous footing. The model we chose is that of a one-dimensional branching Brownian motion in which particles are absorbed at the origin. A particle's position is interpreted as the fitness of an individual and the killing at zero correspond to the removal from the population of individuals whose fitness is too low. We assume that when a particle branches, the offspring distribution is supercritical, but the particles are given a drift μ towards the origin. Depending on the value of μ the process can be (sub/super)-critical. I will particularly focus on the critical case, for which I will present results concerning the extinction time and Yaglom-type limits for the behavior of the process conditioned to survive for an unusually long time, which both improve upon results of Kesten (1978). An important tool in the proofs of these results is the convergence of branching Brownian motion with absorption to a continuous state branching process. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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assegno di ricerca UNIFI - Post-doc position at UNIFI
by Maria Elvira Mancino 28 Sep '17

28 Sep '17

The call for a 12 month postdoc (assegno di ricerca) is open at University of Firenze (Dept of Economics and Management) The details of the call are at http://titulus.unifi.it/albo/viewer?view=files%2F002539689-UNFICLE-09683e1e… Deadline 20 October 2017

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Fwd: Lecturer in probability & stoch. processes @ Uni Melbourne
by pietro caputo 27 Sep '17

27 Sep '17

---------- Forwarded message ---------- From: Konstantin Borovkov <kostya.borovkov(a)gmail.com> Date: Sun, Sep 24, 2017 at 10:43 AM Subject: Lecturer in probability & stoch. processes @ Uni Melbourne To: Konstantin Borovkov <kostya.borovkov(a)gmail.com> Dear Colleagues, Our School of Maths & Stats (The University of Melbourne) has just announced a new position: Lecturer (level B, comparable to assist. prof. in the United States of North America) in probability & stochastic processes, please see http://jobs.unimelb.edu.au/caw/en/job/891641/lecturer-in-pro bability-and-stochastic-processes for more detail. We have got a pretty good (IMHO) and friendly probability group, including at the moment Aihua Xia, Nathan Ross, Mark Holmes and myself (plus, there are a few other people in the school with strong interests in probability theory & its applications). So now we are trying to attract the best candidates (as usual) and would be grateful if you could circulate the information as appropriate (and perhaps some of you might be interested in that position as well). Thanks! Best, kostya borovkov

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(senza oggetto)
by Faggionato, Alessandra 26 Sep '17

26 Sep '17

Vi segnalo, con preghieria di diffusione, il bando per un assegno di ricerca annuale, settore MAT/07, presso il Dipartimento di Matematica della Sapienza (scadenza 29 settembre 2017) https://www2.mat.uniroma1.it/sites/default/files/bando2017-3.pdf L'assegno e' nell'ambito delle progetto di ateneo "Metodi fisico-matematici per problemi di evoluzione", Scopo della ricerca e' lo sviluppo di metodi fisico-matematici per lo studio di problemi di evoluzione, tra cui: PDE stocastiche, super-diffusivita' nel trasporto di energia, deep learning nell'intelligenza artificiale, sistemi cinetici auto-interagenti e/o auto-propellenti, sequenze dati fisici/fisiologici/antropologici, e altri problemi rilevanti per la ricerca fisico-matematica. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Seminario di Probabilità - Padova - Rettifica orario
by Paolo Dai Pra 25 Sep '17

25 Sep '17

A causa di un mio errore il seguente seminario era stato annunciato ad un orario errato, quello corretto è 10:30. Ecco l’annuncio corretto: Ho il piacere di invitarvi al seguente seminario, che si terrà Martedì 26 Settembre, alle 10:30, in aula 2AB45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Paolo Pigato AFFILIATION: WIAS, Berlino TITLE: The Oscillating Brownian motion: estimation and application to volatility modeling ABSTRACT: We consider a continuous time stochastic process which exhibits a regime-switch in the dynamics accordingly to a certain threshold. This process is solution to a stochastic differential equation with piecewise constant coefficients. We introduce and analyze estimators for the diffusion coefficient, the drift coefficient, and the threshold level. We use this process as a local volatility model for financial indices, that we test on time series of daily prices of several assets, finding evidence of leverage effect (negative correlation between prices and volatilies) and of mean-reversion effects in the dynamics of the prices. 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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Annuncio seminario di probabilita', Pisa, 26.09.2017
by Carina Geldhauser 21 Sep '17

21 Sep '17

Seminar announcement of the probability seminar at the University of Pisa DATE AND TIME: Tuesday, september 26, 09:15h - 11:00h LOCATION: Aula Seminari, Dipartimento di Matematica, Universita' di Pisa SPEAKER: Nicolas Perkowski TITLE: A weak universality result for the parabolic Anderson model ABSTRACT: We consider a class of nonlinear population models on a two-dimensional lattice which are influenced by a small random potential, and we show that on large temporal and spatial scales the population density is well described by the continuous parabolic Anderson model, a linear but singular stochastic PDE. The proof is based on a discrete formulation of paracontrolled distributions on unbounded lattices which is of independent interest because it can be applied to prove the convergence of a wide range of lattice models. This is joint work with Jörg Martin. Everyone is invited to participate. For more information, please contact carina.geldhauser(a)dm.unipi.it

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Seminario di Probabilità - Padova
by Paolo Dai Pra 20 Sep '17

20 Sep '17

Ho il piacere di invitarvi al seguente seminario, che si terrà Martedì 26 Settembre, alle 14:15, in aula 2AB45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Paolo Pigato AFFILIATION: WIAS, Berlino TITLE: The Oscillating Brownian motion: estimation and application to volatility modeling ABSTRACT: We consider a continuous time stochastic process which exhibits a regime-switch in the dynamics accordingly to a certain threshold. This process is solution to a stochastic differential equation with piecewise constant coefficients. We introduce and analyze estimators for the diffusion coefficient, the drift coefficient, and the threshold level. We use this process as a local volatility model for financial indices, that we test on time series of daily prices of several assets, finding evidence of leverage effect (negative correlation between prices and volatilies) and of mean-reversion effects in the dynamics of the prices. 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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Avviso seminario
by Stefano Bonaccorsi 18 Sep '17

18 Sep '17

Scusandomi per il breve preavviso, inoltro il seguente avviso di seminario. The Enskog Process *September 21, 2017* *Venue:* Seminar Room “-1” – Department of Mathematics - Via Sommarive 14 - Povo -Trento at *11:00 a.m.* - *Barbara Rüdiger-Mastandrea (*Bergische Universität Wuppertal) *Abstract: * (Joint article with S. Albeverio, P. Sundar, appeared on Journal Stat. Physics, January 2017 (No1)) The existence of a weak solution to a McKean-Vlasov type stochastic differential system corresponding to the Enskog equation of the kinetic theory of gases is established under suitable hypotheses. The distribution of any solution to the system at each fixed time is shown to be unique. The existence of a probability density for the time-marginals of the velocity is verified in the case where the initial condition is Gaussian, and is shown to be the density of an invariant measure. *Contact person: *Stefano Bonaccorsi *Staff Dipartimento di Matematica* *Università degli Studi Trento*Via Sommarive, 14 38123 Povo (TN) Tel +39 0461/281625-1701-3786

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Postdoc position in Probability at Universidade de São Paulo
by Fabio Zucca 16 Sep '17

16 Sep '17

Ricevo e volentieri inoltro. Segnalate pure questa opportunità a chiunque pensiate possa essere interessato. Fabio Zucca %%%%%%%%%%%% The Institute of Mathematics and Statistics at the *University of Sao Paulo*, seeks candidates for one post-doctoral position through the National Programme for Post- Doctoral Scholarships (CAPES, Brazil). The scholarship is allocated to the *S**tatistics **and Probability *Program ( https://www.ime.usp.br/en/statistics/graduate ). We look for candidates with strong and proven research record and potential. Possible interaction with the research groups of the Institute may be an advantage. Please see the research areas link https://www.ime.usp.br/en/research/lines/statistics. The scholarship consists of a monthly payment of 4100 Brazilian reals per month (tax-free money). The positions are initially for one year and may be renewed depending on progress. The candidates are expected to send via e-mail the following documents: •Curriculum Vitae with a list of publications. •Research project. •Letter from an advisor of the Graduate Program in Statistics of the Institute of Mathematics and Statistics - USP qualifying the relevance of the project and demonstrating interest in collaborating with the candidate in its execution. •Names and e-mail addresses of up to three researchers who can be contacted by the Graduate Program to send reference on the candidate. **These documents should be sent to cpg(a)ime.usp.br with the subject “PNPD/CAPES Statistics” ***Closing date: September 29, 2017.* More information about the Statistics Department: https://www.ime.usp.br/en/statistics

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Conference in Valpolicella (Verona)
by Stefania Ugolini 16 Sep '17

16 Sep '17

Symmetry and Invariance in Stochastic Dynamics, Sala Capitolare, San Giorgio di Valpolicella, September 18, 2017 http://www.mat.unimi.it/users/ugolini/workshop2017/WorkshopValpolicella2017…

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Call for papers in a special issue on "Financial Mathematics"- Mathematics
by Antonella Basso 14 Sep '17

14 Sep '17

The journal Mathematics (ISSN 2227-7390) is currently running a Special Issue entitled "Financial Mathematics". Prof. Dr. Antonella Basso, of the Department of Economics, Ca’ Foscari University of Venice, (Venice, Italy), is serving as Guest Editor for this issue. The purpose of this Special Issue is to establish a collection of articles that reflect the latest mathematical methods and models in the field of financial mathematics, a bridge between mathematical theory and its applications to finance. [...] For further reading, please follow the link to the Special Issue Website at: http://www.mdpi.com/si/mathematics/Financial_Mathematics_2017 The submission deadline is 31 March 2018. You may send your manuscript now or up until the deadline. Submitted papers should not be under consideration for publication elsewhere. We also encourage authors to send a short abstract or tentative title to the Editorial Office in advance (mathematics(a)mdpi.com). Mathematics 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. An Article Processing Charge (APC) of CHF 350 currently applies to all accepted papers. You may be entitled to a discount if you have previously received a discount code or if your institute is participating in the MDPI Institutional Open Access Program (IOAP), for more information see: http://www.mdpi.com/about/ioap. For further details on the submission process, please see the instructions for authors at the journal website (http://www.mdpi.com/journal/mathematics/instructions). We look forward to hearing from you. Kind regards, Ms. Sheryl Yin Assistant Editor Mathematics (ISSN 2227-7390; http://www.mdpi.com/journal/mathematics) is a journal published by MDPI AG, Basel, Switzerland. Mathematics maintains rigorous peer-review and a rapid publication process. All articles are published with a CC BY 4.0 license. For more information on the CC BY license, please see: http://creativecommons.org -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/data/persone/5591751

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Fwd: Open PostDoc Position
by Marco Romito 14 Sep '17

14 Sep '17

Ricevo da M. von Renesse e inoltro. ------------------------------------------------------------------------- Dear Friends, I have a PostDoc position available in my group in Leipzig. Starting date is any time from now, I can offer two years plus possible extension for longer. Any interesting subject of expertise is ok, from geometry to SPDE to interacting particle systems to mass concentration to optimal transport etc. Job includes possibility for joint cooperation with other Leipzig colleagues like such as Gess, Jost, Kircheim, Otto, Sapozhnikov, Szekelyhidi etc. I would be happy if you could forward this to anyone who might be suitable and looking for a job. Cordially, yours Max

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Fwd: StochMod 2018 at Lancaster University
by Antonio Di Crescenzo 14 Sep '17

14 Sep '17

ricevo e inoltro > > >---------- Forwarded message ---------- > >(First announcement) > >Dear Colleagues, > >We would like to invite you to attend the 7th >Stochastic Modelling meeting (StochMod 2018), >which will take place on 13-15 June 2018 at >Lancaster University, UK. > >The StochMod meeting has been organized by the >EURO Working Group on Stochastic Modelling >biennially since 2006, and its scope covers both >the theory and applications of stochastic models. > >StochMod 2018 will include keynote talks from >- Margaret Brandeau (Stanford University) >- Kevin Glazebrook (Lancaster University) >- Warren B. Powell (Princeton University) >- Kalyan Talluri (Imperial College London) > >For additional information about StochMod 2018, >please visit the meeting's webpage: > ><http://www.lancaster.ac.uk/staff/jacko/stochmod2018/>http://www.lancaster.ac.uk/staff/jacko/stochmod2018/ > >We look forward to welcoming you in Lancaster! > >Best regards, > >Peter Jacko and Rouba Ibrahim (StochMod 2018 co-chairs). > > >-------------------------------------------------------- >Additional information about EURO and the working group: > >EURO is the "Association of European Operational >Research Societies". It has sections which are >called "Working Groups", one of which is on >"Stochastic Modelling". > >Currently, the Stochastic Modelling working >group has around 350 members and anyone >interested in presenting their research, >participating in the discussions, or simply >learning about stochastic modelling is welcome >to join the working group and its meetings. >Membership is also free, so please join >at <http://stochmod.eu/Members/>http://stochmod.eu/Members/ if >interested. > > > >-- > >------------------------------------- >Peter Jacko >------------------------------------- > >Lecturer in Management Science >Department of Management Science >Lancaster University Management School >Lancaster, LA1 4YX, UK ><mailto:p.jacko@lancaster.ac.uk>p.jacko(a)lancaster.ac.uk | >+44-15245 94035 | Office B57 ><http://scholar.google.com/citations?user=Ym1nWHEAAAAJ>scholar.google.com/citations?user=Ym1nWHEAAAAJ > ><http://www.lancaster.ac.uk/lums/people/peter-jacko>http://www.lancaster.ac.uk/lums/people/peter-jacko > ><http://www.lancaster.ac.uk/staff/jacko/>http://www.lancaster.ac.uk/staff/jacko/ > >------------------------------------- > > > > --

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Postdoc positions. A reminder
by Marco Scarsini 12 Sep '17

12 Sep '17

Applications are open for three postdoc positions at LUISS on the following topics: “High-Dimensional Data”: Applications to Economics Stochastic control and duality methods to tackle model uncertainty in finance and insurance Efficiency of equilibria in large games. Deterministic and stochastic viewpoints The application deadline is September 30. Information can be found here: http://economiaefinanza.luiss.it/en/node/5166 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminar at Luiss - Marcel Nutz
by Sara 12 Sep '17

12 Sep '17

Dear all, On Tuesday 26, at 2pm in room 106 - Luiss viale Romania 32, Roma, prof Nutz will give the following seminar: Supply and Shorting in Speculative Markets Abstract: We propose a continuous-time model of trading among risk-neutral agents with heterogeneous beliefs. Agents face quadratic costs-of-carry on their positions and as a consequence, their marginal valuation of the asset decreases when the magnitude of their position increases, as it would be the case for risk-averse agents. In the equilibrium models of investors with heterogeneous beliefs that followed the original work by Harrison and Kreps, investors are risk-neutral, short-selling is prohibited and agents face a constant marginal cost of carrying positions. The resulting resale option guarantees that the equilibrium price exceeds the price of the asset in a static buy-and-hold model where speculation is ruled out. Our model features three main novelties. First, increasing marginal costs entail that the price depends on the exogenous supply. Second, in addition to the resale option, agents may also value an option to delay, and this may cause the market to equilibrate below the static buy-and-hold price. Third, we introduce the possibility of short-selling; then the resale option for agents with short positions partly compensates the resale option for long agents. (Joint work with Jose Scheinkman) Best, Sara -- 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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