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Avviso di seminario: Cardinali@DISMEQ (Dipartimento di Statististica e Metodi Quantitativi, Milano-Bicocca)
by Fulvia Pennoni 06 Jul '17

06 Jul '17

----------------------------------------------------------------------------- Dipartimento di Statistica e Metodi Quantitativi Via Bicocca degli Arcimboldi, 8 - 20126 Milano ----------------------------------------------------------------------------- “COSTATIONARY INFERENCE FOR LOCALLY STATIONARY TIME SERIES” Alessandro Cardinali School of Computing and Mathematics, Plymouth University University of Plymouth Lunedì 10 Luglio ore 14.00 Ed. U7, 2° piano, aula 2061 __________________________________________________________ Abstract: In this presentation we illustrate a novel inferential approach to estimate time-varying parameters of locally stationary time series. This approach is based on costationary combinations, that is, time-varying deterministic linear combinations of locally stationary time series that are second-order stationary. We first review the theory of costationarity and formalize a Generalised Method of Moments estimator for the coefficient vectors. We then use this new framework to derive an estimator for the (time-varying) covariance of locally stationary time series and we show that the new covariance estimator is more efficient than classical estimators exclusively based on the evolutionary cross-periodogram. We confirm our theoretical findings through a simulation experiment. We then present a new analysis of financial log-returns showing that our new estimator is capable to highlight well known economic shocks. As a second example of our approach we finally discuss forecasting of locally stationary time series based on costationary combinations. __________________________________________________________ Cordiali saluti Fulvia Pennoni -- Fulvia Pennoni Department of Statistics and Quantitative Methods University of Milano-Bicocca http://www.statistica.unimib.it/utenti/pennoni/

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3-year Ph.D. position at Bielefeld University
by Giorgio Ferrari 06 Jul '17

06 Jul '17

Dear Colleagues, this is to announce a *3-year Ph.D. position at Bielefeld University* starting on *October 1, 2017*. The successful candidate will participate in the Collaborative Research Centre (CRC) 1283 "Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications" https://www.sfb1283.uni-bielefeld.de/Pages/home within the project C4 “Stochastic games of singular control and games of stopping”. More information on the post and on the application procedures can be found here http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/A… *DEADLINE FOR APPLICATION:* August 2, 2017 All the best, Giorgio Ferrari

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Postgraduate programmes at the University of Kent
by Fabrizio Leisen 03 Jul '17

03 Jul '17

Con preghiera di diffusione, 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. 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 -- 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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Assegno di Ricerca Biennale (scadenza imminente)
by Federico Polito 28 Jun '17

28 Jun '17

Gentili colleghi, è aperta la procedura per l'assegnazione di un *assegno di ricerca biennale* nel Dipartimento di Matematica, Università di Torino. La ricerca verrà svolta all'interno del progetto "Memory in Evolving Graphs" (fondi Università di Torino / Compagnia di San Paolo). Sono apprezzate conoscenze di grafi aleatori e tecniche di cambi di tempo aleatori. Data prevista di inizio: Settembre/Ottobre 2017. Data ultima per chiudere la domanda: *Ore 12 del 14 luglio 2017* Bando: https://www.serviziweb.unito.it/albo_ateneo/?area=federico.polito@unito.itA… <https://www.serviziweb.unito.it/albo_ateneo/?area=Albo&action=Read_Download…> Procedura per la domanda: https://pica.cineca.it Maggiori dettagli qui: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/132390 Per ogni chiarimento o domanda potete scrivermi: federico.polito(a)unito.it Un saluto. Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Seminario di Probabilita', La Sapienza
by Faggionato, Alessandra 27 Jun '17

27 Jun '17

Seminario di Probabilita' Mercoledi' 5 Luglio 2017, Ore 14.30, Aula C, Dipartimento di Matematica G Castelnuovo, Sapienza Speaker: V. Silvestri (Cambridge) Title: The reset time of Internal DLA Abstract: Consider Internal DLA on cylinder graphs of the form GxZ. How does a large cluster typically look like? How long does it take for the process to forget its initial profile? In this talk I will address these questions, explaining how the answer depends on the mixing properties of the base graph G. Joint work with Lionel Levine. -- ************************************************* 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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Position of Lecturer in Mathematics, University of Sussex
by Enrico Scalas 26 Jun '17

26 Jun '17

Car* Collegh*, al Dipartimento di Matematica dell'Universita' del Sussex stiamo reclutando in analisi numerica. Il motivo per cui segnalo l'annuncio su questa lista e' che possiamo anche prendere in considerazione candidature di persone che si occupano, per esempio, di analisi numerica di equazioni differenziali stocastiche, di equazioni differenziali stocastiche alle derivate parziali o di analisi rigorosa di algoritmi di Monte Carlo. Vi prego di diffondere l'annuncio se conoscete persone interessate che corrispondono al profilo. I link sono: http://www.sussex.ac.uk/about/jobs/lecturer-in-mathematics-2173 http://www.jobs.ac.uk/job/BCH117/lecturer-in-mathematics Il profilo e': Applications are invited from rigorous numerical analysts working in any area of numerical analysis and scientific computing; candidates at the interface with Mathematical Biology would be particularly welcome. Il bando contiene poi link a "job description" e "person specification". Grazie per l'attenzione e cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Seminars at SNS (Pisa), 29 July 2017
by Maria Elvira Mancino 26 Jun '17

26 Jun '17

Dear All, I am glad to announce the following two seminars at Scuola Normale Superiore on the 29th July 2017 14.30 Christa Cuchiero (University of Vienna) Title: (Probability) measure-valued polynomial diffusions Abstract: We introduce polynomial diffusions taking values in the space of (probability) measures on a Polish space, extending the finite dimensional notion of polynomial processes to the infinite dimensional case. Our main goal is tractable dynamic modeling of (probability) measures with applications in large equity markets, capital distribution curve and term structure modeling. In the case of probability measures we provide a characterization of the corresponding extended generators, prove well-posedness of the associated martingale problems and recover the well-known Fleming-Viot process as special case. We obtain uniqueness of the martingale problem by establishing a formula for the conditional moments of the solution, which in the finite-dimensional case reduces to a matrix exponential. 15.30 Short break 16.00 Josef Teichmann (ETH-Zurich) Title: Affine processes and non-linear (PI)DEs Abstract: Motivated by works Dynkin, McKean, LeJan/Sznitman, Henry-Labordere and many others we show an abstract representation property for solutions of non-linear (PI)DEs by affine processes. This allows on the one hand to establish original simulation algorithms, on the other hand even to come up with new types of existence results for DEs. (joint work with Christa Cuchiero). ------------------------------------------------------------------------------------ Everyone is invited to participate. For more information, please contact mariaelvira.mancino(a)unifi.it

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Announcement of two talks, probability seminar, University of Pisa, Tuesday, June 27, 11:00h - 13:00h
by Carina Geldhauser 25 Jun '17

25 Jun '17

Announcement of two talks in the probability seminar at the University of Pisa. DATE AND TIME: Tuesday, June 27, 11:00h - 13:00h LOCATION: Aula Seminari, Dipartimento di Matematica, Universita' di Pisa SPEAKER 1: Remi Catellier (Université de Nice Sophia-Antipolis) TITLE: Averaging along irregular curves and regularization of ODEs. ABSTRACT: Paths of some stochasic processes such as fractional Brownian Motion have some amazing regularization properties. It is well known that in order to have uniqueness in differential systems such as $dy_t = b(y_t) dt$, $b$ needs to be quite regular. However, the oscillations of a stochastic process added to the system will guarantee uniquneness for really irregular $b$. In this talk we will show how to solve the perturbed differential system with a certain stochastic averaging operator. As an application, we show that the stochastic transport equation driven by fractional Brownian motion has a unique solution when $u_0 \in L^{\infty}$ and $b$ is a possibly random $\alpha$-Hoelder continuous function for $\alpha$ large enough. This is a joint work with Massimiliano Gubinelli. After a short break, at around 12:15h, we will continue with a second talk by SPEAKER 2: Michel Nassif (ENS Rennes) TITLE: Introduction to interacting particle systems ABSTRACT: Interacting particle systems is a recently developed field in the theory of Markov processes with many applications: particle systems have been used to model phenomena ranging from traffic behaviour to spread of infection and tumour growth. We introduce this field through the study of the simple exclusion process. We will construct the generator of this process and we will give a convergence result of the spatial particle density to the solution of the heat equation. We will also discuss a variation of the simple exclusion process with proliferation. Everyone is invited to participare. For more information and a longer abstract of the first talk in pdf format, please contact carina.geldhauser(a)dm.unipi.it

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Seminario di Probabilità - Padova
by alessandra bianchi 23 Jun '17

23 Jun '17

Ho il piacere di invitarvi al seguente seminario, che si terrà Martedì 27 giugno alle ore 11:00 in aula 2AB40 del Dipartimento di Matematica dell'Università degli Studi di Padova. Speaker: Claudio Landim Affiliation: IMPA, Rio de Janeiro Title: Recent results on metastability and potential theory. Abstract: We give a brief introduction on the martingale approach to metastability. In the second part of the talk we consider the metastable behavior of non-reversible small perturbations of dynamical systems, providing a formula for the transition time between two wells. -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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PosdocPosition-PANORISK (fwd)
by Lucia Caramellino 22 Jun '17

22 Jun '17

---------- Forwarded message ---------- Date: Mon, 19 Jun 2017 14:20:28 +0200 From: Claude Martini <cmartini(a)zeliade.com> To: "cmartini(a)zeliade.com" <CMartini(a)zeliade.com> Subject: PosdocPosition-PANORISK Dear colleague, here is the announcement and description for a postdoc position in the ongoing PANORISK project: http://ira.univ-lemans.fr/en/recherche-1/post-doctoral-recruitment-2017.html -- Claude Martini CEO CMartini(a)zeliade.com https://www.linkedin.com/in/claude-martini/ Tel : +33 (0)1 40 26 17 81 Mob : +33 (0)6 84 71 15 57 Fax : +33 (0)1 40 26 17 81 Zeliade Systems 56, rue Jean-Jacques Rousseau 75001 Paris - France www.zeliade.com www.zanadu.io ____________________________________________________________________ Ce message et ses pièces jointes contiennent des informations confidentielles. Il est établi à l’intention exclusive de ses destinataires. Si vous n’en êtes pas destinataire, merci de le détruire et d’en avertir immédiatement l’expéditeur. Toutes diffusion, publication, totale ou partielle ou divulgation sous quelque forme que se soit non expressément autorisées de ce message, sont interdites. This e-mail and its attachments are confidential and intended solely for the addressees. If you are not the intended recipient of this message, then please delete it and notify the sender. Unauthorized publication, use, dissemination or disclosure of this message, either in whole or in part is strictly prohibited. ================================== Lucia Caramellino Dipartimento di Matematica Universita` di Roma "Tor Vergata" Via della Ricerca Scientifica I-00133, Roma, Italy www.mat.uniroma2.it/~caramell

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Mini Course at GSSI on "Information Spreading, Consensus and Community Detection"
by clementi＠axp.mat.uniroma2.it 22 Jun '17

22 Jun '17

LECTURER: Andrea Clementi (Universita' degli Studi TOR VERGATA) PERIOD: 11-12/07/2017 LOCATION: GSSI, L'AQUILA, http://cs.gssi.infn.it/contacts/ SCHEDULING: http://cs.gssi.infn.it/phd-program/calendar/ TITLE: Gossip Algorithms for Information Spreading, Consensus and Community Detection ABSTRACT: The course will focus on a set of analytic tools to analyze some basic epidemic processes in networks. 1) We start giving the main concepts and results on spectral graph theory and on expander graphs. 2) We analyze the convergence time of randomized gossip algorithms in graphs having good expansion properties. 3) We analyze some simple probabilistic dynamics that achieve fast and stable consensus. 4) We consider distributed averaging processes on well-clustered graphs and look at the metastable phase in which the states of the nodes reflect the hidden clusters of the graph. Contacts: Andrea Clementi (Universita' degli Studi TOR VERGATA), clementi(a)mat.uniroma2.it Mattia D'Emidio (GSSI), mattia.demidio(a)gmail.com

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Assegno di ricerca presso la Scuola Normale Superiore, Pisa
by Fabrizio Lillo 21 Jun '17

21 Jun '17

The call for a 16 month postdoc (assegno di ricerca) is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is *Italian: **Esecuzione ottimale e dinamica di alta frequenza in mercati foreign exchange* *English: Optimal execution and high frequency dynamics in foreign exchange markets* and the research will likely be conducted in collaboration with the FX desk of HSBC (London) The details of the call are at Italian https://www.sns.it/bando/assegno-di-ricerca-denominato-%E2%80% 9Cesecuzione-ottimale-e-dinamica-di-alta-frequenza-mer cati-foreign-exchange%E2%80%9D English https://en.sns.it/bando/research-contract-named- %E2%80%9Coptimal-execution-and-high-frequency-dynamics-foreign-exchange The deadline is July 10. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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Post-doc position at Inria Grenoble (France)
by Julyan Arbel 20 Jun '17

20 Jun '17

Dear all, there is an open post-doc position in Bayesian nonparametrics at Inria Grenoble (France), starting in the fall of 2017. Application deadline is very short (by the end of next week). Interested people can contact me. Best Julyan Julyan Arbel http://www.julyanarbel.com/ <http://www.julyanarbel.com/>

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Borsa di Dottorato - Università Franco-Italiana
by gianmario tessitore 16 Jun '17

16 Jun '17

Con preghiera di diffusione. E' aperta la call for candidates per una borsa di dottorato dell'Università franco-italiana da svolgersi tra l' ENSTA ParisTech (Université Paris-Saclay, Ecole doctorale de mathématiques Hadamard) e l' Università Milano-Bicocca (Dottorato in Matematica Milano-Bicocca, Pavia, INdAM) con inizio il primo Ottobre 2017. Allego descrizione precisa delle tematiche di ricerca e del profilo del candidato richiesto. cordiali saluti Gianmario Tessitore

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PhD course Gianluca Fusai in Bicocca
by Valeria Bignozzi 16 Jun '17

16 Jun '17

La prossima settimana, si terrà un corso di dottorato dal titolo “Option Pricing”, per il Dottorato in Statistica e Finanza Matematica, presso l'Università di Milano Bicocca. Le lezioni saranno tenute dal prof. Gianluca Fusai, dell’ Università degli Studi del Piemonte Orientale. La partecipazione al corso è libera, ma occorre registrarsi inviando una mail alla dott.ssa Nicoletta Alghisi (nicoletta.alghisi(a)unimib.it) Le lezioni si terranno nei giorni: Lunedì 19 Giugno ore 10:00-12:30 e 14:00-17:30 Venerdì 23 Giugno ore 10:00-12:30 e 14:00-17:30 presso l’Aula 2062, secondo piano dell’edificio U7, Via Bicocca degli Arcimboldi 8, 20126 Milano. Programma: We revisit the most important stochastic models and theur use for pricing plain vanilla and exotic derivative products. In particular in the course we will address: * Plain vanilla, exchange, Asian and barrier options. * Analytical and numerical methods (including PDE, quadrature, eigenfunction expansion, Laplace transform). * Gaussian and Non Gaussian models: GBM, Square-root, CEV, Lévy, Heston models: main properties and applications to option pricing using Fourier Transform techniques. * Interest rate models and pricing of swaps, caps and swaptions. * If time allows recent reseults on pricing via Hilbert transform and Wiener-Hopf factorization will be also illustrated. Participants are welcome to bring their laptop because numerical examples will be discussed using Matlab. Prerequisite: Basic knowledge of option payoffs, properties of the Bronwian motion, Ito's lemma Instructor: Gianluca Fusai ssrn page: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=74196 -------------------------------------------------------------------------------- _______________________________________________ Random mailing list Per informazioni e per disiscriversi: https://fields.dm.unipi.it/listinfo/random Per contattare gli amministratori: random-admin(a)fields.dm.unipi.it Per inviare un messaggio alla mailing list: Random(a)fields.dm.unipi.it Archivio dei messaggi inviati: https://fields.dm.unipi.it/pipermail/random

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Fwd: Gaussian Process Summer School and Uncertainty Quantification, Sheffield UK, September 2017.
by Carina Geldhauser 14 Jun '17

14 Jun '17

ricevo ed inoltro. -------- Weitergeleitete Nachricht -------- Betreff: [ML-news] Gaussian Process Summer School and Uncertainty Quantification, Sheffield UK, September 2017. Datum: Mon, 5 Jun 2017 01:11:57 -0700 (PDT) Von: Mauricio A. Álvarez <maalvarezl(a)gmail.com> An: Machine Learning News <ml-news(a)googlegroups.com> Hi ML-News, Gaussian Process Summer School and Uncertainty Quantification 11th-14th September 2017. Early registration is open for the Gaussian Process Summer School. Deadline for early registration is 15th July. There is also a limit on the number of places to 60 students (allocated on a first come first served basis). The school involves a combination of talks on Gaussian processes and practical sessions. It will end with a one day workshop on Advances in Approximate Inference with GPs (14th September). Registrants to the summer school can attend the workshop free of charge. Confirmed speakers at the Summer School include: Nicolas Durrande (Ecole des Mines St Etienne) Simo Särkka (Aalto University) Aki Vehtari (Aalto University) Richard Wilkinson (University of Sheffield) Mauricio A. Álvarez (University of Sheffield) Andreas Damianou (Amazon Research Cambridge) Javier Gonzalez (Amazon Research Cambridge) Neil Lawrence (Amazon Research Cambridge and University of Sheffield) The draft schedule and details for registration are available here: http://gpss.cc/gpss17/ Current speakers at the Workshop are: Alan Saul (University of Sheffield) Aki Vehtari (Aalto University) Dustin Tran (Open AI and Columbia University) Rajesh Ranganath (Princeton University) A facebook group for this series of summer schools is available here: https://www.facebook.com/gaussianprocesssummerschool Regards, Mauricio A. Álvarez -- You received this message because you are subscribed to the Google Groups "Machine Learning News" group. To unsubscribe from this group and stop receiving emails from it, send an email to ml-news+unsubscribe(a)googlegroups.com. For more options, visit https://groups.google.com/d/optout. _______________________________________________ Ins-wegelerstrasse mailing list Ins-wegelerstrasse(a)ins.uni-bonn.de https://mail.ins.uni-bonn.de/mailman/listinfo/ins-wegelerstrasse _______________________________________________ Ag-griebel-stud mailing list Ag-griebel-stud(a)ins.uni-bonn.de https://mail.ins.uni-bonn.de/mailman/listinfo/ag-griebel-stud

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Announcement: Mini-workshop on Monte Carlo and Hybrid Methods
by Enrico Scalas 14 Jun '17

14 Jun '17

The goal of this workshop will be to bring together people working on the simulation of Langevin, Hamiltonian dynamics and their variants, and the applications of such methods to Markov Chain Monte Carlo, including MALA, HMC, etc Organisers : Andrew Duncan & Enrico Scalas, School of Mathematical and Physical Sciences, University of Sussex When : Friday, June 23. The workshop will start at 10pm (Registration & Coffee from 9:30am) and end at 4pm. Where : At the University of Sussex, in Pevensey 1 Room 1A6 Programme 9:30am - 10:00am: Registration 10:00am - 10:45am: Tijana Radivojevic: Modified Hamiltonian Monte Carlo methods in practice 10:45am - 11:15am: Coffee Break 11:15am - 12:00pm: Elena Akhmatskaya: Sampling with modified Hamiltonians in statistical inference 12:00pm - 12:45pm: Mikhail Tretyakov: Stochastic rigid body dynamics with hydrodynamic interactions 12:45pm - 2:30pm: Lunch (Fish and Chips) 2:30pm - 3:15pm: Konstantinos Zygalakis: Ergodic Stochastic Differential Equations and Sampling: A numerical analysis perspective 3:15pm - 4:00pm: Sam Livingstone: Kinetic energy choice in Hamiltonian/Hybrid Monte Carlo Participation is free. A dinner will be organised with the speakers on the evening of Thursday 22nd June. Please contact the organisers if you wish to attend.

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PhD course Marco Frittelli in Bicocca
by Valeria Bignozzi 09 Jun '17

09 Jun '17

La prossima settimana, si terrà un corso di dottorato dal titolo “Arbitrage and superhedging, from the classical setting to a pathwise approach”, per il Dottorato in Statistica e Finanza Matematica, presso l'Università di Milano Bicocca. Le lezioni saranno tenute dal prof. Marco Frittelli, del Dipartimento di Matematica dell’ Università degli Studi di Milano. La partecipazione al corso è libera, occorre registrarsi inviando una mail alla dott.ssa Nicoletta Alghisi (nicoletta.alghisi(a)unimib.it <mailto:nicoletta.alghisi@unimib.it>). Programma: Lunedì 5 Giugno, ore 14:00-17:00: Introduction to arbitrage: the classical setting, the robust approach and the pathwise framework; Martedì 6 Giugno, ore 10:00-13:00 e 14:00 -17:00: Superhedging: example of duality gap and pathwise setting; Mercoledì 7 Giugno, ore 10:00-13:00: On the classical cases and comparison with the pathwise setting. Il corso si terrà nell’aula 2026, secondo piano dell’edificio U7.

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1 year postdoc offer on hydrological space-time extremes (Montpellier, France)
by Carlo Gaetan 09 Jun '17

09 Jun '17

Care/i colleghe/i, vi allego un'offerta di assegno di ricerca per la quale mi è stato chiesta la diffusione agli interessati. Mi scuso per l'eventuale invio di messaggi multipli. Cordialmente, 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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Politecnico di Milano - Seminario S. Castruccio
by Laura M. Sangalli 08 Jun '17

08 Jun '17

Si avvisa che in data 13-06-2017, alle ore 14:30 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: Stefano Castruccio, Newcastle University, UK Titolo: Stochastic Approximations of Complex Deterministic Models: Environmental Applications Sommario: Climate models are among the most used tools for impact assessment and policy making, and they are instrumental to obtain physically consistent projections of future climate. While it is of crucial importance to assess the sensitivity of such models to different input such as scenarios and parametrizations, a comprehensive analysis is not feasible due to computational and memory constraints. In this talk I will present new classes of global space-time statistical models (emulators) that can provide useful stochastic approximations to climate models. Emulators trained on a small set of model runs allow to perform sensitivity analysis with surrogate runs that are orders of magnitude faster to compute than the original climate model. I will also discuss some of my methodological research on global space-time statistical models, spanning from nonstationary Gaussian processes in the sphere x time domain that can account for land/ocean regimes and vertical profiles of temperatures, to skew-t processes for daily data. The large dimensionality of the model output, comprising of hundreds of millions data points, poses significant computational challenges, and in this talk I will also introduce a new sequential likelihood approximation that will allow scalable, parallelizable and asymptotically consistent inference for massive datasets. 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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Lectures on “Affine and Polynomial Processes” (J. Teichmann and C. Cuchiero - SNS, Pisa, 21-23-27 giugno 2017)
by Maria Elvira Mancino 08 Jun '17

08 Jun '17

Three Lectures on: "AFFINE AND POLYNOMIAL PROCESSES" (JOSEF TEICHMANN, ETH Zurich; CHRISTA CUCHIERO, University of Vienna) ____________________________________________________ Lecture 1 (JOSEF TEICHMANN) "Motivating examples: classical and recent ones". Several examples from Mathematical Finance and other areas of applications are considered (Pricing and Hedging; Credit Risk; representation of non-linear PDEs; rough volatility) JUNE 21TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore ________________________________________________________________________________ Lecture 2 (JOSEF TEICHMANN AND CHRISTA CUCHIERO) "General theory of affine and polynomial processes". Foundational issues are discussed in detail and admissibility conditions proved in the canonical state space setting. JUNE 23TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore ____________________________________________________________ Lecture 3 (CHRISTA CUCHIERO) "General theory of affine and polynomial processes". Affine and polynomial processes one general state spaces are considered towards finite or infinite dimensional processes classes. JUNE 27TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore ______________________________________________________________ Tutti gli interessati sono invitati a partecipare.

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Second Haifa Probability School, 18-22 Dec 2017, Technion (Israel)
by Francesco Caravenna 07 Jun '17

07 Jun '17

Ricevo e inoltro. > Dear colleagues, > > We invite you and your students/postdocs to take part in the forthcoming probability school, this winter Dec 18-22/2017 at the Technion - Haifa/Israel. > > There will be 3 mini courses with daily lectures as follows: > Marek Biskup (UCLA) / Oren Louidor (Technion) – > Large values of the discrete Gaussian free field. > Jason Miller (Cambridge) – > The continuum Gaussian free field and Liouville quantum gravity. > Lorenzo Zambotti (Paris 6) – > SPDEs and regularity structures. > > In addition, young participants will get a chance to present their work during multiple short-talk sessions. > > Financial support (for accommodation and travel) is available. Preference will be given to young participants and those who register early. > > Further information and an on-line registration from can be found here: > https://hps2.net.technion.ac.il/ <https://hps2.net.technion.ac.il/> > > Oren Louidor > (On behalf of the organizers: > Dima Ioffe (Technion, Israel). > Oren Louidor(Technion, Israel). > Leonid Mytnik (Technion, Israel). > Lorenzo Zambotti (Paris 6, France) ).

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PhD in Statistics and Mathematical Finance, Call for applications
by Francesca Greselin 06 Jun '17

06 Jun '17

A call for applications to the 2016/2017 PhD program in Statistics and Mathematical Finance (University of Milano-Bicocca) is available at the PhD web site: http://www.unimib.it/go/243995352 Deadline for application is on the 3rd of July (12.00 a.m. Italian local time) The PhD program offers two curricula: 1) Statistics; 2) Mathematical Finance. Seven grants (annual amount of 16.238 euros) are available, three of which are reserved for students with non-Italian master degrees. Course will be held in English by highly qualified Italian and non-Italian professors. For further information visit the PhD web site (http://www.dismeq.unimib.it/en/dottorato-di-ricerca/) or contact: Giorgio Vittadini (giorgio.vittadini(a)unimib.it <mailto:giorgio.vittadini@unimib.it) PhD program coordinator Andrea Ongaro (andrea.ongaro(a)unimib.it <mailto:andrea.ongaro@unimib.it) Curriculum in Statistics coordinator Fabio Bellini (fabio.bellini(a)unimib.it <mailto:fabio.bellini@unimib.it) Curriculum in Mathematical Finance coordinator Nicoletta Alghisi (nicoletta.alghisi(a)unimib.it <mailto:nicoletta.alghisi@unimib.it) Secretariat

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IMT SCHOOL - 2017/18 PHD CALL FOR APPLICATIONS :: PROGRAMMA DI DOTTORATO
by Irene Crimaldi 06 Jun '17

06 Jun '17

From: <phdapplications(a)imtlucca.it> Subject: IMT SCHOOL - 2017/18 PHD CALL FOR APPLICATIONS :: PROGRAMMA DI DOTTORATO We are pleased to inform you about the IMT School for Advanced Studies Lucca's call for applications for PhD positions in the following specialized curricula Siamo lieti di informare che e' aperto il nuovo bando di selezione per l'accesso al Programma di Dottorato della Scuola IMT Alti Studi Lucca per i seguenti curricula di specializzazione: - - Analysis and Management of Cultural Heritage - - Cognitive, Computational and Social Neurosciences - - Computer Science and Systems Engineering - - Economics, Networks and Business Analytics - No tuition fees, free room and access to IMT Canteen Esenzione dalle tasse d'iscrizione, alloggio gratuito, accesso gratuito alla mensa IMT - A grant of €13,630 gross/year Importo lordo della borsa: €13.630/anno Candidates can apply if they obtain their (minimum) 4-year undergraduate degree NO LATER than October 31st, 2017 Possono fare domanda coloro che conseguano il titolo valido per l'ammissione entro e NON OLTRE il 31 ottobre 2017 DEADLINE: July 18th, 2017 at 12:00 pm CEST MORE INFORMATION: http://phd.imtlucca.it The IMT School for Advanced Studies Lucca (www.imtlucca.it <http://www.imtlucca.it/?utm_source=webmail&utm_medium=email&utm_campaign=c3…>), one of the six Schools of Excellence in Italy, is a research university within the Italian public higher education system. IMT's mission is characterized by the analysis and management of a plurality of economic, social, scientific, technological and cultural systems. La Scuola IMT Alti Studi Lucca (www.imtlucca.it <http://www.imtlucca.it/?utm_source=webmail&utm_medium=email&utm_campaign=c3…>), una delle sei Scuole di Eccellenza in Italia, e' un'istituzione universitaria pubblica di ricerca e alta formazione dottorale a ordinamento speciale, focalizzata sull'analisi e gestione dei sistemi economici, sociali, scientifici, tecnologici e culturali. Follow us on Facebook <https://www.facebook.com/pages/IMT-Institute-for-Advanced-Studies-Lucca/187…>, Twitter <https://twitter.com/IMTLucca>, YouTube <https://www.youtube.com/user/IMTAltiStudiLucca>, LinkedIn <https://www.linkedin.com/company/imt-lucca-institute-for-advanced-studies?t…> Please note that this account is used for outgoing e-mails only, and therefore your reply message will not be read. For inquiries regarding the 2017/18 IMT School PhD call, please write to phdapplications(a)imtlucca.it <javascript:_e(%7B%7D,'cvml','phdapplications(a)imtlucca.it');> If you no longer wish to receive emails from the IMT School, please send an email with the word UNSUBSCRIBE in the subject line to commev(a)imtlucca.it <javascript:_e(%7B%7D,'cvml','commev(a)imtlucca.it');>. IMT School for Advanced Studies Lucca Piazza San Ponziano 6, 55100 Lucca - Italy Tel: +39 0583 4326 597, fax: +39 0583 4326 565 www.imtlucca.it <http://www.imtlucca.it/?utm_source=webmail&utm_medium=email&utm_campaign=c3…>

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Workshop in Cardiff su Isotropic Random Fields in Astrophysics
by Enrico Scalas 02 Jun '17

02 Jun '17

Car* collegh*, Vi puo' interessare questo workshop interdisciplinare su: Isotropic Random Fields in Astrophysics che si terra' a Cardiff il 29-30 giugno 2017 Pagina web: http://ssa.cf.ac.uk/randomfields/index.htm Registrazione (gratuita ma obbligatoria): http://ssa.cf.ac.uk/randomfields/registration.htm Cordiali saluti, Enrico Scalas

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dottorato in Statistica e Finanza matematica - bando
by emanuela.rosazza1＠unimib.it 02 Jun '17

02 Jun '17

Si avvisa che ieri è stato pubblicato il bando per le iscrizioni al 33-esimo ciclo di Dottorato di ricerca in Statistica e Finanza Matematica presso l'Università di Milano-Bicocca. Potete trovare il bando al link http://www.unimib.it/go/243995352 Chiusura bando: 3 luglio - ore 12. Cordiali saluti, -- **************************************************** 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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PhD Scholarships in Statistical Sciences - University of Padova, Italy – Deadline June 30, 2017 (13.00 CEST)
by Patrizia Piacentini - PhD 01 Jun '17

01 Jun '17

Eight PhD scholarships are available at University of Padova for candidates interested in the area of *Statistical Sciences* (*start of activities: October 1st, 2017*). *Eligibility* The scholarship competition is open to applicants of any age or citizenship, holding a 2nd cycle degree or a single cycle degree from an Italian university or an equivalent qualification from other countries of at least four years’ duration (applicants can get their qualification no later than 30th September 2017). Admission is decided on the basis of qualifications only and does not require an entry examination. *Award* The award will be for three years, subject to satisfactory progress, at the following rate: annual grant of euros 13.638,47 with a start date of 1 October 2017. *How to apply* The call is published *(deadline June 30, 13.00 CEST)* at the page http://www.unipd.it/ricerca/dottorati-di-ricerca/bandi-e-graduatorie English version at the page http://www.unipd.it/en/node/1053 Please, note that the curriculum has to be written by filling the template *CV_XXXIII* available from the Course web page http://www.stat.unipd.it/fare-ricerca/ammissione and uploading the filled template in the online procedure. *Applications are only accepted online* *Further information* See http://www.stat.unipd.it/fare-ricerca/ammissione or contact phd(a)stat.unipd.it <mailto:phd@stat.unipd.it> Kindest regards, Nicola Sartori PhD Course Coordinator

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Mathematical Statistics - Corso estivo a Perugia della SMI
by Antonio Di Crescenzo 01 Jun '17

01 Jun '17

Segnalo il seguente corso estivo della Scuola Matematica Interuniversitaria titolo: Mathematical Statistics docenti: Larry Goldstein (University of Southern California) Yosef Rinott (Hebrew University of Jerusalem) periodo: 24 Luglio - 18 Agosto 2017 sede: Perugia scadenza per le domande: 26 Giugno 2017 sito web: http://germanio.math.unifi.it/summer-courses-perugia-2017/?lang=it -- Antonio Di Crescenzo

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Seminario Prof.ssa Costantini (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 31 May '17

31 May '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Lunedì 5 Giugno 2017, ore 11 ------------------------------------------------------------ ----------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma Prof.ssa Cristina Costantini (Università degli studi "G. d'Annunzio" Chieti-Pescara) APPROSSIMAZIONE DI DIFFUSIONE DI PROCESSI A VELOCITA' FINITA Riassunto: Con processi a velocita' finita (a volte detti anche processi di trasporto o evoluzioni aleatorie) intendiamo qui dei modelli, pensati per descrivere il moto di una particella, in cui la posizione della particella a un tempo $t$ e' data dall'integrale di un processo velocita', che e' costante, o evolve deterministicamente finche', a intervalli di tempo esponenziali, cambia in modo aleatorio. Sulla retta e nel piano, questi processi sono stati approfonditamente studiati (Orsingher, Pinsky, Kolesnik, Stadje e molti altri), in particolare per quanto riguarda l'equazione alle derivate parziali soddisfatta dalla distribuzione a un tempo della posizione e, in alcuni casi importanti, la forma esplicita della distribuzione. Questo seminario trattera' invece del limite, sotto riscalamento spazio-temporale diffusivo, di questi processi, anch'esso studiato da molti autori (Bensoussan, Lions, Papanicolaou, Bal, Degond, Kurtz, Costantini e molti altri). Tale limite puo' essere ottenuto in dimensione qualunque, per una classe ampia di nuclei di transizione della velocita', anche dipendenti dalla posizione e dalla velocita' correnti, e anche nel caso in cui il moto della particella e' confinato in una regione e sulla frontiera la velocita' cambia in modo deterministico o aleatorio, a seconda della velocita' d'impatto trasversale. L'approccio utilizzato e' quello delle equazioni differenziali stocastiche e dei problemi di martingala, combinati, nel caso in cui la particella e' confinata, con cambiamenti di tempo aleatori. Tutti gli interessati sono invitati a partecipare. Saluti Alessandro De Gregorio -- ___________________________________________ *Il tuo 5 diventa 1000* Fai crescere la tua università Dona il 5 per mille alla Sapienza Codice fiscale: *80209930587*

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Conference
by Fulvia Confortola 31 May '17

31 May '17

Conference in honor of Pietro Muliere, 12 June 2017 and BISP-10 workshop, 13-15 June 2017, Bocconi University

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Conference in honor of Pietro Muliere, 12 June 2017 and BISP-10 workshop, 13-15 June 2017, Bocconi University
by Sandra Fortini 31 May '17

31 May '17

Carissime e carissimi, con piacere ricordiamo che il 12-15 giugno 2017 avremo, presso l'Universita' Bocconi di Milano, due eventi in onore e dedicati a Pietro Muliere, nell'occasione di un suo importante compleanno (la partecipazione alla conferenza in onore di Pietro il 12 e' libera, ma ricordiamo di registrarsi!): Conference in honor of Pietro Muliere, 12 June 2017 and BISP-10 workshop, 13-15 June 2017, Bocconi University The Department of Decision Science of Bocconi University is pleased to announce the international conference on "Recent Developments in Bayesian Theory and Stochastic Processes", in honor of Professor Pietro Muliere, that will take place at Bocconi on June 12, 2017. The conference will gather internationally leading scholars on fundamental themes in Bayesian Statistics and Stochastic Processes. The conference honors Professor Pietro Muliere’s research contributions to statistics, probability, stochastic processes, stochastic ordering and income distribution, survival analysis, decision theory, economics and life sciences. The program is available at www.unibocconi.eu/muliereconference There are no registration fees, but interested participants are kindly asked to register, through the conference website. The conference will be followed by the 10th Workshop on Bayesian Inference in Stochastic Processes (BISP10), also held at Bocconi University, on June 13-15, 2017. BISP10 is dedicated to Pietro Muliere, on the occasion of his 70th birthday. www.unibocconi.eu/bisp10 -- Un carissimo saluto, e speriamo di vedervi a Milano per festeggiare Pietro insieme a noi! Sandra Fortini =================================== Sandra Fortini Bocconi University, DEC Tel. +39 5836 5676 http://faculty.unibocconi.it/sandrafortini/ ======================================== --- Dai il tuo 5x1000 alla Bocconi. Aiuta gli studenti meritevoli a costruire il proprio futuro. CF 80024610158. www.unibocconi.it/5x1000 Please note that the above message is addressed only to individuals filing Italian income tax returns. 5x1000 is a percentage of Italian personal income tax that taxpayers can allocate to Universities, scientific research and non profit organizations. ---

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annuncio seminario presso IAC-CNR
by Lucia Caramellino 30 May '17

30 May '17

Martedi` 6 Giugno ore 10:30 aula riunioni del primo piano via dei Taurini 19, Roma Giulia Terenzi (Universita` di Roma Tor Vergata) A hybrid tree-finite difference approach for Heston-type models We present an algorithm for the pricing of European and American options in the Heston model and in other stochastic volatility models which generalize it. Our procedure is based on a backward induction that works following a finite difference PDE method in the direction of the share process and a tree approximation in the direction of the volatility. Numerical results show that the algorithm turns out to be reliable and efficient. We study the stability of the algorithm by means of a Von Neumann analysis, but only limited convergence results have been proved. ================================== Lucia Caramellino Dipartimento di Matematica Universita` di Roma "Tor Vergata" Via della Ricerca Scientifica I-00133, Roma, Italy www.mat.uniroma2.it/~caramell

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Posizione RTDA in Bicocca
by Gianmario Tessitore 30 May '17

30 May '17

E' stata bandita una posizione di ricercatore a tempo determinato di tipo A presso l'Università degli Studi di Milano-Bicocca, Dipartimento di Matematica e Applicazioni. Settore concorsuale 01/A3 – Analisi Matematica, Probabilità e Statistica Matematica Profilo: settore scientifico-disciplinare MAT/06 – Probabilità e Statistica Matematica. Il/La candidato/a svolgerà attività di ricerca nel campo della teoria dei processi stocastici e delle equazioni differenziali stocastiche. Verrà richiesto un impegno didattico nei corsi affini al SSD MAT/06 nella Laurea triennale e magistrale in Matematica, nonché secondo necessità negli insegnamenti di Matematica presso gli altri corsi di laurea dell’Ateneo. Si allega il bando precisando che fa comunque fede quello pubblicato sulla Gazzetta Ufficiale. Cordiali saluti Francesco Caravenna e Gianmario Tessitore

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(Deadline for abstract submission) Conference in Leeds on Stochastic Control, Ambiguity and Games
by Tiziano De Angelis 29 May '17

29 May '17

Dear All, This is a kind reminder regarding the conference *"Stochastic Control, Ambiguity and Games"* which will be held at the University of Leeds on* 4th - 5th September 2017* (follow the link http://ambiguity2017.leeds.ac.uk for more information and see the poster attached). The *deadline for submission of title and abstract for a talk is 6 June*. You can submit your abstract and title by sending an email to Tiziano De Angelis: t.deangelis(a)leeds.ac.uk Jan Palczewski: j.palczewski(a)leeds.ac.uk We would be most grateful if you forwarded this announcement to anyone potentially interested. Best regards, Tiziano De Angelis and Jan Palczewski

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seminario
by Giovanni Luca Torrisi 29 May '17

29 May '17

* Mercoledì 7 Giugno 2017* Ore 10.00, aula riunioni (I piano), CNR, Istituto per le Applicazioni del Calcolo, via dei Taurini 19, Roma Seminario di Probabilità Nicolas Privault (NTU, Singapore) Probability approximation for functionals of independent random sequences. Abstract: We derive general Stein distribution bounds between functionals of uniform random variables and the Gaussian and gamma distributions, using multiple stochastic integral expansions combined with derivation and finite difference operators. This approach applies more generally to sums and functionals of continuous and discrete independent random variables, such as U-statistics. Tutti gli interessati sono invitati a partecipare. Cordialmente ------------------------------------------------------------------------

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seminario Fangda Liu in Bicocca
by Fabio Bellini 29 May '17

29 May '17

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Fwd: [ST-NET] Post Doc in Mathematical Finance and/or Actuarial Mathematics in Freiburg / Strassburg
by Carina Geldhauser 27 May '17

27 May '17

-------- Forwarded Message -------- Subject: [ST-NET] Post Doc in Mathematical Finance and/or Actuarial Mathematics in Freiburg / Strassburg Date: Fri, 26 May 2017 18:25:10 +0200 From: Thorsten Schmidt <st-net(a)uni-freiburg.de> To: st-net(a)zib.de From: thorsten.schmidt(a)stochastik.uni-freiburg.de <mailto:thorsten.schmidt@stochastik.uni-freiburg.de> --- Applications are invited for a postdoc position in Financial and/or Actuarial Mathematics in a joint research group established between the University of Freiburg and the University of Strasbourg. The research group is funded by the Freiburg Institute for Advanced Studies (FRIAS) and the University of Strasbourg Institute for Advanced Study (USIAS). The succesful candidate will hold a Ph.D. and has an excellent profile in mathematical finance, stochastic processes, actuarial mathematics or a related field. The research agenda will cover a highly interesting project in the research group, targeting for example valuation of participating life insurance products, model risk, (mortality) term structures and/or dynamic risk measures. The position will require a frequent exchange between the two participating groups. The contract is for two years, starting on October 1, 2017. Applications should be submitted at the latest on June 25. For inquiries please contact Prof. Dr. Thorsten Schmidt (thorsten.schmidt(a)stochastik.uni-freiburg.de) or Prof. Dr. Jean Berard (jberard(a)unistra.fr) Please send your application in PDF format (cover letter, CV, research profile) per email to Monika Hattenbach (htb(a)stochastik.uni-freiburg.de) with reference „Post Doc Position“. Additionally, we ask for two letters of reference which should be sent directly to the same address. _______________________________________________ St-net mailing list St-net(a)zib.de https://listserv.zib.de/mailman/listinfo/st-net --------------------------------------------------------------------------- Dies ist das ST-NET, der (moderierte) Mail-Verteiler der DMV-Fachgruppe Stochastik e.V. Weitere Informationen finden Sie auf unserer Homepage: http://www.fg-stochastik.de This is ST-NET, the (moderated) mailing list of the DMV-Fachgruppe Stochastik e.V. For further information, please refer to our homepage: http://www.fg-stochastik.de Please note the guidelines for posting at http://www.fg-stochastik.de/beitraege-verschicken.html ---------------------------------------------------------------------------

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postdoc position at Orsay
by Carina Geldhauser 26 May '17

26 May '17

-------- Forwarded Message -------- Subject: Fwd: psotdoc position at Orsay Date: Fri, 26 May 2017 10:13:24 +0100 From: Alexandre Stauffer <a.stauffer(a)BATH.AC.UK> Reply-To: Alexandre Stauffer <a.stauffer(a)BATH.AC.UK> To: APPLIEDPROB(a)JISCMAIL.AC.UK ---------- Forwarded message ---------- From: *Jean-François Le Gall* <jean-francois.le-gall(a)u-psud.fr <mailto:jean-francois.le-gall@u-psud.fr>> Date: 2017-05-26 9:14 GMT+01:00 Subject: psotdoc position at Orsay Dear Colleagues, The mathematics department of University Paris-Sud (Orsay) is advertising a 2-year postdoctoral position in probability starting in September 2017 (dates are somewhat flexible). This position is funded by the ERC Advanced Grant GeoBrown to work under the supervision of Jean-Francois Le Gall and Nicolas Curien in the general area of random geometry (including random graphs and related topics). More details are available on the Web page https://euraxess.ec.europa.eu/jobs/218848 <https://euraxess.ec.europa.eu/jobs/218848> The deadline for application is July 15, 2017. Sincerely yours, Jean-Francois Le Gall Université Paris-Sud *Jean-François LE GALL* Laboratoire de Mathématiques d'Orsay Probabilités, Statistique et Modélisation Bureau 311 - Bâtiment 425 - Rue du Doyen Georges Poitou 91400 Orsay

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Research Assistant Position at Weierstrass-Institute for Applied Analysis and Stochastics, Berlin (Germany)
by Carina Geldhauser 26 May '17

26 May '17

-------- Forwarded Message -------- Subject: [ST-NET] Research Assistant Position at Weierstrass-Institute for Applied Analysis and Stochastics, Berlin (Germany) Date: Fri, 26 May 2017 13:19:40 +0200 From: Thorsten Schmidt <st-net(a)uni-freiburg.de> Organization: st-net To: st-net(a)zib.de ---------- Forwarded message ---------- From: Heike Sill <sill(a)wias-berlin.de> We are very happy to announce a Research Assistant Position at Weierstrass-Institute for Applied Analysis and Stochastics, Leibniz-Institute in Forschungsverbund Berlin e. V. (WIAS), in the area “Interacting Random Systems”. Deadline for applications: June 25, 2017 For more information, see https://www.wias-berlin.de/jobs/job.jsp?lang=1&year=17&number=10 _______________________________________________ St-net mailing list St-net(a)zib.de https://listserv.zib.de/mailman/listinfo/st-net --------------------------------------------------------------------------- Dies ist das ST-NET, der (moderierte) Mail-Verteiler der DMV-Fachgruppe Stochastik e.V. Weitere Informationen finden Sie auf unserer Homepage: http://www.fg-stochastik.de This is ST-NET, the (moderated) mailing list of the DMV-Fachgruppe Stochastik e.V. For further information, please refer to our homepage: http://www.fg-stochastik.de Please note the guidelines for posting at http://www.fg-stochastik.de/beitraege-verschicken.html ---------------------------------------------------------------------------

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Variazione orario - Seminario Yosi Rinott @UniTo
by Elvira Di Nardo 26 May '17

26 May '17

*********************************************************************** SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO *********************************************************************** Lunedì 29 Maggio 2017 alle ore 15:00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Prof. Yosi Rinott (The Hebrew University) terrà un seminario dal titolo Differential Privacy applied to common methods of dissemination of frequency tables Abstract: When official data are to be disseminated to the public, the agency that releases the data must guarantee the privacy of individuals whose data are to be released. It is not clear how to define and measure privacy. I will explain a notion developed in computer science known as Differential Privacy, and issues that arise in applying it to the dissemination of frequency tables. Tutti gli interessati sono invitati a partecipare. -- %------------------------------------------------------- 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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For the St-Net: I GS Workshop in Mathematical Finance, L'Aquila, Italy (Correction) (fwd)
by Tiziano Vargiolu 26 May '17

26 May '17

---------- Forwarded message ---------- Date: Wed, 24 May 2017 20:56:45 +0200 (CEST) From: Francesca Biagini <biagini(a)mathematik.uni-muenchen.de> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: For the St-Net: I GS Workshop in Mathematical Finance, L'Aquila, Italy (Correction) Caro Tiziano, purtroppo mi e' successo un errore con le date. Puoi spedire per favore alla tua lista questa versione con le date corrette? Un caro saluto e grazie, Francesca ****************** Conference: "I Gran Sasso Workshop in Mathematical Finance" Gssi, L'Aquila, September 27-28-29, 2017 The Conference "I Gran Sasso Workshop in Mathematical Finance" will take place at the Gran Sasso Science Institute in L'Aquila, Italy, from September 27 to 29, 2017. Aim of the workshop is to provide an overview of new challenges in Mathematical Finance and Insurance. Top researchers in the field will present results in a wide range of topics including model uncertainty, stochastic calculus and processes, statistics, risk management, and applications. There is no admission fee. Admittance is on a first come first served basis. Registrations ends on September 1, 2017. For further information, please refer to http://www.gssi.it/seminars/seminars-and-events-2017/item/1859-conference-i… Scientific Committee: Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli, Paolo Guasoni, Philip Protter, Mete Soner

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Seminario YOSI RINOTT @ UniTo
by Elvira Di Nardo 25 May '17

25 May '17

*********************************************************************** SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO *********************************************************************** Lunedì 29 Maggio 2017 alle ore 16:00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, il Prof. Yosi Rinott (The Hebrew University) terrà un seminario dal titolo Differential Privacy applied to common methods of dissemination of frequency tables Abstract: When official data are to be disseminated to the public, the agency that releases the data must guarantee the privacy of individuals whose data are to be released. It is not clear how to define and measure privacy. I will explain a notion developed in computer science known as Differential Privacy, and issues that arise in applying it to the dissemination of frequency tables. Tutti gli interessati sono invitati a partecipare. -- %------------------------------------------------------- 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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I GS Workshop in Mathematical Finance, L'Aquila, Italy (fwd)
by Tiziano Vargiolu 24 May '17

24 May '17

---------- Forwarded message ---------- Date: Wed, 24 May 2017 09:55:57 +0200 (CEST) From: Francesca Biagini <biagini(a)mathematik.uni-muenchen.de> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: I GS Workshop in Mathematical Finance, L'Aquila, Italy ************************************************ Conference: "I Gran Sasso Workshop in Mathematical Finance" Gssi, L'Aquila, September 20-21-22, 2017 The Conference "I Gran Sasso Workshop in Mathematical Finance" will take place at the Gran Sasso Science Institute in L'Aquila, Italy, from September 20 to 22, 2017. Aim of the workshop is to provide an overview of new challenges in Mathematical Finance and Insurance. Top researchers in the field will present results in a wide range of topics including model uncertainty, stochastic calculus and processes, statistics, risk management, and applications. There is no admission fee. Admittance is on a first come first served basis. Registrations ends on September 1, 2017. For further information, please refer to http://www.gssi.it/seminars/seminars-and-events-2017/item/1859-conference-i… Scientific Committee: Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli, Paolo Guasoni, Philip Protter, Mete Soner

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2 Research Grants in Mathematics, including Probability (Assegni di tipo B), in Padova - deadline 21/06/2017
by Tiziano Vargiolu 24 May '17

24 May '17

Dear all, the Department of Mathematics of the University of Padova just issued a call for 2 research grants (Assegni tipo B) in all areas of Mathematics, including probability, with these features: - amount: about 30K Euro/year for 2 years + 5K Euro for scientific activity (invitations, conferences, etc.); - requested title: PhD, not necessarily in Mathematics; - deadline for application: 21/6/2017; - official announcement: http://www.math.unipd.it/it/news/?id=2032 (English version at the bottom, in the case of disputes the Italian version will be the valid one) Please circulate among all the potentially interested people. 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 -------------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Mon, 22 May 2017 16:14:28 +0200 From: Dipartimento di Matematica <dipmath(a)math.unipd.it> To: afferenti(a)math.unipd.it Subject: Bando Assegni di tipo B 2017 - DM - 22/05-21/06/2017 Cari colleghi, ? uscito il bando per assegni di tipo B (ossia dove sono i candidati stessi a presentare un progetto di ricerca), con scadenza il 21/06/2017, che troverete all?indirizzo: http://www.math.unipd.it/it/news/?id=2032 Vi preghiamo di diffondere ampiamente questa informazione tra i vostri contatti e sulle liste ed i siti di diffusione, in modo da darne la massima pubblicit? ed attirare i candidati migliori a livello internazionale. (Per facilitare l?accesso ai candidati stranieri, il bando e la procedura di presentazione della domanda sono disponibili anche in inglese. Inoltre, la procedura e? completamente informatizzata, e non richiede l?invio di documenti tramite posta.) Cordiali saluti, Andrea D?Agnolo (per la Commisione Scientifica d?Area allargata)

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Seminario di Probabilità e Statistica Matematica a RM1
by Fabio Spizzichino 24 May '17

24 May '17

Nell'ambito del ciclo di seminari di Probabilità e Statistica Matematica del Dipartimento di Matematica, Univ. La Sapienza, il Prof. Ehud Lehrer (Tel Aviv University) terra' un seminario di carattere piuttosto introduttivo circa la tematica delle misure di probabilità monotone (non necessariamente additive). Esattamente il titolo e' *Non-additive probability, integration and decision making* Giovedi' 25 maggio, ore 15, Aula di Consiglio Tutte le persone interessate sono invitate ad intervenire Abstract:* Frequently a decision maker (DM) does not have a full information about the underlying uncertainty. For instance, the information about the probability of some events might be missing, or the probability distribution might fail to be additive. In this talk I will present non-additive probabilities, describe a few methods of integration with respect to these probabilities and how one may use these schemes in decision making.* -- ___________________________________________ *Il tuo 5 diventa 1000* Fai crescere la tua università Dona il 5 per mille alla Sapienza Codice fiscale: *80209930587*

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PhD course announcement
by alessandra bianchi 23 May '17

23 May '17

Il Prof. Alexandre Gaudillière [ LATP, Université de Provence, CNRS - Marseille ] terrà un corso di dottorato su "Covering trees: alea and application" che si svolgerà presso il dipartimento di Matematica dell'Università Padova, aula 2BC30, nelle seguenti date: - 05/06/2017 h. 11.00-13.00 - 06/06/2017 h. 11.00-13.00 - 07/06/2017 h. 14.30-16.30 - 08/06/2017 h. 14.30-16.30 - 09/06/2017 h. 11.00-13.00 - 22/06/2017 h. 9.00-11.00 - 23/06/2017 h. 11.00-13.00 - 26/06/2017 h. 11.00-13.00 - 27/06/2017 h. 14.30-16.30 - 28/06/2017 h. 14.30-16.30 - 29/06/2017 h. 14.30-16.30 - 30/06/2017 h. 11.00-13.00 Ulteriori informazioni sul corso possono essere trovate all'indirizzo http://dottorato.math.unipd.it/node/127 -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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seminario Ruodu Wang in Bicocca
by fabio.bellini 21 May '17

21 May '17

Il giorno martedì 30 maggio alle ore 16.30, presso la Aula Seminari del DISMEQ al IV piano dell'edificio U7, il prof. Ruodu Wang della Università di Waterloo terrà un seminario su A theory for measures of tail risk Abstract The notion of “tail risk” has been a crucial consideration in modern risk management. To achieve a comprehensive understanding of the tail risk, we carry out an axiomatic study for risk measures which quantify the tail risk, that is, the behavior of a risk beyond a certain quantile. Such risk measures are referred to as tail risk measures in this talk. The two popular classes of regulatory risk measures in banking and insurance, the Value-at-Risk (VaR) and the Expected Shortfall (ES), are prominent, yet elementary, examples of tail risk measures. We establish a connection between a tail risk measure and a corresponding law-invariant risk measure, called its generator, and investigate their joint properties. A tail risk measure inherits many properties from its generator, but not subadditivity or convexity; nevertheless, a tail risk measure is coherent if and only if its generator is coherent. We explore further relevant issues on tail risk measures, such as bounds, distortion risk measures, risk aggregation, elicitability, and dual representations. In particular, there is no elicitable tail convex risk measure other than the essential supremum, and under a continuity condition, the only elicitable and positively homogeneous monetary tail risk measures are the VaRs. The study on tail risk measures brings in new tools and insights for prudent risk management as highlighted in the recent Basel documents on financial regulation. This talk focuses on mathematical developments of the theory (joint work with Fangda Liu). Tutti gli interessati sono invitati a partecipare. Fabio Bellini

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4th ISNPS Conference, Salerno, Italy, 11-15 June 2018
by Brunero Liseo 19 May '17

19 May '17

ISNPS - International Society for Non-Parametric Statistics Dear Colleagues, Following the successful ISNPS Conferences in Chalkidiki (Greece) in 2012, Cadiz (Spain) in 2014 and Avignon (France) last year, and the successful ISNPS workshop in Graz (Austria) in 2015, we are pleased to announce that the 4th ISNPS Conference will take place in Salerno, 11 - 15 June 2018. Salerno is located in the south of Italy, 30 miles from Naples (40/55 minutes from Naples's airport by train or by direct bus), but also easily reachable from Rome (2 hours from Rome Fiumicino Airport by high-speed trains). Salerno is a UNESCO World Heritage Site. It was the seat of the oldest medical school in Europe, the Schola Medica Salernitana, the most important source of medical knowledge in Europe in the early Middle Ages, regarded by many as one of the forerunners of modern Universities. Salerno is situated in the middle of two enchanting coasts, the Amalfi and Cilento coasts. It has several touristic attractions and museums, together with a beautiful promenade, and it is well connected with many of the most famous touristic sites in Southern Italy, all easily reachable by train, bus or ferry. Within half an hour, conference participants will be able to get to small picturesque towns with splendid coastal views like Amalfi, Positano, Ravello or important archaeological sites of ancient Greek and Roman ages, such as Paestum, Pompei or Ercolano. It will take a little more to get to Naples (one of the favourite destinations for all tourists who love spending their holidays in cities of artistic interest), Capri and Ischia islands or to discover beautiful natural landscapes like the Vesuvio volcano or the Cilento National Park. Just like in past editions, the 4th ISNPS conference will put together recent advances and trends in several areas of nonparametric statistics. The conference will be a perfect place to facilitate the exchange of research ideas, promote collaboration among researchers from all over the world and contribute to the further development of the field. The scientific program (scheduled from 11 June to 15 June 2018, with a pause on the 13th) will include plenary talks, special invited talks, invited sessions as well as contributed talks and posters on all areas of nonparametric statistics. If you have any questions, please contact isnps2018(a)unisa.it. A link to the conference website will soon be available. Looking forward to seeing you at ISNPS 2018! Michele La Rocca, University of Salerno Brunero Liseo, University of Rome La Sapienza Luigi Salmaso, University of Padua (Co-chairs of 4th ISNPS conference, 2018) -- ============================================ 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 *http://www.memotef.uniroma1.it/users/liseo-brunero <http://www.memotef.uniroma1.it/users/liseo-brunero>* ============================================= -- ___________________________________________ *Il tuo 5 diventa 1000* Fai crescere la tua università Dona il 5 per mille alla Sapienza Codice fiscale: *80209930587*

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Positions in Mathematical Modeling in Life and Medical Sciences, University of Bonn (Germany)
by Carina Geldhauser 19 May '17

19 May '17

-------- Forwarded Message -------- Subject: [ST-NET] Positions in Mathematical Modeling in Life and Medical Sciences, University of Bonn (Germany) Date: Fri, 19 May 2017 10:02:09 +0200 From: Thorsten Schmidt <st-net(a)uni-freiburg.de> Organization: st-net To: st-net(a)zib.de ---------- Forwarded message ---------- From: Anton Bovier <bovier(a)uni-bonn.de> The University of Bonn with its two Clusters of Excellence, the Hausdorff Center for Mathematics, and ImmunoSensation, intends to significantly strengthen the existing collaborations between these two clusters and to establish an internationally visible research group in the field of mathematical modeling in life and medical sciences. In this context, it invites applications for - three temporary Professorships (W2) for 5 years to be filled as soon as possible. To some of these positions, a tenure-track option is associated, and, in exceptional cases, a position may be tenured immediately. Alternatively, the W2-positions will come with reduced teaching load (4 hours per week). Furthermore, within this newly established research group there is an opening for - three research positions (E13) for 3 years for Postdocs. The positioning of the research group at the interface of two clusters of excellence is expected to provide a unique opportunity to develop new and challenging mathematical models with a significant impact on the understanding of the immune system and immune-mediated diseases. The new research group shall engage in efficient modeling of the complex processes in medical and life sciences as well as in the mathematical analysis of the involved mathematical structures. The range of possible topics includes -- but is not limited to -- the analysis of information processing, the dynamics of the immune response, modeling and optimization of treatment protocols, or the interplay with genetics, sparse data problems in single cell approaches, modeling and integration of multi-layer genomics data, predicting and modeling cell behavior from perturbation experiments, analysis of two to three-dimensional images including dynamic images in the context of immune responses. Applicants for both kind of positions should have a strong research background in applied mathematics or theoretical life sciences, and a proven record and interest in mathematical modeling in close collaboration with experimental researchers in life sciences. Active cooperation in the excellent environment of both clusters is expected. Depending on the respective research focus, candidates become members of one of the mathematical institutes, or the Life & Medical Sciences Institute (LIMES) of the Faculty of Mathematics and Natural Sciences, or the Bonn Institutes of Immunosciences and Infection of the Faculty of Medicine at the University of Bonn. Formal requirements are regulated by §36 of the Higher Education Act of North-Rhine Westphalia (Hochschulgesetz des Landes Nordrhein-Westfalen). Applications should be sent, using our online application form https://hcm.uni-bonn.de/hcm-immunosensation/ by 1 July 2017 for the W2-professor positions and for the postdoc positions by 1 October 2017 to Prof. Dr. Anton Bovier, Institute for Applied Mathematics, Endenicher Allee 60, D-53115 Bonn, Germany. _______________________________________________ St-net mailing list St-net(a)zib.de https://listserv.zib.de/mailman/listinfo/st-net --------------------------------------------------------------------------- Dies ist das ST-NET, der (moderierte) Mail-Verteiler der DMV-Fachgruppe Stochastik e.V. Weitere Informationen finden Sie auf unserer Homepage: http://www.fg-stochastik.de This is ST-NET, the (moderated) mailing list of the DMV-Fachgruppe Stochastik e.V. For further information, please refer to our homepage: http://www.fg-stochastik.de Please note the guidelines for posting at http://www.fg-stochastik.de/beitraege-verschicken.html ---------------------------------------------------------------------------

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Annuncio Seminario di Probabilita, Pisa, 23 maggio, ore 11:15
by Carina Geldhauser 18 May '17

18 May '17

Annuncio Seminario di Probabilita, Pisa, Universita' di Pisa Martedi' 23 maggio, ore 11:15, Aula Seminari Seminario di Probabilita’ SPEAKER: Christian Olivera (UNICAMP), Instituto de Matemática, Estatística e Computação Científica (IMECC) TITLE: Regularization by noise in (2x 2) hyperbolic systems of conservation law. ABSTRACT: In this talk we study a non-strictly hyperbolic system of conservation law by stochastic perturbation. We show existence and uniqueness of the solution. We do not assume $BV$-regularity for the initial conditions. The proofs are based on the concept of entropy solution and on the method of charactteristics (under the influence of noise). This is the first result on the regularization by noise in hyperbolic systems of conservation law. Tutti gli interessati sono invitati a partecipare. Per informazioni consultare http://people.dm.unipi.it/spass/ o scrivere a carina.geldhauser(a)dm.unipi.it

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PANORisk : Offres d'allocations de thèses 2017 (fwd)
by Lucia Caramellino 17 May '17

17 May '17

Giro per conoscenza. Per ulteriori informazioni: http://ira.univ-lemans.fr/fr/recherche-1/offres-de-theses/candidatures-2017… Cari saluti, Lucia ================================== Lucia Caramellino Dipartimento di Matematica Universita` di Roma "Tor Vergata" Via della Ricerca Scientifica I-00133, Roma, Italy www.mat.uniroma2.it/~caramell ---------- Forwarded message ---------- From: Claude Martini <cmartini(a)zeliade.com> Subject: Fwd: PANORisk : Offres d'allocations de thèses 2017 Dear colleague, please find below (in french, with topics in english in the PDF) the announcement of a doctoral position within the PANORISK project in France (cf PDF attached). Thanks and regards Claude ---------------------------------------- Le projet de recherche PANORisk propose une allocation de thèse en 2017 pour un(e) doctorant(e). 7 sujets de thèses sont proposés, en économie ou mathématiques, les candidats peuvent postuler à un ou plusieurs sujets. Dépôt des candidatures : du 20 mai au 20 juin à these-panorisk(a)univ-lemans.fr (CV + relevé de notes Licence et Master + lettre de motivation) Auditions : début juillet. Recrutement : septembre-octobre 2017. Plus d'informations sur : http://ira.univ-lemans.fr/fr/recherche-1/offres-de-theses.html -------------------------------------------------- En vous remerciant d'avance. Je reste à votre disposition. Bien cordialement, -- Karine Fagotto Chargée de gestion administrative et d'aide au pilotage Projet PANORisk Tél : 02.43.83.31.11 Institut du Risque et de l'Assurance du Mans Université du Maine Bureau T202 UFR Droit, Sciences Economiques et Gestion Avenue Olivier Messiaen 72085 - LE MANS cedex 9 -- Claude Martini

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Probabilistic and statistical methods for networks
by Luigi Amedeo Bianchi 16 May '17

16 May '17

Volevo segnalare a tutti i potenziali interessati la scuola estiva "Probabilistic and statistical methods for networks” che si terrà alla Technische Universität Berlin dal 21 agosto al primo settembre 2017. La scuola è organizzata dalla University of Bath e dalla Berlin Mathematical School. Maggiori informazioni sono disponibili sulla pagina web: http://www.math-berlin.de/academics/summer-schools/2017/randgraph <http://www.math-berlin.de/academics/summer-schools/2017/randgraph> Luigi Amedeo Bianchi

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3-year postdoc position (RTDA) at Roma Tre
by Pietro Caputo 15 May '17

15 May '17

Dear Colleagues, we would like to advertise a 3-year postdoc position (Ricercatore RTDA, tempo definito) in Probability based at the Department of Mathematics and Physics of the University of Roma Tre, partially funded by the PRIN project "Probability in Large Scale Structures" (PI: Fabio Martinelli) of the Italian Ministry of Education. Interested candidates should have a strong background in mathematics in general and in probability theory in particular. The successful applicant will be expected to work within the group of Fabio Martinelli, Pietro Caputo and collaborators on topics related to the project. These include: Markov chain mixing, Interacting Particle Systems, Random graphs, and Random matrices. The candidate is also required to provide a small amount of teaching, most likely confined to elementary courses. Gross salary for this position is approximately 35,000 EUR per year. The 3-year appointment could start as early as next Fall (Sept. 2017-Dec. 2017, with some flexibility). Interested candidates should contact us directly via email at their earliest convenience. A full description of the PRIN project "Probability in Large Scale Structures" can be found at the web page: http://ricerca.mat.uniroma3.it/LSRS/ We would be grateful if you could bring this advertisement to the attention of any potential candidate. Thank you. With best regards, Pietro Caputo, Fabio Martinelli

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de Finetti seminar, 17 Maggio, Bayraktar
by Marco Maggis 15 May '17

15 May '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 Erhan Bayraktar University of Michigan TITLE: MINI-FLASH CRASHES AND MODEL MISSPECIFICATION ABSTRACT: Why do mini-flash crashes occur? Human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation are often implicated. We develop a model which unifies aspects of the first three explanations. Our setup seems to reproduce a number of features of recent mini-flash crashes. For example, there are circumstances in which mini-flash crashes will not occur. When they do, even just before their onset, market participants may not know with certainty whether there will be a crash or spike or that such an event is imminent at all. We appear to observe mini-flash crashes can happen in both low and high trading volume regimes as well. To the best of our knowledge, we also introduce a new paradigm for studying model misspecification risks in an optimal trading context. Our approach is based on making an explicit distinction between reality and our agents’ models for reality. More precisely, each agent’s model for how a certain risky asset’s price will evolve is wrong in two ways: His understanding of how the price would move in his absence and how his actions affect prices are both imperfect. In fact, aside from a single trivial case, none of our agents ever know the correct price dynamics. We highlight how this framework differs from other common methods for addressing trading model misspecification risks including position limits, sensitivity analysis, Bayesian model averaging, the worst-case framework, and interpolations between the worst-case and classical setups. LOCATION: The seminar will be held on Wednesday, May 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)

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Summer school in Acre on Stochastic Processes with Application to Physics and Biophysics
by Enrico Scalas 12 May '17

12 May '17

Car* collegh*, vi invio l'annuncio di una scuola che si terra' ad Acri tra il 25 e il 28 settembre quest'anno: Summer School 2017 Stochastic Processes with Application to Physics and Biophysics http://binaschools.ph.biu.ac.il/ Cordiali saluti, Enrico Scalas

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Assegno di ricerca al CNR-IMATI, Sede di Milano
by Antonella Bodini 12 May '17

12 May '17

Gentili colleghi, con preghiera di massima diffusione, vi informo che e' stato bandito un posto per un assegno di ricerca presso la sede di Milano dell'IMATI sul tema della *Modellazione stocastica e analisi statistica di dati* nell’ambito del Progetto “I-ZEB Verso Edifici Intelligenti a Energia Zero per la crescita della città Intelligente”. In collaborazione con esperti del settore, il candidato offrirà competenze di statistica a supporto della modellazione e dell'analisi sperimentale degli scambi di energia (termica ed elettrica) nell'edificio intelligente. Non è richiesta esperienza nello specifico settore applicativo. Il termine ultimo per la domanda e' il 12 giugno. Tutte le informazioni, incluso il bando, sono disponibili al sito: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/130527 Cordiali saluti, Antonella -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) *** SI PRENDA NOTA CHE PER LAVORI DI RISTRUTTURAZIONE ATTUALMENTE L'ACCESSO E' DA VIA CORTI 12. *** tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Candidatura di Massimo Campanino alle elezioni del CS dello GNAMPA
by baldi＠axp.mat.uniroma2.it 12 May '17

12 May '17

In vista delle prossime elezioni del consiglio scientifico dello GNAMPA (si vota i prossimi 17, 18, 19 maggio) vi segnaliamo la candidatura di Massimo Campanino. Riteniamo sia importante che in questo consiglio siano presenti competenze di tutte le aree della matematica, e quindi anche di probabilita`. Conosciamo bene Massimo e sappiamo che, sia sul piano scientifico che su quello dell'impegno, garantirebbe un efficace lavoro in questo ambito. Paolo Baldi Alberto Barchielli Luisa Beghin Pietro Caputo Cristina Costantini Paolo Dai Pra Anna De Masi Franco Fagnola Franco Flandoli Marco Frittelli Marco Fuhrman Antonio Lijoi Domenico Marinucci Fabio Martinelli Enzo Orsingher Franco Pellerey Mauro Piccioni Maurizio Pratelli Pietro Rigo Laura Sacerdote Carlo Sempi

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avviso seminario di Matematica prof. Giuseppe Savaré (16.05.2017)
by Carina Geldhauser 12 May '17

12 May '17

-------- Forwarded Message -------- Subject: [Utenti] [Settimanale] avviso seminario di Matematica prof. Giuseppe Savaré (09.05.2017) Date: Fri, 5 May 2017 12:18:32 +0200 From: Valeria Giuliani <valeria.giuliani(a)sns.it> To: professori.sci(a)sns.it, professori.contratto.sci <professori.contratto.sci(a)sns.it>, ricercatori.sci(a)sns.it, ricercatori.td.sci(a)sns.it, Borsisti <borsisti(a)sns.it>, assegnisti.sci(a)sns.it, Perfezionandi Scienze <phd.sci(a)sns.it>, phd.extra.sci <phd.extra.sci(a)sns.it>, Studenti Scienze <allievi.sci(a)sns.it>, allievi.extra.sci <allievi.extra.sci(a)sns.it> CC: Sito SNS <sitosns(a)sns.it>, Portineria Carovana <portineria.carovana(a)sns.it>, Classi <classi(a)sns.it> SEMINARIO DI MATEMATICA Martedì 16 maggio 2017 ore 15:00 _Scuola Normale Superiore_ Pisa Aula Fermi *_ _* * **Giuseppe Savaré*** /(Università di Pavia)/ */ /* terrà un seminario dal titolo: *“**Optimal transport in competition with reaction**”*** * * *Abstract:* We discuss a new notion of distance on the space of finite and nonnegative measures,which can be seen as an inf-convolution of the well-known Kantorovich-Wasserstein and Hellinger distances. Starting from a dynamic approach (inspired to Benamou-Brenier), we will discuss various equivalent formulations, their geometric properties and their link with optimal transport problems. Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it <mailto:valeria.giuliani@sns.it> E-mail: classi(a)sns.it <mailto:classi@sns.it> -- Hai ricevuto questo messaggio perché sei iscritto al gruppo "Matematici.Esterni.SNS" di Google Gruppi. Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matematici.esterni.sns+unsubscribe(a)sns.it <mailto:matematici.esterni.sns+unsubscribe@sns.it>. Per postare in questo gruppo, invia un'email a matematici.esterni.sns(a)sns.it <mailto:matematici.esterni.sns@sns.it>. Per visualizzare questa discussione sul Web, visita https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9… <https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBn9…>.

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PhD position in applied probability at INRIA, Bordeaux
by Tommaso Nesti 12 May '17

12 May '17

Dear colleagues, I would like to share an announcement for a PhD position in applied probability at INRIA, Bordeaux. The topic is *Stochastic control and resource allocation in large-scale distributed systems* For more information about the position, please see https://www.inria.fr/institut/recrutement-metiers/offres/doctorants/doctora… Sincerely, Tommaso Nesti

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Fwd: avviso Seminario di Finanza Quantitativa, prof. Claude Martini (19.05.2017)
by Fabrizio Lillo 12 May '17

12 May '17

---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 - SEMINARIO DI FINANZA QUANTITATIVA *Venerdì 19 maggio 2017* ore 11:00 *Scuola Normale Superiore* Pisa Aula Mancini *Claude Martini * *(**Zeliade e INRIA**)* Terrà un seminario dal titolo: *“**Martingale measures with prespecified marginals: extremal points, cycles and perturbations**”* *Abstract:* *The characterization of the extremal points of the set of measures with two given marginals goes back to works by Denny, Letac and Mukerjee in the 70s-80s. The set of martingale measures with given marginals attracted recently a lot of people in the context of robust finance, where the model is known only through the prices of vanilla options conveyed by the market. We investigate in detail, in the discrete space case, the properties of extremal points of this set, and exhibit several classes of interest, altogether with a useful necessary conditions for a point to be extremal. We also discuss a candidate analogous of the no-cycle property in the non martingale case and its relations to perturbations. We illustrate our results in low cardinality situations (joint work with Luciano Campi, LSE).* Tutti gli interessati sono invitati a partecipare. Classe di Scienze Matematiche e Naturali Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi tel. 050 509260 Piazza dei Cavalieri, 7 56126 Pisa E-mail: valeria.giuliani(a)sns.it E-mail: classi(a)sns.it

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Seminario S. Menozzi @ UniTo
by Cristina Zucca 11 May '17

11 May '17

A tutti gli interessati. Martedì 16 maggio alle ore 15:30 in aula 5 presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. S. Menozzi (Evry) terrà un seminario dal titolo: "Ergodic approximation of invariant measures for diffusions " Abstract: We present non-asymptotic estimates for the approximation of invariant measures for diffusion processes. We consider an Euler scheme with decreasing step where the occupation measure converges towards the invariant measure. The final estimates can be seen as a non-asymptotic extension of central limit type theorems obtained by Lamberton and Pages (Bernolulli 2002). Our approach combines probabilistic techniques (increments of martingales) and analytic arguments (Schauder's estimates for the associated Poisson process). -- 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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Fwd: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis)
by Carina Geldhauser 10 May '17

10 May '17

-------- Forwarded Message -------- Subject: Two full professorships at the University of Bielefeld, Germany (Probability Theory and Stochastic Analysis) Resent-Date: Wed, 10 May 2017 17:19:42 +0200 Resent-From: geldhauser(a)iam.uni-bonn.de Date: Wed, 10 May 2017 17:19:26 +0200 From: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> Reply-To: Barbara Gentz <gentz(a)MATH.UNI-BIELEFELD.DE> To: EWM-ALL(a)JISCMAIL.AC.UK Dear colleagues, The *Faculty of Mathematics*of Bielefeld University invites applications for the positions of *Professor of Mathematics (W3), with the preferred area of Probability Theory (*starting as soon as possible) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… and *Professor of Mathematics (W3), with the preferred area of Stochastic Analysis (*starting April 1, 2019) http://www.uni-bielefeld.de/Universitaet/Aktuelles/Stellenausschreibungen/V… (Please find the English version of the announcement attached.) ____________________________________________________________ Barbara Gentz Faculty of Mathematics, University of Bielefeld, Germany office: V5-103 phone: +49 521 106 4788 fax: +49 521 106 6481 e-mail: gentz(a)math.uni-bielefeld.de <mailto:gentz@math.uni-bielefeld.de> web: http://www.math.uni-bielefeld.de/~gentz

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Summer School on “Latent Markov Models with Applications"
by Rosaria Simone 09 May '17

09 May '17

Con preghiera di diffusione tra tutti i possibili interessati, Cordialmente, Rosaria Simone -------------------------------------------------------------------- We are glad to announce the Summer School on “Latent Markov Models with Applications” Saturday- Wednesday, 16th-20th September, 2017 University of Milano-Bicocca, Milano “The course aims at developing your expertise and skills on the main basic theory of the latent Markov models for the analysis of longitudinal data. A deep insight of the underlying assumptions, which are based on stochastic processes will be provided. Basic and advanced parameterizations to formulate latent Markov models will be explained also when explanatory variables are available. The inferential procedures will be explained in detail both from a classical and Bayesian inferential perspective. Models for drawing inference from longitudinal and multilevel data will be considered with reference also to incomplete data. During the course, many case studies and applications will be presented by using some suitable R libraries.” Scientific Committee: Francesco Bartolucci - University of Perugia Alessio Farcomeni - Sapienza University of Rome Silvia Pandolfi - University of Perugia Fulvia Pennoni - University of Milano-Bicocca Application deadline: July 16th Application deadline for scholarship: May 31st Program and further information: UNIMIB website: *http://www.summerschoolbicocca.com/017-11-markov-models-course.php* <http://www.summerschoolbicocca.com/017-11-markov-models-course.php> Italian Statistical Society website: http://new.sis-statistica.org/ wp-content/uploads/2017/03/brochure_Milano_2017_-EN_last_v1.pdf ------------------------------ Rosaria Simone Ricercatore in Statistica Dipartimento di Scienze Politiche Università degli Studi di Napoli Federico II

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Seminario Prof. Idris Kharroubi (Paris Dauphine) al Politecnico di Milano
by Fulvia Confortola 08 May '17

08 May '17

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Fulvia Confortola -------------- Si avvisa che il giorno giovedì 11 maggio 2017 alle ore 11:15 nella Sala Maestrale, Tender, piano -1 del Dipartimento di Matematica (Edificio La Nave) del Politecnico di Milano, Via Bonardi 9, Milano, si terrà il seguente seminario Relatore: Prof. Idris Kharroubi, Università Paris Dauphine. Titolo: Information uncertainty related to marked random times and optimal investment Abstract: We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent. This talk is based on a joint work with Ying Jiao (Université Lyon I).

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Call for abstracts: Special Session AMASES XLI The Theory and Practice of Financial Volatility
by Giacomo Bormetti 08 May '17

08 May '17

Dear Colleagues, we organize a session entitled "The Theory and Practice of Financial Volatility" during the AMASES Annual Conference, which will be held in Cagliari, September 14-16, 2017. We are pleased to invite you to submit an extended abstract following the instruction available at ?https://www.dropbox.com/s/p4y78ctkdlre9hb/AMASES%20XLI%20Session%20Theory%20Practice%20Financial%20Volatility.pdf?dl=0 If you need any further information, do not hesitate to contact us Giacomo Bormetti (giacomo.bormetti(a)unibo.it<mailto:giacomo.bormetti@unibo.it>) Giulia Livieri (giulia.livieri(a)sns.it<mailto:giulia.livieri@sns.it>) Maria Elvira Mancino (mariaelvira.mancino(a)unifi.it<mailto:mariaelvira.mancino@unifi.it>) Davide Erminio Pirino (davide.erminio.pirino(a)uniroma2.it<mailto:davide.erminio.pirino@uniroma2.it>) We are looking forward to see you in Cagliari! Sincerely, Giacomo Bormetti, Giulia Livieri, Mavira Mancino, and Davide Pirino??

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Fwd: International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica BILLIO 07 May '17

07 May '17

16th INTERNATIONAL CONFERENCE CREDIT 2017 *INTEREST RATES, GROWTH and REGULATION *Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca' Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *sixteenth* of a series dedicated to various aspects of credit risk. Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented new monetary policies (low interest rates, quantitative easing, forward guidance...). The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: - Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. - Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. - Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. - New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 <041%20523%208178> - Fax : +39 041 5286166 <041%20528%206166> e-mail: credit(a)greta.it REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website ( http://www.greta.it/credit/credit2017/credit2017.htm) Registration fees are: Early registration Late registration (within August 31st) (from September 1st on) Academics: 250 Euro + VAT 300 Euro + VAT Practitioners: 800 Euro + VAT 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT 500 Euro + VAT PhD Students*: 80 Euro + VAT 130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 28th, 2017, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers August 31, 2017: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(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 CREDIT 2017 http://www.greta.it/credit/credit2017/credit2017.htm

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Assegno di ricerca alla Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 07 May '17

07 May '17

The call for a 18 month postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is Financial networks: statistical models, inference, and shock propagation The details of the call are at Italian *http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-di-ricerca-%E2%80%9Cnetwork-finanziari-modelli-statistici-inferenza-e-propagazione-di <http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma-d…>* English *http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfinancial-networks-statistical-models-inference-and <http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Cfin…>* The deadline is May 26. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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PhD Position (Scientific Employee) Ulm University (Germany), Mathematical Finance Institute
by Imma Curato 05 May '17

05 May '17

---------- Forwarded message ---------- From: Robert Stelzer <robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de>> The Institute of Mathematical Finance at the Faculty of Mathematics andEconomics of Ulm University invites applications for one non-permanent position as a Scientific Employee (50%) starting October 1st, 2017, according to the rules of the German law for non-permanent scientific positions (Wissenschaftszeitvertragsgesetz). Prerequisite is a very good master degree in a mathematical field of study or a comparable degree ( Finance, Economathematics, Probability, Stochastics and related fields ), and interest in future research in at least one of the areas Financial Mathematics, Financial Econometrics, Statistics of Stochastic Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic Processes or Time Series Analysis. The opportunity for further scientific qualification (in particular PhD) is given. The duties include contributing to the teaching activities of the institute. For the position, the teaching duty is two hours per week during the teaching period. The language of the courses is usually English. Thus no knowledge of German is initially necessary. The contract duration will be in accordance with the qualification aim. A future increase in the percentage of the position (by third party means) is aimed for. Ulm University is committed to increasing the share of women in research and teaching positions and therefore explicitly encourages female candidates to apply. The salary is determined by group 13 of the collective agreement (13 TV-L) Please send your application with the usual documents until May 21st, 2017, preferably in electronic form to Ulm University Prof. Dr. Robert Stelzer Institute of Mathematical Finance Helmholtzstraße 18 89081 Ulm Germany E-Mail Please indicate the index number 38 on the envelope or in the reference line of the email. Physically disabled applicants receive favorable consideration when equally qualified. The appointment is made by the central university administration. _______________________________________________ St-net mailing list St-net(a)zib.de<mailto:St-net@zib.de> https://listserv.zib.de/mailman/listinfo/st-net --------------------------------------------------------------------------- Dies ist das ST-NET, der (moderierte) Mail-Verteiler der DMV-Fachgruppe Stochastik e.V. Weitere Informationen finden Sie auf unserer Homepage: http://www.fg-stochastik.de This is ST-NET, the (moderated) mailing list of the DMV-Fachgruppe Stochastik e.V. For further information, please refer to our homepage: http://www.fg-stochastik.de Please note the guidelines for posting at http://www.fg-stochastik.de/beitraege-verschicken.html --------------------------------------------------------------------------- -- +++++++++++++++++++++++++++++++++++++++++ Prof. Dr. Robert Stelzer Institute of Mathematical Finance Ulm University Helmholtzstraße 18 89081 Ulm Germany Phone: +49 731 50 23520 Fax: +49 731 50 31096 Email: robert.stelzer(a)uni-ulm.de<mailto:robert.stelzer@uni-ulm.de> http://www.uni-ulm.de/mawi/finmath/people/stelzer.html

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(senza oggetto)
by Piccioni, Mauro 05 May '17

05 May '17

Seminario di probabilità e statistica matematica Lunedì 15 maggio, ore 16 Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo T.G. Kurtz, University of Wisconsin-Madison, "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Seminario DELLAPORTAS
by Matteo Ruggiero 05 May '17

05 May '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 12 Maggio 2017, alle ore 11.00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Petros DELLAPORTAS (University College London) HIGH DIMENSIONAL JUMP PROCESSES WITH STOCHASTIC VOLATILITY We deal with the problem of identifying jumps in multiple financial time series using the stochastic volatility model combined with a jump process. We develop efficient MCMC algorithms to perform Bayesian inference for the parameters and the latent states of the proposed models. In the univariate case we use an homogeneous compound Poisson process for the modelling of the jump component. In the multivariate case we adopt an inhomogeneous Poisson process, with intensity which is also a stochastic process varying across time and economic sectors and markets. A Gaussian process is used as prior distribution for the intensity of the Poisson process. This model is known as doubly stochastic Poisson process or Gaussian Cox process. The efficiency of the proposed algorithms is compared with existing MCMC algorithms. Our methodology is tested through simulation based experiments and applied on 600 stock daily returns of Euro STOXX index over a period of 10 years. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Call for papers: Networks and Big Data in Economics, Finance, and Social Systems @ AMASES 2017
by Fabrizio Lillo 04 May '17

04 May '17

Dear Colleagues, we organize a session entitled “Networks and Big Data Analysis in Economics, Finance, and Social Systems" during the AMASES Annual Conference, which will be held in Cagliari in the period September 14-16, 2017. It is a great pleasure to invite you to submit an extended abstract following the instruction in the attached call. For information, please contact: Elisa Letizia (elisa.letizia(a)sns.it) Fabrizio Lillo (fabrizio.lillo(a)sns.it) Michele Tumminello (michele.tumminello(a)gmail.com) I am looking forward to meeting you in Cagliari. Best regards Elisa Letizia, Fabrizio Lillo, Michele Tumminello ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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seminario Tom Kurtz - Pescara 11/5
by c.costantini＠unich.it 03 May '17

03 May '17

Giovedi' 11 maggio 2017, ore 16 (16:15 effettive) presso il Dipartimento di Economia, sede di viale della Pineta 4, aula seminari il prof. T.G. Kurtz, University of Wisconsin-Madison, terra' un seminario dal titolo: "Stochastic equations for processes built from bounded generators" Abstract: The generator for a pure jump process with bounded jump rate is a bounded operator on the space of measurable functions. For any such process, it is simple to write a stochastic equation driven by a Poisson random measure. Uniqueness for both the stochastic equation and the corresponding martingale problem is immediate, and consequently, the martingale problem and the stochastic equation are equivalent in the sense that they uniquely characterize the same process. A variety of Markov processes, including many interacting particle models, have generators which are at least formally given by infinite sums of bounded generators. In considerable generality, we can write stochastic equations that are equivalent to these generators in the sense that every solution of the stochastic equation is a solution of the martingale problem and every solution of the martingale problem determines a weak solution of the stochastic equation. It follows that uniqueness for one approach is equivalent to uniqueness for the other. Tutti gli interessati sono cordialmente invitati a partecipare. Cristina Costantini

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seminario Ben Goldys - Milano Bicocca 9/5
by federica.masiero＠unimib.it 03 May '17

03 May '17

Il giorno 9 Maggio, alle ore 10.45, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Prof. Ben Goldys, The University of Sydney, terrà un seminario dal titolo "Heat equation perturbed by boundary noise" Abstract: We will consider a fairly general Cauchy-Dirichlet problem with noise entering through the boundary. The case when the noise is white in space and time is also included. The question how to give a meaning to such an equation was first formulated by Da Prato and Zabczyk in 1994 and still remains largely open. We will show that the proper framework for this problem is a certain non-standard weighted $L^p$-space.This is a joint work with Szymon Peszat and Giorgio Fabbri. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Federica Masiero

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Seminario di probabilità al Politecnico di Milano
by Fabio Zucca 02 May '17

02 May '17

Si avvisa che in data 5/5/2017, alle ore 10:30 precise, presso Aula seminari del III piano del Dipartimento di Matematica del Politecnico di Milano, nell'ambito delle iniziative della sezione di Probabilità e Statistica Matematica, si svolgerà il seguente seminario: Titolo: Invariance under quasi-isometries of subcritical and supercritical behavior in the Boolean model of percolation Relatore: Cristian Coletti, Universidade Federal do ABC, Santo André - Sao Paulo, Brasil Abstract: We study the Poisson Boolean model of percolation in locally compact Polish metric spaces and we prove the invariance of subcritical and supercritical phases under mm-quasi-isometries. More precisely, we prove that if a metric space M is mm-quasi-isometric to another metric space N, and the Poisson Boolean model in M exhibits any of the following: (a) a subcritical phase; (b) a supercritical phase; or (c) a phase transition, then the same does the Poisson Boolean model of percolation in N. We use these results in order to understand the phase transition phenomenon in a large family of metric spaces. Tutti gli interessati sono invitati a partecipare Fabio Zucca

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Borse Dottorato - PhD Fellowships - Politecnico di Milano
by Laura M. Sangalli 02 May '17

02 May '17

Prego la massima diffusione presso i potenziali interessati ITA E' uscito il bando di ammissione al 33esimo ciclo di dottorato presso il Politecnico di Milano, con scadenza il ** 26 maggio alle ore 14 ** http://www.dottorato.polimi.it/it/entra-al-dottorato/concorso-di-ammissione… Presso il Dipartimento di Matematica sono disponibili 16 borse, di cui 5 borse a tema nell'area Statistica / Data Science, ed ulteriori 7 borse non a tema, che possono essere speficicate nell'area Statistica / Data Science. ENG The Department of Mathematics at Politecnico di Milano has 16 PhD fellowships, among which 5 are in the area of Statistics / Data Science, and further 7 fellowships are in the generic field of Mathematics and Statistics, and can be targeted to Statistics / Data Science. http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-… Deadline for applications: 26 May, at 2pm. -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Seminario Christophe Ley @ UniTo
by Elvira Di Nardo 30 Apr '17

30 Apr '17

********************************************************************* M.Sc. in STOCHASTICS and DATA SCIENCE http://www.master-sds.unito.it/do/home.pl UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Martedì 9 Maggio 2017 alle ore 11:30 in Aula 12 (Corso Unione Sovietica 218/bis, School of Management and Economics), nell'ambito delle attività previste per il corso di Statistics for Stocahstic Processes il Prof. Christophe Ley (Ghent University, Belgio) terrà un seminario dal titolo An alternative ranking for national soccer teams based on strength parameters Abstract: The FIFA ranking of national (male) soccer teams suffers from various drawbacks that cause heated debates, all-the-more as this ranking governs the seating in the international tournaments and the associated qualification rounds. In the present paper, we propose five alternative models based on strength parameters that are determined by maximum likelihood estimation. We conduct a comparison of these five statistical models, to which we add the ELO model used for the women's FIFA ranking, on grounds of their predictive performance. Indeed, contrary to regular league rankings, the FIFA ranking is designed to measure the current strength of teams, hence should allow accurate predictions of future matches. Our comparison is based on fifteen English Premier League seasons. The best performing model is then used to build the alternative FIFA ranking. We furthermore show its predictive power by analyzing the 2016 European Championship and comparing our predictions to the bookmaker ratings, usually considered as golden standard. Tutti gli interessati sono invitati a partecipare. -- %------------------------------------------------------- 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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Permanent position at BCAM (Bilbao) in CFD and Data Science
by Gianni Pagnini 28 Apr '17

28 Apr '17

INTERNATIONAL CALL FOR RESEARCH PROFESSORS The BASQUE CENTRE FOR APPLIED MATHEMATICS (BCAM) http://www.bcamath.org [1], together with IKERBASQUE, the Basque Foundation for Science http://www.ikerbasque.net [2], invites applications for one Research Professor position in Computational Fluid Dynamics and one Research Professor position in Data Science. This Research Professor call offers permanent contract positions for experienced researchers. NRO POSITIONS POSITION OFFERED BASIS & RULES APPLICATION FORM 1 Research Professor position in COMPUTATIONAL FLUID DYNAMICS PDF [3] website [4] 1 Research Professor position in DATA SCIENCE PDF [5] website [6] We encourage immediate applications as the selection process will be ongoing. All applications must be submitted ON-LINE AT: HTTP://WWW.BCAMATH.ORG/EN/RESEARCH/JOB [7] BCAM is a young research centre that is facing its consolidation phase. In this sense, the scientific strategy of the Centre is based on three Scientific Platforms that have been set up in order to establish an interdisciplinary system capable of facing the challenges of Mathematical Science in a broad manner by bringing together Mathematics, Engineering and Sciences: * Core in Applied Mathematics: PDE, Numerical Analysis, Fourier Analysis, Algebraic Geometry, Probability and Statistics. * Computational Mathematics: Modeling and computer simulations using numerical, stochastic and Monte Carlo methods. * Applications of Mathematics to Industry, Social Sciences and Health Sciences. Candidates should provide: * CV * Letter of interest, including your research interest. * 2 recommendation letters (additional references may be requested during the evaluation) * Statement of past experience (2-3 pages). Please, highlight your main results. * Only researchers with a strong record of research will be considered. Women candidates are especially welcome. We kindly ask you to distribute this call among colleagues and potential candidates. Please, do not hesitate to contact us if you need further information: recruitment(a)bcamath.org ------------------------- [8] [8] Miguel A. Benítez Project Manager BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao - Basque Country - Spain Tel. +34 946 567 844 benitez(a)bcamath.org | www.bcamath.org/benitez [9] _______________________________________________ bcam-all mailing list bcam-all(a)bcamath.org http://list.bcamath.org/mailman/listinfo/bcamath.org.bcam-all [10] Links: ------ [1] http://www.bcamath.org [2] http://www.ikerbasque.net [3] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM2017_Ikerbasq… [4] http://www.bcamath.org/en/research/job/research-professor-position-in-compu… [5] http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM2017_Ikerbasq… [6] http://www.bcamath.org/en/research/job/research-professor-position-in-data-… [7] http://www.bcamath.org/en/research/job [8] http://www.bcamath.org/en/ [9] http://www.bcamath.org/benitez [10] http://list.bcamath.org/mailman/listinfo/bcamath.org.bcam-all

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Workshop "Large Scale Random Structures" a Roma Tre, 8 maggio 2017
by Pietro Caputo 28 Apr '17

28 Apr '17

*********** Workshop announcement ************* Monday May 8 2017, h 9-17 Aula F, Dipartimento di Matematica e Fisica di Roma Tre L.go S. Murialdo 1, 00146 Roma Workshop sponsored by PRIN 2015 "Large Scale Random Structures" (P.I. Fabio Martinelli) -------------------------------------------------------------------- 1. MORNING - - 9:15 F. Martinelli: “Bootstrap percolation and interacting particle systems with kinetic constraints: critical time and length scales” - - 10:00 P. Caputo: “Random walks on sparse random networks” - - 10:45 Coffe break - - 11:00 M. Fisher: “On mean field games and symmetric N-player games” - - 11:45 M. Mariani: “Metastable asymptotic of potential theory quantities in finite-dimensions” - - 12:30 Lunch - 2. AFTERNOON PLAN - - 14:00 A. Faggionato: ”Static length scales and glassy dynamics in triangular and square plaquette models” - - 14:45 F. Caravenna: “Universality in marginally relevant disordered systems” - - 15:30 D. Bertacchi e F. Zucca: “Branching random walks and branching processes in varying environment” - - 16:15 A. Bianchi: “Metastability in the reversible inclusion process” - For more informations please visit the website: *http://ricerca.matfis.uniroma3.it/LSRS/ <http://ricerca.matfis.uniroma3.it/LSRS/>* Best wishes, Pietro Caputo

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Annuncio Seminario di Probabilita, Pisa, Martedi' 2 maggio
by Carina Geldhauser 28 Apr '17

28 Apr '17

Annuncio Seminario di Probabilita, Pisa, Universita' di Pisa Martedi' 2 maggio, ore 11:00, Aula Seminari Seminario di Probabilita’ SPEAKER: Konstantin Matetski (University of Toronto) TITLE: Convergence of general weakly asymmetric exclusion processes ABSTRACT: In my ongoing work with J. Quastel we consider spatially periodic growth models built from weakly asymmetric exclusion processes with finite jump ranges and general jump rates. We prove that at a large scale and after renormalization these processes converge to the Hopf-Cole solution of the KPZ equation driven by Gaussian space-time white noise. In contrast to the celebrated result by L. Bertini and G. Giacomin (in the case of the nearest neighbour interaction) and its extension by A. Dembo and L.-C. Tsai (for jumps of sizes at most three) we don’t use the Hopf-Cole transform and work with the KPZ equation using regularity structures. The price which we have to pay for this approach is a non-trivial renormalization which has not been observed before for equations with stationary noises. In my talk i will give a general review of the Hopf-Cole solution to the KPZ equation and the results of the aforementioned authors. After that I will introduce a general weakly asymmetric exclusion process and explain the difficulty with renormalization. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it

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3-year junior research chair in Data Science in Grenoble
by Julyan Arbel 27 Apr '17

27 Apr '17

Dear All the newly created Grenoble Alpes Data Institute <https://data-institute.univ-grenoble-alpes.fr/> (France) is advertising a 3-year junior research chair in Data Science for Life Sciences starting in October 2017. Salary annual range is 30,000 to 35,000€. Application deadline is May 21st. Please feel free to forward the following link to potential candidates: https://data-institute.univ-grenoble-alpes.fr/job-opportunities/junior-chai… <https://data-institute.univ-grenoble-alpes.fr/job-opportunities/junior-chai…> Best regards, Julyan Arbel Inria Grenoble http://www.julyanarbel.com/

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Seminario di F. den Hollander a Milano-Bicocca (10.05.2017)
by Francesco Caravenna 27 Apr '17

27 Apr '17

Mercoledì 10 maggio 2017 alle ore 14:30, nell'ambito del Seminario Matematico e Fisico di Milano, Frank den Hollander (Leiden University) terrà un seminario dal titolo "Random walks on dynamic random graphs" Aula 3014, Dipartimento di Matematica e Applicazioni (edificio U5, via Cozzi 55, Milano) Università di Milano-Bicocca Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%% The mixing time of a random walk is the time it needs to approach its stationary distribution. For random walks on graphs, the characterisation of the mixing time has been the subject of intensive study. One of the motivations is the fact that the mixing time gives information about the geometry of the graph. In the last few years, much attention has been devoted to the analysis of mixing times for random walks on \emph{random graphs}, which poses interesting challenges. Many real-world networks are dynamic in nature. It is therefore natural to study random walks on \emph{dynamic random graphs}. In this talk we consider a random walk on the configuration model, i.e., a random graph with prescribed degrees. We investigate what happens when at each unit of time a fraction $\alpha_n$ of the edges is randomly relocated, where $n$ is the number of nodes. We identify \emph{three regimes} for the mixing time in the limit as $n \to \infty$, depending on the choice of $\alpha_n$. These regimes exhibit surprising behaviour. Joint work with Luca Avena (Leiden), Hakan Guldas (Leiden) and Remco van der Hofstad (Eindhoven) %%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ 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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Avviso di Seminario Prof.ssa Laura Sacerdote
by Enrica Pirozzi 24 Apr '17

24 Apr '17

AVVISO di Seminario Prof.ssa Laura Sacerdote Dipartimento di Matematica Università di Torino terrà un seminario il giorno 27 Aprile 2017 ore 12:00 nella Sala Professori secondo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Titolo e abstract nel file allegato. Cari saluti Enrica Pirozzi -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Avviso di seminario
by Piccioni, Mauro 24 Apr '17

24 Apr '17

Seminario di probabilità e statistica matematica Martedì 2 maggio, ore 14 Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo Cristina Costantini, Università D'Annunzio Chieti-Pescara LA DIFFUSIONE DI POISSON-DIRICHLET A DUE PARAMETRI COME LIMITE DI MODELLI DI GENETICA Riassunto: Oltre alle ben note applicazioni in statistica Bayesiana, teoria dei numeri, ecc., la distribuzione di Poisson-Dirichlet ha un’importante signiﬁcato in genetica: infatti e’ l’unica distribuzione stazionaria della diﬀusione che descrive il comportamento delle frequenze, ordinate in ordine decrescente, degli alleli presenti in una popolazione, al tendere all’inﬁnito della dimensione della popolazione e del numero di alleli. La distribuzione di Poisson-Dirichlet a due parametri e’ una generalizzazione della distribuzione di Poisson-Dirichlet che emerge in particolare nello studio delle escursioni del moto Browniano e nella teoria del rinnovo. Nel 2009 Petrov ha costruito una diﬀusione che ammette la distribuzione di Poisson-Dirichlet a due parametri come unica distribuzione stazionaria. Fino a oggi pero’ non era stato possibile collegare questa diﬀusione a modelli di genetica. Nel seminario esporro’ un recente risultato, ottenuto in collaborazione con P. De Blasi, S. Ethier, M. Ruggiero, D. Spano`, che dimostra che la diﬀusione costruita da Petrov e’ il limite, al tendere all’inﬁnito della dimensione della popolazione e del numero di alleli, di modelli di genetica che descrivono l’evoluzione delle frequenze, ordinate in ordine decrescente, degli alleli nella popolazione, in presenza non solo di mutazioni, ma anche di immigrazione da un’altra popolazione. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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5 postdocs fellowship at GSSI (fwd)
by Tiziano Vargiolu 22 Apr '17

22 Apr '17

---------- Forwarded message ---------- Date: Sat, 22 Apr 2017 11:36:56 +0200 From: Pierangelo Marcati <pierangelo.marcati(a)gssi.infn.it> To: undisclosed-recipients: ; Subject: 5 postdocs fellowship at GSSI APOLOGY FOR MULTIPLE E-MAILS DEADLINE MAY 15th 2017 WEB SITE http://www.gssi.it/postdoc/ Contact Information If you need assistance please email info(a)gssi.it. Application to GSSI post doctoral research grants ____________________________________________________________________________ GSSI offers 5 positions for research activity in the fields of interest of the Institute There is no age limit for applicants; however eligible candidates in Mathematics must have earned their PhD not earlier than January 1, 2012. Candidates who are preparing their doctoral thesis are eligible to apply; however, they must have obtained their Ph.D degree before taking up their appointment with GSSI. ____________________________________________________________________________ Research Grants The annual gross salary is ? 36.000,00. Each post doctoral research grant is intended for a duration of two years. ____________________________________________________________________________ Topics Stochastic Differential Equations. Particles systems and macroscopic limits, statistical mechanics and phase transitions. Mathematical theory in classical and nonclassical fluids, Turbulence, Nonlinear dispersive PDEs. Dynamics and Control on Networks. Mathematical models of collective behaviour, in biology and social sciences. Mathematical Models in continuum mechanics of solids, fluids and biological matter. Numerical methods for nonlinear PDEs. ----------------------------- * Pierangelo Marcati * ----------------------------- Scientific Director Mathematics Division GranSasso Science Institute, INFN - L'Aquila - Italy http://www.gssi.it +39(086)242-80262 Professor at DISIM Dept. of Information Engineering, Computer Science and Mathematics University of L'Aquila - Italy Skype name: p.marcati http://univaq.it/~marcati +39(086)243-3143

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Quasi-Unconference of the Probability Group at Sussex
by Enrico Scalas 20 Apr '17

20 Apr '17

Dear Colleagues, If you are in the UK, you might be interested in these presentations of the new Probability and Statistics Group at the University of Sussex. The event will take place on 25/26 May 2017 in Room 5C11, Pevensey 3 Building, University of Sussex, Falmer, Brighton, UK. Everybody is welcome and participation is free of charge, but due to limited place availability registration is compulsory. If you wish to attend, please send an e-mail to e.scalas(a)sussex.ac.uk before 15 May 2017. Places will be assigned on a first-come first-served basis. Best wishes, Enrico Scalas -- Thursday 25 May 9:00 - 9:30 Get together (coffee and cookies) 9:30 - 10:00 Opening talk presented by Charles Goldie: A lower-class criterion for discounted tail series 10:00 – 11:00 Masoumeh Dashti: Sparsity-promoting MAP estimators in non-parametric Bayesian inverse problems 11:00 - 12:00 Andrew Duncan: Bayesian Inference in Finite and Infinite Dimension using Billiard Balls 12:00 - 13:00 Nicos Georgiou: Last passage times for Bernoulli models on the lattice 13:00 - 14:30 Lunch in Bramber House 14:30 - 15:30 Federico Ciech: An inhomogeneous model of last passage percolation 15:30 - 16:30 MASS Seminar presented by Daniel Ueltschi (Warwick) 16:30 - 17:30 Sabine Jansen: Precise large and moderate deviations for heavy-tailed variables 19:00 Dinner Friday 26 May 9:30 - 10:00 Get together (coffee and cookies) 10:00 - 11:00 Enrico Scalas: Counting and Classifying. How to build theoretical science from probability theory 11:00 - 12:00 Mailan Trinh: The fractional non-homogeneous Poisson process 12:00 - 13:00 Stephen Ashton: The mathematics of human contact 13:00 - 14:30 Fish and chips 14:30 - 15:30 Dimitrios Tsagkarogiannis: Non-equilibrium processes driven by boundary action 15:30 - 16:30 Panagiota Birba: Fluctuations for an out-of-equilibrium process driven by current reservoirs 16:30 - 17:30 Vladislav Vysotskiy: Large deviations of convex hulls of planar random walks. 19:00 Dinner

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Conference on "Stochastic Control, Ambiguity and Games" - Leeds 4-5 Sept. 2017
by Tiziano De Angelis 20 Apr '17

20 Apr '17

Dear All, We are pleased to announce the conference "Stochastic Control, Ambiguity and Games" which will be held at the University of Leeds on 4th - 5th September 2017. This event aims to bring experts in stochastic control, robust optimisation and stochastic games in order to explore links between these areas. Registration will open on 25th April and close on 9th July. There is a £50 registration fee which will cover lunch and coffee breaks for the two days, and a buffet dinner on the first evening of the conference. All necessary information can be found at http://ambiguity2017.leeds.ac.uk with the list of invited speakers at http://ambiguity2017.leeds.ac.uk/participants/ If you would like to contribute a talk or a poster please contact us as soon as possible but not later than 6th June. We will notify you about acceptance of your talk by 14th June. All queries should be addressed to: Tiziano De Angelis: t.deangelis(a)leeds.ac.uk Jan Palczewski: j.palczewski(a)leeds.ac.uk We would be most grateful if you forwarded this announcement to anyone potentially interested. Best regards, Tiziano De Angelis and Jan Palczewski

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The IV AMMCS International Conference, Waterloo, Canada: Second Call for Abstracts
by Enrico Scalas 18 Apr '17

18 Apr '17

Dear Colleagues: The IV AMMCS International Conference will take place in Waterloo, Canada, August 20-25, 2017 (http://www.ammcs2017.wlu.ca/) The deadline for abstract submission is May 1, 2017 (http://www.ammcs2017.wlu.ca) The Conference features many special and contributed sessions to choose from. Please go directly to the submission page at http://www.ammcs2017.wlu.ca/submit-abstracts/ If you need a visa to travel to Canada, please submit your abstract asap. In particular, I am organising two sessions of potential interest for probabilists: 1. Fractional Calculus and Applications http://www.ammcs2017.wlu.ca/special-sessions/fca/ 2. Modelling of socio economic dynamics http://www.ammcs2017.wlu.ca/special-sessions/msed/ Further details are at the conference website: http://www.ammcs2017.wlu.ca (e-mail: ammcs-2017(a)wlu.ca) Best regards, Enrico Scalas

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Assegno di ricerca presso CNR IMATI, Milano
by antonio.pievatolo＠cnr.it 18 Apr '17

18 Apr '17

Gentili colleghi, segnalo un bando per un assegno di ricerca riguardante la seguente tematica: modelli stocastici, con applicazioni a problemi di programmazione dinamica stocastica, nell’ambito del Progetto “I-ZEB Verso Edifici Intelligenti a Energia Zero per la crescita della città Intelligente”. Scadenza: 26 aprile. Link al bando: http://www.imati.cnr.it/index.php/opportunities?layout=edit&id=539 http://bandi.urp.cnr.it/doc-assegni/documentazione/7136_DOC_IT.pdf Cordiali saluti Antonio Pievatolo -- Dr Antonio Pievatolo IMATI-CNR http://www.imati.cnr.it/joomla/index.php/people?layout=edit&id=101

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Seminario Fausto Gozzi 20 aprile 2017 presso Università Cattolica sede di Milano
by Marina Di Giacinto 13 Apr '17

13 Apr '17

Seminario di Fausto Gozzi (Dipartimento di Economia e Finanza - Università LUISS Guido Carli) Giovedi' 20 aprile 2017 - ore 10:30 - aula 200 Università Cattolica del Sacro cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Optimal portfolio choice with path dependent labor income: The infinite horizon case ABSTRACT: We consider an infinite horizon portfolio choice problem with borrowing constraints where an agent receives labor income that adjusts slowly to financial market shocks. The novelty of the model is the path-dependence of the wage income process, which leads to an infinite dimensional stochastic optimal control problem. We solve completely the problem, and find explicitly the optimal controls in feedback form. This is possible because we are able to find an explicit solution to the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if state constraints are present. To the best of our knowledge, this is the first infinite dimensional generalization of Merton's optimal portfolio problem where explicit solutions can be found. The explicit solution allows us to study and discuss the behavior of optimal solutions. We conclude, if there is time, by showing how the solution strategy used here can be deployed to solve other problems, such as the finite horizon version of the model. Joint work with Enrico Biffis and Cecilia Prosdocimi Tutti gli interessati sono invitati a partecipare.

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Seminario Fausto Gozzi 20 aprile 2017 presso Università Cattolica sede di Milano
by Marina DI GIACINTO 12 Apr '17

12 Apr '17

Seminario di Fausto Gozzi (Dipartimento di Economia e Finanza - Università LUISS Guido Carli) Giovedi' 20 aprile 2017 - ore 10:30 - aula 200 Università Cattolica del Sacro cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Optimal portfolio choice with path dependent labor income: The infinite horizon case ABSTRACT: We consider an infinite horizon portfolio choice problem with borrowing constraints where an agent receives labor income that adjusts slowly to financial market shocks. The novelty of the model is the path-dependence of the wage income process, which leads to an infinite dimensional stochastic optimal control problem. We solve completely the problem, and find explicitly the optimal controls in feedback form. This is possible because we are able to find an explicit solution to the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if state constraints are present. To the best of our knowledge, this is the first infinite dimensional generalization of Merton's optimal portfolio problem where explicit solutions can be found. The explicit solution allows us to study and discuss the behavior of optimal solutions. We conclude, if there is time, by showing how the solution strategy used here can be deployed to solve other problems, such as the finite horizon version of the model. Joint work with Enrico Biffis and Cecilia Prosdocimi Tutti gli interessati sono invitati a partecipare.

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Dependence Modeling Tools for Risk Management , October 2-5, 2017, Montréal
by Fabrizio Durante 11 Apr '17

11 Apr '17

As part of a 6-month thematic program on quantitative risk management, the Centre de recherches mathématiques (MontrÃ©al, Canada) will hold a workshop on "Dependence Modeling Tools for Risk Management" October 2-5, 2017. This workshop will provide a unique opportunity to take stock of recent developments, identify new challenges, and foster collaboration with some 20 leading researchers in dependence modeling from academia and industry (see list below). For a detailed program and registration, see http://www.crm.umontreal.ca/2017/Dependence17/index_e.php Students and postdoctoral fellows are encouraged to present a poster at the workshop. One poster session has been scheduled, as well as two sessions of short lightning talks, so that trainees can introduce themselves and their work to the entire audience. Attendance is restricted to 65 participants on a first-come, first-served basis, so please register early. See you in Montréal! The organizers, Anne-Laure Fougéres, Johanna G. Nesehová¡, Matthias Scherer LIST OF CONFIRMED INVITED SPEAKERS Andras Badossy (University Stuttgart) Axel Bücher (Ruhr-Universitaet Bochum) Claudia Czado (Technische Universität München) Alexios Galanos (Ketchum Trading, LLC) Christian Genest (McGill University) Benedikt Graeler (Ruhr-Universitaet Bochum) Marius Hofert (University of Waterloo) Harry Joe (University of British Columbia) Ivan Kojadinovic (Université de Pau et des Pays de l'Adour) Ãtienne Marceau (Université Laval) Stefan Mittnik (Ludwig Maximilian Universitaet München) Philippe Naveau (CEA-Orme des Merisiers) Marc Paolella (Universitaet Zürich) Andrew Patton (Duke University) Gianfausto Salvadori (Università del Salento) Andrew Smith (Deloitte LLP) Luitgard Veraart (London School of Economics) Prof. Dr. Matthias Scherer -- Technische Universitaet München scherer(a)tum.de www.mathfinance.ma.tum.de

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PostDoc Position in Augsburg
by Marco Romito 10 Apr '17

10 Apr '17

The chair in nonlinear analysis at the University of Augsburg has an opening for one full-time position as Research Associate, TVL-E 13, (PostDoc) preferably in one of the following areas: stochastic analysis, stochastic partial differential equations, stochastic dynamics, or other fields related to the research group in Augsburg. The term of appointment is until March 31st 2019. The position has a teaching load of 5 hours per week, which could be done in English. The full advertisement (unfortunately only in German) can be found under: http://www.uni-augsburg.de/aktuell/stellen/wima-bloemker.html Further questions can be addressed to Prof. Dirk Blömker <dirk.bloemker(a)math.uni-augsburg.de> Please sent applications via e-mail with the usual documents (curriculum vitae with a brief statement of research interests, copy of diplomas, list of publications) in a single PDF-file to <dirk.bloemker(a)math.uni-augsburg.de> The deadline is May 7th 2017 or until the position is filled. -- Prof. Dr. Dirk Blömker, Institut für Mathematik, Universität Augsburg, 86135 Augsburg, Germany Telefon: ++49 (0821) 598 - 2156 Telefax: ++49 (0821) 598 - 2200 E-Mail:dirk.bloemker@math.uni-augsburg.de Skype: bloemker21

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positions at LUISS
by Marco Scarsini 09 Apr '17

09 Apr '17

LUISS intends to cover several junior and senior positions in different fields, including statistics, data science, and econometrics: http://www.luiss.it/news/2017/04/05/call-expressions-interest-19-positions ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Assegno triennale a Venezia (H2020-FETPROACT)
by Marco LiCalzi 08 Apr '17

08 Apr '17

A call for a 3-year postdoc position on "Models of strategic interaction under competing cultural frames" (prof. Marco LiCalzi, Chair of Mathematical Methods for Economics) is open at the Department of Management, University of Venice, Italy. Gross fellowship amounts to 29,500 per year. The position is funded by H2020-FETPROACT. Prospective candidates should have a demonstrated research record in at least one of the following areas: (1) game theory, (2) economic theory, (3) organizational economics, (4) network science, (5) mathematical or quantitative methods for economics. Deadline for applying is 15th May 2017. For information, see announcement (in English) at http://www.unive.it/media/bandi_assegni/2017-ASSEGNI%20DI%20RICERCA/LI_CALZ… <http://www.unive.it/media/bandi_assegni/2017-ASSEGNI%20DI%20RICERCA/LI_CALZ…> The online application is at http://static.unive.it/domandeconcorso-en/accesso/dma-licalzi <http://static.unive.it/domandeconcorso-en/accesso/dma-licalzi> __________________________________ Marco Li Calzi Department of Management Università Ca' Foscari Venezia San Giobbe, Cannaregio 873 30121 Venezia, Italy Tel.: (+39) 041 234-6925 Fax: (+39) 041 234-7444 E-mail: licalzi(a)unive.it WWW: http://virgo.unive.it/licalzi

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New Lecturer Position at Greenwich
by Enrico Scalas 07 Apr '17

07 Apr '17

Car* Collegh*, Vi invio questo annuncio con preghiera di diffusione. Cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK -- *Subject:* New Lecturer Position at Greenwich Dear All, The Department of Mathematical Sciences at the University of Greenwich is currently advertising for a new position of Lecturer in Data Analytics with Statistics (https://jobs.gre.ac.uk/Vacancy.aspx?ref=1458 <http://www.jobs.ac.uk/job/AXG225/lecturer-senior-lecturer-in-mathematics/>). I would be grateful if you could please bring this position to the attention of anyone who may be interested in applying. Many thanks, Mary Dr Mary McAlinden Head of Department, Department of Mathematical Sciences, University of Greenwich, Old Royal Naval College, Park Row, London SE10 9LS Email: M.McAlinden(a)greenwich.ac.uk University of Greenwich, a charity and company limited by guarantee, registered in England (reg. no. 986729). Registered office: Old Royal Naval College, Park Row, Greenwich, London SE10 9LS.

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Assegno di ricerca triennale per il settore SECS-S/01
by julia mortera 07 Apr '17

07 Apr '17

Si comunica a tutti gli interessati che il Dipartimento di Economia dell'Università degli Studi di Roma Tre ha bandito un assegno di ricerca triennale per il settore SECS-S/01 caratterizzato dalla presentazione di un progetto di ricerca da parte del candidato. Il bando è disponibile al seguente link: http://europa.uniroma3.it/dottorati2010/assegni/c634a783-700a-4b42-a171-1b3… Per maggiori dettagli sul regolamento per gli assegni di ricerca: http://host.uniroma3.it/uffici/ricerca/assegni-di-ricerca.aspx Cordiali saluti, Julia Mortera -- -------------------------------------------------------------------------------------------- J. Mortera, Professor of Statistics, Università Roma Tre E-mail: julia.mortera[at]uniroma3.it Web page:http://tinyurl.com/ztj6ked -------------------------------------------------------------------------------------------- --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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Annuncio Seminario di Probabilita, Pisa, SNS, 11 aprile, ore 14:30
by Carina Geldhauser 07 Apr '17

07 Apr '17

Annuncio Seminario di Probabilita, Pisa, Scuola Normale Superiore di Pisa Martedi 11 aprile, ore 14:30, Aula Mancini Seminario di Probabilita’ SPEAKER: Michael Röckner (Bielefeld University) TITLE: Global solutions to random 3D vorticity equations for small initial data ABSTRACT: One proves the existence and uniqueness in $(L^p(\mathbb{R}^3)^3 , 3/2 </p/<2,$ of a global mild solution to random vorticity equations associated to stochastic 3/D/ Navier-Stokes equations with linear multiplicative Gaussian noise of convolution type, for sufficiently small initial vorticity. This resembles some earlier deterministic results of T. Kato and are obtained by treating the equation in vorticity form and reducing the latter to a random nonlinear parabolic equation. The solution has maximal regularity in the spatial variables and is weakly continuous in $(L^3 \cap L^{\frac{3p}{4p - 6})^3$with respect to the time variable. Furthermore, we obtain the pathwise continuous dependence of solutions with respect to the initial data. This is joint work with Viorel Barbu. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it <mailto:carina.geldhauser@dm.unipi.it>

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Seminario Nourdin
by marinucc＠axp.mat.uniroma2.it 07 Apr '17

07 Apr '17

AVVISO DI SEMINARIO Speaker: Ivan Nourdin (Luxembourg University) Luogo: Aula Dal Passo, Dipartimento di Matematica, Università di Roma Tor Vergata Data ed ora: mercoledì 12 aprile, ore 16 Title: CLT for symmetric integrals of fractional Brownian motion Abstract: In this talk, based on a joint work with Giulia Binotto and David Nualart, I will explain how to establish the weak convergence of symmetric Riemann sums for functionals of the fractional Brownian motion when the Hurst parameter takes a certain critical value. As a consequence, we will then see that one can derive a change-of-variable formula in distribution, where the correction term is a stochastic integral with respect to a Brownian motion that is independent of the underlying fractional Brownian motion. Grazie per l'attenzione, Domenico Marinucci

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2 assegni di ricerca presso Università di Firenze
by Cecilia Mancini 06 Apr '17

06 Apr '17

Il Dipartimento di Scienze per l'Economia e l'Impresa dell'Università di Firenze bandisce i seguenti 2 assegni di ricerca: 1 assegno sul tema "Jumps clusters and default contagion" - scadenza per fare domanda 20/4/17 Responsabile Scientifico Cecilia Mancini - Settore Scientifico Disciplinare SECS-S06 http://titulus.unifi.it/albo/viewer?view=files%2F002425757-UNFICLE-40b0d7d8… 1 assegno sul tema "Modelli quantitativi per l’economia, la finanza e le scienze attuariali" - scadenza per fare domanda 21/4/17 Responsabile scientifico Maria Elvira Mancino - Settore scientifico disciplinare SECS-S/06 http://titulus.unifi.it/albo/viewer?view=files%2F002421448-UNFICLE-9812a7e2… Saremmo grate se poteste diffondere il messaggio. I candidati interessati che avessero bisogno di ulteriori informazioni possono scrivere a cecilia.mancini(a)unifi.it o a mariaelvira.mancino(a)unifi.it cordiali saluti, Cecilia Mancini e Maria Elvira Mancino

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de Finetti Risk Seminar - April 2017
by Emanuela Rosazza 06 Apr '17

06 Apr '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 Trust Your Data or Not – Standard remains Standard (QP) I. Bomze University of Vienna LOCATION: The seminar will be held on Wednesday, April 19, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 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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Seminario di Probabilita' (Roma)
by Faggionato, Alessandra 06 Apr '17

06 Apr '17

Seminario di Probabilita' Lunedi' 10 Aprile, ore 16:00 Dipartimento di Matematica, Universita' La Sapienza, Aula di Consiglio Speaker: C. Landim (Impa, CNRS Rouen) Title: Static large deviations for a reaction-diffusion model Abstract: We consider the superposition of a symmetric simple exclusion dynamics, speeded-up in time, with a spin-flip dynamics in a one-dimensional interval with periodic boundary conditions. We prove the large deviations principle for the empirical measure under the stationary state. We deduce from this result that the stationary state is concentrated on the stationary solutions of the hydrodynamic equation which are stable. -- ************************************************* 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 Prof. Giulia Iori alla Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 05 Apr '17

05 Apr '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Martedì 11 Aprile, ore 9,30 ------------------------------------------------------------ ----------------- Aula Fermi Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa Prof. Giulia Iori (City University, London) Information aggregation in Decentralized Markets: An Experimental Study *Abstract:* The aim of the paper is to explore the effects of market opacity and trade frictions, on market efficiency and social welfare, in exchanges organized by decentralized trade. Networks are a natural tool to represent the trading relationships among market participants in decentralized markets. By constraining exchanges on exogenously predetermined networks, and without altering the price formation mechanism, which is based on the networked limit order book technology, we can span from highly decentralized to fully connected double auction markets. Via laboratory experiments with human subjects we investigate how the density of the trading network affects the market overreaction to the release of public information, the way asymmetric private information is aggregated into prices, the manner in which the price negotiated on a particular trade reflects the relative degree of connectedness of the buyer and seller, and the extent to which location advantages create heterogeneities in gains from trading among traders. Tutti gli interessati sono invitati a partecipare. Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159 <+39%20050%20509159>

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International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica Billio 04 Apr '17

04 Apr '17

16^th INTERNATIONAL CONFERENCE CREDIT 2017 */INTEREST RATES, GROWTH and REGULATION /*Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca' Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *sixteenth* of a series dedicated to various aspects of credit risk. Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented new monetary policies (low interest rates, quantitative easing, forward guidance...). The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. * Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. * Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. * New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>). Registration fees are: Early registrationLate registration (within August 31st)(from September 1st on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT500 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 28th, 2017, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers August 31, 2017: Deadline for early registration More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>

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Assegno di ricerca presso la Scuola Normale Superiore, Pisa
by Fabrizio Lillo 04 Apr '17

04 Apr '17

The call for a 16 month postdoc (assegno di ricerca) is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is *Italian: **Esecuzione ottimale e dinamica di alta frequenza in mercati foreign exchange* *English: Optimal execution and high frequency dynamics in foreign exchange markets* and the research will likely be conducted in collaboration with the FX desk of HSBC (London) The details of the call are at Italian http://www.sns.it/bando/assegno-di-ricerca-la-collaborazione-al-programma- di-ricerca-%E2%80%9Caccordo-di-ricerca-hsbc-sns-analisi- delle-microstrutture-dei-0 English http://en.sns.it/bando/research-contract-part-research-project-%E2%80% 9Chsbc-sns-research-agreement-microstructure-financi <http://en.sns.it/bando/research-contract-part-research-project-%E2%80%9Chsb…> The deadline is April 14. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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Mini course in Verona - Luciano Campi: Optimal stopping with applications to finance.
by Luca di persio 04 Apr '17

04 Apr '17

*Mini course announcement* Prof. Luciano Campi [ LSE, London School of Economics, London ] will give a mini course on *Optimal stopping with applications to finance*, according with the following time table: 10th of April (2017) : 1730-1930 - Room M 11th of April (2017) : 1430 -1730 - Room M 12th of April (2017) : 1430-1730 - Room M all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course*Optimal stopping problems are very common in economics and finance (as well as in other fields such as sequential statistics), think for instance of choosing the best time to sell some good (e.g. a house) or to exercise a given option. The aim of this course is explaining in detail the main solution methods and how they can be applied to some concrete examples coming from economics and finance. A good knowledge of probability theory and martingales in discrete time is a very welcomed prerequisite. The list of topics will be: 1. Optimal stopping problem (OSP): motivation and examples. 2. Solution to OSP via Snell envelop and backward induction. 3. Zero-sum stopping games (aka Dynkin games). 4. Applications to finance and economics. *References*: • Neveu, J. (1975). Discrete-parameter martingales (Vol. 10). Elsevier. • Peskir, G., and Shiryaev, A. (2006). Optimal stopping and free-boundary problems (pp. 123-142). Birkhäuser Basel. • Ghemawat, P., and Nalebuff, B. (1985). Exit. The RAND Journal of Economics, 184-194. • Solan, E., and Vieille, N. (2005). Stopping games: recent results. In Advances in Dynamic Games (pp. 235-245). Birkhäuser Boston. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it 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 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Seminario Prof. Fonden Sapienza Roma
by Alessandro Degregorio 03 Apr '17

03 Apr '17

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Martedì 4 Aprile, ore 14,30 ------------------------------------------------------------ ----------------- Aula 1B1 Dipartimento di Scienze di Base e Applicate per l'Ingegneria (SBAI) "Sapienza" Università di Roma Prof. Mohammud Fonden (University of Glasgow) *Titolo:* Some properties of space-time fractional stochastic partial differential equations *Abstract:* The main point of this talk is to show how the presence of the non-locality affects the behaviour of solutions to the stochastic heat equation. We will look at equations with fractional Laplacian as well as equations with time fractional derivatives. The properties discussed are closely related to the concept of ‘intermittency’ which roughly speaking, means that the solution develop high peaks. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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Due assegni di ricerca biennali nell'area 01
by Federico Polito 03 Apr '17

03 Apr '17

Con preghiera di diffusione a tutti gli interessati. Si segnala l'uscita di un bando per due assegni di ricerca biennali nell'area 01. La ricerca si propone lo studio di nuove problematiche attuali della Matematica, 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 I settori scientifico-disciplinari interessati sono tutti quelli dell'Area 01. 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/ dove è anche possibile scaricare il testo completo del bando. La presentazione della domanda di partecipazione dovrà essere perfezionata e conclusa entro le ore 12 (ora di Roma) del 26 Aprile 2017. Un saluto. Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Avviso seminario di Matematica, Pisa, Dr. Kohei Suzuki (05.04.17)
by Carina Geldhauser 31 Mar '17

31 Mar '17

SEMINARIO DI MATEMATICA *mercoledì 5 aprile 2017* ore 14:00 *Scuola Normale Superiore* Pisa Aula Mancini Kohei Suzuki (Bonn University) Terrà un seminario dal titolo: *“**Convergence of Brownian Motions on Metric Measure Spaces Under Riemannian Curvature-Dimension Conditions**”* *Abstract:* *The goal of this talk is to characterize the weak convergence of Brownian motions in terms of a geometric convergence of the underlying spaces. As main results, we show that the pointed measured Gromov convergence of the underlying spaces implies (or under some condition, is equivalent to) the weak convergence of Brownian motions under Riemannian Curvature-Dimension conditions.* *This talk is based on my recent preprint available at https://arxiv.org/pdf/1703.07234.pdf <https://arxiv.org/pdf/1703.07234.pdf>* Tutti gli interessati sono invitati a partecipare.

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Workshop announcement: Mathematics for Big Data
by Alessandra Micheletti 31 Mar '17

31 Mar '17

*Dates: **May 31- June 1, 2017* *Place: **University of Novi Sad, Serbia* The availability of huge amounts of data is often considered as the fourth industrial revolution we are living right now. The increase in data accumulation allows us to tackle a wide range of social, economic, industrial and scientific challenges. But extracting meaningful knowledge from the available data is not a trivial task and represents a severe challenge for data analysts. Mathematics plays an important role in the existing algorithms for data processing through techniques of statistical learning, signal analysis, distributed optimization, compress sensing etc. The amounts of data that are available and that are going to be available in near future call for significant efforts in mathematics. These efforts are needed to make the data useful. The main challenges we plan to consider within this SIG are, roughly speaking, in the area of mathematical optimization and statistics. The Special Interest Group Mathematics for Big Data <https://sites.google.com/view/mathbigdata/home>, organized under ECMI <https://ecmiindmath.org/> umbrella, aims to bring together major stakeholders in this exciting area. The principal objectives of the workshop are § to gather experts from academia working on Big Data issues § to promote scientific cooperation on up-to-date open challenges in the area § to promote cooperation between academia and industry in the area § to promote joint applications to EU funded programs The workshop will have the usual format of ECMI Special Group workshops. Several distinguished experts will deliver plenary lectures on the state-of-the art topics, followed by a limited number of contributed lectures. Posters sections are also possible. A panel discussion with the representatives of industry will also be organized. A collection of survey papers will be published in Springer book edition "Mathematics in Industry". The plenary speakers confirmed so far: · Hanno Gottschalk, University of Wuppertal · Stefano Iacus, University of Milano · Aleksandra Pizurica, University of Ghent · Joao Xavier, Instituto Superior Tecnico, Lisbon · Branka Vucetic, University of Sydney · Milos Bozic, VAST, USA There is no registration fee for the workshop but the registration is obligatory. If you wish to present a contributed lecture or a poster please send the title and a short abstract together with the registration. Due to the limited number of contributed lectures, the organizers might transfer a contributed presentation to a poster presentation. The workshop is organized by Department of Mathematics and Informatics, Faculty of Science, University of Novi Sad and University of Milano, with support from ECMI, Ministry of Education, Science and Technological Development of Serbia and Secretary for High Education and Science of Vojvodina. *For more details visit* *https://www.dmi.uns.ac.rs/mathbd/index.html* <https://www.dmi.uns.ac.rs/mathbd/index.html> -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics ADAMSS Centre Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 http://users.mat.unimi.it/users/michel <http://www.mat.unimi.it/users/michel>

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Quantitative Finance at Work
by Davide Erminio Pirino 31 Mar '17

31 Mar '17

Dear all, on April 28, 2017, the Department of Economics and Finance <http://economia.uniroma2.it/en/def/> and the Master of Science in Finance and Banking <http://economia.uniroma2.it/master-science/financeandbanking> of the University of Rome Tor Vergata <http://web.uniroma2.it/home/newlang/english> will host the first edition of Quantitative Finance at Work, a workshop on the practical use of quantitative methods in Finance. Find out more about the program, the venue and the registration form at the event website <https://economicstorvergat.wixsite.com/qfinatwork>. ( https://economicstorvergat.wixsite.com/qfinatwork) Registration *is** free but required to attend to the workshop*. It will be open until the maximum number of participants is reached. The list of the speakers and some information are attached. You may download the flyer of the event here <https://media.wix.com/ugd/3e1e75_71d989d53179437d885d6a0402ab9f7e.pdf>. Looking forward to seeing you in Rome “Tor Vergata”, The organizing committee Stefano Herzel Davide Pirino Rocco Ciciretti Sergio Scarlatti Alessandro Ramponi Speakers Matteo Bissiri Cassa Depositi e Prestiti Damiano Brigo Imperial College London Attilio Meucci Advanced Risk and Portfolio Management® Marcello Minenna Consob Massimo Morini Banca IMI Federico Mosca Arca SGR Pietro Rossi Prometeia Marcello Terraneo UniCredit Group Venue University of Rome Tor Vergata, School of Economics Classroom TL – Building A Via Columbia, 2 – 00133 Rome Date April 28, 2017, 9:30 AM-5:00 PM *Web*: https://economicstorvergat.wixsite.com/qfinatwork

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Seminario ASTON
by Matteo Ruggiero 31 Mar '17

31 Mar '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 7 Aprile 2017 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: John ASTON (University of Cambridge) FUNCTIONS, MANIFOLDS AND STATISTICAL LINGUISTICS Functional Data Analysis concerns the statistical study of curves and surfaces. An extension, Functional Object Data Analysis, looks at the statistical analysis of curves and surfaces which live in restricted spaces, such as on manifolds. One particular example of these are the covariance functions associated with the underlying curves. These positive definite operators can often be of interest in their own right, yet standard functional data models are not appropriate due to the positive definite space they are constrained to lie in. Statistical models for both traditional functional data and separable positive definite models will be discussed, particularly in regards to the modelling of phonetic data. Acoustic phonetic data from different dialects or languages can be associated with both mean and covariance functions, and models used to try to interpolate and extrapolate sounds from one language to another. We will demonstrate that by considering the spaces where these sounds lie, it is possible to turn a speaker from one language to another, and literally listen to our statistical analysis. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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[COURSE] CSAMA 2017: Statistical Data Analysis for Genome Scale Biology
by stefano iacus 30 Mar '17

30 Mar '17

[Apologizes for cross-posting] CSAMA 2017: Statistical Data Analysis for Genome Scale Biology Bressanone-Brixen (IT) June 11-16, 2017 About the Course ================ The one-week intensive course Statistical Data Analysis for Genome-Scale Biology teaches statistical and computational analysis of multi-omics studies in biology and biomedicine. It covers the underlying theory and state of the art (the morning lectures) and practical hands-on exercises based on the R / Bioconductor environment (the afternoon labs). At the end of the course, you should be able to run analysis workflows on your own (multi-)omic data, adapt and combine different tools, and make informed and scientifically sound choices about analysis strategies. The course is intended for researchers who have basic familiarity with the experimental technologies and their applications in biology, and who are interested in making the step from a user of bioinformatics software towards adapting or developing their own analysis workflows. The four practical sessions of the course will require you to follow and modify scripts in the computer language R. Topics ====== * Introduction to R and Bioconductor * The elements of statistics: hypothesis testing, multiple testing, regression, regularization, clustering and classification, parallelization and performance (machine learning), visualisation * RNA-Seq data analysis * Computing with sequences and genomic intervals * Working with annotation – genes, genomic features, variants, transcripts and proteins * Gene set enrichment analysis * Mass spec proteomics and metabolomics * Basis of microbiome analysis * Experimental design, batch effects and confounding * Reproducible research and workflow authoring with R markdown * Package development, version control and developer tools (incl. git, github, RStudio) * Working with large data: performance parallelisation and cloud computing Course Structure ================ The course consists of: * Morning lectures: 20 x 45 minutes: Monday to Friday 8:30 – 12:00 * Practical computer tutorials in the afternoons (13:30 – 16:30) Registration ============ Closes on April 23rd 2016 WebSite of the course ===================== http://www.huber.embl.de/csama2017/ ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of MEF - Master in Economics & Finance http://www.mef.unimi.it Co-Founder of 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 Economics & Finance 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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Bando RTDA in Statistica
by stefano iacus 30 Mar '17

30 Mar '17

Il Dipartimento di Economia, Management e Metodi Quantitativi, Università degli Studi di Milano, ha aperto un bando per una posizione di ricercatore a tempo determinato, di tipo A, per il settore 13/D1, Statistica. Il bando completo è reperibile all'indirizzo internet: http://www.unimi.it/ateneo/valcomp/93997.htm I compiti che il ricercatore è chiamato a svolgere sono i seguenti: Tipologia dell’impegno didattico e scientifico: Attività didattica, anche in lingua inglese, coerente con i contenuti del settore SECS-S/01 e dei corsi di laurea triennale, magistrale e dottorale di interesse per il dipartimento. Attività di ricerca coerente con le linee di indagine perseguite nel Dipartimento, con specifico riferimento alla analisi dei dati e alla statistica computazionale. La scadenza per la presentazione delle domande è il 14 aprile 2017. Cordiali saluti Stefano Iacus Pier Alda Ferrari ----------------------------------- Prof. Stefano M. Iacus, Ph.D. Director of MEF - Master in Economics & Finance http://www.mef.unimi.it Co-Founder of 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 Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further information at: mef(a)unimi.it Sent from my StrawBerry®

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Fwd: Postdoctoral positions in Buenos Aires
by Faggionato, Alessandra 30 Mar '17

30 Mar '17

---------- Forwarded message ---------- From: Leonardo Rolla <leorolla(a)dm.uba.ar> Date: 2017-03-30 4:08 GMT+02:00 Subject: Postdoctoral positions in Buenos Aires To: Leonardo Rolla <leorolla(a)dm.uba.ar> Dear friends and colleagues, I would much appreciate if you could help me broadcast the announcement below. Apologies in advance for any duplicates. Best regards, Leonardo T. Rolla ---------- Forwarded message ---------- Date: Wed, 29 Mar 2017 16:29:52 -0300 (ART) From: probab(a)dm.uba.ar Subject: Postdoctoral positions in Buenos Aires Applications are invited for post-doctoral positions in Percolation, Particle Systems, and Stochastic Networks. Please feel free to forward this message to other colleagues and potential candidates. The positions last two years and have a monthly stipend of around 19600ARS, to start in April 2018. Candidates should send a complete application to probab(a)dm.uba.ar by June 15, attaching: - CV - Motivation letter - Research statement Two recommendation letters should be sent confidentially to probab(a)dm.uba.ar by June 20. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Thank you in advance, Buenos Aires Probability Group -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 2 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Postdoctoral positions in Buenos Aires
by davide gabrielli 30 Mar '17

30 Mar '17

Applications are invited for post-doctoral positions in Percolation, Particle Systems, and Stochastic Networks. Please feel free to forward this message to other colleagues and potential candidates. The positions last two years and have a monthly stipend of around 19600ARS, to start in April 2018. Candidates should send a complete application to probab(a)dm.uba.ar by June 15, attaching: - CV - Motivation letter - Research statement Two recommendation letters should be sent confidentially to probab(a)dm.uba.ar by June 20. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Thank you in advance, Buenos Aires Probability Group

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Seminar prof Cerny, LUISS -- change of time
by Sara 30 Mar '17

30 Mar '17

Dear all, I re-post the announcement for your convenience. The seminar will be next Tuesday, but at 2:30 pm in Room 307b. Professor A. Cerny from Cass will be visiting LUISS and on Tuesday April 4, at 2:30 pm in Room 307b -- viale Romania he will give the following seminar: OPTIMAL TRADE EXECUTION UNDER ENDOGENOUS PRESSURE TO LIQUIDATE: THEORY AND NUMERICAL SOLUTIONS We study optimal liquidation of a large trading position in a market with a temporary price impact. We endogenize the pressure to liquidate and hence allow the time horizon of liquidation to be determined endogenously, as part of the optimal strategy. The corresponding HJB equation leads to a severely singular initial value problem whose numerical solution we also study. In contrast to much of the existing literature spreading the liquidation strategy over a longer horizon is not necessarily beneficial to the trader. Joint work with Pavol Brunovský and Ján Komadel, Comenius University Bratislava -- 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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Postdoc opportunities in Differential Geometry of Statistical Models
by Luigi Malagò 29 Mar '17

29 Mar '17

Cari colleghi, vi scrivo perché mi sono trasferito da 6 mesi in Romania, a Cluj-Napoca al RIST (www.rist.ro/en.html) un istituto privato no profit dove ho ottenuto un grant di 4 anni co-finanziato dall'Europa, per implementare il progetto di ricerca DeepRiemann "Riemannian Optimization Methods for Deep Learning". Ho diverse posizioni aperte per postdoc, e sto cercando giovani in gamba, con background in matematica (geometria differenziale e ottimizzazione Riemanniana), computer science, statistica, etc etc, per creare un gruppo qui a Cluj che si occuperà di Machine Learning e Ottimizzazione www.luigimalago.it/group.html Gli argomenti del progetto includono: *information geometry (differential geometry applied to statistical manifolds) *manifold optimization and second-order Riemannian optimization *machine learning and deep learning (using Riemannian methods) Vi chiederei gentilmente di inoltrare il messaggio a chi secondo voi potrebbe essere interessato ad una delle posizione Gli annunci sono disponibili alla seguente pagina: www.luigimalago.it/postdocs_th.html www.luigimalago.it/postdocs_dl.html <http://luigimalago.it/postdocs_dl.html> grazie mille, Luigi Malagò

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Bando per un posto da ricercatore a tempo determinato
by Massimo Campanino 29 Mar '17

29 Mar '17

E' stato pubblicato un bando per un posto da ricercatore a tempo determinato - Dipartimento di Matematica dell'Università di Bologna - SSD MAT/06 Scadenza presentazione domande: 27/04/2017. Pubblicato sulla Gazzetta Ufficiale 4° serie speciale n. 24 del 28/03/2017 Il bando è consultabile e scaricabile nei seguenti siti: Sito d'Ateneo: http://www.unibo.it/it/ateneo/concorsi-e-selezioni/bandi-ricercatore-a-temp… Sito Miur http://bandi.miur.it/jobs.php/public/cercaJobs Sito Euraxess (portale europeo): (pubblicazione in corso) http://ec.europa.eu/euraxess/

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Fwd: 10th European Summer School in Financial Mathematics - Second Announcement/Extension of Deadline
by Carlo Sgarra 29 Mar '17

29 Mar '17

I'm forwarding this annoucement for people eventually interested. Kind Regards, Carlo Sgarr*a* This is the second announcement for the *10th European Summer School in Financial Mathematics* *"Rough Volatility and Transaction Costs"* which will be held at TU Dresden in Dresden, Germany from August 28 - September 1, 2017. Mini-courses will be given by Jim Gatheral Johannes Muhle-Karbe Mathieu Rosenbaum Walter Schachermayer More detailed information on the summer school and instructions for application can be found at: https://www.math.tu- dresden.de/euroschoolmathfi17 *The application deadline has been extended to April 30, 2017*. Successful applicants will be sponsored for travel (within Europe) and accommodation. Please bring the announcement to the attention of PhD-students and other researchers who may be interested to attend. Martin Keller-Ressel, for the organizing committee: Bruno Bouchard, Stefano De Marco, Martin Keller-Ressel, Mathieu Rosenbaum, Nizar Touzi (Apologies if you have received this email in duplicate)

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annuncio seminario
by Gustavo Posta 28 Mar '17

28 Mar '17

Seminario di probabilità e statistica matematica Aula di Consiglio, Dipartimento di Matematica Guido Castelnuovo Lunedì 3 aprile, ore 16:00 Mauro Piccioni (Università di Roma La Sapienza) terrà una conferenza dal titolo: How it happened (to me) to meet ? Summary: The function ? was defined by Minkowski with the purpose of mapping quadratic irrationals bijectively onto the rationals of (0,1) (in addition, it maps the rationals onto the dyadic rationals). It has remarkable self-similarity properties and it maps (increasingly) the interval [0,1] into itself, with an almost everywhere vanishing derivative. For this reason it has been named the slippery devil’s staircase (to distinguish it from the Cantor set distribution function, which, not being strictly increasing, is not slippery!). In the talk we will obtain it as the equilibrium law of a random walk on the homogeneous space (H,PSL_2(Z)) where H is the upper half-plane in the complex plane and PSL_2(Z) is the modular group. The random walk walk drifts towards the real line with a limit in law X whose image under the function |x|v|x|^{-1} has distribution function ?. In proving this, the characterization of a ?-distributed random variable Y in term of its continued fraction expansion is also obtained. This is a joint work with Gerard Letac. Tutti gli interessati sono invitati a partecipare. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it ---------------------------------------------------------------- Gustavo Posta Dipartimento di Matematica Università di Roma "la Sapienza" P.le A. Moro 2, 00185 Roma Italy web: http://www1.mat.uniroma1.it/~posta e-mail: gustavo.posta(a)uniroma1.it phone: +39-06-4991-4969 ------------------------------------------------------------------

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PhD course by Costantinos Kardaras (LSE) in Padova
by Giorgia Callegaro 28 Mar '17

28 Mar '17

Dear all, this is to invite you to the PhD course which will be given next week by Costantinos Kardaras (LSE) at the Mathematics Department of the University of Padova. All the details follow: *Title*: *Growth optimality and recent applications to probability* *Timetable*: - April 3rd, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 4th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 5th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 6th, 2017, 16:30 - 18:00 Torre Archimede, Room 2BC/30 - April 7th, 2017, 16:00 - 17:30 Torre Archimede, Room 2BC/30 *Course requirements*: Probability and Stochastic Calculus *SSD*: MAT/06 and SECS-S/06 *Aim*: This course aims at providing an overview on recent developments in the Mathematical Finance research field, having as a central idea in mind the role of the growth optimal portfolio. Course contents: These lectures will touch upon recent developments in the applied probability, and more precisely mathematical finance. The vessel that is used to connect different topics is that of growth optimality, a notion that has proved extremely fruitful. A representative collection of what will be covered are applications in arbitrage theory, constrained optimisation, filtration enlargement, and semimartingale theory. Other areas of application, such as economics, robust optimisation, and even functional analysis, will be also discussed (if time permits). Thanks and have a nice day, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Cladag2017 - deadline 31 March for paper submission
by Francesca Greselin 27 Mar '17

27 Mar '17

The list of Invited Sessions for the Cladag2017 International Conference <http://www.cladag2017.unimib.it/>, including three exciting Keynote Talks, given by Antony Davison, J. Sunil Rao and Roberto Rocci, are currently available. Researchers interested in *classification, clustering, data analysis, multivariate analysis, computational statistics and their applications *are invited to participate. The conference will take place at the University of Milano-Bicocca in Milan, from 13-15 September. Invited sessions will include: Statistical models for complex extremes Classified Mixed Model Prediction New methods for clustering ordinal data Classification models in economics and business Advances in Classification and Clustering of Complex Data Network Analysis with applications on biological, financial and social networks Advances in Functional data analysis Heterogeneity and new statistical models Advances in Ordinal and Preference Data Advances in Biostatistics Innovative applications of multidimensional scaling and related techniques Latent class analysis Classification and Visualization Advances in Credit Risk Modeling Robust Clustering Designing clinical trials Big data and Design of Experiments Submissions for contributed, as well as invited talks, are currently open <http://www.cladag2017.unimib.it/registration-and-submission/submission/>, with a deadline of *31 March*. Talks can be one any topic related to statistics, data classification and the analysis of data. Submissions for posters are also welcomed. Registration for the conference is open <http://www.cladag2017.unimib.it/registration-and-submission/registration/>, with early booking discounts available until *30 May*. Francesca Greselin Chair of the Organizing Committee

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Seminar announcement, prof A. Cerny - LUISS G. Carli Roma
by Sara 27 Mar '17

27 Mar '17

Dear all, Professor A. Cerny from Cass will be visiting LUISS and on Tuesday April 4, at 12 in Room A410 -- viale Romania he will give the following seminar: *Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions* We study optimal liquidation of a large trading position in a market with a temporary price impact. We endogenize the pressure to liquidate and hence allow the time horizon of liquidation to be determined endogenously, as part of the optimal strategy. The corresponding HJB equation leads to a severely singular initial value problem whose numerical solution we also study. In contrast to much of the existing literature spreading the liquidation strategy over a longer horizon is not necessarily beneficial to the trader. Joint work with Pavol Brunovský and Ján Komadel, Comenius University Bratislava -- 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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Seminario a Firenze 28/3: Statistical inference of supOU and mixed moving average processes, Imma Curato
by Cecilia Mancini 27 Mar '17

27 Mar '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze Martedì 28 Marzo 2017 (Edificio D6/Aula Bracco) ore 14.00 Imma Curato (Ulm University) terrà un seminario dal titolo: "Statistical inference of supOU and mixed moving average processes" ----- Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html

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PhD in Economics, Ca' Foscari University of Venice - Call for application 2017-18
by Antonella Basso 22 Mar '17

22 Mar '17

Dear Colleague, I would be grateful if you could bring to the attention of your best students the new edition 2017-2018 of the PhD Program in Economics offered by the Ca' Foscari University of Venice. The PhD Program in Economics aims at training selected students for a career as economists in academic institutions or in research departments of national and international organizations, public institutions, private corporations, central banks, financial institutions. Here <http://www.unive.it/pag/fileadmin/user_upload/scuole/graduate/documenti/201…> you can find the first placement of last years' PhDs. The considerable diversification of research areas covered by the members of Department of Economics and their international reputation provide an excellent environment where students of most fields in economics can find research ideas and tight guidance for their doctoral studies. The PhD program has a duration of _four years.__ ___ For the academic year 2017-2018, 5 positions are available, all of them come with a scholarship (around 13,700 € per year). Deadline for application is *April 27th* 2017, 13h00 (Italian time). Information and application procedure can be found at http://www.unive.it/phdapplication <http://www.unive.it/phdapplication> Information on the PhD in Economics can be found at http://www.unive.it/phdeconomics <http://www.unive.it/phdeconomics> Any questions on the program may be addressed to sse(a)unive.it <mailto:sse@unive.it> I also attach to this email a flyer I would be grateful if you could print and post in your department. Finally, two ExSIDE doctoral position based in Venice are still open. ExSIDE is an innovative training program that will give successful applicants a double/joint PhD degree from two universities. Project n. 2 deals with experimental economics in broad sense; project n. 15 will develop agent-based models of tax evasion. Further details can be found at http://exside-itn.eu/ . Successful candidates will get a generous scholarship (the gross monthly wage is above 3000€). Thank you for your cooperation 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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Politecnico di Milano - Seminario Eva Fiserova e Karel Hron
by Laura M. Sangalli 21 Mar '17

21 Mar '17

Si avvisa che in data 06-04-2017, alle ore 14:00 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: Relatori: Eva Fiserova e Karel Hron, Palacky University, Olomouc, Czech Republic Titolo: Regression analysis for compositional data from perspective of the logratio approach Sommario: Regression analysis is an important tool for analysing the relationships between the response variable and known explanatory variables. When the response variables or explanatory variables are compositional, i.e. multivariate observations carrying only relative information (proportions, percentages), a special treatment in regression is necessary. Compositional data are characterized by the simplex sample space with the Aitchison geometry that forms the Euclidean structure. Proper statistical methodology for this kind of observations is the logratio methodology that enables to express the data isometrically in the real Euclidean space where it is possible to apply standard statistical tools (Aitchison, 1986; Pawlowsky-Glahn et al., 2015). The lecture is focused on three main regression tasks, where compositional data are involved: either regression with a compositional response variable, or regression with compositional explanatory variables, or regression between parts of a composition. The main methodological approach for dealing with compositional regression is based on orthonormal logratio coordinates. Although regression models in orthonormal logratio coordinates are theoretically well justified, both the normalizing constants to reach orthonormality and the natural logarithm itself result in quite a complex interpretation of the regression parameters. In the lecture, we will present new orthogonal logratio coordinates (Muller et al., 2017) in order to achieve better interpretability of regression parameters while preserving all important features of regression models for compositional data. Theoretical results will be applied to real-world examples. Docente di riferimento: Alessandra Menafoglio, alessandra.menafoglio(a)polimi.it 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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Seminar by Matteo Basei in Padova
by Giorgia Callegaro 20 Mar '17

20 Mar '17

Dear all, this is to announce a seminar which will be given by Matteo Basei (Université Paris VII) at the Mathematics Department of the University of Padova. The title and all the details follow: *Title* : *Coordination of centralized and distributed generation: a linear-quadratic McKean-Vlasov control problem* *Date and time*: 29 March 2017 at 13 *Room*: 2 BC 30 See you soon, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Annuncio di seminario
by Piccioni, Mauro 20 Mar '17

20 Mar '17

Seminario di probabilità e statistica matematica Lunedì 27 marzo, ore 16:00 Aula di Consiglio del Dipartimento di Matematica “Guido Castelnuovo” Sapienza Università di Roma MASSIMO CAMPANINO (Dipartimento di Matematica, Università di Bologna) Recurrcnce properties for random walks on a two-dimensional random graph. In [1] a random walk on a bi-dimensional random graph was studied. This model had been previously introduced in the physical literature. and studied numerically. It is established in [1] that, in contrast with the corresponding periodic graph, this random walk is transient with probability one with respect to the random environment. Subsequently several papers appeared on related models ([3], [4] [5] [6]). The results of [1] have been used in [7] to study a model of corner percolation on Z2. In [2] transience was obtained on a more general random environment and a transition from recurrence to transience has been proved to occur. At the moment work is going on in collaboration with G. Bosi to study the problem on a honeycomb random graph. [1] M. Campanino, D. Petritis. Random walks on randomly oriented lattices. Markov Process. Relat. Fields 9, 391-412 (2003). [2] M. Campanino, D. Petritis. Type transition of simple random walks on randomly directed regular lattices, J. Appl. Prob. 51, 1065-1080 (2014). [3] B. De Loynes. Marche aleatoire sur un di-graphe et frontière de Martin. C. R. Acad. Sci. Paris 350, 87-90 (2012). [4] A. Devuldier, F. Pene. Random walk in random environment in a two-dimensional stratified medium with orientation. Electron. J. Prob. 18, no. 18 (2013). [5] Guillotin-Plantard, A, Le Ny. A functional limit theorem for a 2D-random walk with dependent marginals. Electron. Commun. Prob. 13, 337-351 (2008). [6] Guillotin-Plantard, A, Le Ny. Transient random walks on 2D-oriented lattice. Theory Prob. Appl. 52, 699-711 (2008). [7] G. Pete. Corner percolation on Z2 and the square root of 17. Ann. Prob. 36, 1711-1747 (2008). Tutti gli interessati sono invitati ad intervenire. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Applied Bayesian Statistics School - Como- June 19-23, 2017
by Consonni Guido 19 Mar '17

19 Mar '17

We would like to remind you that April, 1st is the deadline for early registration to ABS17 - ABS (Applied Bayesian Statistics) Summer school on MODELING SPATIAL AND SPATIO-TEMPORAL DATA WITH ENVIRONMENTAL APPLICATIONS Villa del Grumello, Como, Italy --- 19-23 June 2017 www.mi.imati.cnr.it/conferences/abs17/home.htm There are many reasons to attend the school. We just mention three of them: 1) The 2017 lecturer is Prof. Bruno Sanso' (University of California at Santa Cruz, USA), an outstanding scholar in Bayesian analysis and modeling with special reference to time series and spatial data. He is the current Editor-in-Chief of Bayesian Analysis, the official ISBA (International Society for Bayesian Analysis) journal, former Member of the Executive Board of TIES (The International Environmetrics Society), former Chair of the ASA (American Statistical Association) Advisory Committee for Climate Change and former Chair of the ISBA Section on Environmental Sciences. 2) The ABS school has a solid reputation in organizing short intensive courses on topics of broad interest. It has been running every year since 2004 with leading researchers presenting state-of-the-art Bayesian methods for applications, combining theoretical lectures and practical sessions, and fostering intereaction among participants in a very stimulating environment. 3) Last but not least, the school will be held in Villa del Grumello, a magnificent villa facing Lake Como, a renowned Italian tourist attraction. Best regards Raffaele Argiento, Guido Consonni and Fabrizio Ruggeri Dipartimento di Scienze Statistiche Università Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano; ITALY Ph: +39 02 7234 3049 https://sites.google.com/site/consonnibayes/home Master in Data Science for Management master.unicatt.it/datascience

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

17 Mar '17

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

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

16 Mar '17

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

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

16 Mar '17

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

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

15 Mar '17

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

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

14 Mar '17

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

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

14 Mar '17

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

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

14 Mar '17

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

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

13 Mar '17

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

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Seminario DE IORIO
by Matteo Ruggiero 10 Mar '17

10 Mar '17

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

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seminari Bernard e Vanduffel in Bicocca
by Fabio Bellini 10 Mar '17

10 Mar '17

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(senza oggetto)
by Piccioni, Mauro 09 Mar '17

09 Mar '17

Lunedì 13 marzo Ore 16:00, Aula di Consiglio, Dipartimento di Matematica, Università Roma La Sapienza Seminario di probabilità e statistica matematica Yosi Rinott, The Hebrew University and LUISS. Title: Differential Privacy applied to common methods of dissemination of frequency tables. When official data are to be disseminated to the public, the agency that releases the data must guarantee the privacy of individuals whose data are to be released. It is not clear how to define and measure privacy. I will explain a notion developed in computer science known as Differential Privacy, and my work (with others) on issues that arise in applying it to the dissemination of frequency tables. Tutti gli interessati sono invitati ad intervenire. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Reminder - Seminario CARLO SGARRA @ UniTo
by Federico Polito 07 Mar '17

07 Mar '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* *::..Reminder..::* Mercoledì 15 Marzo 2017 alle ore 11:30 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. CARLO SGARRA (Politecnico di Milano) terrà un seminario dal titolo A BRANCHING PROCESS-BASED APPROACH TO POWER MARKETS (The talk will be mainly based on a joint paper with Y. Jiao, C. Ma and S. Scotti). Abstract: Energy markets, and in particular, electricity markets, exhibit very peculiar features. The historical series of both futures and spot prices include seasonality, mean-reversion, spikes and small fluctuations. Very often a stochastic volatility dynamics is postulated in order to explain their high degree of variability. After the pioneering paper by Schwartz, where an Ornstein-Uhlenbeck dynamics is assumed to describe the spot price behavior, several different approaches have been investigated in order to describe the price evolution. High frequency trading, on the other hand, introduced some new features in commodity prices dynamics: in a recent paper by V. Filimonov, D. Bicchetti, N. Maystre and D. Sornette evidence is shown of endogeneity and structural regime shift, and in order to quantify this level the branching ratio is adopted as a measure of this endogenous impact and a Hawkes processes dynamics is assumed as a reasonable modelling framework taking into account the self-exciting properties. The purpose of the present investigation is to propose a new modeling framework including all the above mentioned features, still keeping a high level of tractability. The model considered allows to obtain the most common derivatives prices in closed or semi-closed form. Here with semi-closed we mean that the Laplace transform of the derivative price admits an explicit expression. The models we are going to introduce can describe the prices dynamics in two different forms, that can be proved to be equivalent: the first is a representation based on random fields, the second is based on Continuous Branching Processes with Immigration (CBI in the following). Tutti gli interessati sono invitati a partecipare. Un saluto, -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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PhD course in GeoStatistics
by Laura M. Sangalli 07 Mar '17

07 Mar '17

The following PhD course in Geostatistics will be held at the Department of Mathematics, Politecnico di Milano The course covers classical and advanced models and methods for the statistical analysis of data with spatial dependence. Lectures include tutorial sessions with the software R. Many case studies will be presented, with applications in the earth-sciences, in the neurosciences and more generally in the life-sciences (including medical imaging), and in the engineering. Lessons: 1 & 2) Kriging: stationary and isotropic random fields; structural properties of the variogram; valid variogram models; variogram estimation; kriging prediction for georeferenced data; drift estimation; kriging for data in Hilbert spaces. Lecturer: A. Menafoglio. 3) Non-parametric techniques. Lecturer: Simone Vantini. 4) Bayesian models for georeferenced data and areal data. Lecturer: A. Guglielmi. 5) Numerical methods for the analysis of spatially distributed data: thin-plate splines; tensor product splines. Lecturer: L. Sangalli. 6) Spatial regression with differential regularization. Lecturer: L. Sangalli. Essential bibliography: - N. Cressie. Statistics for Spatial data. John Wiley & Sons, New York, 1993. - S. Banerjee, B. P. Carlin, and A. E. Gelfand. Hierarchical Modeling and Analysis for Spatial Data. Chapman & Hall / CRC, 2004. - R. Bivand, E. Pebesma, V. Gomez-Rubio. Applied Spatial Data Analysis with R. Springer, 2008 Calendar: Tuesday 7/3, 14:30-17:30, aula del Consiglio, seventh floor; Kriging; Lecturer: Alessandra Menafoglio Thursday 9/3, 10:00-13:00, aula Seminari, sixth floor; Kriging; Lecturer: Alessandra Menafoglio Tuesday 21/3, 14:30-17:30, aula Seminari, sixth floor; Non-parametric techniques; Lecturer: Simone Vantini Thursday 23/3, 14:30-17:30, aula Seminari, sixth floor; Bayesian models for georeferenced data and areal data; Lecturer: Alessandra Guglielmi Tuesday 28/3, 14:30-17:30, aula Seminari, sixth floor; Numerical methods for the analysis of spatially distributed data; Lecturer: Laura Sangalli Thursday 30/3, 14:30-17:30, aula Seminari, sixth floor; Spatial regression with differential regularization; Lecturer: Laura Sangalli People interested to attend are kindly requested to write an email to laura.sangalli(a)polimi.it -- 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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de Finetti risk seminar - March 2017
by Emanuela Rosazza 06 Mar '17

06 Mar '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: Duality formulas for robust pricing and hedging in discrete time Patrick Cheridito ETH Zurich ABSTRACT: In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating the shortfall risk completely, aim to reduce it to an acceptable level. This yields robust price bounds with tighter spreads. As applications we study strict super- and subhedging with general convex transaction costs and trading constraints as well as risk based hedging with respect to robust versions of the average value at risk and entropic risk measure. Our approach is based on representation results for increasing convex functionals and allows for general financial market structures. As a side result it yields a robust version of the fundamental theorem of asset pricing. Joint work with Michael Kupper and Ludovic Tangpi. LOCATION: The seminar will be held on Wednesday, March 15, 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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Fwd: Bocconi Summer School in Statistics & Probability, 10-22 July 2017
by Pietro Muliere 06 Mar '17

06 Mar '17

Oggetto: [Forum SIS] Bocconi Summer School in Statistics & Probability, 10-22 July 2017 --> CALL FOR APPLICATIONS Bocconi Summer School in Advanced Statistics and Probability: "Statistical Causal Learning", July 10-22, 2017 http://spas.lakecomoschool.org We are pleased to announce the "Bocconi Summer School in Advanced Statistics and Probability", organized and sponsored by Bocconi University, Milano, in collaboration with the Lake Como School of Advanced Studies. The aim of the Bocconi Summer School is to establish a track of high level courses on advanced and cutting-edge topics in Statistics and Probability and related areas. The school is open to all interested scholars, but is especially addressed to doctoral students, and possibly to brilliant MSc graduates interested in pursuing doctoral studies in Statistics, Probability, Computer Science, Applied Mathematics, Operation Research and related fields. The School is hosted yearly at Villa del Grumello, on the shores of the Lake of Como, usually in July. The 2017 edition, on "STATISTICAL CAUSAL LEARNING", will take place on 10-22 July, 2017. INSTRUCTORS: * Bernhard Schölkopf (Empirical Inference Department Director, Max Planck Institute for Intelligent Systems, Tubingen); * Ilya Tolstikhin (Research Scientist, Max Plank Institute for Intelligent Systems, Tubingen); * David Lopez-Paz (Researcher at Facebook AI Research, Paris). APPLICATIONS: The School will be open to 30 qualified and selected students. Applications can be submitted BY APRIL 7, 2017, through the form: http://spas.lakecomoschool.org/application-form/ REGISTRATION and FEES. Admitted participants should register by May 7, 2017. The registration fee (450 euro) covers all the school activities and course material; wi-fi connections; all work-days lunches in the beautiful park of Villa del Grumello and accommodation in the Guest House of the Villa and in other facilities in the immediate surroundings for the 2 weeks (July 9 – July 22, 2017). For any further information, please visit the website http://spas.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it

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seminario Università Bicocca
by daniela.bertacchi 06 Mar '17

06 Mar '17

ANNUNCIO DI SEMINARIO Il giorno 13/3/2017 alle ore 15 esatte, in aula 3014 presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, il professor Rafael De Mattos Grisi (Universidade Federal do ABC -Brasile) terrà un seminario dal titolo A view on maximal spacings in several dimensions tutti gli interessati sono invitati a partecipare. Abstract: Let K be a compact subset of R^d and N a Poisson process on K. The maximal spacing of N on K is defined as the radius of the largest open ball in K, avoiding the points of N. Considering N homogenized with intensity t, Jason('87) studied the behaviour of the maximal spacing of N as t goes to infinity. In 1983, Deheuvels studied the asymptotic behaviour of the k-th maximal spacing considering K a hypercube and measuring the spaces also using hypercubes. More recently Fraiman et.al.('15) studied the non-homogeneous case. In this ongoing work, we try to generalize Jason's results, studying the behaviour of k-th maximal spacing for the homogeneous process. This is a joint work with Pablo Ferrari, from Universidad de Buenos Aires.

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Seminario di Probabilita, Pisa, Mercoledi 8 marzo, ore 11:00
by Carina Geldhauser 06 Mar '17

06 Mar '17

Annuncio Seminario di Probabilita, Pisa, Dipartmento di Matematica, Universita di Pisa Mercoledi, 8 marzo, ore 11:00, Aula Seminari Seminario di Probabilita SPEAKER 1 (ore 11:00): Francesca R. Nardi, University of Florence TITLE: Metastability for General Dynamics with Rare Transitions: Escape Time and Critical Configurations ABSTRACT: Metastability is an ubiquitous physical phenomenon in first order phase transitions. A fruitful mathematical way to approach this phenomenon is the study of rare transitions for Markov chains. For Metropolis chains associated with statistical mechanical systems, this phenomenon has been described in an elegant way through a pathwise approach in terms of the energy landscape associated to the Hamiltonian of the system. In the seminar we will first explain the main results and ideas of this approach and compare it with other existing ones. Then we will provide a similar description in the general rare transitions setup that can be applied to irreversible systems as well. Besides their theoretical content, we believe that our results are a useful tool to approach metastability for non-Metropolis systems such as Probabilistic Cellular Automata. Moreover, we will describe results pertaining to exponential hitting times which range of applicability includes irreversible systems, systems with exponentially growing volumes and systems with a general starting measure. (joint work with Emilio N. M. Cirillo, R. Fernandez, F. Manzo, E. Scoppola and J. Sohier). Dopo una pausa di circa 5min, proseguiamo con SPEAKER 2 (ore 12:00): Valeria De Mattei, Universita di Pisa TITLE: Mean field games with mean field and moderate interactions ABSTRACT: We consider a mean field game where N players interact both inthe cost functionals and in the dynamics. The new feature is that thedynamical interaction is of the so called "moderate" type, intermediatebetween the more classical mean field interaction and a strictly localinteraction. A modification of the classical mean field game scheme ispresented. Convergence to a system of PDEs, the mean field equation forour system, is discussed. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it <mailto:carina.geldhauser@dm.unipi.it>

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Fwd: [World] Summer school on networks, in Berlin (Aug 21-Sep 1 2017)
by Gustavo Posta 06 Mar '17

06 Mar '17

Begin forwarded message: > From: Cécile Mailler <c.mailler(a)bath.ac.uk> > Date: 06 marzo 2017 12.03.15 GMT+01.00 > Subject: [World] Summer school on networks, in Berlin (Aug 21-Sep 1 2017) > > Dear all, > > This is the first announcement of the summer school on > > Probabilistic and statistical methods for networks > to be held at TU Berlin, 21 August - 1 September 2017. > > The summer school will focus on probabilistic and statistical methods for networks. This is an enormously rich topic that has many connections between branches of mathematics, and applications to many other scientific disciplines. The central theme is randomness that may arise in various forms: it can be used to construct models for networks, to analyse networks using statistical methods, or as part of stochastic processes on networks. One strand of the school will consider the theory of statistical physics models on networks; another strand will develop tools of statistical inference in network data; and a third strand investigates applications such as networks in neuroscience, traffic and telecommunication. > > The School is primarily aimed at graduate students, but also at postdocs, working in applied probability or in one of the application fields with strong probabilistic flavour. > > Speakers: > Shankar Bhamidi (North Carolina) > Benedikt Jahnel (Berlin) > Max Klimm (Berlin) > Peter Mörters (Bath) > Tiago Peixoto (Bath) > Jörg Polzehl / Karsten Tabelow (Berlin) > Klaus Obermayer / Wilhelm Stannat (Berlin) > Lenka Zdeborová (Saclay) > > For further details and registration, see https://www.math-berlin.de/academics/summer-schools/2017/randgraph. > Registration will be open from 1 April 2017 until 31 May 2017. > > The summer school is supported by the EPSRC via the Centre for Doctoral Training in Statistical Applied Mathematics (SAMBa) at the University of Bath, the DFG via the Berlin Mathematical School and by the Weierstrass Institute for Applied Analysis and Stochastics, Berlin. > > Please direct scientific questions about the school to the organisers. > We hope to see you in Berlin at the end of August. > > Best wishes, > > Wolfgang König, koenig(a)wias-berlin.de > Cécile Mailler, c.mailler(a)bath.ac.uk > Marcel Ortgiese, m.ortgiese(a)bath.ac.uk > Matt Roberts, mattiroberts(a)gmail.com > Tim Rogers, t.c.rogers(a)bath.ac.uk > _______________________________________________ > World mailing list > World(a)aleanetwork.net > http://aleanetwork.net/cgi-bin/mailman/listinfo/world

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International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica Billio 06 Mar '17

06 Mar '17

16^th INTERNATIONAL CONFERENCE CREDIT 2017 */INTEREST RATES, GROWTH and REGULATION /*Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca' Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *sixteenth* of a series dedicated to various aspects of credit risk. Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented new monetary policies (low interest rates, quantitative easing, forward guidance...). The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. * Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. * Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. * New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>

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Seminario C. Ceci a Padova: cambio data e ora
by Giorgia Callegaro 06 Mar '17

06 Mar '17

Carissimi, mi scuso con i non interessati e scrivo per comunicarvi che il seminario della Prof.ssa Claudia Ceci (Università di Chieti-Pescara), dal titolo Credit derivatives and unit-linked life insurance contracts: optimal hedging in partially observable market models avrà luogo, diversamente da quanto indicato in una mia precedente mail, il giorno martedì *14 marzo *2017 alle ore *16.30* presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 2BC30 (secondo piano). Grazie per l'attenzione, saluti a tutti, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Reminder -- First Italian Meeting on Probability and Mathematical Stastistics
by Federico Polito 04 Mar '17

04 Mar '17

*First Italian Meeting on Probability and Mathematical Statistics* *June 19-22, 2017, Torino, Italy* *Reminder* Website: http://calvino.polito.it/~probstat/torino2017/ The conference website is now updated with the latest available information. Please visit it for more details. *::..* Note that the registration is still open. *Deadline for registration: March 31, 2017* *..::* We are looking forward to meeting you in Torino next June. On behalf of the Organizing Committee, Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Seminario Claudia Ceci a Padova
by Giorgia Callegaro 03 Mar '17

03 Mar '17

Carissimi, il giorno lunedì 13 marzo 2017 alle ore 12.30 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 2BC30 (secondo piano), la Prof.ssa Claudia Ceci dell'Università di Chieti-Pescara, terrà un seminario dal titolo Credit derivatives and unit-linked life insurance contracts: optimal hedging in partially observable market models Siete tutti benvenuti! Saluti a tutti, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Fwd: Fwd: Rutgers meeting on math-finance, probability, and pdes (fwd)
by Cecilia Mancini 02 Mar '17

02 Mar '17

-------- Messaggio Inoltrato -------- Oggetto: Fwd: Rutgers meeting on math-finance, probability, and pdes (fwd) Data: Thu, 2 Mar 2017 17:23:04 +0100 (CET) Mittente: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Date: Thu, 2 Mar 2017 10:44:51 -0500 From: Kasper Larsen <kasperl2andrew.cmu.edu(a)gmail.com> Subject: Rutgers meeting on math-finance, probability, and pdes To: Dear friends and colleagues: We are organizing a meeting on mathematical finance, probability theory, and partial differential equations to be held at Rutgers University, New Brunswick, May 17-19, 2017. We are hoping that you can help spread the word through your network. You can find more information here: http://finmath.rutgers.edu/partial-differential-equations-conference The conference seeks to encourage and promote early-career mathematicians: The conference schedule will allow for several contributed talks without parallel sessions. We have limited financial support available from NSF for junior US-located researchers (including graduate students, post docs, and tenure tracks). Priority for travel funding will be given to presenters who are graduate students, other junior mathematicians, and those from underrepresented groups. You can submit requests (for a presentation slot and/or funding) through the above conference webpage. Feel free to forward this email to other interested parties. We hope to see you! On behalf of the organizers, Kasper -- Cheers, Kasper Larsen Associate Professor Dept. of Mathematical Sciences Carnegie Mellon University http://www.math.cmu.edu/math/faculty/larsen.html ----- End forwarded message -----

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Seminario Nien-Lin Liu (Ritsumeikan University, Japan) a Firenze, 6/3/2017
by Cecilia Mancini 02 Mar '17

02 Mar '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze, la prossima settimana si terrà il seguente seminario: Lunedì 6 Marzo 2017 (D6/Aula Bracco) ore 14.00: Nien-Lin Liu (Ritsumeikan University, Japan) "Fourier-Malliavin estimators based on discrete measures" Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html

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Postdoctoral position at BCAM, Bilbao
by Enrico Scalas 02 Mar '17

02 Mar '17

Car* collegh*, Vi prego di diffondere il seguente annuncio alle persone potenzialmente interessate. Non ho inserito il documento con la descrizione del profilo richiesto, ma lo si puo' trovare a: http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM17-PostDoc_Pr… Cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK -- *Dear Colleagues,* *The Basque Centre for Applied Mathematics (BCAM <http://www.bcamath.org/en/>) opened the position <http://www.bcamath.org/en/research/job/ic2016-winter-postdoctoral-fellowshi…> of Postdoctoral Fellow in Modelling and Simulation in Life and Materials Sciences (MSLMS) group*. The selected candidate will work on Bayesian analysis with Hamiltonian Monte Carlo methods in biomedical applications under the supervision of Elena Akhmatskaya <http://www.bcamath.org/en/people/eakhmatskaya> in collaboration with the members of MSLMS <http://www.bcamath.org/en/research/lines/MSLMS> as well as the Researchers in the Joint BioEnergy Institute (JBEI <https://www.jbei.org/>), US DOE, and the Brest Cancer Stem Cells Lab at CIC <http://www.cicbiogune.es/center/about>bioGUNE <http://www.cicbiogune.es/center/about>. The applications of interest include metabolic flux analysis and drug sensitivity prediction. The Hamiltonian Monte Carlo (HMC) and the Mix & Match HMC <https://bird.bcamath.org/handle/20.500.11824/323> implemented in BCAM in-house software HaiCS (*Ha*miltonians *i*n *C*omputational *S*tatistics) will be used as primary sampling tools in Bayesian analysis and developed further. The full description of the position is provided in the attached file. I will highly appreciate if you could distribute this announcement among your colleagues. Many thanks, Best Regards, Elena. Elena Akhmatskaya Ikerbasque Professor Group Leader BCAM - Basque Center for Applied Mathematics Mazarredo 14. 48009 Bilbao, Basque Country, Spain Tel.: +34 946 567 842 <+34%20946%2056%2078%2042> Fax: +34 946 567 843 <+34%20946%2056%2078%2043> e-mail: akhmatskaya(a)bcamath.org Web: www.bcamath.org/en/people/akhmatskaya

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Lecturer Position at Leeds - deadline 6 March
by Elena Issoglio 02 Mar '17

02 Mar '17

Dear Colleagues this is to announce that a Lecturer Position in Financial/Actuarial Mathematics is currently being advertised at the University of Leeds. Note that the deadline for applications is very soon, *Monday 6 March*. Previous research experience in financial mathematics is *not* essential. School/Institute: School of Mathematics, University of Leeds Position: Permanent Lecturer, grade 8 Salary: £39,324 to £46,924 p.a. Closing Date: Monday 06 March 2017 For more info and to apply online, please visit https://jobs.leeds.ac.uk/vacancy.aspx?ref=MAPMA1052 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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Announcement: 8th AMaMeF Conference - MARK THE DATES! (fwd)
by Tiziano Vargiolu 02 Mar '17

02 Mar '17

---------- Forwarded message ---------- Date: Thu, 2 Mar 2017 12:03:29 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> Caro Tiziano, mi puoi girare questo annuncio sulla lista random? Grazie Un saluto Giulia --------------------------------------- Dear Colleague, on behalf of the organising committee is a pleasure to announce that the 8th AMaMeF Conference will take place in Amsterdam June 19-23, 2017, thanks to the joint efforts of groups at the University of Amsterdam, Radboud University, and ING Bank. With the participation of TopQuants. The conference features plenary lectures and parallel sessions covering the forefront areas of research in theoretical and quantitative finance, risk, insurance. Plenary speaker are: Fred Espen Benth (University of Oslo) Carole Bernard (Grenoble School of Management and Vrije Universiteit Brussel) Bruno Bouchard (Universit? Paris-Dauphine) S?ren Christensen (University of Hamburg) Christa Cuchiero (University of Vienna) Paul Glasserman (Columbia University) Xin Guo (UC Berkeley) Jan Ob??j (University of Oxford) Mikl?s R?sonyi (Alfr?d R?nyi Institute of Mathematics) Follow the developments, the registration procedures, the abstract submission and all see: http://8amamef.nl Please help to distribute this announcement among your all contacts. Welcome to Amsterdam in June! Best regards Giulia Di Nunno Professor Department of Mathematics University of Oslo

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Seminari di probabilità e statistica matematica
by Piccioni, Mauro 01 Mar '17

01 Mar '17

Lunedì 6 marzo Ore 16:00, Aula di Consiglio Seminario di probabilità e statistica matematica Mauro Piccioni Conditional iid structures in exchangeable multivariate distributions: from Marshall-Olkin to “load sharing” models The discovery of a conditional iid structure allows the understanding of the dependence contained in a d-variate distribution as generated by an exogenous latent factor . According to the celebrated de Finetti ‘s theorem this is equivalent to the possibility of defining an infinitely exchangeable sequence of random variables with the given d-marginal. In parametric classes of multivariate distributions, the determination of the values of the parameter corresponding to a structure of this type is a difficult problem which have been solved only in a few cases. In the talk the elegant theory developed by Mai and Scherer for the Marshall-Olkin distribution will be reviewed and some partial results for “load-sharing” models will be presented (joint work with Gerard Letac and Fabio Spizzichino). Tutti gli interessati sono invitati a partecipare. I seminari proseguiranno durante il secondo semestre ogni lunedì con cadenza settimanale.

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Fully Funded PhD Positions for International Students, University of Padova, Italy - Deadline March 28, 2017 1.00 pm (CEST)
by Patrizia Piacentini - PhD 01 Mar '17

01 Mar '17

For the academic year 2017/18 the University of Padova, Italy, offers 15 research fellowships fully funded by Fondazione Cariparo for foreign (non Italian) students to attend Doctoral Courses - *Deadline: 28 March 2017 (1.00 p.m. CEST)* The call for application is available at the following address: http://www.unipd.it/en/node/1053 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses will start on *October 1st, 2017* and will end on September 30st, 2020. Application is to be made following carefully the instructions in the announcement. The PhD Course in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Nicola Sartori Coordinator Phd Course in Statistics University of Padova Italy -- Patrizia Piacentini Secretariat PhD Course in Statistics University of Padova tel +39 049 8274167 fax +39 049 8271524 dottorato(a)stat.unipd.it

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Fwd: Two postdoc positions in Roma Tre
by Pietro Caputo 28 Feb '17

28 Feb '17

ricevo e inoltro: ---------- Forwarded message ---------- From: <giuliani(a)mat.uniroma3.it> Date: Tue, Feb 21, 2017 at 2:16 PM Subject: Two postdoc positions in Roma Tre To: giuliani(a)mat.uniroma3.it Dear Colleague, I would like to draw your attention to two 2-years postdoc position in mathematical physics within the project "Universality in Condensed Matter and Statistical Mechanics", funded by an ERC Consolidator Grant (PI: Alessandro Giuliani). Interested candidates should have a strong background in the mathematics of quantum or classical statistical mechanics. The successful applicant will be expected to work on problems related to scaling limits in 2D systems at the critical point, broken phases in systems with continuous symmetry, quantum transport in interacting systems. The appointments are for two years, starting in September 2017 or earlier (we invite applications by March 22, 2017; the call will remain open until the two positions are filled). The position is based at the Department of Mathematics of the University of Roma Tre. It comes with no teaching duties and with traveling funds to attend conferences and workshops. A full description of the project and the position, including details about how to apply can be found on the web page of the project: http://www.mat.uniroma3.it/users/giuliani/public_html/erc_CoG/index.html I would be grateful if you could bring this advertisement to any interested candidate. Thank you in advance, With best regards, Alessandro Giuliani

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seminario Marcello Restelli in Bicocca
by Fabio Bellini 28 Feb '17

28 Feb '17

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Seminario Maren Schmeck a Padova
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

Carissimi, il giorno martedi' 28 febbraio alle ore 15 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, sala Riunioni VII piano, la dott.ssa Maren Diane Schmeck dell'Universita' di Colonia terra' un seminario dal titolo ELECTRICITY PRICE MODELING WITH STOCHASTIC TIME CHANGE (joint with SVETLANA BOROVKOVA (VU AMSTERDAM)) ABSTRACT. In this paper, we develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time varying mean reversion and seasonally occurring price spikes) into the model in an elegant and economically justifiable way. The stochastic time change introduces stochastic as well as deterministic (e.g., seasonal) features in the price process? volatility and in the jump component. We specify the base process as a mean reverting jump diffusion and the time change as an absolutely continuous stochastic process with seasonal component. The activity rate of the stochastic time change can be related to the factors that influence supply and demand. Here we use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change, and show that this choice leads to realistic price paths. We derive properties of the resulting price process and develop the model calibration procedure. We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths by Monte Carlo simulations. We show that the simulated price process matches the distributional characteristics of the observed electricity prices in periods of both high and low demand. Cordiali saluti a tutti 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: Postdoc-position in Stochastic Analysis at the University of Oslo
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

---------- Forwarded message ---------- Date: Sun, 26 Feb 2017 18:35:01 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Fwd: Postdoc-position in Stochastic Analysis at the University of Oslo Dear Tiziano,could you please help circulate this info. Thank you in advance, Giulia Begin forwarded message: From: Bernt ?ksendal <oksendal(a)math.uio.no> Subject: Postdoc-position in Stochastic Analysis at the University of Oslo Date: 21 February 2017 at 12:15:46 GMT+1 Dear All; The new postdoc position in stochastic analysis at the University of Oslo has just been announced. The deadline is 31 March 2017. For more information see https://www.jobbnorge.no/ledige-stillinger/stilling/134569/postdoctoral-res earch-fellowship-in-stochastic-analysis Please help to distribute this to anyone interested :-) Best wishes, Bernt Professor Emeritus Bernt ?ksendal Department of Mathematics, University of Oslo, Box 1053 Blindern, N-0316 Oslo, Norway. Home page: http://www.mn.uio.no/math/english/people/aca/oksendal/index.html Email: oksendal(a)math.uio.no

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Second Announcement: Stochastic Analysis Day, Pisa, Monday, February 27
by Carina Geldhauser 24 Feb '17

24 Feb '17

Stochastic Analysis Day 2017 The Stochastic Analysis Day 2017 will take place on Monday, February 27 at the Department of Mathematics of the University of Pisa. Speakers: * J.C. Alfonso Lopez (Braunschweig) * L.Bianchi (Berlin) * T. Funaki (Tokyo) * C. Geldhauser (Pisa) * H. Hatzikirou (Braunschweig) *M. Maurelli (Berlin) More information can be found on the website http://www.dm.unipi.it/pages/romito/SPASS/workshop/20170227/ Registration is not obligatory, but highly recommended for organizational purposes. To register, please contact the organizers.

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ARPM job offer
by Elisa Appolloni 23 Feb '17

23 Feb '17

Dear all, I am reaching out to you because at ARPM (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Thank you, Elisa Appolloni *** *The firm* ARPM – Advanced Risk and Portfolio Management <https://www.arpm.co/> is a privately held research institution, directed by Attilio Meucci, based in New York City with virtual offices world-wide. ARPM’s mission is to set and disseminate the standards for advanced quantitative risk management and portfolio management across the financial industry: asset management, banking, and insurance. *The opportunity * ARPM is looking for a new researcher-in-training for a minimum period of 6 months, indefinitely extensible. The successful candidate will review and code practical case studies and theoretical examples in quantitative finance, contributing to the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The successful candidate will work full-time, remotely, constantly communicating via multi-media with the other members of ARPM. The ARPM researcher-in-training position represents a great opportunity for candidates with strong academic background, who wish to apply to real problems in finance the rigorous, research-oriented approach acquired in their schooling. *The progression* ARPM emphasizes the constant intellectual growth of its resources. For the first 6 months the researcher-in- training will be focused on specific projects. At the end of this period (s)he will conduct a presentation on the topics covered. Then, (s)he will start broadening his/her scope, attending the presentations of their peers and seniors, working on broader projects, and acquiring hands-on- knowledge of all the topics of the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The approximate time required to attain the required level of familiarity with the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14> is: two years for a recent master’s graduate; one year for a recent PhD graduate. When ready, the researcher-in-training will be tested on all such topics with an exam. If successful, (s)he will conclude his/her training period, attaining the title of ARPM researcher. The ARPM researcher will then engage in highly quantitative projects with ARPM clients, becoming a profit center. *The candidate* [image: arrow_20]Master’s degree in mathematics, physics, engineering, computer science, statistics, data science, quantitative economics. [image: arrow_20]PhD in hard sciences or master’s degree in quantitative finance is a plus. [image: arrow_20]Very strong command of foundational mathematics, including multivariate calculus and linear algebra. [image: arrow_20]Good knowledge of statistics and probability. [image: arrow_20]Proficiency in MATLAB, Python, or similar programming languages. [image: arrow_20]Good command of English. *Compensation* Competitive For more information, please visit arpm.co <https://www.arpm.co/> and/or contact us at info(a)arpm.co <info(a)arpm.co?Subject=job%20Post> -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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seminar announcement --- prof Cont, LUISS
by Sara 21 Feb '17

21 Feb '17

Thursday 2nd March from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. Speaker: Rama Cont (Imperial College and CNRS) Title: Fire sales, price-mediated contagion and systemic risk -- 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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Mini course in Verona - Simone Mattia Scotti: Real markets, microstructure, clusters and Hawkes with a Branching process point of view.
by Luca di persio 20 Feb '17

20 Feb '17

*Mini course announcement* Prof. Simone Mattia Scotti [ LPMA, Université Paris Diderot ] will give a mini course on *Real markets, microstructure, clusters and Hawkes with a Branching process point of view*, according with the following time table: 21st of March (2017) : Room I 1430-1730 23rd of March (2017) : Room M 1530-1730 24th of March (2017) : Room M 1430-1730 all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course* The analysis of real financial markets, along with the study of related economic time series, represents an increasing field of research and development of effective applications, from the stochastic processes point of views, as well as from the statistic and computational sides of the moon. In this mini-course, we first recall the classical framework behind the modern and mathematically rigorous, theory of finance, starting from the treatment of continuous-path stochastic processes. Then, we focus on the microstructure of market data, discussing both limit and market orders, along with correlated liquidity problems. In a second part, we will specialize our analysis on a particular feature of financial markets, namely the existence of jumps' cluster. It is worth to mention that the latter has been highlighted in recent literature in microstructure, showing to have a deep impact on real markets and representing a main research axis in the field. >From a mathematical point-of-view, we will first introduce point processes and then Hawkes processes. We will show that the self-exciting structure of Hawkes processes can easily explain some features exhibited by financial data, e.g. the cluster effects. In the third part, we will introduce the branching processes (CBI) showing that they can be seen as a natural extension (marked versions) of Hawkes processes. We will show that this class of models has very nice properties from computational as well as from analytical point of view, particularly by exploiting the Dawson-Li representation. Moreover, we will point out some unexpected features of the aforementioned approaches, such, e.g., the persistency of low interest rates and negative risk premium in electricity markets. A detailed bibliograpy will be given during the course. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it 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 <+39%20045%20802%207968> Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686 <+39%200461%20281686>

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Mini course in Verona - Adrian Zalinescu : Introduction to SPDEs with applications
by Luca di persio 18 Feb '17

18 Feb '17

*Mini course announcement* Prof. Adrian Zalinescu [ Universitatea Alexandru Ioan Cuza - Iaşi, Romania ] will give a mini course on *Introduction to Stochastic Partial Di fferential Equations* (with applications to Finance, Biology, etc.), according with the following calendar 13 - 20 - 27 of March (2017) time table: from 1430 to 1730 all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal 2, first floor , *Room M* located here https://goo.gl/maps/Yx2JU The* tentative programme* is the following: 1. *Gaussian measure theory* Random vectors and Bochner integral. Some elements of probability in in nite-dimensional spaces are considered, with emphasis on the integration of random vectors with values in separable Banach-spaces and in operator spaces. Gaussian measures. We introduce cylindrical Gaussian random variables and Hilbert-spacevalued Gaussian random variables and then de ne cylindrical Wiener processes and Q-Wiener processes (i.e. with the covariance given by the trace-class operator Q) in a natural way. Stochastic integral and Ito's formula. The stochastic integral is constructed with respect to a cylindrical Wiener process, then with respect to a Q-Wiener process, by extending the integral of elementary processes. Some properties of the stochastic integral are given, including Ito's formula. 2. *Stochastic Di erential Equations* Semigroup Theory. In this section we review the fundamentals of semigroup theory. Stochastic Convolutions and Linear SPDEs. We derive existence and uniqueness of di erent types of solutions for linear SDEs driven by generators of C0-semigroups. The method is based on the study of the stochastic convolution. Solutions by Variational Method. The purpose is to study solutions of nonlinear SPDEs, which are seen as evolution equations in a Gelfand triplet, under assumptions of compact embedding or monotone coe cients. 3. *Applications* Along the abstract study of SDEs in in nite-dimensional spaces, various examples of SPDEs with applications in physics, biology and mathematical finance will be given. A detailed bibliograpy will be given during the course. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it 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 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Seminar announcement
by Marco Scarsini 17 Feb '17

17 Feb '17

Thursday 23 February from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. *Speaker:* Bruno Ziliotto (CNRS) *Title:* In zero-sum stochastic games, the payoff is constant *Abstract*: In a zero-sum stochastic game, at each stage, two adversary players take decisions and receive a stage payoff determined by these actions and by a random variable called state of nature. The total payoff is the discounted sum of the stage payoffs. Assume that players are very patient and use optimal strategies. We then prove that at any point in the game, players get essentially the same payoff: the payoff is constant. No game theory prerequisite of any kind is needed to understand this talk. (joint work with Miquel Oliu Barton) ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminario CARLO SGARRA @ UniTo
by Federico Polito 17 Feb '17

17 Feb '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* mercoledì 15 Marzo 2017 alle ore 11:30 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. CARLO SGARRA (Politecnico di Milano) terrà un seminario dal titolo A BRANCHING PROCESS-BASED APPROACH TO POWER MARKETS (The talk will be mainly based on a joint paper with Y. Jiao, C. Ma and S. Scotti). Abstract: Energy markets, and in particular, electricity markets, exhibit very peculiar features. The historical series of both futures and spot prices include seasonality, mean-reversion, spikes and small fluctuations. Very often a stochastic volatility dynamics is postulated in order to explain their high degree of variability. After the pioneering paper by Schwartz, where an Ornstein-Uhlenbeck dynamics is assumed to describe the spot price behavior, several different approaches have been investigated in order to describe the price evolution. High frequency trading, on the other hand, introduced some new features in commodity prices dynamics: in a recent paper by V. Filimonov, D. Bicchetti, N. Maystre and D. Sornette evidence is shown of endogeneity and structural regime shift, and in order to quantify this level the branching ratio is adopted as a measure of this endogenous impact and a Hawkes processes dynamics is assumed as a reasonable modelling framework taking into account the self-exciting properties. The purpose of the present investigation is to propose a new modeling framework including all the above mentioned features, still keeping a high level of tractability. The model considered allows to obtain the most common derivatives prices in closed or semi-closed form. Here with semi-closed we mean that the Laplace transform of the derivative price admits an explicit expression. The models we are going to introduce can describe the prices dynamics in two different forms, that can be proved to be equivalent: the first is a representation based on random fields, the second is based on Continuous Branching Processes with Immigration (CBI in the following). Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.fpolito.eu

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seminario Matteo Burzoni in Bicocca
by Fabio Bellini 17 Feb '17

17 Feb '17

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Teaching assistantships at LUISS
by Marco Scarsini 16 Feb '17

16 Feb '17

LUISS is looking for teaching assistants for various courses in mathematics, statistics, and computer science for the academic year 2017/2018. Teaching assistants are expected to teach in either English or Italian (not necessarily both), hold office hours, and assist with exams. Whoever is interested should fill out the application form that can be found at the pages http://www.luiss.edu/ateneo/opportunita-di-lavoro/reclutamento-docenti-cont… (Department of Economics and Finance), http://www.luiss.edu/ateneo/opportunita-di-lavoro/reclutamento-docenti-cont… (Department of Management). The deadline is 02 March 2017. I would greatly appreciate if you could inform your graduate students of this opportunity. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Annuncio di seminari
by Piccioni, Mauro 15 Feb '17

15 Feb '17

Il giorno 21 febbraio 2017 presso l'Aula E del Dipartimento di Matematica, Sapienza Università di Roma si terranno i seguenti seminari di Probabilità e Statistica Matematica: Ore 14.30 Wolfgand Woess (TU Graz, Austria) Multidimensional reflected random walk - some results and many questions Abstract: Let (Y_n,V_n) be i.i.d. distributed, with the components r and s-dimensional, respectively. Reﬂected random walk starting at a point x of the positive r-dimensional orthant is deﬁned recursively by X_0 = x, X_n = |X_{n−1}−Y_n|, where |(a_1,...,a_r)| = (|a_1|,...,|a_r|). In R^s, consider the ordinary sum S_n = V_1 +···+V_n . We are interested in (topological) recurrence of the process (X_n,v+S_n) starting at (x,v). While this is quite well understood for refelcted random walk with r=1, in higher dimension (r \geq 2) or with some non-reﬂected coordinates (s \in {1,2}) we have a few basic results and various open questions with some partial answers. This is work with Judith Kloas, with input from Marc Peigne' and Wojciech Cygan. Ore 15.30 Oriane Blondel (CNRS Lyon, France) More random walks on random walks Abstract: We consider a Poissonian distribution of particles performing independent simple random walks. Simultaneously, on top of this system, a random walker evolves with a drift to the right when it is on top of (at least) a particle, to the left when it is on an empty site. We obtain a LLN, CLT and large deviation bounds in high and low density. Joint work with Marcelo Hilario, Renato dos Santos, Vladas Sidoravicius, Augusto Teixeira. Tutti gli interessati sono invitati a partecipare. per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Seminario Prof. Giorgio Ferrari
by Tiziano Vargiolu 15 Feb '17

15 Feb '17

Il giorno martedi' 21 febbraio alle ore 11 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 1AD/100, il prof. Giorgio Ferrari dell'Universita' di Bielefeld, e ospite del Dipartimento di Matematica in qualita' di professore visitatore nell'ambito del progetto YITP (Young Investigation Training Program), terra' un seminario dal titolo Controlling Public Debt without forgetting Inflation Abstract -------- Consider a government that wants to control its debt-to-GDP (gross domestic product) ratio, while taking into consideration the evolution of the inflation rate of the country. The uncontrolled inflation rate follows an Ornstein-Uhlenbeck dynamics and affects the growth rate of the debt ratio. The level of the latter can be reduced by the government through fiscal interventions. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the total expected cost of interventions on debt ratio. We model such problem as a two-dimensional singular stochastic control problem over an infinite time-horizon. We show that it is optimal for the government to adopt a policy that keeps the debt-to-GDP ratio under an inflation-dependent ceiling. This curve is the free-boundary of an associated fully two-dimensional optimal stopping problem, and it is shown to be the unique solution of a nonlinear integral equation. Finally, some economic conclusions are drawn. Tutti gli interessati sono invitati a partecipare. 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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BISP10, Milano, June 2017-extended deadlines
by fabrizio＠mi.imati.cnr.it 15 Feb '17

15 Feb '17

The 10th workshop on Bayesian Inference for Stochastic Processes (BISP10) will take place in Milano, Italy, on June 13-15, 2017. ** The online abstract submission (for oral or poster presentation) is extended to the 28th of February ** Theoretical and applied contributions on Bayesian inference in stochastic processes are both welcome. A non-exhaustive list of topics includes Markov processes, temporal and spatial processes, computations and methods for complex structures, empirical processes, birth-death and branching processes, networks and relational data, queuing, signal processes, stochastic differential equations. BISP10 is dedicated to Pietro Muliere, on his 70th birthday. All information can be found on the website : www.unibocconi.eu/bisp10 If you have any questions, please contact the Chairs of the Local and Scientific Committees: Sonia Petrone sonia.petrone(a)unibocconi.it and Fabrizio Ruggeri fabrizio(a)mi.imati.cnr.it Best wishes, and we look forward to welcoming you in Milano at BISP10. Sonia Petrone & Fabrizio Ruggeri -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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Seminario Dott.ssa Zehra Eksi
by Katia Colaneri 14 Feb '17

14 Feb '17

Il giorno giovedì 16 febbraio alle ore 16 presso il Dipartimento di Economia dell'Università di Perugia, la Dott.ssa Zehra Eksi, Assistant Professor presso la WU-Vienna University of Economics and Business, e ospite del Dipartimento di Economia in qualità di professore visitatore nell'ambito del progetto YITP (Young Investigation Training Program), terrà un seminario dal titolo "EM Algorithm for Markov Chains observed via Gaussian Noise and Point Processes Information" *Abstract*: In this paper we obtain an Expectation-Maximization (EM) algorithm for a setting in which the state variable follows a finite-state Markov chain observed via diffusive and point process information. Such a setting may arise, for example, in the modelling of sovereign credit risk where information stems from default history (jump component) and CDS spreads (diffusive component). Obtaining the EM algorithm amounts to the derivation of finite-dimensional filters for quantities such as number of jumps and sojourn times associated to the Markov chain. In this context, we obtain both exact and unnormalized filters for the related quantities. Moreover, we compute discretized robust versions of the unnormalized filters. Next, we introduce a novel goodness of fit test to check how well the estimated model explains a given data set. Finally, we run a simulation study to test speed and accuracy of the algorithm. In particular, we provide a comparison for the estimates resulting from the robust and naive discretization and the value of point process information (This is a Joint work with Camilla Damian and Ruediger Frey) Tutti gli interessati sono invitati a partecipare. Dott.ssa Katia Colaneri Department of Economics, University of Perugia Via A. Pascoli 20, Perugia 06123- Italy e-mail: katia.colaneri@unipg <katia.colaneri(a)gmail.com>.it

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Mini-workshop announcement: Stochastic Analysis Day 2017, Monday, February 27, Pisa
by Carina Geldhauser 13 Feb '17

13 Feb '17

Stochastic Analysis Day 2017 The Stochastic Analysis Day 2017 will take place on Monday, February 27, at the Department of Mathematics of the University of Pisa. Speakers: * J.C. Alfonso Lopez (Braunschweig) * L. Bianchi (Berlin) * T. Funaki (Tokyo) * C. Geldhauser (Pisa) * H. Hatzikirou (Braunschweig) *M. Maurelli (Berlin) More information can be found on the website http://www.dm.unipi.it/pages/romito/SPASS/workshop/20170227/ Registration is not obligatory, but highly recommended for organizational purposes. To register, please contact the organizers.

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WIRN 2017 - First Call for Papers - 27th Italian Workshop on Neural Networks
by Marco Corazza 13 Feb '17

13 Feb '17

*** WIRN 2017 - First Call for Papers *** *** 27th Italian Workshop on Neural Networks *** *** June 14-16, Vietri sul Mare, Salerno, Italy *** WIRN 2017 – PRELIMINAY CALL FOR PAPERS The Italian Workshop on Neural Networks (WIRN) is the annual conference of the Italian Society of Neural Networks (SIREN). The conference is organized in co-operation with the International Institute for Advanced Scientific Studies (IIASS) of Vietri S/M (Italy), and is a traditional event devoted to the discussion of novelties and innovations related to field of Artificial Neural Networks. In recent years, it also became a multidisciplinary forum on psychological and cognitive theories for modelling human behaviours. The 27th Edition of the Italian Workshop on Neural Networks (WIRN 2017) will be held at the IIASS of Vietri sul Mare, near Salerno, Italy. CALL FOR PAPERS, SPECIAL SESSIONS PROPOSALS: Prospective authors are invited to contribute high quality papers in the topic areas listed below and proposals for special sessions. Special sessions aim to bring together researchers in special focused topics. Each special session should include at least 3 contributing papers. A proposal for a special session should include a summary statement (1 page long) describing the motivation and relevance of the proposed special session, together with the article titles and author names of the papers that will be included in the track. Contributions should be high quality, original and not published elsewhere or submitted for publication during the review period. Please visit the web site for further details of the required paper format. Papers will be reviewed by the Program Committee, and may be accepted for oral or poster presentation. All accepted contributions will be published in a special volume printed by Springer and indexed by SCOPUS. Authors will be limited to one paper per registration. Manuscripts should not exceed the limit of 8 pages. The description of the submission procedure will appear soon on the SIREN Website www.associazionesiren.org TOPIC AREAS: Suggested topics for the conference include, but are not limited to, the following research and application areas: - General Topics of Interest about Computational Intelligence: Neural Networks, Fuzzy Systems, Evolutionary Computation and Swarm Intelligence, Support Vector Machines, Complex Networks, Bayesian and Kernel Networks, Consciousness and Models of Emotion Cognitive and Psychological Models of Human Behavior. - Algorithms & Architectures: Among others: Opportunist Networks, Metabolic Networks, ICA and BSS, Deep Neural Networks, Bio-inspired Neural Networks, Wavelet Neural Networks, Intelligent Algorithms for Signal (Speech, Faces, Gestures, Gaze, etc) Processing and Recognition. - Implementations: Among others: Hardware Implementations and Embedded Systems, Neuromorphic Circuits and Hardware, Spike-based VLSI NNs, Intelligent Interactive Dialogue Systems, Embodied Conversational Agents. - Applications: Among others: Finance and Economics, Big Data Analysis, Neuroinformatics and Bioinformatics, Brain-Computer Interface and Systems, Data Fusion, Time Series Modelling and Prediction, Intelligent Infrastructure and Transportation Systems, Sensors and Network of Sensors, Smart Grid, Process Monitoring and Diagnosis, Intelligent and Adaptive Systems for Human-Machine Interaction. PAPER SUBMISSION: Important Dates - Special Session/Workshop proposals: March 16, 2017; - Paper Submission deadline: April 16, 2017; - Notification of acceptance: May 16, 2017; - Camera-ready copy: on site, June 1, 2017; - Conference Dates: June 14-16, 2017. More detailed instructions will follow soon on the SIREN home page www.associazionesiren.org or in www.wirn2017.polito.it. -- Marco Corazza 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 --

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PhD in Financial Mathematics at the Scuola Normale Superiore (Pisa). Call 2017-2018
by Fabrizio Lillo 12 Feb '17

12 Feb '17

The call for applications to the 2017/2018 PhD program in Financial Mathematics at the Scuola Normale Superiore, Pisa, has been published on the web site http://phd.sns.it/call-2017-2018/, and on the home page of the institutional web site of the Scuola (www.sns.it) The deadline is February 20, 2017 Should you need any further information, please address your request to Fabrizio Lillo (fabrizio.lillo(a)sns.it) Thank you very much in advance. ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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seminario Cosimo Munari in Bicocca /2
by Fabio Bellini 10 Feb '17

10 Feb '17

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seminario Cosimo Munari in Bicocca /2
by Fabio Bellini 10 Feb '17

10 Feb '17

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2 Seminari Firenze 14/2/17 ore 10 al DISEI
by cecilia mancini 09 Feb '17

09 Feb '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze, il giorno Martedì 14 Febbraio 2017 (Edificio D6/Aula Bracco, ossia 1.12): si terranno i seguenti 2 seminari ore 10 Francesca Lilla (Università di Bologna) OPTION PRICING WITH HIGH FREQUENCY ESTIMATES OF CONTINUOUS AND DISCONTINUOUS VOLATILITY COMPONENTS ore 11 Susana Martins, University of Minho & NIPE, Braga, Portugal MODELLING SOVEREIGN DEBT CONTAGION: A SMOOTH TRANSITION APPROACH Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html Abstract dei seminari OPTION PRICING WITH HIGH FREQUENCY ESTIMATES OF CONTINUOUS AND DISCONTINUOUS VOLATILITY COMPONENTS Jump-diffusion model represents the popular approach to match return stylized facts. Its estimation is simplified since prices are observable quantities, but it does not appear to be sufficient to yield the rapid increases in volatility which have been historically experienced. Examining price evolution at ultra high frequency, traditional measures of jump variation tend to spuriously assign a burst in volatility to the jump components. What jump-diffusion model identifies as genuine price jumps are period of heightened volatility. Starting from these findings, I develop a new multifactor volatility model, labeled as VARG-J, in which volatility is decomposed in two components: continuous and discontinuous. The first involves small changes while the second occasional big moves. The VARG-J model belongs to the class of affine discrete-time models based on high frequency volatility measures. The pricing approach performed in this paper allows to incorporate risk premia in order to compensate for two new sources of risk concerning both volatility components, beyond the risk related to shocks in log-returns. Combining high-frequency returns and option data, the empirical analysis illustrates that volatility jump component is a key ingredient for reproducing the observed volatility smile and for improving the pricing performances of S&P 500 Index options. MODELLING SOVEREIGN DEBT CONTAGION: A SMOOTH TRANSITION APPROACH ABSTRACT: In this paper, we study the timing and extent of the European sovereign debt contagion across nine Eurozone countries from 2005 until 2016. In this setting, financial contagion is measured as a significant increase in cross-market correlations which are assumed to follow a Smooth Transition Conditional Correlation (STCC-) GARCH model. The cross-market correlations change smoothly between two extreme states according to an observable transition variable. This variable is specified both as a function of time and lagged returns. When using time, a pre-crisis and two crises sub-periods are identified. Our results suggest contagion effects within the periphery countries, notably from Greece and Portugal, and between the periphery and core countries.

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CLADAG 2017: Call for Papers
by Francesca Greselin 09 Feb '17

09 Feb '17

11th Scientific Meeting of the Classification and Data Analysis Group of the Italian Statistical Society CLADAG 2017 September 13rd to 15th, 2017 University of Milano-Bicocca, Milan, Italy We happily announce and invite paper submissions for the *11th Scientific Meeting of the Classification and Data Analysis Group of the Italian Statistical Society - CLADAG 2017* conference, which will take place at the University of Milano-Bicocca, from September 13th to 15th. Areas of interest to the conference include: • Classification Theory • Multivariate Data Analysis • Proximity Structure Analysis • Applied Classification and Data Analysis • Software Developments People who wish to submit a paper should send the title of their paper by February 28th. Details of title submission are available at http://www.cladag2017.unimib.it The conference will be a mix of plenary, invited and submitted talks and posters. Invited sessions details can be seen at the conference website. ::: CLADAG 2017 KEYNOTES ::: We are delighted of having the following keynote speakers: *Antony Davison,* <http://statwww.epfl.ch/davison/davison.html> Institute of Mathematics, Ecole Poytechnique Federale de Lausanne, Switzerland *Sunil J. Rao,* <http://www.biostat.med.miami.edu/people/primary-faculty/sunil-rao> Division of Biostatistics, Department of Public Health Sciences University of Miami, Florida, USA *Roberto Rocci <http://economia.uniroma2.it/faculty/145/rocci-roberto>, *Dipartimento di Economia e Finanza, Università degli studi di Tor Vergata, Rome, Italy ::: CLADAG 2017 PAPERS AND SPECIAL ISSUES ::: Book of Abstract: all the accepted short papers will be published in the CLADAG2017 Proceedings, with ISBN. After the Conference, authors will be encouraged to submit a full paper (up to 8 pages) for the publication in the Springer series "Studies in Classification, Data Analysis, and Knowledge Organization" to be released in 2018. All submitted papers will undergo a regular reviewing process. ::: CLADAG 2017 DEADLINES ::: - Title and pre-registration: *February 28th, 2017* - Short paper: *March 31th, 2017* - Notification of acceptance: *May 15th, 2017* - Revised short paper: *May 31th, 2017* - Payment of registration fee: *from May 1rst, 2017* ::: CLADAG 2017 YOUNG RESEARCHERS AWARD ::: A Call for Ideas has been issued for organizing an event for Young researchers, on September 12th, with excellent proposals that are now under finalization. Prizes for the challenge will be awarded during the Conference. Looking forward to seeing you at CLADAG 2017! Francesca Greselin Local Organizing Committee

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de Finetti Risk Seminar - February 2017
by Emanuela Rosazza 09 Feb '17

09 Feb '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 Coalitionally Strategy Proof Social Choice Functions K.P.S. Bhaskara Rao Indiana University Northwest LOCATION: The seminar will be held on Wednesday, February 15, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 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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Master and PhD offers - LAAS, Touluse
by Cecchi, F. 08 Feb '17

08 Feb '17

Inoltro con richiesta di diffusione: 2 posizioni per Master/Phd thhesis in Touluse at LAAS sui seguenti argomenti: 1) Vehicular Networks 2) Stochastic Modeling of Computing Systems Dettagli in allegato. Saluti, Fabio

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Fwd: 10th European Summer School in Financial Mathematics
by Carlo Sgarra 08 Feb '17

08 Feb '17

---------- Messaggio inoltrato ---------- Da: "Martin Keller-Ressel" <martin.keller-ressel(a)tu-dresden.de> Data: 03/feb/2017 15:31 Oggetto: 10th European Summer School in Financial Mathematics A: Cc: <summerschool2017.math(a)tu-dresden.de> Dear colleagues, We happily announce and invite applications for the 10th European Summer School in Financial Mathematics „Rough Volatility and Transaction Costs" which will be held at TU Dresden in Dresden, Germany from August 28 - September 1, 2017. Mini-courses will be given by Jim Gatheral Johannes Muhle-Karbe Mathieu Rosenbaum Walter Schachermayer More detailed information on the summer school and instructions for application can be found at: https://www.math.tu- dresden.de/euroschoolmathfi17 The application deadline is April 17, 2017. Successful applicants will be sponsored for travel and accommodation. Please bring the announcement to the attention of PhD-students, Post-Docs and other researchers who may be interested to attend. Martin Keller-Ressel, for the organizing committee: Bruno Bouchard, Stefano De Marco, Martin Keller-Ressel, Mathieu Rosenbaum, Nizar Touzi -------------------------------- Martin Keller-Ressel Professor für Stochastische Analysis und Finanzmathematik Technische Universität Dresden Institut für Mathematische Stochastik Willersbau B 316, Zellescher Weg 12-14 01062 Dresden --------------------------------

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Alcuni aggiornamenti sulla lista Random
by Marco Romito 06 Feb '17

06 Feb '17

Cari iscritti, alcune informazioni importanti relative alla lista Random. 1) C'è stato un piccolo problema tecnico sul server che ospita la lista (più dettagli in calce per gli interessati) per cui alcuni dei messaggi inviati tra il 26 gennaio ed il 5 febbraio potrebbero non essere stati recapitati a tutti gli iscritti (essenzialmente, non hanno ricevuto messaggi coloro la cui posta in un modo o nell'altro passa attraverso server Google). Il problema è attualmente risolto. 2) L'archivio dei messaggi inviati su Random è disponibile all'indirizzo seguente (riportato in calce a ogni messaggio inviato sulla lista): https://fields.dm.unipi.it/pipermail/random/ Chi invia un messaggio a Random è invitato a controllare tale archivio 15 minuti dopo l'invio, per assicurarsi che il proprio messaggio sia effettivamente passato. (Talvolta capita che chi invia un messaggio non lo riceva al proprio indirizzo. Se il messaggio compare in archivio, gli altri utenti lo hanno ricevuto.) 3) L'indirizzo a cui inviare i messaggi alla lista è random(a)fields.dm.unipi.it Ricordiamo che è importante inviare i messaggi dall'indirizzo con cui si è iscritti a Random, altrimenti i messaggi vengono bloccati. Buona giornata, Francesco e Marco _Dettagli tecnici per gli interessati_: nel fine settimana del 27-28 gennaio il numero IP del server che ospita la lista è stato cambiato. Contestualmente, il tecnico che gestisce il server ha attivato la posta sull'indirizzo IPv6 (e non su IPv4). In teoria nulla di grave, perché l'architettura attuale dei server (dns, etc) permette l'indirizzamento con entrambi i tipi. Purtroppo i server di Google si aspettano che il DNS abbia anche una chiave crittografica per garantire che l'indirizzo IPv6 in questione sia autorizzato a inviare posta. Questo, tragicamente, non è stato fatto dal tecnico. La soluzione più immediata è stata di riportare la posta sull'indirizzo IPv4.

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Fwd: open position in Eindhoven
by Bertini, Lorenzo 06 Feb '17

06 Feb '17

---------- Forwarded message ---------- From: Peletier, M.A. <M.A.Peletier(a)tue.nl> Date: 2017-02-03 21:55 GMT+01:00 Subject: open position in Eindhoven To: "bertini(a)mat.uniroma1.it" <bertini(a)mat.uniroma1.it> I’m contacting you now because we just opened a position that’s specifically aimed to be between analysis and stochastics: http://jobs.tue.nl/nl/vacature/crossdisciplinary-tenuretrack-assistant-prof…

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Fwd: posto di Assistant Professor - Università Carlos III di Madrid
by Antonio DI CRESCENZO 06 Feb '17

06 Feb '17

DE: "BERNARDO D AURIA ." <<mailto:bdauria@est-econ.uc3m.es>bdauria(a)est-econ.uc3m.es> ASUNTO: 1 POSTO DI RICERCATORE (TENURE TRACK PER PROF. ASSOCIATO) ALLA UNIVERSITÀ DI MADRID CARLOS III FECHA: 6 de febrero de 2017 13:18:17 GMT+1 PARA: Mailing list RANDOM <<mailto:random@mail.dm.unipi.it>random(a)mail.dm.unipi.it> L'Università Carlos III di Madrid, in particolare il dipartimento di Statistica e Ricerca Operativa, ha bandito un posto di Assistant Professor (Profesor Visitante) Vi passo l'annuncio sperando sia di vostro interesse, la scadenza è per il 28 di Febbraio. La pagina web del dipartimento è http::/<http://www.est.uc3m.es/>www.est.uc3m.es Un saluto Bernardo D'Auria Universidad Carlos III de Madrid email: <mailto:bernardo.dauria@uc3m.es>bernardo.dauria(a)uc3m.es tel: 91.624.9502 en: 3.2.06 - DECANATO (Getafe) tel: 91.624.8804 en: 7.3.J29 - JUAN BENET (Leganés)

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Annuncio di seminario
by Piccioni, Mauro 06 Feb '17

06 Feb '17

*Martedì 14 febbraio* *Ore 14:00, Aula di Consiglio* *Seminario di Probabilità e Statistica Matematica* *Lorenzo Bertini, Dipartimento di Matematica, Sapienza Università di Roma* *Titolo: *Grandi deviazioni rispetto al moto per curvatura media *Sunto: *Si consideri l'equazione di Allen-Cahn in dimensione d=2 o d=3. Effettuando un riscalamento diffusivo, per dati iniziali opportuni, la dinamica limite dell'interfaccia tra le due fasi stabili e' descritta dal moto per curvatura media. Verra' introdotta una perturbazione stocastica di tale equazione e analizzata la corrispondente asintotica di grandi deviazioni nel limite di interfacce concentrate. Il corrispondente funzionale di tasso e' analogo a quello ottenuto analizzando la convergenza variazionale dei funzionali d'azione. La dimostrazione della stima di grandi deviazioni utilizza strumenti di teoria geometrica della misura. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a: piccioni(a)mat.uniroma1.it

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seminario Cosimo Munari in Bicocca
by Fabio Bellini 06 Feb '17

06 Feb '17

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CALL FOR PAPERS: GDRR 2017 - Games and Decisions in Reliability and Risk
by fabrizio＠mi.imati.cnr.it 06 Feb '17

06 Feb '17

GDRR 2017 - 5th Symposium on Games and Decisions in Reliability and Risk Spanish Royal Academy of Sciences - Madrid, Spain June 7-9th, 2017 Following the meetings in Washington by George Washington University (2009), in Belgirate by CNR IMATI (2011), in Kinsale by Trinity College Dublin (2013), and in Istanbul by Yeditepe University (2015), the Fifth Symposium on Games and Decisions in Reliability and Risk (GDRR 2017) will take place in Madrid during June 7-9, 2017. The symposium is organised by ICMAT-CSIC and the Spanish Royal Academy of Sciences and is supported by ISBA and I2SDS at George Washington University. The objective of the symposium is to present novel uses of game and decision theory in reliability and risk analysis and to bring together researchers from diverse disciplines such as economics, engineering, finance, mathematics, medical sciences, probability and statistics. All sessions at this symposium will be plenary, with a mix of invited and contributed presentations. Some preliminary information about the symposium can be found at the web site: http://www.methaodos.org/congresos-methaodos/index.php/gdrr/GDRR17/ Authors interested in presenting a contributed talk are kindly invited to send a title and an abstract by e-mail to gdrr2017(a)icmat.es, by March 31st, 2017. A poster session is planned only if there will be a large number of submissions. A special issue of Applied Stochastic Models in Business and Industry http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1526-4025 is planned on the theme of GDRR. Best regards Fabrizio Ruggeri (on behalf of the Scientific Committee) -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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prova tecnica
by Marco Romito 05 Feb '17

05 Feb '17

prova

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Seminario Sergio Albeverio: Asymptotic expansions, summability, SDEs and applications (DipInf - UniVr)
by Luca di persio 03 Feb '17

03 Feb '17

Mercoledì 8 Febbraio, ore 16:30 Presso: Dipartimento di Informatica (Sala Verde) Strada le Grazie, 15 https://goo.gl/maps/6mB9N2SSeqC2 Il prof. Sergio Albeverio (IAM and HCM, University of Bonn) terrà il seguente seminario Title: Asymptotic expansions, summability, SDEs and applications Abstract: Asymptotic series and Borel summability will be shortly recalled, as well as relations with the classical moment problem,with a view towards applications in the study of (S)DEs. Some examples from models of financial mathematics and mathematical physics will be discussed. Tutti gli interessati sono invitati a partecipare. Cordialmente, 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 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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seminario Emilio Porcu in Bicocca
by Fabio Bellini 03 Feb '17

03 Feb '17

ll giorno lunedì13 febbraio alle ore 11.00 presso la aula seminari del Dismeq al IV piano dell'edificio U7, il prof. Emilio Porcu del Department of Mathematics della University Federico Santa Maria di Valparaiso terrà un seminario su Estimation and Prediction using Wendland covariance functions under Infill Asymptotics Abstract We study estimation and prediction of Gaussian random fields with covariance models belonging to the generalized Wendland (GW) class, under fixed domain asymptotics. As the Matlern case, this class allows a continuous parameterization of smoothness of the underlying Gaussian random field, being additionally compactly supported. The paper is divided into two parts: first, we characterize the equivalence of two Gaussian measures with GW covariance function, and we provide sufficient conditions for the equivalence of two Gaussian measures with Matlern and GW covariance functions. We elucidate the consequences of these facts in terms of (misspecified) best linear unbiased predictors. In the second part, we establish strong consistency and asymptotic distribution of the maximum likelihood estimator of the microergodic parameter associated to GW covariance model, under fixed domain asymptotics. Our findings are illustrated through a simulation study: the former compares the finite sample behavior of the maximum likelihood estimation of the microergodic parameter with the given asymptotic distribution. The latter compares the finite-sample behavior of the prediction and its associated mean square error when using two equivalent Gaussian measures with Matlern and GW covariance model, using covariance tapering as benchmark. Tuti gli interessati sono invitati a partecipare.

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Summer school on "Mathematical Modelling in Life Sciences" in Pisa - save the date
by Luigi Amedeo Bianchi 02 Feb '17

02 Feb '17

Dear all, this is the first announcement for the summer school on *Mathematical Modelling in Life Sciences*, to be held at the Centro di Ricerca Matematica "E. De Giorgi" in Pisa, Italy, from September 13th to September 15th, 2017. The aim of the school is to introduce and discuss some recent developments in analytical and probabilistic modelling for life sciences. The school will feature two main courses, by *Benoit Perthame* (Université Pierre et Marie Curie in Paris) and *Sylvie Méléard* (Ecole Polytechnique Université Paris- Saclay), as well as additional lectures by *François Delarue* (Université de Nice). There will also be a limited number of short contributed talks by some of the participants. This summer school is intended for PhD students and young researchers, but open for everyone. Registration to the school is free, but compulsory for organisatorial purposes. Some funds are available to offer financial support to a limited number of selected students and young researchers (post-docs). The deadline for application is 29th June 2017.This school would not have been possible, without the support by Centro di Ricerca Matematica "E. De Giorgi", Università di Pisa and GNAMPA-INdAM. More information and the registration form are available on the website http://www.crm.sns.it/event/409/ We are looking forward to seeing you in Pisa. The organisers, Lisa Beck, Luigi Amedeo Bianchi, Dirk Blömker, Franco Flandoli, Marco Romito, Dario Trevisan

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position as Teaching Assistants
by Davide Erminio Pirino 02 Feb '17

02 Feb '17

Three positions as "Teaching Assistant", Faculty of Economics, University of Rome Tor Vergata. Deadline February, 9, 2017. http://economia.uniroma2.it/def/selezioni-e-bandi/175-619/bando-coadiutori-…

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Seminario Thomassey DipMat@UniTo
by Roberta Sirovich 01 Feb '17

01 Feb '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* *Giovedì 9 Febbraio 2017 alle ore 11:00 in Aula C* presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, si svolgerà il seguente seminario Sales forecasting in fashion industry: main issues and opportunities Sébastien Thomassey ENSAIT – Lille 1 University Roubaix – France *Abstract *The fashion industry is a very challenging market for the sales forecasting. Indeed, the volatile demand, the strong seasonality of sales, the wide number of items with short life cycle or the lack of historical data, make the traditional forecasting models, based on time series, unsuitable or at least very difficult to implement. Therefore, researchers and practitioners have investigated other techniques such as Artificial Intelligence. The emergence of the “big data” era has also opened new opportunities and generated new issues. In this presentation, we propose an overview of the different constraints related to the sales forecasting in the fashion industry. Some examples are introduced to illustrate the problematics and the potential solutions. Finally, the new opportunities which could be explored are discussed. -- --------------------------------------------------- Roberta Sirovich Department of Mathematics G. Peano University of Torino Via Carlo Alberto 10 10123 Torino (Italy) +390116702937 www.robertasirovich.it <http://www.personalweb.unito.it/roberta.sirovich/EN/Home.html> ---------------------------------------------------

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Fwd: conference announcement: "Statistical mechanics, random planar geometry and interacting random walks", Lyon, June 6-9, 2017
by Francesco Caravenna 30 Jan '17

30 Jan '17

Ricevo e inoltro. > Da: Fabio Toninelli <toninelli(a)math.univ-lyon1.fr> > Oggetto: conference announcement: "Statistical mechanics, random planar geometry and interacting random walks", Lyon, June 6-9, 2017 > Data: 30 gennaio 2017 11:32:30 GMT+01:00 > > > Dear colleagues, > > We are glad to announce the forthcoming workshop: > > "Statistical Mechanics, random planar geometry and interacting random walks" > > to be held on June 6-9, 2017 at the University Lyon 1, France. This workshop will be part of the thematic trimester "ProbabLYon" in probability theory (http://math.univ-lyon1.fr/~garban/ProbabLYon/) > > A list of speakers is avaible on the web-page > > http://math.univ-lyon1.fr/~garban/StatMech2017/ > > Registration is free but mandatory, and should be done here: > > https://indico.math.cnrs.fr/event/1958/registration/register#/register > > Graduate students, postdocs and early career researchers are encouraged to apply. Some financial support is available. Junior participants who wish to apply for financial support should do so before April 15th. and should arrange for a short support letter to be sent by e-mail by their supervisor to the organizers. > > Do not hesitate to forward this announcement to your potentially interested colleagues. > > Best regards, > Christophe Garban, Christophe Sabot, Fabio Toninelli > > Fabio Toninelli > Institut Camille Jordan, Universite' Lyon 1 > 43 bd du 11 novembre 1918 > 69622 Villeurbanne Cedex, France > > Office 105, tel: +33 (0) 4 26 23 44 41

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Numerical methods for stochastic models: control, uncertainty, quantification, mean-field
by Tiziano Vargiolu 30 Jan '17

30 Jan '17

Numerical methods for stochastic models: control, uncertainty quantification, mean-field July 17 - August 25, CIRM, Marseille http://smai.emath.fr/cemracs/cemracs17/ The goal of this event is to bring together scientists from both the academic and industrial communities and discuss these topics. During the first week, a classical summer school is proposed. It consists of several lectures given by leading scientists and related to the topics of the research projects. The remaining 5 weeks are dedicated to working on the rechearch projects, possibly after a morning seminar. Cemracs'17 will be the twenty-second of the series, devoted this year to the study of advanced numerical methods for the analysis of stochastic models associated with stochastic control problems, uncertainty propagation analysis or mean-field type interaction phenomena. These models are echoes many industrial applications (production optimization systems, life sciences, neuroscience, geophysics, fluid mechanics, risk management in finance, etc.). The main difficulty is the non-linearity or the high dimension of the problems encountered in practice. -- Stefano Pagliarani, DEAMS, Universit? di Trieste Via Tigor 22, 34124 Trieste, Italy Cell. Phone +39 338 1447398 stepagliara1(a)gmail.com, stefano.pagliarani(a)deams.units.it http://www.cmap.polytechnique.fr/~pagliarani/

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Seminario Thomassey @UniTo
by Roberta Sirovich 30 Jan '17

30 Jan '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* *Giovedì 9 Febbraio 2017 alle ore 11:00 in Aula C* presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, si svolgerà il seguente seminario Sales forecasting in fashion industry: main issues and opportunities Sébastien Thomassey ENSAIT – Lille 1 University Roubaix – France *Abstract *The fashion industry is a very challenging market for the sales forecasting. Indeed, the volatile demand, the strong seasonality of sales, the wide number of items with short life cycle or the lack of historical data, make the traditional forecasting models, based on time series, unsuitable or at least very difficult to implement. Therefore, researchers and practitioners have investigated other techniques such as Artificial Intelligence. The emergence of the “big data” era has also opened new opportunities and generated new issues. In this presentation, we propose an overview of the different constraints related to the sales forecasting in the fashion industry. Some examples are introduced to illustrate the problematics and the potential solutions. Finally, the new opportunities which could be explored are discussed. r. -- --------------------------------------------------- Roberta Sirovich Department of Mathematics G. Peano University of Torino Via Carlo Alberto 10 10123 Torino (Italy) +390116702937 www.robertasirovich.it <http://www.personalweb.unito.it/roberta.sirovich/EN/Home.html> ---------------------------------------------------

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