- Random - Mailing list — Dipartimento di Matematica, UniPI

I: Pubblicazione Bando di Dipartimento per nr. 4 Assegni di Ricerca
by Massimo Campanino 04 Aug '14

04 Aug '14

________________________________________ Da: Oscar Lo Surdo per conto di Amministrazione Matematica Inviato: lunedì 4 agosto 2014 15.51 A: Dipartimento di Matematica — docenti della struttura; Dipartimento di Matematica — docenti di struttura e sottostrutture; Dipartimento di Matematica — Dottorandi; Dipartimento di Matematica-AssegnistiL.240-2010; Dipartimento di Matematica-Tutor Cc: Dipartimento di matematica - Direzione: Autorizzati Oggetto: Pubblicazione Bando di Dipartimento per nr. 4 Assegni di Ricerca Gentilissimi, si avvisa che con Prot. n. 245 del 31.07.2014 è stato pubblicato il Bando di cui in oggetto, con termine per la presentazione delle domande di partecipazione fissato al 30 settembre p.v. Su indicazione del Direttore di Dipartimento, si invita a darne massima diffusione e si rappresenta che il testo del Bando, in italiano e inglese, è raggiungibile dal sito web del Dipartimento, seguendo il percorso indicato nei seguenti link: - Avviso italiano: http://www.matematica.unibo.it/it/bandi/bando-per-4-assegni-di-ricerca-math… - Avviso inglese: http://www.mathematics.unibo.it/en/calls-of-competition/call-for-4-research… Entrambi gli avvisi indirizzano alla pagina internet di Aric, unico punto di accesso web istituzionale per i bandi in corso. Si segnala infine che, per la prima volta in tutto l’Ateneo, la domanda di partecipazione può essere presentata dal candidato esclusivamente mediante modalità telematica accedendo alla sezione “FrontOffice” dell’applicativo internet “Personale On-Line” indicato nelle istruzioni contenute nel Bando, e al cui perfezionamento il nostro dipartimento sta contribuendo in via sperimentale con Cesia e Apos. Cordialmente, La Segreteria Amministrativa ___________________________________ Alma Mater Studiorum - Università di Bologna Dipartimento di Matematica Segreteria Amministrativa Piazza di Porta San Donato, 5 Bologna (ITALY) Tel. +39 (0)51 20 94408 - Fax: +39 (0)51 20 94407

1 0

Open position in Oslo: Associate Professor in insurance mathematics (fwd)
by Tiziano Vargiolu 02 Aug '14

02 Aug '14

---------- Forwarded message ---------- Date: Fri, 1 Aug 2014 11:45:32 +0200 From: Giulia Di Nunno <giulia.dinunno(a)gmail.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Open position in Oslo: Associate Professor in insurance mathematics Dear Tiziano, there is an open position in Insurance mathematics as associate professor at the University of Oslo. All details can be found here: http://uio.easycruit.com/vacancy/1197205/64285?iso=gb Could you please help diffuse the announcement? Thank you in advance. Best wishes Giulia ************************ Giulia Di Nunno Professor Centre of Mathematics for Application Department of Mathematics University of Oslo

2 1

Bando per assegni di ricerca a Milano-Bicocca; scadenza 19 settembre 2014
by gianmario tessitore 01 Aug '14

01 Aug '14

Con la preghiera di diffusione tra i potenziali interessati. Segnalo la pubblicazione del bando per 3 assegni di ricerca, di cui - 2 assegni junior (candidati che abbiano conseguito il dottorato da non più di 4 anni e con meno di 35 anni d'età), - 1 senior (con almeno due anni di esperienza di attività scientifica), presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca. Si tratta di assegni di Dipartimento con tematica e possibili responsabili scientifici indicati dal candidato. Il bando è pubblicato alla pagina http://www.unimib.it/go/3176600705455076341 (si veda sotto la voce "Bando assegni di tipo A2") e la scadenza per la presentazione delle candidature è il 19/09/2014. Gli assegni non hanno argomenti specifici però lo studio dei processi stocastici è, a vario titolo, tra i temi di interesse nel dipartimento saluti Gianmario Tessitore -- Lei risulta iscritto alla Lista "Dipartimento di Matematica e Applicazioni - Seminari" (http://groups.google.com/group/matapp). Per diffondere un avviso di seminario, può inviare un messaggio a matapp(a)googlegroups.com, indicando nel titolo la data ed il nome del relatore. Per annullare l'iscrizione e non ricevere più messaggi, invii una e-mail a matapp-unsubscribe(a)googlegroups.com --- Hai ricevuto questo messaggio perché sei iscritto al gruppo "Dipartimento di Matematica e Applicazioni - Seminari" di Google Gruppi. Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matapp+unsubscribe(a)googlegroups.com. Per ulteriori opzioni, visita https://groups.google.com/d/optout.

1 0

piccolo problema sul server della lista (risolto)
by Marco Romito 31 Jul '14

31 Jul '14

cari iscritti c'è stato un piccolo problema sul server della lista la cui spiegazione è (cito dal messaggio dell'assistenza IT): "Nello scorso fine settimana è avvenuto un attacco al sistema mail.dm.unipi.it che, oltre a comportare l'invio di migliaia di messaggi di spam, ha determinato conseguenze che sono andate ben oltre il perimetro del semplice servizio di posta. Una serie di demoni sono stati mandati in crash in modo non pulito e quello che si occupava della gestione locale delle mailing list e` stato uno di questi." alcuni dei messaggi inviati tra il 26 luglio (presumibilmente, l'ultimo messaggio che ieri risultava nell'archivio era del 25 luglio) e ieri potrebbero non esser stati recapitati. nel caso questi non siano ancora pervenuti consiglio di procedere nel modo seguente (valido in generale qualora spediate un messaggio e non otteniate immediatamente riscontro ricevendo il vostro messaggio dalla lista): * accedere agli archivi della lista: https://mail.dm.unipi.it/private/random/ (eventualmente richiedendo la vostra password che avrete debitamente dimenticato alla pagina: https://mail.dm.unipi.it/options/random ) * verificare se il messaggio sia già presente in archivio. in caso positivo il messaggio è stato inviato e presto vi giungerà. * in caso negativo contattare gli amministratori della lista. il terzo passo della procedura non sempre funziona, come testimoniato dal duplicato del messaggio che ho spedito e di cui mi scuso a presto m.

1 0

prova
by Marco Romito 30 Jul '14

30 Jul '14

per favore, ignorare questo messaggio m.

1 0

bandi per RTD e PA a Pisa
by Marco Romito 30 Jul '14

30 Jul '14

Sono appena usciti sulla pagina Web dell'Università di Pisa, e dovrebbero uscire nei prossimi giorni sulla Gazzetta Ufficiale, i seguenti bandi: - procedura per la selezione di n. 17 ricercatori a tempo determinato di tipo a) (Junior): di questi 1 posto è destinato al settore MAT/06 (Probabilità e Statistica Matematica). http://www.unipi.it/ateneo/bandi/ricercat/ricercator/sel172014/index.htm - procedura per la selezione di n. 46 professori di II fascia: di questi 2 posti sono destinati al settore MAT/03 (Geometria) e 2 posti sono destinati al settore MAT/05 (Analisi Matematica) http://www.unipi.it/ateneo/bandi/selezioni/procedure-/index.htm La scadenza di entrambi i bandi è fissata al 1 settembre 2014.

1 0

Call for applications : PhD in Mathematics [ Trento - Verona ]
by Luca di persio 29 Jul '14

29 Jul '14

*Call for PhD applications * Doctoral School in Mathematics University of Trento in agreement with the University of Verona , 30th cycle Deadline: *20, August 2014* Further details can be found here: http://web.unitn.it/en/drmath/9047/doctoral-school-in-mathematics-in-agreem… http://www.unitn.it/en/ateneo/1956/announcement-of-selection Candidates interested in the area of stochastic processes and their applications, e.g. in finance, are welcome. __ 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

1 0

bandi per RTD e PA a Pisa
by Marco Romito 29 Jul '14

29 Jul '14

Sono appena usciti sulla pagina Web dell'Università di Pisa, e dovrebbero uscire nei prossimi giorni sulla Gazzetta Ufficiale, i seguenti bandi: - procedura per la selezione di n. 17 ricercatori a tempo determinato di tipo a) (Junior): di questi 1 posto è destinato al settore MAT/06 (Probabilità e Statistica Matematica). http://www.unipi.it/ateneo/bandi/ricercat/ricercator/sel172014/index.htm - procedura per la selezione di n. 46 professori di II fascia: di questi 2 posti sono destinati al settore 01/A2 (Geometria e Algebra) e 2 posti sono destinati al settore 01/A3 (Analisi Matematica, Probabilità e Statistica Matematica) http://www.unipi.it/ateneo/bandi/selezioni/procedure-/index.htm La scadenza di entrambi i bandi è fissata al 1 settembre 2014.

1 0

[NUOVA INIZIATIVA - ANNUNCIO] Master in Economics & Finance
by stefano iacus 29 Jul '14

29 Jul '14

[sperando che sia ammissibile dal regolamento della lista] Are you (or your students) interested in Finance and do you (or your students) own a bachelor degree in Economics, Statistics, Mathematics, Engineering or the alike? Do you (or your students) think it is time to strenghen your knowledge in the field? Have a look at the new Master (laurea magistrale LM-16) in Economics & Finance (MEF) offered by the University of Milan http://www.mef.unimi.it Or contact us at: mef(a)unimi.it ----------------------------------- Stefano M. Iacus Director of MEF - Master in Economics & Finance http://www.mef.unimi.it 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 Master in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further informations 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 **************** Il 5 x mille alla nostra Università è un investimento sui giovani, sui loro migliori progetti. Sostiene la libera ricerca. Alimenta le loro speranze nel futuro. Investi il tuo 5 x mille sui giovani. Università degli Studi di Milano codice fiscale 80012650158 http://www.unimi.it/13084.htm?utm_source=firmaMail&utm_medium=email&utm_con…

1 0

Research Grants - Economics and Statistical Sciences area - University of Padua, Italy
by Patrizia Piacentini - Dip 25 Jul '14

25 Jul '14

A selection announcement has been published for the awarding of n. 1 research grants for the research project entitled "Methodology of composite indicators and their use for the evaluation of performance of Municipalities and Universities", to be conducted at the Department of Statistical Sciences under the supervision of dott. Giovanna Boccuzzo, who is the Research Project Supervisor. Scientific area: n. 15 - Economics and Statistical Sciences Term of the research: 12 months *Deadline August 25, 2014* Announcement and application form at the page: http://www.stat.unipd.it/bandi -- Patrizia Piacentini Dipartimento di Scienze Statistiche Via C. Battisti, 241 35121 Padova tel 049 8274167 fax 049 8271524

1 0

International Conference on "The New Financial Regulatory System: Challenges and Consequences for the Financial Sector" in Venice - Programme
by Monica Billio 25 Jul '14

25 Jul '14

12th INTERNATIONAL CONFERENCE C R E D I T 2014 *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector *Venice, Italy 25 - 26 September 2014 The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference this year focuses on *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector* and 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 is the *thirteenth* of a series dedicated to various aspects of credit risk. The *co-sponsors* of the Conference are *GRETA Associati* (Venice, Italy), *Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt* (Frankfurt, Germany) and *Intesa Sanpaolo *(Milan, Italy). The Conference is organised under the *auspices *of the *Department of Economics of the University Ca? Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank.* The Scientific Committee for the Conference consists of: *Jan Krahnen*, Goethe University,**Programme Chair, *Monica Billio*, Ca? Foscari University of Venice, *Steven Ongena*, University of Zurich, *Stephen Schaefer*, London Business School and *Kenneth Singleton*, Stanford University. PROGRAMME Thursday, September 25 2014 9.00 - 9.15_Opening Remarks _9.15 - 11.00_Session I: Bank risk taking, capital structure and credit risk_ * Key-note talk: /Countering Systemic Risk through Banking Regulation and Other Means - /*Franklin Allen* (University of Pennsylvania, Philadelphia & Imperial College London) * /Did CDS Make Banks Riskier? The Effects of Credit Default Swaps on Bank Capital and Lending - /Susan Chenyu Shan (Shanghai Jiao Tong University), Dragon Yongjun Tang (The University of Hong Kong) and Hong Yan (University of South Carolina, Columbia & Shanghai Jiao Tong University) * /Incentive Pay and Bank Risk Taking: Evidence from Austrian, German, and Swiss Banks - /Matthias Efing (University of Geneva & Swiss Finance Institute), Harald Hau (University of Geneva & Swiss Finance Institute), Patrick Kampkötter (University of Cologne) and Johannes Steinbrecher (Ifo Institute Branch Dresden) 11.30 - 13.00_Session II: New development in the banking markets_ * /Do LTV and DSTI Caps Make Banks More Resilient? - /Michel Dietsch (Banque de France & University of Strasbourg) and Cécile Welter-Nicol (Banque de France) * /Credit Growth and Bank Capital Requirements: Binding or Not? - /Claire Labonne (Banque de France) and Gildas Lamé (INSEE-CREST, Malakoff) * /Conditional Accounting Conservatism and Bank Risk Taking - /Manuel Illueca (Universitat Jaume I, Castellón de la Plana), Lars Norden (Erasmus University, Rotterdam) and Gregory F. Udell (Indiana University, Bloomington) 14.30 - 16.00_Session III: Capital regulation_ * /Bank Portfolio Choice, Uninsurable Risks and Regulatory Constraints - /Jochen Mankart (University of St. Gallen), Alexander Michaelides (Imperial College Business School, London, University of Cyprus & CEPR, London) and Spyros Pagratis (Athens University of Economics and Business) * /The Counter-Cyclical Capital Buffer of Basel III: Does It Affect Mortgage Pricing? - /Christoph Basten (ETH Zurich & Swiss Financial Market Supervisory Authority FINMA) and Catherine Koch (University of Zurich) * /The Limits of Model-Based Regulation - /Markus Behn (Bonn University & Deutsche Bundesbank), Rainer Haselmann (Bonn University) and Vikrant Vig (London Business School) 17.00 - 18.30_Session IV: Systemic risk_ * /Fire-Sale Spillovers and Systemic Risk - /Fernando Duarte (Federal Reserve Bank of New York) and Thomas M. Eisenbach (Federal Reserve Bank of New York) * /The Removal of Credit Ratings from Capital Regulation: Implications for Systemic Risk - /Kathleen Weiss Hanley (University of Maryland, College Park) and Stanislava Nikolova (University of Nebraska-Lincoln) * /Systemic and Systematic Risk - /Monica Billio (University of Venice), Massimilano Caporin (University of Padua), Roberto Panzica (University of Venice & Goethe University Frankfurt) and Loriana Pelizzon (University of Venice & Goethe University Frankfurt) Friday, September 26 2014 9.00 - 10.45_Session V: Financial markets regulation_ * Key-note talk: /Equilibrium Fast Trading - /*Thierry Foucault* (HEC Paris) * /Central Clearing and Collateral Demand - /Darrell Duffie (Stanford University & National Bureau of Economic Research), Martin Scheicher (European Systemic Risk Board) and Guillaume Vuillemey (Sciences-Po Paris & Banque de France) * /Sand in the Chips? Evidence on Taxing Transactions in Modern Markets - /Jean-Edouard Colliard (European Central Bank) and Peter Hoffmann (European Central Bank) 11.15 - 12.45_Session VI: Liquidity and credit_ * /Did Liquidity Providers Become Liquidity Seekers? Evidence the CDS-Bond Basis During the 2008 Financial Crisis - /Jaewon Choi (University of Illinois at Urbana-Champaign) and Or Shachar (Federal Reserve Bank of New York) * /Credit and Liquidity in Interbank Rates: a Quadratic Approach - /Simon Dubecq (European Central Bank & CREST), Alain Monfort (CREST, Malakoff, Banque de France & Maastricht University), Jean-Paul Renne (Banque de France) and Guillaume Roussellet (Banque de France, CREST, Malakoff & CEREMADE, Paris) * /Liquidity Risk and Distressed Equity - /Mamdouh Medhat (Copenhagen Business School) 14.15 - 16.00_Session VII: Banking Union_ * /Supervisory Incentives in a Banking Union - /Elena Carletti (Bocconi University, CEPR, London & IGIER, Milan), Giovanni Dell'Ariccia (International Monetary Fund & CEPR, London) and Robert Marquez (University of California, Davis) * /The Political Economy of Bank Bailouts - /Markus Behn (Bonn University & Deutsche Bundesbank), Rainer Haselmann (Bonn University), Thomas Kick (Deutsche Bundesbank) and Vikrant Vig (London Business School) * Key-note talk: /Ethics in Finance: a Banking Supervisor's Perspective - /*Ignazio Angeloni* (European Central Bank) 17.00 - 18.30_PANEL Session _ 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/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm>). Registration fees are: Early registrationLate registration (within August 24th)(from August 25th on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22% **Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 25, 2014, for which there is an extra charge of 80.00 Euro for each participant (conference attendees as well as accompanying persons). For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm> 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> website: _www.greta.it_ <http://www.greta.it/> -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

First Workshop on Computer-aided and bio-chemical strategies
by Antonella Bodini 15 Jul '14

15 Jul '14

IMATI-Milano organizes the 1st Workshop on Computer-aided and bio-chemical strategies for the design of stochastic experiments, on July, 31st. This Workshop will bring together scientists and engineers from industry and academia to identify current limitations, needs and trends in tackling experimental stochastic system in natural sciences. The workshop will consist of a number of keynote lectures, followed by breakout sessions focused on developing solutions to the challenges of method development, specifically advancing and accelerating methods for broad applications. The program with all information can be downloaded here http://www.mi.imati.cnr.it/iami/Workshop_Borrotti_2014_07_31.pdf Anyone interested to attend the Workshop is kindly invited to send an e-mail to Matteo Borrotti: matteo AT mi.imati.cnr.it We apologize for cross posting. -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

1 0

Workshop Announcement
by Alessandra Micheletti 14 Jul '14

14 Jul '14

Workshop announcement Random Structures and Models in Medicine, Biotechnology, Materials Science and Environment https://sites.google.com/site/randomstructures/home September 12, 2014 Department of Mathematics Universita' degli Studi di Milano via Saldini 50, Milano, Italy This workshop is an activity of the ECMI Special Interest Group "Shape and Size in Medicine, Biotechnology and Materials Science" (see http://www.mat.unimi.it/users/shape/) and is aimed to give an overview to methods developed in Mathematical Morphology, Spatial Statistics, Stochastic Geometry, Numerical Analysis to model and to simulate random sets and functions with a spatial or geometrical structure. These models are useful in many applications where heterogeneous media, possibly evolving in time, appear, for instance materials, networks of vessels, evolution of pollutants, etc. Both theoretical and applied results will be discussed. All the talks are invited, but participation is free and encouraged. Registration of participants is required for organizing reasons by September 7, 2014. For further information please visit the web page of the workshop or contact shapeandsize.milan(a)gmail.com -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics Dept. of Mathematics 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>

1 0

[Fwd: seminario Michael Woodroofe]
by Francesco Caravenna 11 Jul '14

11 Jul '14

> ---------------------------- Original Message ---------------------------- > Subject: seminario Michael Woodroofe > From: "Mauro Gasparini" <gasparin(a)calvino.polito.it> > Date: Fri, July 11, 2014 3:16 pm > To: sis(a)stat.unipg.it > -------------------------------------------------------------------------- > > > Cari soci, > > questo messaggio è per confermare il seminario di > Michael Woodroofe, J. Savage Professor of Statistics > alla University of Michigan, > > Martedi' 15 Luglio 2014 alle ore 12:00 > > dal titolo > > Quenched Versions of the Central Limit Theorem for a Stationary Process > > a conclusione del ciclo annuale di seminari > di Statistica, Probabilità e Ottimizzazione del > Politecnico di Torino > > http://calvino.polito.it/~probstat/seminars/seminars14.html > > Michael Woodrofe ha dato importanti contributi alla teoria > asintotica al confine tra Probabilità e Statistica Matematica; > un breve cv è disponibile al sito > > http://dept.stat.lsa.umich.edu/~michaelw/shtvita.html > > Sarei grato a quanti volessero partecipare al seminario e a un > pranzo in suo onore immediatamente successivo > (per il pranzo è gradito un email a questo indirizzo > entro Lunedì a mezzogiorno, email che troverà eventuale > conferma a stetto giro). > > grazie. > > > -- > Mauro Gasparini > Full Professor of Statistics > Editor of Biometrical Journal (2012-2015) > Dipartimento di Scienze Matematiche > Politecnico di Torino > Corso Duca degli Abruzzi 24 > I-10129 Torino, Italy > tel: +39 011 090 7546 > fax: +39 011 090 7599 > email: gasparini(a)calvino.polito.it > www: http://calvino.polito.it/~gasparin/

1 0

mini-workshop "Young Researchers" a Milano-Bicocca
by Fabio Bellini 11 Jul '14

11 Jul '14

Il giorno giovedì 17 luglio alle ore 14.30 presso la Sala del Consiglio della Scuola di Economia e Statistica, al IV piano dell'edificio U7 in via Bicocca degli Arcimboldi 8, si terrà il mini-workshop "Young Researchers" con il seguente programma: 14.30 - 15.00 Annamaria Gambaro, Dottorato in Statistica e Matematica per la Finanza, Curriculum Matematica per la Finanza, Università di Milano-Bicocca Approximated pricing of swaptions in general interest rate models We propose a new lower bound on the prices of European-style swaptions for a wide class of interest rate models. This method is applicable whenever the joint characteristic function of the state variables is known in closed form or could be easily obtained with numerical PDE solution method. Our algorithm involves the computation of one dimensional Fourier transform indipendently from the swap length. Moreover the bound could be used as a control variable to reduce confidence interval of the Monte Carlo technique. We test our new lower bound on different affine models and on 2-factor quadratic gaussian model and the method is found to be fast and accurate (joint work with Ruggero Caldana and Gianluca Fusai). 15.00 - 15.30 Jacopo Corbetta, Dottorato in Matematica e Applicazioni, Università di Milano-Bicocca Smile asymptotics in a multiscaling stochastic volatility model We consider a stochastic volatility model which captures some relevant stylized facts of financial series, including the so-called multiscaling of moments. We obtain sharp large deviations estimates for the price, based on a large deviations principle for suitable functionals of a point process, which is of independent interest. This yields explicit asymptotic formulas for the price of European options, and for the related implied volatility, both in the small maturity and large strike regimes. In particular, we show that implied volatility for out-of-the-money options explodes as the maturity vanishes, with an explicit limiting shape (joint work with Francesco Caravenna). 15.30 - 16.00 Alberto Santangelo, Dottorato in Statistica e Matematica per la Finanza, Curriculum Matematica per la Finanza, Università di Milano-Bicocca Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors We measure diversification in terms of the "Effective Number of Minimum-Torsion Bets", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. In this way we introduce a novel notion of "absolute risk contributions", which generalizes the "marginal contributions to risk" in traditional risk parity. We discuss the advantages of the Minimum-Torsion Bets over the traditional approach to diversification based on marginal contributions to risk. We present a case study in the S&P 500. Fully documented code is available for download (joint work with Romain Deguest and Attilio Meucci). Tutti gli interessati sono invitati a partecipare. Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://www.economia.unimib.it/bellini

1 0

Postdoc in Venice
by Marco LiCalzi 09 Jul '14

09 Jul '14

Announcement for one Postdoc position at the Department of Management, Università Ca' Foscari Venezia ----------------------------------------------------------------------------------------------------------------------------------------------- The successful candidate is expected to contribute to an ongoing research project on "Models of meaning negotiation” within a larger project on "Mathematics of Multi-Level Anticipatory Complex Systems" funded by the European Union (STREP). Keywords: language games, categorical reasoning, semantic bargaining, negotiation, cognitive maps, organizational economics. JEL Classification: C61, D23, D70, D83, D86, D60, D80, D81, L14, M14. Mathematics Subject Classification (MSC 2010): 06, 18, 60, 91. Prospective candidates must hold a PhD. Preferred fields of specialization are: mathematics, economics, decision science, applied mathematics and all related disciplines. Duration of the contract: 12 months, to begin around 15 September 2014. Stipend: The gross stipend for the recipient is Eur. 30,216.55 per year. Deadline for submission of applications: July 28th, 2014. An announcement in English can be found at http://www.unive.it/nqcontent.cfm?a_id=138305 More information and the official announcement (in Italian) are at http://www.unive.it/nqcontent.cfm?a_id=1538 __________________________________ 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://venus.unive.it/licalzi

1 0

Seminario Alcuni aspetti dell'impostazione "Target-Based" alle funzioni di utilità nel caso di più "beni"
by Marco Isopi 08 Jul '14

08 Jul '14

Nell'ambito dei seminari previsti a completamento dell'attività svolta nell'ambito del Dottorato di Ricerca in Matematica XXVI Ciclo (curriculum Matematica Applicata) Fabio Fantozzi terrà un seminario dal titolo Alcuni aspetti dell'impostazione "Target-Based" alle funzioni di utilità nel caso di più "beni" Il seminario si terrà in Aula di Consiglio, Giovedi' 10 Luglio ore 16 Sunto: Verrà inizialmente richiamato il significato dell'impostazione Target-Based alla teoria dell'utilità nelle scelte economiche in condizioni di incertezza. Tale impostazione, dapprima introdotta nel caso di un singolo "bene" è stata, nell'ultimo decennio, estesa e sviluppata per il caso di n beni. Nel seminario verranno illustrate in particolare le caratteristiche fondamentali di tale caso e ne verrà introdotta una descrizione formale. In tale ambito saranno evidenziate le connessioni con le misure di insieme monotone, non necessariamente additive (capacità), su spazi finiti e relative estensioni. In particolare analizzeremo il significato di tali estensioni in termini di copule n-dimensionali atte a descrivere la dipendenza stocastica fra le componenti di un vettore aleatorio. Quest' ultimo interviene, con il significato di "target", nella formulazione delle funzioni di utilità stesse. In relazione ai problemi di scelte economiche analizzati, verranno anche brevemente illustrati degli aspetti relativi alla nozione di "stochastic precedence". *******************************************

1 0

Workshop@DSS :: Recent methods... (errata corrige)
by Pierpaolo Brutti 08 Jul '14

08 Jul '14

...scusate, ovviamente la data esatta è lunedì 14 **luglio** e non febbraio... Pardon --P > ----------------------------------------------------------------------------- > W O R K S H O P > Recent methods for time-to-event and longitudinal data > ----------------------------------------------------------------------------- > Lunedì 14 Luglio, ore 11:00 - 13:00 > ----------------------------------------------------------------------------- > > Roma, Viale Regina Elena, 295 > Palazzina G, Piano 3, Aula 50 > > ----------------------------------------------------------------------------- > > Tutti gli interessati sono invitati a partecipare. > > Per maggiori informazioni: simona.iacobelli(a)uniroma2.it > > -----------------------------------------------------------------------------

1 0

Workshop@DSS :: Recent methods for time-to-event and longitudinal data
by Pierpaolo Brutti 08 Jul '14

08 Jul '14

…ricevo & inoltro… ----------------------------------------------------------------------------- W O R K S H O P ----------------------------------------------------------------------------- Lunedì 14 Febbraio, ore 11:00 - 13:00 ----------------------------------------------------------------------------- Roma, Viale Regina Elena, 295 Palazzina G, Piano 3, Aula 50 ----------------------------------------------------------------------------- Competing Risks Predictions on Two Time Scales Jason Fine (Department of Biostatistics; Department of Statistics, UNC-Chapel Hill) Representation, estimation and prediction in multi-state models - the obstacles of multiple time scales Bendix Carstensen (STENO Diabetes Center; Department of Statistics, University of Copenhagen) Random coefficient based dropout models: a finite mixture approach Marco Alfò, Alessandra Spagnoli (Dipartimento di Scienze Statistiche, “Sapienza”, Università di Roma) ----------------------------------------------------------------------------- Tutti gli interessati sono invitati a partecipare. Per maggiori informazioni: simona.iacobelli(a)uniroma2.it -----------------------------------------------------------------------------

1 0

annuncio conferenza
by Marco Romito 07 Jul '14

07 Jul '14

================================================================ 6 - 8 October 2014, Milano DAMES 2014 - the 4th International Conference on Data Analysis and Modeling in Earth Sciences The objective of the conference is to bring together researchers dealing with data analysis and modeling in all fields of Earth Sciences, promoting the exchange of knowledge on both methodological developments and Earth Science applications. http://dames.pik-potsdam.de/index.php?a=conference ================================================================ Renata Rotondi reni(a)mi.imati.cnr.it CNR IMATI tel +39 02 23699528 Via Bassini, 15 FAX +39 02 23699538 I-20133 Milano (Italy) http://www.mi.imati.cnr.it/~reni > >

1 0

Professor position available in Graz
by daniela.bertacchi 04 Jul '14

04 Jul '14

Ricevo e inoltro questo avviso per chi fosse interessato, con preghiera di diffusione. Daniela Bertacchi ************************************************ Graz University of Technology: Faculty of Technical Mathematics and Technical Physics Professor of Stochastics and Actuarial Mathematics (Institute of Statistics, Succession of Prof. István Berkes) Permanent position of a full professor under private law (expected to start on October 1, 2015). A detailed description of this position can be found in the Mitteilungsblatt of TU Graz, July 2, 2014 (http://mibla.tugraz.at/13_14/Stk_19/19.html). For the English version, see http://www.stat.tugraz.at/bewerbung/ Applications must be sent in electronic form (preferably in PDF-format) until October 12, 2014 (date of email receipt) to the Dean of the Faculty of Technical Mathematics and Technical Physics at the Graz University of Technology, Prof. Dr. Wolfgang E. ERNST, Petersgasse 16, A-8010 Graz, Austria, bewerbungen.tmtph(a)tugraz.at. ___________________________________________________________

1 0

Avviso di seminario
by Cristina Zucca 04 Jul '14

04 Jul '14

A tutti gli interessati. Mercoledì 9 luglio 2014 alle ore 14.30 in AULA C (Palazzo Campana - Dip. di Matematica"G. Peano" - Univ. di Torino) il Prof. François Delarue (Université Nice Sophia-Antipolis) terrà un seminario dal titolo: The Landau Equation for Maxwellian molecules and the Brownian Motion on the group of rotations. Abstract: We show that the spatially homogeneous Landau equation for Maxwellian molecules can be represented through the product of two elementary stochastic processes. The first one is the Brownian motion on the group of rotations. The second one is, conditionally on the first one, a Gaussian process. Using this representation, we establish sharp multi-scale upper and lower bounds for the transition density of the Landau equation, the multi-scale structure depending on the shape of the support of the initial condition. -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

1 0

UPCOMING DEADLINE: IMT – 2014/15 PHD CALL FOR APPLICATIONS
by Irene Crimaldi 02 Jul '14

02 Jul '14

*UPCOMING DEADLINE - JULY 14TH 2014 - 6PM ITALIAN TIME* We are pleased to inform you about the IMT Institute for Advanced Studies Lucca's call for applications for PhD positions in the following specialized curricula - Economics - Management Science - Complex Networks - Computational Mechanics - Control Systems - Computer Science - Image Analysis - Analysis and Management of Cultural Heritage - No tuition fees (regional tax excluded), free room and access to IMT Canteen - A grant of €13,600 gross/year Candidates can apply if they obtain their (minimum) 4-year undergraduate degree NO LATER than October 31, 2014 *DEADLINE: July 14th, 2014* *MORE INFORMATIONS*: http://phd.imtlucca.it Learn more about the PhD program by participating in our interactive webinar. Go to http://brightrecruits.com/webinars to sign up. IMT Lucca (www.imtlucca.it) is a research university within the Italian public higher education system. IMT's research mission is characterized by the analysis and management of a plurality of economic, social, technological and cultural systems. Faculty carry out cutting edge methodological research to *generate* knowledge, to design projects to *apply* knowledge to resolve economic, industrial, social and cultural problems, and to *transmit* knowledge through highly-specialized graduate courses and seminars. Follow us on Facebook <https://www.facebook.com/pages/IMT-Institute-for-Advanced-Studies-Lucca/187…>, Twitter <https://twitter.com/IMTLucca>, YouTube <http://www.youtube.com/user/IMTAltiStudiLucca>, LinkedIn <http://www.linkedin.com/company/imt-lucca-institute-for-advanced-studies?tr…>. 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 2014/15 IMT PhD call, please write to phdapplications(a)imtlucca.it. *Research, Planning and Organization Office* IMT Institute for Advanced Studies Lucca Piazza San Francesco, 19 55100 Lucca - Italy Tel: +39 0583 4326 745 Fax: +39 0583 4326 565 www.imtlucca.it -------------------------------------- The content of this message and of its attachments is under exclusive responsibility of the account owner and doesn't bind IMT anyhow with respect to the recipient or third parties.

1 0

seminario di G. Zanco a Milano-Bicocca ore 10.30
by federica.masiero＠unimib.it 29 Jun '14

29 Jun '14

Mi scuso per il doppio invio dell'avviso di seminario, nel messaggio precedente mancava l'orario Venerdì 4 Luglio alle ore 10.30, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Dott. Giovanni Zanco dell'Università di Pisa, terrà un seminario dal titolo "Path-dependent Stochastic Differential Equations and Kolmogorov's PDEs" Abstract: I will show some recent results obtained in joint works with F. Flandoli and F. Russo about path-dependent stochastic differential equations, their formulation in infinite-dimensional spaces and the link with existence and uniqueness results for path-dependent PDEs. I will also show the connection between the framework developed in such papers and the functional calculus introduced by B. Dupire and R. Cont and D-A. Fournié. Tutti gli interessati son invitati a partecipare. Cordiali saluti, Federica Masiero

1 0

seminario G. Zanco a Milano-Bicocca
by federica.masiero＠unimib.it 28 Jun '14

28 Jun '14

Venerdì 4 Luglio, presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, via Cozzi, 55, Edificio U5, stanza 3014 (terzo piano), il Dott. G. Zanco dell'Università di Pisa, terrà un seminario dal titolo "Path-dependent Stochastic Differential Equations and Kolmogorov's PDEs" Abstract: I will show some recent results obtained in joint works with F. Flandoli and F. Russo about path-dependent stochastic differential equations, their formulation in infinite-dimensional spaces and the link with existence and uniqueness results for path-dependent PDEs. I will also show the connection between the framework developed in such papers and the functional calculus introduced by B. Dupire and R. Cont and D-A. Fournié. Tutti gli interessati son invitati a partecipare. Cordiali saluti, Federica Masiero

1 0

assegno di ricerca
by Paola Rancoita 27 Jun '14

27 Jun '14

Cari colleghi, vi inoltro la segnalazione della Prof.ssa Di Sero riguardo un assegno di ricerca in Statistica, presso il Centro di statistica per le scienze biomediche (CUSSB) dell'Università Vita-Salute San Raffaele. Cordiali saluti, Paola Rancoita ------------------------------------------------- Carissimi Colleghe e Colleghi, desidero segnalare a breve l'emissione di un bando per un assegno di ricerca su tematiche di metodologia statistica e computazionale per dati ad alta dimensionalità (clinici e genomici) in contesti di aging e neuroscienze. In attesa dell'emissione del Bando Ufficiale che segnalerò in seguito su questa lista, tutti gli interessati possono inviare il loro curriculum già da ora alla mia attenzione (diserio.clelia(a)unisr.it). L'assegno è annuale con rinnovo previsto fino a 3 anni. E' indirizzato a giovani in possesso di dottorato di ricerca preferenzialmente in scienze statistiche (o biostatistiche), informatiche e matematiche e prevede l'inserimento in progetti di ricerca internazionali già attivi. Restando a disposizione per qualunque dettaglio, vi invio un caro saluto Clelia Clelia Di Serio, PhD Associate Professor in Medical Statistics and Epidemiology Director of CUSSB (University Centre for Statistics in the Biomedical Sciences) Vita-Salute San Raffaele University 20132 Milan, Italy

1 0

Seminario DANIELS
by Matteo Ruggiero 27 Jun '14

27 Jun '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 4 Luglio 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Michael J. DANIELS (University of Texas at Austin) A FLEXIBLE BAYESIAN APPROACH TO MONOTONE MISSING DATA IN LONGITUDINAL STUDIES WITH INFORMATIVE MISSINGNESS WITH APPLICATION TO AN ACUTE SCHIZOPHRENIA CLINICAL TRIAL Abstract: We develop a Bayesian nonparametric model for a longitudinal response in the presence of nonignorable missing data. Our general approach is to first specify a {\em working model} that flexibly models the missingness and full outcome processes jointly. We specify a Dirichlet process mixture of missing at random (MAR) models as a prior on the joint distribution of the working model. This aspect of the model governs the fit of the observed data by modeling the observed data distribution as the marginalization over the missing data in the working model. We then separately specify the conditional distribution of the missing data given the observed data and dropout. This approach allows us to identify the distribution of the missing data using identifying restrictions as a starting point. We propose a framework for introducing sensitivity parameters, allowing us to vary the untestable assumptions about the missing data mechanism smoothly. Informative priors on the space of missing data assumptions can be specified to combine inferences under many different assumptions into a final inference and accurately characterize uncertainty. These methods are motivated by, and applied to, data from a clinical trial assessing the efficacy of a new treatment for acute Schizophrenia. Joint work with Antonio Linero at the University of Florida 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 & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

1 0

Seminario: Luciano Campi - presso Dipartimento di Informatica, Università di Verona
by Luca di persio 26 Jun '14

26 Jun '14

Annuncio di Seminario Luciano Campi, London School of Economics, London Giovedi' 3 Luglio, presso il Dipartimento di Informatica, Università di Verona Strada le Grazie, 15 - Sala Verde ore 15:00 (14:45 rinfresco, 15:00 inizio seminario) Title: Utility indifference valuation for non-smooth payoffs with an application to power derivatives Abstract: We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a multivariate Black and Scholes model, while nontraded asset prices evolve as generalized Ornstein-Uhlenbeck processes. We provide a BSDE characterization of the utility indifference price (UIP) for a large class of non-smooth, possibly unbounded, payoffs depending simultaneously on both classes of assets. Focusing then on European claims and using the Gaussian structure of the model allows us to employ some BSDE techniques (in particular, a Malliavin-type representation theorem due to Ma (2002)) to prove the regularity of Z and to characterize the UIP for possibly discontinuous European payoffs as a viscosity solution of a suitable PDE with continuous space derivatives. The optimal hedging strategy is also identified essentially as the delta hedging strategy corresponding to the UIP. Since there are no closed-form formulas in general, we also obtain asymptotic expansions for prices and hedging strategies when the risk aversion parameter is small. Finally, our results are applied to pricing and hedging power derivatives in various structural models for energy markets. Contact Person: Luca Di Persio __ 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

1 0

post-doc positions (Assegni di ricerca)at Luiss-Roma and University of Pisa
by Fausto Gozzi 21 Jun '14

21 Jun '14

Dear all We would like to inform you about two post doc positions (assegni di ricerca). 1) The first one is a 2-year position (not renewable) at Luiss University, Roma, Department of Economics and Finance. Deadline: July 31 Starting time: January 2015 Supervisor: Fausto Gozzi Title: Mathematical Models for the management of renewable resources (Modelli matematici per lo studio di sistemi eterogenei e per la gestione di risorse rinnovabili) site (english) http://ricerca.economiaefinanza.luiss.it/en/news/2014/06/12/competition-by-… site (italian) http://ricerca.economiaefinanza.luiss.it/news/2014/06/11/bando-per-la-valut… Applications are welcome. Potentially interested people may contact fgozzi(a)luiss.it for further informations 2) The second one is a 1-year position (not renewable) at University of Pisa, Department of Mathematics. The announcement is not yet ready but will appear soon; the starting time of the grant is expected in December 2014 or January 2015. Supervisor: Franco Flandoli Keywords: stochastic differential equations and stochastic PDEs, optimal control of deterministic and stochastic infinite dimensional systems, stochastic models in fluid dynamics. Applications are welcome. Since the formal announcement is not yet ready, potentially interested people may contact flandoli(a)dma.unipi.it __________________________________________________________________ kind regards Franco Flandoli, Fausto Gozzi --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

1 0

Seminario N. Leonenko a Padova- Mercoledì 2 luglio
by Marco Ferrante 21 Jun '14

21 Jun '14

Annuncio di seminario: Mercoledì 2 Luglio alle ore 12.00 in Aula 2BC30 del Dipartimento di Matematica dell'Università di Padova il Prof. Nikolai Leonenko dell'Università di Cardiff terrà il seminario Titolo: Fractional Pearson diffusions. Abstract: Pearson diffusions have stationary distributions of Pearson type. They includes Ornstein-Uhlenbeck, Cox-Ingersoll-Ross, and several others wellkown processes. Their stationary distributions solve the Pearson equation, developed by Pearson in 1914 to unify some important classes of distributions (e.g., normal, gamma, beta). Their eigenfunction expansions involve the traditional classes of orthogonal polynomials (e.g., Hermite, Laguerre, Jacobi). We develop fractional Pearson di¢ sions ([1],[2]), constructing by a non-Markovian inverse stable time change. Their transition densities are shown to solve a time-fractional analogue to the diffusion equation with polynomial coefficients. Because this process is not Markovian, the stochastic solution provides additional information about the movement of particles that di§use under this model. This is joint work with M.M. Meerschaert and A. Sikorskii (Michigan State Univeraity, USA). Anomalous diffusions have proven useful in applications to physics, geophysics, chemistry, and finance. Marco Ferrante -- Prof. Marco Ferrante Dipartimento di Matematica Universita' degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

1 0

workshop "Dependence in Risk Measurement and Risk Management"
by giovanni.puccetti＠unifi.it 18 Jun '14

18 Jun '14

Dear colleague, the Department of Economics and Management of the University of Florence will organize the workshop Dependence in Risk Measurement and Risk Management on December 18-19, 2014. The participation in the Workshop will be free of charge with a mandatory registration. We welcome submissions of abstracts for contributed talks with the possibility to contribute to a special issue in Dependence Modeling to be published in early 2015. All the information about the event are available at the website https://sites.google.com/site/dependencerisk/ We would be pleased if you could forward this e-mail to anyone possibly interested and download/print the announcement from the above web-page to promote the event to your institution. We are looking forward to seeing you in Florence, best regards Giovanni Puccetti -- Assistant Professor School of Economics and Management University of Firenze Building D6/2.30 via delle Pandette 32 50127 Firenze ITALY https://sites.google.com/site/giovannipuccetti/

1 0

Seminario Politecnico di Torino - 20 giugno
by Bertrand Lods 18 Jun '14

18 Jun '14

Dear Colleagues, this is a reminder for the two seminars on applications of Information Geometry that Luigi Malagò and Giovanni Pistone will give on coming Friday 20 June at DISMA Politecnico di Torino at 12 and 14:30 resp. Please find the abstracts at http://calvino.polito.it/~probstat/seminars/seminars14.html

1 0

Seminario a Padova - Giovedì 26 giugno ore 16
by Marco Ferrante 18 Jun '14

18 Jun '14

Annuncio di seminario: Giovedì 26 giugno alle ore 16.00 in Aula 2AB40 del Dipartimento di Matematica dell'Università di Padova il Prof. Carles Rovira dell'Universitat de Barcelona terrà il seminario Titolo: Stochastic differential equations with non-negativity constraints driven by fractional Brownian Abstract: In this talk, we deal with existence and uniqueness result of solution for stochastic differential driven by a fractional Brownian motion with Hurst parameter $H$ and with reflection. The cases $H >\frac12$ and $H \in (\frac13,\frac12)$ must be considered separately. When $H>\1/2$, we first study an ordinary integral equation where the integral is defined in the Young sense and then we apply this result pathwise to solve the stochastic problem. On the other hand, when H $\in (\frac13,\frac12)$, we consider an existence and uniqueness result of solution for multidimensional delay differential equations with normal reflection and driven by a H\"older continuous function of order $\beta \in (\frac13,\frac12)$. Marco Ferrante

1 0

Seminario N. Leonenko - Mercoledì 2 luglio ore 12 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '14

---------- Forwarded message ---------- Date: Tue, 17 Jun 2014 09:42:41 +0200 From: Marco Ferrante <ferrante(a)math.unipd.it> Subject: Seminario N. Leonenko - Mercoled? 2 luglio ore 12 Cari colleghi, il giorno Mercoledi 2 Luglio alle ore 12.00 in Aula 2BC30 il Prof. Nikolai Leonenko dell'Universita di Cardiff terra un seminario dal titolo: Fractional Pearson Diffusions (allego l'abstract). Grazie Marco -- Prof. Marco Ferrante Dipartimento di Matematica Universita' degli Studi di Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271366 Fax: +39-0498271499 E-Mail: ferrante(a)math.unipd.it URL: http://www.math.unipd.it/~ferrante

1 0

Statistics for Omics - Politecnico di Milano
by Laura M. Sangalli 17 Jun '14

17 Jun '14

Cari colleghi, abbiamo il piacere di invitarvi alla mattinata di seminari "Statistics for Omics" il 3 Luglio presso l'aula seminari "F. Saleri" del Dipartimento di Matematica, Politecnico di Milano. La mattinata si svolgerà secondo il seguente programma 09:00. Francesca Chiaromonte, The Pennsylvania State University, /Exploiting structure to reduce and integrate high dimensional, under sampled "omics" data/ 09:50. Giorgio Melloni, Istituto Italiano di Tecnologia, /DOTS-Finder: a comprehensive tool for assessing driver genes in cancer genomes/ 10:40. Break 11:10. Marzia Cremona e Alice Parodi, Politecnico di Milano, /Peak shape cluster analysis reveals novel biological insights/ 12:00. Kateryna Makova, The Pennsylvania State University, /Maternal Age Effect and Severe Germline Bottleneck in the Inheritance of Human Mitochondrial DNA/ 12.50. Marco Masseroli e Stefano Ceri, Politecnico di Milano, /Genometric query system as research enabler to discover genome properties/ Tutti gli interessati sono cordialmente invitati a partecipare. Piercesare Secchi -- Piercesare Secchi MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci, 32 20133 Milano - Italy tel. +39 02 2399 4592 fax. +39 02 2399 4568 e.mail: piercesare.secchi(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

1 0

XVI Workshop on Quantitative Finance - Parma January 29-30, 2015 (fwd)
by Tiziano Vargiolu 17 Jun '14

17 Jun '14

(apologies for cross-postings) 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 -------------------------------------------------------------------------- XVI WORKSHOP on QUANTITATIVE FINANCE January 29-30, 2015 Venue: Department of Economics University of Parma Via J.F. Kennedy, 6 43125 Parma Italy The Workshop is the sixteenth edition of a successful initiative whose aim is to set a common forum of ideas and discussions among researchers and practitioners interested in Finance. It provides an excellent platform to present and discuss recent advances in mathematical modelling and numerical methods for quantitative finance. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management, Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous editions of the Workshop, we wish to particularly encourage an international participation of young researchers; both theoretical and applied contributions are welcome. There are no registration fees. Contacts: Marzia De Donno (xviwqf(a)gmail.com), Phone: +39-0521-03-2481, Fax +39-0521-03-2385 Scientific Committee: Fabio Bellini (University of Milano Bicocca) - Andrea Consiglio (University of Palermo) - Gianluca Fusai (University of Piemonte Orientale) - Friedrich Hubalek (Vienna University of Technology) - Elisa Luciano (University of Torino) - Maria Elvira Mancino (University of Firenze) - Paola Modesti (University of Parma) - Massimo Morini (Banca IMI) - Mustafa Pinar (Bilkent University) - Simona Sanfelici (University of Parma) - Sergio Scarlatti (University of Roma Tor Vergata) - Carlo Sgarra (Polytechnic of Milano) - Peter Tankov (University Paris-Diderot) - Josef Teichmann (ETH Zurich) - Tiziano Vargiolu (University of Padova) Local Committee: Marzia De Donno, Fabio Della Marra, Gino Favero, Paola Modesti, Annamaria Olivieri, Simona Sanfelici, Federica Trani Deadline for paper submission: November 9th, 2014. Deadline for registration: January 6th, 2015. For more information, visit the Workshop website: www.qfinancexvi.altervista.org We are looking forward to meeting you in Parma! On behalf of the Local Committee, Simona Sanfelici

1 0

Seminario Dott. Bourguin - Roma Tor Vergata
by Claudio Durastanti 17 Jun '14

17 Jun '14

Giovedí 19 Giugno, alle ore 14.00 presso l'aula D'Antoni, Dipartimento di Matematica di Tor Vergata, il dottor Solesne Bourguin, Carnegie Mellon University - Pittsburgh, presenterá il seguente talk: Portmanteau inequalities on the Poisson space Abstract: The main object of this talk is to provide an introduction on how to combine Stein's method and Malliavin calculus on the Poisson space in order to obtain general quantitative limit theorems for functionals of a Poisson random measure. As an application, the case of the random disk graph isomorphism problem in stochastic geometry will be discussed. Based on joint work with Giovanni Peccati. Cordiali saluti Claudio Durastanti

1 0

SINGULAR STOCHASTIC PDEs, summer school in Pisa
by Marco Romito 17 Jun '14

17 Jun '14

SINGULAR STOCHASTIC PDEs September 22-24, 2014 Centro di Ricerca Matematica Ennio De Giorgi, Pisa, Italy http://www.crm.sns.it/event/333/ The purpose of the School is to introduce and discuss recent development in the analysis of singular stochastic PDEs arising in Physics, such as the Kardar-Parisi-Zhang equation. In this class of problems the irregularity introduced by the driving noise does not allow to use classical methods from the theory of partial differential equations. The school is aimed at student and young researchers in the field of stochastic PDEs, as well as scholars coming from the fields of the theory of PDE and theoretical physics. The school consists in a series of lectures by Massimiliano Gubinelli, additional invited lectures by Harald Oberhauser, Hendrik Weber, Lorenzo Zambotti and short presentations by participants. REGISTRATION: http://www.crm.sns.it/event/333/registration.html In a few cases funding for local expenses for young participants might be available, but funds are limited. SCIENTIFIC & ORGANIZING COMMITTEE Lisa Beck (Augsburg) Dirk Blomker (Augsburg) Franco Flandoli (Pisa) Marco Romito (Pisa)

1 0

bando per un corso di recupero
by Gabriele Stabile 14 Jun '14

14 Jun '14

Segnalo la pubblicazione di un bando *con scadenza 30 giugno *per n. 1 incarico individuale, con contratto di lavoro autonomo di natura occasionale, per lo svolgimento di un corso di recupero e sostegno (da tenersi a settembre) che fornisca i prerequisiti di Matematica, Statistica e Calcolo delle Probabilità agli iscritti 2014/15 alla Magistrale in Finanza e Assicurazioni, Sapienza Università di Roma Il bando è disponibile al link http://www.memotef.uniroma1.it/node/6575 <http://www.memotef.uniroma1.it/node/6575.>

1 0

Avviso di seminario - Prof. G. Peskir
by Cristina Zucca 13 Jun '14

13 Jun '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedi' 16 giugno 2014 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. Goran Peskir (University of Manchester) terrà un seminario dal titolo "Optimal Mean-Variance Portfolio Selection"* Abstract: I will present a dynamic formulation of the mean-variance portfolio selection problem and discuss possible ways of solving it. *Joint work with J. L. Pedersen (Copenhagen)

1 0

seminario di Fabio Bellini presso Prometeia - Bologna
by Giacomo Scandolo 13 Jun '14

13 Jun '14

Il giorno Giovedi 19 Giugno 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Fabio BELLINI (Università di Milano-Bicocca) terra un seminario dal titolo "Risk management with expectiles" Abstract We discuss the main properties of the expectiles, a one parameter family of coherent risk measures introduced in the statistical literature by Newey and Powell (1987). Expectiles are the only coherent risk measures that are also elicitable, in the sense that they can be equivalently defined as the minimizers of an expected loss; this property provides a natural methodology to perform a consistent backtesting. In this talk we explore the potential applicability of expectiles in a capital regulation framework, as an alternative to VaR and CVaR.

1 0

Seminar and mini-course by Luca Capriotti, June 19 - 20, SNS Pisa
by Giacomo Bormetti 13 Jun '14

13 Jun '14

Luca Capriotti (EMEA head of Quantitative Strategies Global Credit Products, Credit Suisse) will give a seminar at the Scuola Normale Superiore, Pisa on Thursday 19 June 2014, 13:00 Aula Bianchi. The title and abstract are Ulisse Dini, Adjoint Algorithmic Differentiation and the Efficient Risk Management of Credit Portfolios Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this talk I will show how AAD can be used to risk manage in real time credit products, both exotic and vanilla, whether valued with Monte Carlo or with semi-analytical methods. I will show how by combining adjoint ideas with the implicit function (Dini's) theorem one can avoid repeating multiple times the calibration of the hazard rate curves which, especially for flow products, often represent the bottle neck in the computation of spread and interest rate risk. This typically results in orders of magnitudes savings in computation time with respect to standard methods. The adjoint of the calibration step can be naturally combined with the adjoint of the pricing step. This allows one to compute the risk of portfolios of credit products faster than computing the portfolio value alone, thus making risk management in real time possible. Moreover on Friday 20 June 2014 he will give a mini-course on Real Time Risk Management with Adjoint Algorithmic Differentiaton The agenda is attached below. Interested people are invited to participate. For more information, contact Stefano Marmi (stefano.marmi(a)sns.it), Fabrizio Lillo (fabrizio.lillo(a)sns.it), or Giacomo Bormetti (giacomo.bormetti(a)sns.it). &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&& Friday June 20, Aula Bianchi, 11.00-12.30 Friday June 20, Aula Bianchi, 14.00-15.30 Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this minicourse I will introduce AAD and show how it can be used to implement the calculation of price sensitivities in complete generality and with minimal analytical effort. The focus will be the application to Monte Carlo methods - generally the most challenging from the computational point of view. With several examples I will illustrate the workings of AAD and demonstrate how it can be straightforwardly implemented to reduce the computation time of the risk of any portfolio by order of magnitudes. 1. Pathwise Derivative Method 2. Algebraic Adjoint Approaches  3. Adjoint Algorithmic Differentiation (AAD)  4. AAD as a Design Paradigm  5. AAD and the Pathwise Derivative Method 6. First Applications 7. Case Study: Adjoint Greeks for the Libor Market Model 8. Correlation Risk and Binning Techniques 9. Case Study: Correlation Greeks for Basket Default Contracts

1 0

Fwd: post-doctoral position
by Faggionato, Alessandra 13 Jun '14

13 Jun '14

Applications are invited for a post-doctoral position in Probability at Marseille (Aix-Marseille Université). The position can start October 1st 2014. It is a two-years position, funded by the Fondation Universitaire AMIDEX d'Aix-Marseille, with a stipend of 1960 euros (and 2300 if more than 3 years experience after the thesis). Applicants should write BEFORE JULY 10th to Amine Asselah at amine.asselah(a)u-pec.fr attaching -CV -Research Projects -Letter of Recommendation. For information on the probability group members and activities at marseille please go to http://www.i2m.univ-amu.fr/Annuaire-de-l-equipe-240 Best Regards, Amine Asselah

1 1

Fwd: avviso seminario del 19 giugno
by Gustavo Posta 13 Jun '14

13 Jun '14

Begin forwarded message: > From: "Bertini, Lorenzo" <bertini(a)mat.uniroma1.it> > Date: 12 giugno 2014 20.07.41 GMT+02.00 > Subject: avviso seminario del 19 giugno > > > Avviso di Seminario (con preghiera di diffusione) > > Giovedi' 19 giugno alle ore 14:30 > > In Aula C del Dipartimento di Matematica, Universita' di Roma La Sapienza > > Alessandra Bianchi (Univ. di Padova) > > terra' un seminario dal titlo > > A random walk in a Levy random environment > > > Saluti, > > Lorenzo Bertini > > Dipartimento di Matematica | Fax: +39 - 06 4470 1007 > Universita' di Roma La Sapienza | Tel: +39 - 06 4991 4974 > P.le A. Moro 2, 00185 Roma | E-mail: bertini(a)mat.uniroma1.it > Italy > > Home page: http://www.mat.uniroma1.it/people/bertini/ama/

1 0

Forensic statistics: PhD@Losanna
by Giacomo Aletti 11 Jun '14

11 Jun '14

Chiedo scusa per invii multilpli, mi è stato segnalato che sono aperte posizioni PhD all'Ecole des sciences criminelles, UNIL https://applicationsinter.unil.ch/inter/noauth/php/Po/pooffres.php?poid=330… Scadenza bando a fine mese, laurea richiesta scienze forensi, statistica o matematica. Giacomo Aletti --

1 0

PhD studentships in Statistics - University of Padova, Italy - Deadline 10 July, 2014
by Patrizia Piacentini - PhD 11 Jun '14

11 Jun '14

PhD Studentships in Statistics Department of Statistical Sciences University of Padova, Italy Seven PhD studentships are available at University of Padova for candidates interested in the area of Statistical Sciences Eligibility ----------- The studentship 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. 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 November 2014. How to apply ------------------ The call is published at the page http://www.unipd.it/en/research/doctoral-degrees-phd-programmes (see Calls and Admissions) deadline 10th July 2014 Application has to be made following carefully the instructions therein. Further information ---------------------------- See http://www.stat.unipd.it/fare-ricerca/ammissione or contact phd(a)stat.unipd.it Kindest regards, Monica Chiogna PhD Course Coordinator

1 0

seminario Zhuang Jiancang a Milano
by Elisa Varini 11 Jun '14

11 Jun '14

ANNUNCIO DI SEMINARIO venerdì 13 giugno 2014, ore 14:30 Sala Bassini, Piano Rialzato CNR – IMATI, Via Bassini 15, Milano RELATORE Dr ZHUANG Jiancang Institute of Statistical Mathematics, Tokyo TITOLO Testing significance of earthquake precursors against earthquake clustering models instead of against complete randomness ABSTRACT During the last 30 years, a number of algorithms have been developed that search for seismic anomalies in order to predict strong earthquakes. Examples of such algorithms are M8, RTP, RTL, PI, and LURR. In these algorithms, behaviour is usually deemed to be anomalous if seismicity rates change from the background activity, which is usually assumed stationary or, more strongly, a Poisson process. On the other hand, it is well known that seismicity is clustered and can be well described by the Epidemic-Type Aftershock Sequence (ETAS) model. Such anomalies detected in these conventional ways may be caused by earthquake clusters or improper declustering algorithms. This presentation illustrates, through examples, how to modify these algorithms for the testing of seismic anomalies against a clustering model (e.g., the ETAS model). -- ------------------------------------------------------------------- Elisa Varini CNR - Consiglio Nazionale delle Ricerche IMATI - Istituto di Matematica Applicata e Tecnologie Informatiche via Bassini 15 - 20133 Milano (Italy) Tel +39 02 23699 527 Fax +39 02 23699 538 Email elisa(a)mi.imati.cnr.it -------------------------------------------------------------------

1 0

New journal "Market Microstructure and Liquidity"
by Fabrizio Lillo 09 Jun '14

09 Jun '14

Dear contributor to the field of market microstructure, This is just a short message to inform you that we are launching a new journal called "Market Microstructure and Liquidity". The website of the journal is http://www.worldscientific.com/worldscinet/mml and information can be found in the pdf file enclosed in this message. We hope you will be interested in reading it and contributing by sending your papers to this new journal ! Best regards, Fabrizio Lillo PS: Apologies for possible multiple sendings. any remark or comment is welcome ------------------------------------------------------------ Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159 web: https://sites.google.com/site/fabriziolillo9670/home

1 0

Politecnico di Milano - Seminario J. S. Marron
by Laura M. Sangalli 09 Jun '14

09 Jun '14

Si avvisa che in data 17-06-2014, alle ore 15:00 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: Relatore: J. S. Marron Dept. of Statistics and Operations Research University of North Carolina Titolo: OODA of TreeStructured Data Objects Using Persistent Homology Abstract: The field of Object Oriented Data Analysis has made a lot of progress on the statistical analysis of the variation in populations of complex objects. A particularly challenging example of this type is populations of tree-structured objects. Deep challenges arise, whose solutions involve a marriage of ideas from statistics, geometry, and numerical analysis, because the space of trees is strongly non-Euclidean in nature. Here these challenges are addressed using the approach of persistent homologies from topological data analysis. The benefits of this data object representation are illustrated using a real data set, where each data point is the tree of blood arteries in one person's brain. Persistent homologies give much better results than those obtained in previous studies. 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

1 0

seminario di Luca Regis presso Prometeia - Bologna
by Giacomo Scandolo 09 Jun '14

09 Jun '14

Il giorno Giovedì 29 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Luca REGIS (IMT Lucca) terrà un seminario dal titolo "Longevity risk modelling and hedging via continuous-time cohort models" Abstract Longevity risk, i.e. the risk of unexpected changes in the survivorship of policyholders, is perceived as one of the major threats to the long-run solvency of annuity providers, such as pension funds. Continuous-time models represent a useful tool in the modelling of stochastic mortality. Non-mean reverting affine cohort processes (Luciano and Vigna, 2008) provide a parsimonious but accurate description of mortality tables. They are particularly suited to pricing and hedging purposes, due to their analytical tractability. I present applications of such models to the management of insurance portfolios. I focus on longevity risk hedging techniques, such as natural hedging, and reinsurance strategies. I will discuss the implementation and the effectiveness of such strategies, as well as the effects of different risk sources (interest-rate risk, investment risk) - along with longevity risk - on the solvency of insurers.

1 1

seminario prof Zhuang Jiancang (ISM, Tokyo)
by Elisa Varini 05 Jun '14

05 Jun '14

ANNUNCIO DI SEMINARIO venerdì 13 giugno 2014, ore 14:30 Sala Bassini (piano terra) CNR – IMATI, Via Bassini 15, Milano RELATORE Dr ZHUANG Jiancang Institute of Statistical Mathematics, Tokyo TITOLO Testing significance of earthquake precursors against earthquake clustering models instead of against complete randomness ABSTRACT During the last 30 years, a number of algorithms have been developed that search for seismic anomalies in order to predict strong earthquakes. Examples of such algorithms are M8, RTP, RTL, PI, and LURR. In these algorithms, behaviour is usually deemed to be anomalous if seismicity rates change from the background activity, which is usually assumed stationary or, more strongly, a Poisson process. On the other hand, it is well known that seismicity is clustered and can be well described by the Epidemic-Type Aftershock Sequence (ETAS) model. Such anomalies detected in these conventional ways may be caused by earthquake clusters or improper declustering algorithms. This presentation illustrates, through examples, how to modify these algorithms for the testing of seismic anomalies against a clustering model (e.g., the ETAS model). -- ------------------------------------------------------------------- Elisa Varini CNR - Consiglio Nazionale delle Ricerche IMATI - Istituto di Matematica Applicata e Tecnologie Informatiche via Bassini 15 - 20133 Milano (Italy) Tel +39 02 23699 527 Fax +39 02 23699 538 Email elisa(a)mi.imati.cnr.it -------------------------------------------------------------------

1 0

Seminario di Fabrizio Leisen a RM1
by Fabio Spizzichino 03 Jun '14

03 Jun '14

ll Prof. Fabrizio Leisen (Univ. of Kent, Canterbury, UK) terrà, presso il Dipartimento di Matematica dell'Universita' La Sapienza, un seminario dal titolo Dependent Vectors of Random Probability Measures Mercoledi' 4 giugno, Ore 14:30, Aula E Le persone interessate sono invitate a partecipare Abstract: The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. Indeed, they can be used for identifying the de Finetti mixing measure in the representation of the law of a partially exchangeable array of random elements taking values in a separable and complete metric space. In this talk we describe the construction of vectors of random probability measures based on the normalization of an exchangeable vector of completely random measures that are jointly infinitely divisible. The dependence can be achieved in many ways and in this talk will be shown some recent constructions based on Levy Copulas or the stick breaking representation. Finally, the dependence structure of the vectors is studied through some quantities of interest. This talk is a review of papers in collaboration with Antonio Lijoi, Federico Bassetti, Roberto Casarin, Weixuan Zhu and Dario Spano.

1 0

[Fwd: 10 PhD positions in Math at GSSI L'Aquila Italy]
by davide gabrielli 03 Jun '14

03 Jun '14

---------------------------- Original Message ---------------------------- Subject: 10 PhD positions in Math at GSSI L'Aquila Italy From: "Pierangelo Marcati" <pierangelo.marcati(a)univaq.it> Date: Tue, June 3, 2014 3:24 am To: undisclosed-recipients:; -------------------------------------------------------------------------- *DO NOT REPLY* *For further informations *please contact info(a)gssi.infn.it *PLEASE DIFFUSE BETWEEN INTERESTED PEOPLE* *WE APOLOGIZE FOR MULTIPLE E-MAILS* *10 *fellowships at GSSI L'AQUILA Italy, for the PhD program of Mathematics in Natural, Social and Life Sciences *( in collaboration with SISSA International School for Advanced Studies, Trieste)* Core Topics: Stochastic Analysis, PDEs, Mathematical Modelling, Numerics *Online applications * http://www.gssi.infn.it/phd/ *Deadline June 22, 2014* *Download the* *call for applications* at http://www.gssi.infn.it/phd/docs/call_english_14-15.pdf *S*cholarships GSSI awards scholarships for* 3 years. * The yearly amount of the scholarship is of EURO 16.159,91 gross Facilities and benefits All PhD students *will receive free* accommodation on GSSI facilities, tuition fees waived, free luncheon vo * Pierangelo Marcati * Mathematics & Computer Science Division, Chair GranSasso Science Institute, INFN - L'Aquila - Italy http://www.gssi.infn.it http://www.gssi-aq.eu -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

1 0

LAST CALL : IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications
by Cristian Giardina 31 May '14

31 May '14

---------- Forwarded message ---------- From: random15 <random15(a)ihp.fr> Date: 2014-05-30 10:23 GMT+02:00 Subject: LAST CALL : IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications Dear Colleague, It is our pleasure to announce a programme on "Disordered systems, random spatial processes and some applications" organized by the Emile Borel Centre from the Henri Poincare Institute in Paris from January 5th to April 3rd, 2015. Organizers: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas * Deadline to apply for Random15 programme financial support has been postponed to June 10th, 2014* Information on the programme can be found on: www.ihp.fr/en/CEB/T1-2015 or * <http://random15.dm.unibo.it/>*http://random15.dm.unibo.it/schedule *Registration is free and recommended* *to participate to:* - the trimester + workshops on: www.ihp.fr/en/program/13698/colloques/register - workshop(s) only on: www.ihp.fr/en/program/13698/colloques/register/nosignupprogram During this trimester, a preschool is organized at the* CIRM* (Marseille) from January 5th to 9th, 2015: If you intend to participate in this event, it will be necessary to make a pre registration through the workshops session. We are looking forward to welcoming you! PS: do not hesitate to forward this email to your colleagues. **************************************************** Cher Collegue, Nous avons le plaisir de vous annoncer l organisation d un programme sur les " Systemes desordonnes, processus spatiaux aleatoires et certaines applications" au Centre Emile Borel de l Institut Henri Poincare a Paris, du 5 janvier au 3 avril 2015. Les organisateurs: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas Attention : * La date limite pour les demandes de support financier du programme Random15 est repoussee au 10 juin 2014* Vous pouvez consulter le programme a l adresse suivante: www.ihp.fr/fr/CEB/T1-2015 ou directement a cette adresse: * <http://random15.dm.unibo.it/>*http://random15.dm.unibo.it/schedule *L inscription au programme est gratuite et recommandee **sur l adresse suivante:* - pour le trimestre + conferences: www.ihp.fr/fr/program/13698/colloques/register - ou uniquement pour le/les conferences: www.ihp.fr/fr/program/13698/colloques/register/nosignupprogram Durant ce trimestre, une pre ecole est organisee au *CIRM* (Marseille) du 5 au 9 janvier 2015 Si vous avez l'intention de participer a ce programme en particulier une pre inscription est necessaire via les inscriptions aux conferences C est avec plaisir que nous vous accueillerons a Paris. PS: merci par avance de bien vouloir transmettre ce courriel a vos collegues. -- Claire Berenger Organisation Assistant random15(a)ihp.fr CNRS UPMC - Institut Henri Poincare Centre Emile Borel 11, rue Pierre et Marie Curie - 75005 Paris Bureau 206 Tel: 01 44 27 67 64 Fax: 01 44 07 09 37www.ihp.fr Decouvrez la chaine de l'institut Henri Poincare<http://www.youtube.com/user/PoincareInstitute> <http://www.youtube.com/user/PoincareInstitute>.

1 0

Seminario Claudio Fontana a Padova
by Tiziano Vargiolu 29 May '14

29 May '14

Siamo lieti di annunciare il seguente seminario: Claudio FONTANA, "A general HJM framework for multiple curve modeling" (joint work with Christa Cuchiero and Alessandro Gnoatto) al Dipartimento di Matematica (via Trieste 63, Padova), aula 2AB/40 (secondo piano), venerdi' 29 maggio ore 12. Abstract -------- We propose a general HJM approach to the modeling of multiple yield curves. In a general semimartingale setting, we model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive HJM drift and consistency conditions ensuring absence of arbitrage and we show how to construct models such that spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is an affine process, we obtain a flexible Markovian structure which allows for simple valuation formulas for most interest rate derivatives.

1 0

Postdoc on "Systemic risk in financial markets across time scales” at the Scuola Normale di Pisa
by Fabrizio Lillo 27 May '14

27 May '14

A call for a one-year postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is "Systemic risk in financial markets across time scales” and it is funded by the Scuola Normale. The details of the call are at http://www.sns.it/en/servizi/job/assegnidiricerca/assegno215/ The deadline is June 12. 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 di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159 web: https://sites.google.com/site/fabriziolillo9670/home

1 0

I: [tout-enseignants] Appel à candidature post-doctorat université de Cergy
by Massimo Campanino 26 May '14

26 May '14

__________ > ---------------------------------------- > From: Laurence Puechberty <laurence.puechberty(a)u-cergy.fr> > Sent: Mon, 5 May 2014 08:56:38 +0200 (CEST) > To: <tout-enseignants(a)ml.u-cergy.fr> > Cc: SERFATY Stéphane <Stephane.Serfaty(a)u-cergy.fr>, Présidence UCP <presidence(a)u-cergy.fr>, Frédéric Oliveau <frederic.oliveau(a)u-cergy.fr>, Bernard Fradin <Bernard.Fradin(a)u-cergy.fr>, Edite De Almeida <Edite.DaRochaDeAlmeida(a)u-cergy.fr> > Subject: [tout-enseignants] Appel à candidature post-doctorat université de Cergy > > > Chers Collègues, > > Vous trouverez ci-joint l'appel à candidature pour les post-doctorats de > l'université de Cergy pour 2014. > La date limite de retour des dossiers est fixée au mercredi 11 juin 2014 > à 12h à la DiRVED. > Pour toute question, n'hésitez pas à contacter Laurence Puechberty ou > moi-même. > Bien cordialement > > Stéphane Serfaty > Vice-Président Recherche Valorisation > ------------ > > *//* > > *Laurence PUECHBERTY -- *Directrice DiRVED** > > *Université de CERGY-PONTOISE*- Direction Recherche, Valorisation, > Etudes Doctorales > > Site des chênes - Jardin Tropical -- Bureau C 107 > > 33 boulevard du Port- 95011 Cergy-Pontoise cedex > laurence.puechberty(a)u-cergy.fr <mailto:laurence.puechberty@u-cergy.fr> > > Tel : 01 34 25 72 68Port : 06 78 85 37 95 > > */Pensez à l'environnement. N'imprimez ce courriel que si nécessaire./* > > > -- UniversitÃ© de Cergy-Pontoise http://www.u-cergy.fr Ce message et toutes les piÃ¨ces jointes sont confidentiels et Ã©tablis Ã l'intention exclusive de ses destinataires. Si vous recevez ce message par erreur, merci de le dÃ©truire sans en conserver de copie et d'en avertir l'Ã©metteur. L'intÃ©gritÃ© de ce message n'Ã©tant pas assurÃ©e sur internet, l'UniversitÃ© ne peut Ãªtre tenue responsable de son contenu. Toute utilisation ou diffusion non autorisÃ©e est interdite. Ensemble, faisons un geste pour l'environnement : n'imprimons nos mails que si nÃ©cessaire.

1 0

de Finetti risk seminar - maggio 2014
by emanuela.rosazza1＠unimib.it 23 May '14

23 May '14

1 0

Fwd: Corso di Monique Jeanblanc e Nicole El Karoui a Padova (Maggio 2014). (fwd)
by Tiziano Vargiolu 23 May '14

23 May '14

Ciao a tutti, scusandomi per il ritardo, vi segnalo un corso di dottorato tenuto in due parti (di contenuto disgiunto) da Nicole El Karoui e Monique Jeanblanc a Padova. La prima lezione della prof. Jeanblanc e' gia' stata tenuta, mentre il corso della prof. El Karoui inizia lunedi' pomeriggio. In allegato il programma con l'orario preciso (ovviamente l'esame e' previsto solo per i dottorandi di Padova). 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 --------------------------------------------------------------------------

1 0

Symposium on return predictability in stock and real estate markets, 6 Giugno 2014 SNS, Pisa
by Giacomo Bormetti 23 May '14

23 May '14

Cari tutti, in collaborazione con Franco Nardini abbiamo organizzato per Venerdì 6 Giugno 2014 una giornata dedicata alla predicibilità dei mercati. Il titolo dell'evento, che si terrà nella Sala Azzurra del Palazzo della Carovana con inizio dei lavori alle 9:00, è "Symposium on return predictability in stock and real estate markets". La partecipazione è libera, tutti gli interessati sono benvenuti. Per maggiori informazioni scrivete a giacomo.bormetti(a)sns.it oppure franco.nardini(a)unibo.it. La locandina ed il programma dell'evento sono scaricabili al indirizzo http://mathfinance.sns.it. Di seguito il programma dettagliato 9:00 Prof. Javier Estrada, IESE Business School, Barcelona. The Return Decomposition Model: What It Is and What It Predicts Now 9:45 Prof. Fulvio Ortu, Bocconi University, Milano. Implications of Return Predictability across Horizons for Asset Pricing Models 10:30 Dr. Viviana Vieli, FactSet. Risk for Multi Asset Class Portfolios 11:00 Break 11:30 Prof. Roberto Dieci, Department of Mathematics, University of Bologna. Real estate markets and prices: Distinctive features and modeling issues 12:15 Prof. Tom Engsted, School of Economics and Management, Aarhus University. Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries 13:00 Lunch 14:00 Prof. Richard Stehle, School of Business and Economics, Humboldt University, Berlin. In Germany the CAPM is Alive and Well 14:45 Dr. Flavia Poma, Citi, London. Fama-French factors for the non-US investor 15:15 Dr. Anna Grazia Quaranta, Department of Mathematics, University of Bologna. Managers' Compensation, Capital Structure and REITs' Performance 16:00 Break 16:30 Dr. Luca Dondi, Nomisma, Bologna. Quadro congiunturale e prospettive del mercato immobiliare italiano Cordiali saluti, Giacomo

1 0

bando seconda fascia Secs-S/06 universita di Firenze
by mariaelvira.mancino＠unifi.it 22 May '14

22 May '14

Segnalo la pubblicazione di un bando per la copertura di un posto di professore di seconda fascia presso l'Universita' degli Studi di Firenze nel settore concorsuale 13/D4, settore scientifico disciplinare SECS-S/06: http://www.unifi.it/vp-10130-selezioni-per-la-copertura-di-due-posti-di-pro…

1 0

Lecturer or Senior Lecturer position in Financial Computing at UCL
by Guido Germano 22 May '14

22 May '14

Begin forwarded message: > From: "Aste, Tomaso" <t.aste(a)ucl.ac.uk> > Subject: Lecturer Senior lecturer position opening > Date: 22 May 2014 17:01:41 pm GMT+1 > > We are advertising a new position in our group: > > http://www.jobs.ac.uk/job/AIU153/lecturer-senior-lecturer-in-financial-comp… > Deadline for application June 16. > > We are looking to complement and strengthen our existing expertise in Financial Computing & Analytics by recruiting an outstanding researcher with expertise in computational finance and other related areas such as: financial risk modelling, statistical analysis of financial data and big data analytics, computational valuation of financial securities. Candidates should have demonstrated capability of initiating and conducting exciting world-class research. They will be evaluated chiefly on the significance and novelty of their research to date, their promise of leading a group in a fruitful program of research and their capability to teach computational finance related subjects. > > Members of the Financial Computing & Analytics group (http://fincomp.cs.ucl.ac.uk/) work in a broad area that includes algorithmic trading, valuation and hedging of derivatives, portfolio optimisation, risk modelling, high-frequency trading, financial data analytics, econophysics, complex systems, agent-based modelling. Furthermore, there is a growing activity in high-performance computing with both CPU and GPU clusters, as well as big data handling, sharing and processing. The group has ongoing collaborations with a large number of financial firms. Our Centre for Doctoral Training and our master programs (http://fincomp.cs.ucl.ac.uk/courses/) attract world-class students. The Computer Science Department at UCL is a very exciting environment for research with great facilities and strong tradition in interdisciplinary studies. > UCL has retained fourth place in the QS World University Rankings 2013/14 (http://www.topuniversities.com/university-rankings), making UCL one of the four UK universities in the top ten and the second ranked UK institution after the University of Cambridge. > > Please forward this mail to potentially interested applicants. > > Regards, > Tomaso > > ----------------------------------------------------------------------------------------------------------- > Tomaso Aste t.aste(a)ucl.ac.uk > UCL Computer Science http://www.cs.ucl.ac.uk/staff/tomaso_aste/ > Malet Place Tel. +44 20 7679 0430 > London WC1E 6BT Fax. +44 20 7387 1397 > ----------------------------------------------------------------------------------------------------------- > > New Publication: > http://www.nature.com/srep/2014/140404/srep04589/full/srep04589.html — Dr. Guido Germano Senior Lecturer, Financial Computing and Analytics Group Admissions Tutor, MSc Financial Risk Management Department of Computer Science, University College London Mail: Gower Street, London WC1E 6BT, UK Office: Room 6.02, Malet Place Engineering Building, London WC1E 7JE Tel. +44 20 7679 3697, fax +44 20 7387 1397, cell. +49 170 8090109 g.germano(a)ucl.ac.uk, www.cs.ucl.ac.uk/staff/g.germano Research Associate, LSE/UCL Systemic Risk Centre g.germano(a)lse.ac.uk, www.systemicrisk.ac.uk

1 0

Fwd: PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore
by Marco Isopi 22 May '14

22 May '14

Begin forwarded message: > From: "crm(a)sns.it" <crm(a)sns.it> > Subject: PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore > Date: May 22, 2014 2:47:10 PM GMT+02:00 > To: destinatari-ignoti:; > > PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore > > Applications are invited for the PhD programs in Mathematics and in Financial Mathematics at the Scuola Normale Superiore in Pisa (Italy). > > All positions are supported by fellowships (7 for Mathematics + 5 for Financial Mathematics). > Additionally, each PhD student is guaranteed funding for his/her research activity and for travel in Italy and abroad. > > The selection will take place in two stages, July and October. The students will start their activities on November 1, 2014. > > Deadlines: > > For the July selection: June 30, 2014 > For the October selection: September 15, 2014. > > About the PhD program in Mathematics > > The mathematical research at the Scuola Normale is concentrated on some of the most significant areas of mathematics at the international level: Calculus of Variations, Harmonic Analysis, Differential Geometry and Global Analysis, Algebraic Geometry, Number Theory, Dynamical Systems. > > Website: > > http://phd.sns.it/en/mathematics/ > > About the PhD program in Financial Mathematics > > The research activity is concentrated on the analytical and empirical study of financial markets at different time scales, using rigorous mathematical tools as well as quantitative methods. The areas of research include: high frequency finance, market microstructure, valuation and portfolio theory, correlation structures, networks, systemic risk, efficiency of financial markets. > > Website: > > http://phd.sns.it/en/financial-mathematics/ > -- > Centro di Ricerca Matematica > Ennio De Giorgi > Collegio Puteano > Scuola Normale Superiore > Piazza dei Cavalieri n.3 > 56126 - Pisa , Italy > > > e-mail:crm@sns.it

1 0

IMT – 2014/15 PHD CALL FOR APPLICATIONS :: PROGRAMMA DI DOTTORATO
by Irene Crimaldi 21 May '14

21 May '14

We are pleased to inform you about the IMT Institute for Advanced Studies Lucca's call for applications for PhD positions in the following specialized curricula Si informa che è aperto il nuovo bando di selezione per l'accesso al Programma di Dottorato di IMT Alti Studi Lucca per i seguenti curricula di specializzazione: - Economics - Management Science - Complex Networks - Computational Mechanics - Control Systems - Computer Science - Image Analysis - Analysis and Management of Cultural Heritage - No tuition fees (regional tax excluded), free room and access to IMT Canteen Esenzione dalle tasse d'iscrizione (tranne la tassa regionale per il diritto allo studio), alloggio gratuito, accesso gratuito alla mensa IMT - A grant of €13,600 gross/year Importo lordo della borsa: €13.600/anno Candidates can apply if they obtain their (minimum) 4-year undergraduate degree NO LATER than October 31, 2014 Possono fare domanda coloro che conseguano il titolo di accesso entro e NON OLTRE 31 ottobre 2014 *DEADLINE: July 14th, 2014* Learn more about the PhD program by participating in our interactive webinar. Go to http://brightrecruits.com/webinars to sign up. Per maggiori informazioni sul programma di dottorato è possibile partecipare al webinar interattivo. Per aderire: http://brightrecruits.com/webinars IMT Lucca (www.imtlucca.it) is a research university within the Italian public higher education system. IMT's research mission is characterized by the analysis and management of a plurality of economic, social, technological and cultural systems. Faculty carry out cutting edge methodological research to *generate* knowledge, to design projects to *apply* knowledge to resolve economic, industrial, social and cultural problems, and to *transmit* knowledge through highly-specialized graduate courses and seminars. IMT Lucca (www.imtlucca.it) è un istituto universitario pubblico di ricerca e alta formazione dottorale a ordinamento speciale, focalizzato sull'analisi e gestione dei sistemi economici, sociali, tecnologici e culturali. I docenti e i ricercatori dell'Istituto svolgono attività di ricerca metodologica di alto livello scientifico per *generare* conoscenza, per *applicare* la conoscenza alla risoluzione di problemi d'interesse economico, industriale, sociale e culturale attraverso la realizzazione di progetti, e per *trasmettere* la conoscenza attraverso l'attività didattica. Follow us on Facebook<https://www.facebook.com/pages/IMT-Institute-for-Advanced-Studies-Lucca/187…>, Twitter <https://twitter.com/IMTLucca>, YouTube<http://www.youtube.com/user/IMTAltiStudiLucca>, LinkedIn<http://www.linkedin.com/company/imt-lucca-institute-for-advanced-studies?tr…>. 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 2014/15 IMT PhD call, please write to phdapplications(a)imtlucca.it. If you no longer wish to receive emails from IMT Lucca, please send an email with the word UNSUBSCRIBE in the subject line to commev(a)imtlucca.it. *Research, Planning and Organization Office* IMT Institute for Advanced Studies Lucca Piazza San Ponziano 6, 55100 Lucca - Italy Tel: +39 0583 4326 745, fax: +39 0583 4326 565 www.imtlucca.it

1 0

Assegno di Ricerca - Università di Padova
by Paolo Dai Pra 21 May '14

21 May '14

E’ indetta una selezione per il conferimento di n. 1 assegno per lo svolgimento di attività di ricerca nell’ambito del progetto di ricerca dal titolo “Correlazione, contagio, sincronizzazione: modelli stocastici per fenomeni complessi sociali e biologici” da svolgersi presso il Dipartimento di Matematica sotto la supervisione del Prof. Paolo Dai Pra, in qualità di responsabile scientifico del progetto di ricerca. Il bando è disponibile al seguente indirizzo: http://www.math.unipd.it/it/news/?id=1504 con scadenza 4 Giugno 2014 Paolo Dai Pra Paolo Dai Pra Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

1 0

PhD position available in "Statistical Methods for Geosciences" - Politecnico di Milano Dept. of Mathematics
by Simone Vantini 20 May '14

20 May '14

*Position:*PhD position in "Statistical Methods for Geosciences" in Mathematical Models and Methods in Engineering. *Institution:*Department of Mathematics, Politecnico di Milano, Milan, Italy. *Duration:*3 years, beginning November 1, 2014. *Monthly net income:*1.200 euro. *Deadline for applications: *14:00 (GMT+1:00), May 23, 2014. *Details for applications: *please click here <http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-…>. *Motivations and objectives of the research in this field:*Problems characterized by high-dimensional and complex data have become more and more common in engineering. Due to their complexity, in many situations these data contain redundant information since their underlying structure may involve only a reduced number of relevant features. This research aims at developing new methods for the detection of suitable subspaces where data (possibly spatially-dependent) can be represented, interpreted and analyzed. The interest extends also to the identification of suitable basis, which should capture the relevant geophysical features of the phenomenon under study and allow for computationally efficient statistical analysis. *Methods and techniques that will be developed and used to carry out the research:* The PhD program aims at training young researchers by providing them with a strong mathematical background and with ability to apply their knowledge to the solution of real-world problems in the areas of Statistics and Scientific Computing. *Educational objectives:*The PhD students carry their research both in the development of new mathematical methods and in the implementation and improvement of advanced techniques in connection with specific contexts and applications. Further information can be obtained by consulting the dedicated website http://www.mate.polimi.it/dottorato *Job opportunities:* Job opportunities are in companies and research agencies which are leaders in their respective fields. -- Simone Vantini MOX Laboratory for Modeling and Scientific Computing Dept. of Mathematics "F. Brioschi" - Politecnico di Milano Address: Piazza Leonardo da Vinci 32, 20133, Milan, Italy Phone: (+39) 02 2399 4554 Email: simone.vantini(a)polimi.it Website: http://mox.polimi.it/~vantini/

1 0

Mini corso Prof. Luciano Campi
by Luca di persio 20 May '14

20 May '14

Il Prof. Luciano Campi[ London School of Economics ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 26 al 30 Maggio 2014 e terrà un mini corso dal titolo ” *A primer on stochastic control and portfolio optimization* “ *Abstract*: We will give a short introduction to stochastic control in continuous time with some applications to optimal investment problems. In particular, after giving some examples of control problem which are relevant in finance and insurance, we will turn to the dynamic programming principle (DPP), which is the main tool to obtain the Hamilton-Jacobi-Bellman (HJB) partial differential equation describing the local behaviour of the value function. Under some regularity conditions, solving this HJB pde gives a method to find (at least theoretically) the optimal solution. We will apply this approach to solve some problems of optimal investment, e.g. the classic Merton problem of optimal investment and consumption. articolato in tre lezioni che si terranno presso il Dipartimento stesso nei giorni di - Lunedì 26 Maggio [ Aula D, 14:30-16:30 ] - Martedì 27 [ Aula F, 14:30-16:30 ] - Mercoledì 28 Maggio [ Aula D , 14:30-16:30 ] Per informazioni contattare: luca.dipersio(a)univr.it __ 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

1 0

PhD position available in "Statistical Methods for Geosciences" - Politecnico di Milano Dept. of Mathematics
by Simone Vantini 19 May '14

19 May '14

*Position:*PhD position in "Statistical Methods for Geosciences" in Mathematical Models and Methods in Engineering. *Institution:*Department of Mathematics, Politecnico di Milano, Milan, Italy. *Duration:*3 years, beginning November 1, 2014. *Monthly net income:*1.200 euro. *Deadline for applications: *14:00 (GMT+1:00), May 23, 2014. *Details for applications: *please click here <http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-…>. *Motivations and objectives of the research in this field:*Problems characterized by high-dimensional and complex data have become more and more common in engineering. Due to their complexity, in many situations these data contain redundant information since their underlying structure may involve only a reduced number of relevant features. This research aims at developing new methods for the detection of suitable subspaces where data (possibly spatially-dependent) can be represented, interpreted and analyzed. The interest extends also to the identification of suitable basis, which should capture the relevant geophysical features of the phenomenon under study and allow for computationally efficient statistical analysis. *Methods and techniques that will be developed and used to carry out the research:* The PhD program aims at training young researchers by providing them with a strong mathematical background and with ability to apply their knowledge to the solution of real-world problems in the areas of Statistics and Scientific Computing. *Educational objectives:*The PhD students carry their research both in the development of new mathematical methods and in the implementation and improvement of advanced techniques in connection with specific contexts and applications. Further information can be obtained by consulting the dedicated website http://www.mate.polimi.it/dottorato *Job opportunities:* Job opportunities are in companies and research agencies which are leaders in their respective fields. -- Simone Vantini MOX Laboratory for Modeling and Scientific Computing Dept. of Mathematics "F. Brioschi" - Politecnico di Milano Address: Piazza Leonardo da Vinci 32, 20133, Milan, Italy Phone: (+39) 02 2399 4554 Email: simone.vantini(a)polimi.it Website: http://mox.polimi.it/~vantini/

1 0

PhD studentships in Statistics - University of Padova, Italy
by PhD Secretariat 19 May '14

19 May '14

PhD Studentships in Statistics Department of Statistical Sciences University of Padova, Italy Five PhD studentships are available at University of Padova for candidates interested in the area of Statistical Sciences. Eligibility ------------ The studentship 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. 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 November 2014. How to apply ------------------- The call will be published at the beginning of June at the page http://www.unipd.it/en/research/doctoral-degrees-phd-programmes (see Calls and Admissions) with deadline at the end of June. Application has to be made following carefully the instructions therein. Further information ---------------------------- See http://www.stat.unipd.it/fare-ricerca/ammissione or contact phd(a)stat.unipd.it Kindest regards, Monica Chiogna PhD Course Coordinator

1 0

Workshop on "Dependence Models and Risk" - 27 maggio 2014, Bolzano
by Durante Fabrizio (P) 19 May '14

19 May '14

A tutti gli iscritti alla lista RANDOM Il workshop su "Dependence Models and Risk" si terrà a Bolzano martedì 27 maggio 2014. Tutti gli interessati sono invitati a partecipare. Per maggiori informazioni, si veda: http://pro1.unibz.it/projects/dependence_models/index.html Grazie in anticipo per l'interesse Fabrizio Durante

1 0

Fwd: Postdoctoral positions in Buenos Aires - Argentina
by c.costantini＠unich.it 18 May '14

18 May '14

Ricevo e volentieri inoltro. Cristina Costantini ----- Messaggio inoltrato da leorolla(a)dm.uba.ar ----- Data: Fri, 16 May 2014 01:36:00 -0300 Da: Leonardo Rolla <leorolla(a)dm.uba.ar> Oggetto: Postdoctoral positions in Buenos Aires - Argentina A: "Leonardo T. Rolla" <leorolla(a)dm.uba.ar> Dear colleagues, I would much appreciate if you could help me broadcast the announcement below. Sorry in advance for any duplicates. Best regards, Leonardo T Rolla Universidad de Buenos Aires ---------- Forwarded message ---------- Date: Wed, 14 May 2014 21:57:41 -0300 (ART) From: Probability Buenos Aires <probab(a)dm.uba.ar> To: Probability Buenos Aires <probab(a)dm.uba.ar> Subject: Postdoctoral positions in Buenos Aires - Argentina Applications are invited for post-doctoral positions in Probability and related areas. Please feel free to forward this message to other colleagues and potential candidates. The dealine is May 30. The positions last two years and have a monthly stipend of 8682 pesos, to start in April 2015. Applicants should be write to probab(a)dm.uba.arattaching: - CV - Motivation letter - Short research statement Two short recommendation letters should be sent directly to the same address before June 02. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Our best regards, Buenos Aires Probability Group ----- Fine messaggio inoltrato. -----

1 0

Fwd: announcement (fwd)
by Tiziano Vargiolu 17 May '14

17 May '14

(apologies for cross-posting) 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 from runggal(a)math.unipd.it ----- Date: Sat, 17 May 2014 11:04:09 +0200 From: runggal(a)math.unipd.it Subject: announcement To: vargiolu(a)math.unipd.it Caro Tiziano, potresti per favore diffondere l'allegato annuncio del convegno "SET OPTIMIZATION meets FINANCE, Second International Conference on Set-Valued Variational Analysis and Optimization with Applications in Finance" ? La deadline per iscrizione ed abstracts e' il 30 maggio. Grazie, Wolfgang

1 0

Fwd: Seminario 22 Maggio 2014, Buffoni
by Sara Pasquali 16 May '14

16 May '14

Buongiorno. mi permetto di inoltrarvi un annuncio di seminario organizzato dal CNR-ISMAR di Santa Teresa (Pozzuolo di Lerici - La Spezia). Saluti Sara Pasquali -------- Messaggio originale -------- Buongiorno, vi informo che giovedì 22 Maggio 2014 alle ore 10.30 il Dr. Giuseppe Buffoni, ex ENEA La Spezia, attualmente associato CNR - IMATI di Milano, terrà un seminario, presso la sala conferenze di Santa Teresa (Pozzuolo di Lerici - La Spezia), dal titolo "decomposizione di un campo vettoriale piano in componenti irrotazionale (campo gradiente) e rotazionale (campo a divergenza nulla)". Il seminario verterà sui seguenti argomenti principali: - il problema, dominio finito e infinito - dominio finito: uno sguardo alla letteratura - formulazione di un B.v.p.: proprieta', esistenza di soluzioni, spettro - approssimazione numerica: proprieta' del problema discreto - metodi numerici: SVD, minimo di un funzionale di Tichonov, gradienti coniugati - risultati di una decomposizione - situazioni che influenzano la decomposizione:zeri del campo, dimensioni del dominio, livello di stocasticita' del campo - osservazioni conclusive La locandina e' in allegato in formato PDF, mentre il calendario aggiornato dei seminari e' disponibile alla pagina http://seminari.sp.ismar.cnr.it Buona giornata, Marco Bianucci _______________________________________________ Marco Bianucci Istituto di Scienze Marine, ISMAR - CNR Forte Santa Teresa Pozzuolo di Lerici 19032 Lerici, La Spezia(IT) Ph. +39 0187 978302 Fax.+39 0187 978585 mailto:marco.bianucci@cnr.it --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com -- ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Sara Pasquali CNR-IMATI Via Bassini, 15 I-20133 MILANO - ITALY =========== Tel. +39 02 23699525 Fax. +39 02 23699538 e-mail: sara(a)mi.imati.cnr.it ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

1 0

Fwd: Postdoctoral positions in Buenos Aires - Argentina
by Francesco Caravenna 16 May '14

16 May '14

Ricevo e inoltro. Da: Leonardo Rolla <leorolla(a)dm.uba.ar> Oggetto: Postdoctoral positions in Buenos Aires - Argentina Data: 16 maggio 2014 06:36:00 GMT+02:00 A: "Leonardo T. Rolla" <leorolla(a)dm.uba.ar> Dear colleagues, I would much appreciate if you could help me broadcast the announcement below. Sorry in advance for any duplicates. Best regards, Leonardo T Rolla Universidad de Buenos Aires ---------- Forwarded message ---------- Date: Wed, 14 May 2014 21:57:41 -0300 (ART) From: Probability Buenos Aires <probab(a)dm.uba.ar> To: Probability Buenos Aires <probab(a)dm.uba.ar> Subject: Postdoctoral positions in Buenos Aires - Argentina Applications are invited for post-doctoral positions in Probability and related areas. Please feel free to forward this message to other colleagues and potential candidates. The dealine is May 30. The positions last two years and have a monthly stipend of 8682 pesos, to start in April 2015. Applicants should be write to probab(a)dm.uba.ar attaching: - CV - Motivation letter - Short research statement Two short recommendation letters should be sent directly to the same address before June 02. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Our best regards, Buenos Aires Probability Group

1 0

avviso seminario Christian Brownlees
by Lea Petrella 15 May '14

15 May '14

Christian Brownlees Department of Economics and Business, Universita' Pompeu Fabra terra' un seminario dal titolo: Nets: Network Estimation for Time Series il giorno 20 maggio 2014 alle ore 14.30 presso l'aula Fanfani, quinto piano del Dipartimento MEMOTEF, Facolta' di Economia, Sapienza Universita' di Roma, Viale del Castro Laurenziano 9. Tutti gli interessati sono invitati a partecipare Segue abstract in calce Lea Petrella Abstract: This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non--zero long run partial correlations. We then introduce a two step LASSO procedure, called NETS, to estimate high--dimensional sparse Long Run Partial Correlation networks. This approach is based on a VAR approximation of the process and allows to decompose the long run linkages into the contribution of the dynamic and contemporaneous dependence relations of the system. The large sample properties of the estimator are analysed and we establish conditions for consistent selection and estimation of the non-zero long run partial correlations. The methodology is illustrated with an application to a panel of U.S. bluechips -- **************************************************** Prof. Lea Petrella Memotef Department Sapienza University of Rome http://geostasto.eco.uniroma1.it/utenti/petrella *****************************************************

1 0

Avviso di seminari :: (Steorts + Shalizi)@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 15 May '14

15 May '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i ----------------------------------------------------------------------------- Martedì 20 Maggio, ore 14:30 ----------------------------------------------------------------------------- Sala 34 (quarto piano) Dipartimento di Scienze Statistiche, Sapienza REBECCA STEORTS (Dep. of Statistics, Carnegie Mellon University, Pittsburgh) terrà un seminario dal titolo (abstract allegato) WILL THE REAL STEVE FIENBERG PLEASE STAND UP: A BAYESIAN APPROACH TO GRAPHICAL RECORD LINKAGE ----------------------------------------------------------------------------- Giovedì 22 Maggio, ore 14:30 ----------------------------------------------------------------------------- Sala 34 (quarto piano) Dipartimento di Scienze Statistiche, Sapienza COSMA SHALIZI (Dep. of Statistics, Carnegie Mellon University, Pittsburgh) terrà un seminario dal titolo DYNAMICS OF BAYESIAN UPDATING WITH DEPENDENT DATA AND MISSPECIFIED MODELS ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis

1 0

Summer School in Green Energy Management: Milan, July 21 - August 1
by Tiziano Vargiolu 14 May '14

14 May '14

(apologies for cross-postings) 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 -------------------------------------------------------------------------- -------- Messaggio originale -------- Oggetto: Data: Wed, 14 May 2014 16:32:26 +0200 Mittente: Silvana Stefani <silvana.stefani(a)unimib.it> A: 'Antonella Basso' <basso(a)unive.it> CC: <silvana.stefani(a)unimib.it> Cara Antonella, chiedo la diffusione di questa iniziativa: GEM - Green Energy Management - Summer School Un caro saluto Silvana _______________________________________________ Random mailing list Random(a)mail.dm.unipi.it https://mail.dm.unipi.it/listinfo/random -- Antonella Basso Dipartimento di Economia Universita Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns." -- Antonella Basso Dipartimento di Economia Universita Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

Fwd: Senior Research Fellowship in Data Science at Oxford (fwd)
by Tiziano Vargiolu 14 May '14

14 May '14

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: Tue, 13 May 2014 18:40:22 +0200 From: runggal(a)math.unipd.it To: vargiolu(a)math.unipd.it Subject: Fwd: Senior Research Fellowship in Data Science at Oxford ----- Forwarded message from Xun.Zhou(a)maths.ox.ac.uk ----- Date: Tue, 13 May 2014 17:22:53 +0100 (BST) From: Xun Yu Zhou <Xun.Zhou(a)maths.ox.ac.uk> Subject: Senior Research Fellowship in Data Science at Oxford Dear all The Mathematical and Computational Finance Group at Oxford is recruiting a Senior Research Fellow in Data Science for the newly established Oxford-Nie Financial Big Data Lab. Attached please find the position announcement. Please feel free to forward it to anyone who might be interested. Many thanks indeed. Regards Xunyu Zhou -- Xunyu Zhou Nomura Professor of Mathematical Finance Director, Nomura Centre for Mathematical Finance Mathematical Institute University of Oxford Radcliffe Observatory Quarter Woodstock Road OX2 6GG Oxford, UK Email: zhouxy(a)maths.ox.ac.uk Tel.: +44 1865 280614 Fax: +44 1865 270715 http://people.maths.ox.ac.uk/~zhouxy/

1 0

seminario di Marco Bianchetti presso Prometeia - Bologna (fwd)
by Tiziano Vargiolu 14 May '14

14 May '14

---------- Forwarded message ---------- Date: Wed, 14 May 2014 11:25:16 +0100 From: Giacomo Scandolo <giacomo.scandolo(a)univr.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: seminario di Marco Bianchetti presso Prometeia - Bologna Caro Tiziano, potresti diffondere questo avviso di seminario tramite la tua lista? Ti ringrazio. Ciao Giacomo ============================================ Il giorno Giovedi 22 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Marco BIANCHETTI (Head of Financial Modelling & Validation - Intesa San Paolo) terra un seminario dal titolo "Modern derivatives pricing with collateral and funding risk" Abstract * The interest rate market after the credit crunch * Modern derivatives modelling with multiple funding sources * Funding Value Adjustment (FVA)

1 0

seminario di Marco Bianchetti presso Prometeia - Bologna
by Giacomo Scandolo 14 May '14

14 May '14

Il giorno Giovedì 22 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Marco BIANCHETTI (Head of Financial Modelling & Validation - Intesa San Paolo) terrà un seminario dal titolo "Modern derivatives pricing with collateral and funding risk" Abstract * The interest rate market after the credit crunch * Modern derivatives modelling with multiple funding sources * Funding Value Adjustment (FVA)

1 0

Seminario di G. Giacomin a Milano-Bicocca (21.05.2014)
by Francesco Caravenna 13 May '14

13 May '14

Mercoledì 21 maggio 2014 alle ore 11:00, nell'aula 3014 del Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca (edificio U5, via Cozzi 55, Milano), Giambattista Giacomin (Université Paris Diderot) terrà un seminario dal titolo NOISE INDUCED RHYTHMIC PHENOMENA Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%% Sommario: Large families of noisy interacting units (cells, individuals, components in a circuit, ...) exhibiting synchronization often exhibit oscillatory behaviors too. This is a well established empirical observation that has attracted a remarkable amount of attention, notably in life sciences, because of the central role played by internally generated rhythmic behaviors. This modeling effort has produced a number of elementary models that seem to capture the essence, or at least some essential features, of this phenomenon, but the mathematical analysis turns out to be very challenging. The talk will focus on the mathematical results that can be established for a class of elementary models and this will be the mean to discuss open problems and to approach the intriguing issue of why noise appears to be a crucial ingredient. %%%%%%%%%%%%%%%%%% -- _________________________________________ 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/ _________________________________________

1 0

Firenze, 21 Maggio: Seminario su Risk Aggregation and Model Uncertainty
by mariaelvira.mancino＠unifi.it 12 May '14

12 May '14

Il 21 Maggio alle ore 10.30 presso l'aula 003 dell'edificio D4 del Polo delle Scienze Sociali in Via delle Pandette a Firenze Giovanni Puccetti - Università degli Studi di Firenze - terrà un talk su Risk Aggregation and Model Uncertainty: some messages from the methodological front Abstract: We review and discuss some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and we discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement. Specific issues that will be handled: - How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position? Tutti gli interessati sono invitati a partecipare.

1 0

6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ---------- Forwarded message ---------- Date: Mon, 12 May 2014 02:15:44 -0700 (PDT) From: Attilio Meucci <attilio.meucci(a)symmys.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: 6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci Dates: August 11-16, 2014. Location: New York University 40 CE units CFA Institute, 40 CPE units GARP The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises. Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more. Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve. See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk To register go to http://www.symmys.com/arpm-bootcamp/registration , or contact us at arpm.bootcamp(a)symmys.com

1 0

[Dynstoch] Newsletter (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(again, apologies for cross-posting) ---------- Forwarded message ---------- Date: Sun, 11 May 2014 22:30:52 +0000 From: Dynstoch Newsletter <sci-math-dynstoch(a)list.ku.dk> To: "sci-math-dynstoch(a)list.ku.dk" <sci-math-dynstoch(a)list.ku.dk> Subject: [Dynstoch] Newsletter DYNSTOCH NEWSLETTER 12 April 2014 ************************************************ Workshop on Statistical Inference for L?vy Processes Dates: 22 Sep 2014 - 25 Sep 2014 Location: Lorentz Center, Leiden Website: http://tinyurl.com/ph86pbw Invited speakers: Denis Belomestny (Universit?t Duisburg-Essen) Lo?c Chaumont (Universit? Angers) Jos? Manuel Corcuera (Universitat de Barcelona) Valentine Genon-Catalot (Universit? Paris 5) Marc Hoffmann (Universit? Paris Dauphine) Jean Jacod (Universit? Paris 6 Pierre et Marie Curie) Cecilia Mancini (Universit? degli Studi di Firenze) Yuliya Mishura (Taras Shevchenko National University of Kyiv) Antonis Papapantoleon (Technische Universit?t Berlin) Philip Protter (Columbia University) Markus Rei? (Humboldt-Universit?t zu Berlin) Viktor Todorov (Northwestern University) Mathias Vetter (Philipps-Universit?t Marburg) There is no registration fee. For more information, particularities and registration, see the website. Scientific organisers: Shota Gugushvili (Leiden, The Netherlands), Peter Spreij (Amsterdam, The Netherlands), Aad van der Vaart (Leiden, The Netherlands), Harry van Zanten (Amsterdam, The Netherlands) --------------------------------------------------------------------------- Michael S?rensen, Professor and Associate Chair for Research Dept. of Mathematical Sciences E-mail: michael(a)math.ku.dk University of Copenhagen Tel.: +45 3533 0402 Universitetsparken 5 Fax: +45 3532 9555 DK-2100 Copenhagen ? Web-page: www.math.ku.dk/~michael Denmark Skype: michaelsor1 --------------------------------------------------------------------------- _______________________________________________ sci-math-dynstoch mailing list sci-math-dynstoch(a)list.ku.dk http://list.ku.dk/listinfo/sci-math-dynstoch

1 0

Fwd: AMaMeF: FYI - Call for applications postdoc Université libre de Bruxelles (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ----- Forwarded message from giulian(a)math.uio.no ----- Date: Sun, 11 May 2014 20:40:01 +0200 From: Giulia Di Nunno <giulian(a)math.uio.no> Subject: AMaMeF: FYI - Call for applications postdoc Universit? libre de Bruxelles To: Giulia Di Nunno <giulian(a)math.uio.no> Cc: Giulia Di Nunno <giulian(a)math.uio.no> > Call for applications: > ARC Postdoctoral Research Fellowship in Mathematical Finance and Insurance > Department of Mathematics, Universit? libre de Bruxelles > Start Date: October 2014 . Duration: 2 years, non-renewable. > Application Deadline: June 15, 2014 > > The Universit? Libre de Bruxelles invites applications for a post-doctoral > fellowship. This postdoctoral position (without teaching load) will be for > two years and will start on the 1st of October 2014. It will be based in the > Actuarial Sciences Unit of the Department of Mathematics. > > The position is funded by the "Action de Recherche Concert?e" grant (ARC) on > "Interaction between Analysis, Probability and Actuarial Sciences" (IAPAS). > > Candidates for the ARC Postdoctoral Fellowship should hold a PhD in > mathematics, statistics, actuarial sciences or a closely related subject and > are expected to have proven research ability in mathematical sciences, as > well as a research interest in mathematical modelling in finance and > insurance. Candidates should have a demonstrated record of research > achievements, as evidenced by journal publications and conference > presentations. A profound knowledge of L?vy processes or Wishart processes > would be favourable. > > Candidates should have demonstrable excellent written and verbal > communication skills (in English), with the ability to give effective > presentations and contribute significantly to the research activities of the > Actuarial Sciences Unit and the Department of Mathematics of the ULB. > > Candidates should apply by email to Griselda.Deelstra(a)ulb.ac.be with a CV, a > list of publications and a research plan before 15 June 2014. > More information about the Department of Mathematics at the ULB can be found > at > http://www.ulb.ac.be/facs/sciences/math/index.html > and the Actuarial Sciences Unit at: > https://www.ulb.ac.be/rech/inventaire/unites/ULB454.html > > For further information contact Professor Griselda Deelstra at > Griselda.Deelstra(a)ulb.ac.be. > See also > http://homepages.ulb.ac.be/~grdeelst/Call_for_applications_postdoc_ULB.pdf > ----- End forwarded message -----

1 0

PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion
by Enrico Scalas 10 May '14

10 May '14

Car* collegh*, vi invio questo annuncio per un dottorato a Bilbao con preghiera di diffusione a eventuali persone interessate. Cordiali saluti, Enrico Scalas ________________________________________ From: Gianni Pagnini [gpagnini(a)bcamath.org] Sent: 10 May 2014 10:14 To: Enrico Scalas Cc: Gianni Pagnini BCAM Subject: PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion Dear Prof. E. Scalas, I send you the announcement of a PhD position at BCAM in Bilbao, Basque Country - Spain, with the request to inform about this anyone that may be interested. Sincerely Yours, Gianni Pagnini --------------- PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion A PhD position is available at BCAM-Bilbao<http://www.bcamath.org/en/> (Basque Country - Spain) to develop a research project on stochastic processes for anomalous diffusion within the Statistical Physics Research Line<http://www.bcamath.org/en/research/lines/SP>. The PhD project is described in the attached document. Application deadline will be June 2, 2014. More details on the PhD position as well as the on-line application (Statistical Physics) are available at: http://www.bcamath.org/en/research/job/phd-student-positions Further information can be requested directly to Gianni Pagnini: gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> | www.bcamath.org/gpagnini <http://www.bcamath.org/gpagnini> ( matematika mugaz bestalde )

1 0

Cancellazione mini-corso Bulla@DSS
by Pierpaolo Brutti 10 May '14

10 May '14

Scusandomi ulteriormente per il profluvio di mail riguardanti questo mini-corso, comunico che il corso in questione è stato cancellato per sopraggiunti problemi di salute dello speaker. Buon w.e. --P

1 0

Mini-corso Bulla@DSS :: *iscrizione* & errata corrige
by Pierpaolo Brutti 09 May '14

09 May '14

Scusandomi per il mail-bombing, faccio notare che nella precedente email l'orario della seconda lezione era sbagliato & mancava il link al modulo di iscrizione (...tutto gratis! ma i posti son solo 30...) Pardon... --Pierpaolo ----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 12 Maggio, ore 15:00-17:00 Martedì, 13 Maggio, ore 15:00-17:00 ----------------------------------------------------------------------------- Aula XII (piano terra, palazzina Tuminelli) Dipartimento di Scienze Statistiche Sapienza Università di Roma JAN BULLA (Université de Caén) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo A GENTLE INTRODUCTION TO HIDDEN MARKOV MODELS Il corso è gratuito ma, dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form on line: http://goo.gl/a9FCjI Entro Domenica 11/5 verrà inviata conferma dell'effettiva disponibilità del posto richiesto all’indirizzo email fornito. Come sempre “first come, first served”, con possibile piccolo bias in favore di studenti di dottorato. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti

1 0

avviso di seminario
by Marco Fuhrman 08 May '14

08 May '14

Il giorno martedi' 20 maggio 2014, alle ore 12:00, il professor Jean Jacod Universite' Pierre et Marie Curie, Paris terra' un seminario dal titolo Is a discretely observed semimartingale of Ito type? presso il Dipartimento di Matematica del Politecnico di Milano (aula seminari "Fausto Saleri", sesto piano). Tutti gli interessati sono cordialmente invitati. Marco Fuhrman Abstract. In high-frequency statistics, and among various hypotheses, the fact that the underlying observed process is an Ito semimartingale is always assumed. However, for financial data for example, prices should be semimartingales (because of the "fundamental asset pricing theorem"), but there is no reason why it should be an Ito semimartingale. So it is important to derive tests for checking whether this assumption is enforced, or not. The problem cannot be solved in full generality, but we will see that under some restrictive structural assumptions, plus the fact that the process is continuous, some tests can be constructed. This is joint work with Yacine Ait-Sahalia.

1 0

Workshop In August at GSSI
by davide gabrielli 08 May '14

08 May '14

Blowup for the equations of Fluid Dynamics and Renormalization Group methods August 18-29, 2014 @GSSI - LAquila The aim of the workshop is to discuss and present to young researchers and PhD students problems connected with singularities of the equations of fluid mechanics, in particular of the NS equations, and their possible application as models of physical phenomena. The School & Workshop will be held at GSSI from August 18 to 29, 2014. Preliminary list of confirmed speakers Susan Friedlander (UCLA) Uriel Frisch (CNRS, Nice) Giovanni Jona-Lasinio (Università di Roma La Sapienza) Konstantin Khanin (Toronto University ), Dong Li (University of British Columbia), Mario Pulvirenti(Università di Roma La Sapienza) Alexander Shnirelman (Concordia University, Montreal), Yakov Sinai (Princeton University) Victor Yakhot (Boston University) Organizing and Scientific Committee Carlo Boldrighini Anna De Masi Errico Presutti Yakov G. Sinai more inftormations at http://www.gssi.infn.it/index.php/en/seminars-and-events-2014/960-blowup-fo…

1 0

Workshop on "Advanced statistical and numerical methods for the analysis of high dimensional functional data" - FIRB SNAPLE closing workshop
by Laura M. Sangalli 08 May '14

08 May '14

------------------------------------------------------------------------ Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering FIRB SNAPLE closing workshop Politecnico di Milano, 15-16 May 2014 ------------------------------------------------------------------------ http://www.mate.polimi.it/snaple2014/ Registration deadline: ***/Tomorrow/, the 9th of May *** There is no registration fee. Registration is nevertheless necessary for organizational reasons. ------------------------------------------------------------------------ This is the third and closing workshop of the starting grant project FIRB Futuro in Ricerca "Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering", funded by MIUR Ministero dell'Istruzione dell'Università e della Ricerca, December 2010 - July 2014: http://mox.polimi.it/users/sangalli/firbSNAPLE.html Soon renamed SNAPLE: Statistical and Numerical methods for the Analysis of Problems in Life sciences and Engineering. SNAPLE aims at providing a substantial contribution to the development of innovative methods for the analysis of high-dimensional functional data, interfacing advanced statistical and numerical techniques. The workshop features talks about some of the achieved results and ongoing investigations of FIRB SNAPLE project, as well as various talks from internationally renowned scientists, with the aim discussing and exchanging ideas on new research perspectives. Invited speakers include: John Aston, Cambridge Marc Genton, KAUST Tilmann Gneiting, Heidelberg Institute for Theoretical Studies (HITS) and Karlsruhe Institute of Techology (KIT) Alberto Guadagnini, Politecnico di Milano Hans-Georg Muller, Universty of California - Davis Fabio Nobile, École Polytechnique Fédérale de Lausanne Davide Pigoli, Cambridge Jim Ramsay, McGill University. Registration to the workshop is free, but attendees are kindly requested to register at conference website: http://www.mate.polimi.it/snaple2014/ Best regards, 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

1 0

Avviso di mini-corso :: Bulla@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 08 May '14

08 May '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 12 Maggio, ore 15:00-17:00 Martedì, 13 Maggio, ore 13:00-17:00 ----------------------------------------------------------------------------- Aula XII (piano terra, palazzina Tuminelli) Dipartimento di Scienze Statistiche Sapienza Università di Roma JAN BULLA (Université de Caén) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo A GENTLE INTRODUCTION TO HIDDEN MARKOV MODELS Tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Questo corso fa parte delle attività promosse nell’ambito del FIRB Futuro in Ricerca 2012: “Modelli mistura e a variabili latenti per l'inferenza causale e l'analisi di dati socio-economici”. Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Syllabus Introduction Fundamentals Independent mixture distributions Markov chains Hidden Markov Models The basic hidden Markov model Marginal distributions and moments of a hidden Markov model The likelihood of a hidden Markov model Parameter Estimation Forward and backward probabilities The EM-algorithm Direct maximization of the likelihood Parameter restrictions Numerical underflow An efficient algorithm Standard errors of the parameter estimates Forecasting and Decoding Conditional distributions Forecast distributions Decoding Local decoding Global decoding State prediction

1 0

SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 07 May '14

07 May '14

A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA jointly organize the Summer School in Economics and Finance - Canazei 2014 Alba di Canazei, Trento - Italy July 14 - 18 ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS Prof. Michael Waterson, University of Warwick, Department of Economics*,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ Prof. Luigi Grossi, University of Verona, Department of Economics,http://www.dse.univr.it/?ent=persona&id=3862&lang=en Dr. Fany Nan, University of Verona, Department of Economics. Application: submission deadline: May 12** If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address:basso@unive.it Web page:http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

seminario di Z. Brzezniak a Pisa
by Marco Romito 07 May '14

07 May '14

Il giorno 13 maggio 2014, alle ore 9:30, presso la sala seminari del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: Z. Brezniak (University of York): Invariant measures for stochastic Navier-Stokes equations in unbounded domains via bw-Feller property Abstract: In this talk I will describe a general result on the existence of invariant measure for Markov processes having the bw-Feller property and will show how this can be applied to stochastic Navier-Stokes equations in unbounded domains. This talk is based on joint works with M. Ondrejat and Ela Motyl. The results presented are in some sense generalisations of related results for stochastic nonlinear beam and wave equations (where a Pritchard-Zabczyk trick playes an essential role) obtained in a joint woth with M. Ondrejat and J. Seidler. Tutti gli interessati sono invitati a partecipare. m.

1 0

seminario Ruodu Wang in Bicocca
by fabio.bellini 07 May '14

07 May '14

Il giorno martedì 13 maggio alle ore 15.00 presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano Bicocca, al IV piano dell'edificio U7, il dott. Ruodu Wang della Università di Waterloo (Canada) terrà un seminario su: Admissible distributions of risk aggregation Abstract Modeling inter-dependence between individual risks often faces statistical as well as probabilistic challenges, in which dependence uncertainty naturally arises. In this talk, we consider problems of risk aggregation with dependence uncertainty. The core question of interest is to characterize admissible distributions of risk aggregation, where marginal distributions of individual risks are assumed known but the joint dependence structure is unknown. In the first part of the talk, we will summarize finite dimensional results based on the notion of joint mixability, and discuss their relevance to optimization problems in risk management. In the second part of the talk, we will study asymptotic problems of admissible risk aggregation with identical margins. The results are concise and, in the meanwhile, surprising. We hope to deliver the following message: with the marginal distribution known and dependence structure unknown, we know essentially nothing about the asymptotic shape of the sum of random variables. Tutti gli interessati sono invitati a partecipare. Fabio Bellini

1 0

International Conference in Venice - CALL FOR PAPERS
by Monica Billio 07 May '14

07 May '14

13th INTERNATIONAL CONFERENCE C R E D I T 2014 *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector *Venice, Italy 25 - 26 September 2014 *GRETA Associati *(Venice, Italy), *Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt* (Frankfurt, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 25 - 26, 2014. 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 *thirteenth* of a series dedicated to various aspects of credit risk. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * *Banking regulation* (Banking union, Design of supervisory institutions and processes, Regulatory instruments) * * Credit Risk and Stress testing (*Counterparty risk, Credit and Liquidity, Stressed credit risk measures, Feedback effects or second round effects, Firm wide stress testing, Multivariate extreme events, Tail dependence) * * New development in the banking markets* (Banking business models, Shadow banking, Response to regulatory changes) * *Financial markets regulation* (CCP, Transaction taxes, Decentralized trades and Systemic risk) * *Risk disclosure: homogeneity and comparison of risk measures (*Data integration and validation, Risks integration, Effectiveness of Pillar 3 disclosure) The Scientific Committee for the Conference consists of: *Jan Krahnen*, Goethe University,**Programme Chair *Monica Billio*, Ca? Foscari University of Venice *Steven Ongena*, University of Zurich *Stephen Schaefer*, London Business School *Kenneth Singleton*, Stanford University The final program will include both submitted and invited papers. Acceptances received from invited speakers include *Franklin Allen* (University of Pennsylvania & Imperial College London), *Ignazio Angeloni* (ECB), *Thierry Foucault* (HEC Paris). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *May 31, 2014 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 30, 2014*. The final version of accepted papers must be received by August 31, 2014. Please send papers: 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/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm>). Registration fees are: Early registrationLate registration (within August 24th)(from August 25th 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 25, 2014, for which there is an extra charge of 80.00 Euro for each partecipant (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2014: Papers submission deadline June 30, 2014: Paper acceptance notification August 18, 2014: Deadline for early registration August 31, 2014: Deadline for sending final version of accepted papers For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm> * Please accept our apologies for any crossed e-mails. ** If you do not want to receive more information from this e-mailing list, please reply to this message with Subject "Cancel from Mailing List". T -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 06 May '14

06 May '14

A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA jointly organize the Summer School in Economics and Finance - Canazei 2014 Alba di Canazei, Trento - Italy July 14 - 18 ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS Prof. Michael Waterson, University of Warwick, Department of Economics*,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ Prof. Luigi Grossi, University of Verona, Department of Economics,http://www.dse.univr.it/?ent=persona&id=3862&lang=en Dr. Fany Nan, University of Verona, Department of Economics. Application: submission deadline: May 12** If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address:basso@unive.it Web page:http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

Fwd: PhD call
by Irene Crimaldi 06 May '14

06 May '14

*2014/15 PhD program at IMT Institute for Advanced Studies Lucca* Deadline for applications – July 14th 2014, 6 pm Italian time To apply: http://phd.imtlucca.it Applications are now being accepted for the 2014/15 PhD program at the IMT Institute for Advanced Studies Lucca (www.imtlucca.it). Highly motivated candidates are invited to apply for fully-funded positions within a doctoral program that integrates scientific competences of economics, engineering, computer science, physics, applied mathematics, statistics, history and sciences of cultural heritage. The three year program is articulated in curricula. The 8 curricula currently offered are field-specific, although in many instances they share a common scientific background. Candidates can apply for one (or more) of the following curricula:  Economics (ECON)  Management Science (MS)  Complex Networks (CN)  Computational Mechanics (CM)  Control Systems (SYS)  Computer Science (CS)  Image Analysis (IA)  Analysis and Management of Cultural Heritage (AMCH) Courses are led by world-renowned researchers and provide students with the necessary theoretical skills and advanced tools for rigorously tackling a multitude of analysis, design and management problems within the broad framework of systems analysis. In fact, IMT's outgoing PhDs will be able to use the skills they obtained during their studies to recognize and resolve complex problems to choose the most appropriate method or instrument to utilize when affronting these problems, even in disciplines outside of their primary field of research. All students are based in the newly restored San Francesco complex, a fully integrated campus in the historical center of the beautiful Tuscan city of Lucca. The campus includes residential facilities, including an on-site canteen, study and living rooms, and outdoor recreational spaces, all serving to add a cultural and social dimension to the professional experience of the doctoral program. Eligible students will also receive a research scholarship which amounts to approximately €13,600/year. The PhD program at IMT attracts students from around the world, providing a truly international environment. English is the official language of the Institute. To further enhance the internationality of the program, all students have the opportunity to spend anywhere from 2-9 months abroad at a research institute or university, with the possibility of receiving additional financing through the Erasmus+ program. To find out more about the institute, the requirements for admission and how to apply, please see http://phd.imtlucca.it. *The deadline for applications is July 14th 2014, 6 pm Italian time.* Find IMT on Facebook, Twitter, LinkedIn and YouTube for the latest news. Irene Crimaldi IMT Institute for Advanced Studies Lucca

1 0

Clay Conference on Integrability and Universality in Probability
by Francesco Caravenna 06 May '14

06 May '14

Ricevo e inoltro. > Da: Lorenzo Zambotti <lorenzo.zambotti(a)upmc.fr> > > ---------- Forwarded message ---------- > From: Ivan Corwin <ivan.corwin(a)gmail.com> > Date: Sat, May 3, 2014 at 12:05 AM > Subject: Clay Conference on Integrability and Universality in Probability > To: Ivan Zachary Corwin <ivan.corwin(a)gmail.com>, Martin Hairer <M.Hairer(a)warwick.ac.uk> > > > Dear Colleagues, > > Please distribute this to any colleagues or seminar lists you believe would be interested. > > This is the announcement of the workshop "Advances in Probability: Integrability, Universality and Beyond" which will be held in Oxford UK from Sunday, September 28, 2014 to Thursday, October 2, 2014 as part of the Clay Research Conference. More information can be found at the conference website (http://www.claymath.org/events/advances-probability-integrability-universal…). > The workshop will focus on the following topics: > > Random interface growth, particle systems, stochastic PDEs, and the Kardar-Parisi-Zhang equation and universality class > Random matrix theory > Two-dimensional equilibrium statistical mechanics such as the Ising model, percolation, quantum Liouville gravity, and its relation to the Schramm Loewner evolution > Logarithmically correlated processes such as Gaussian free field, and branching diffusion processes > Speakers: Gerard Ben Arous (NYU), Itai Benjamini (Weizmann), Nathanael Berestycki (Cambridge), Alexei Borodin (MIT), Amir Dembo (Stanford), Christina Goldschmidt (Oxford), Geoffrey Grimmett (Cambridge), Alice Guionnet (MIT), Grégory Miermont (ENS Lyon), Jason Miller (MIT), Ashkan Nikeghbali (Zurich), Neil O'Connell (Warwick), Yuval Peres (Microsoft), Jeremy Quastel (Toronto), Fabio Toninelli (Lyon), Craig Tracy (UC Davis), Vincent Vargas (Paris), Ofer Zeitouni (Weizmann, NYU). > > Registration is free but required. To register, please email Naomi Kraker, providing the name of your institution and stating which workshop you wish to attend. Students please also provide a letter of reference from your supervisor. > > A limited number of accommodation rooms is available for PhD students and early career researchers. Please email Naomi Kraker for more information. > > Best Regards, > > Ivan Corwin and Martin Harier > > > > -- > Lorenzo Zambotti > Postal Address: > Universite' Paris 6, LPMA - Boite courrier 188 > 4, place Jussieu - 75252 Paris cedex 05, France > > Bureau n. 22, 2eme etage, tours 16/26, Jussieu > E-mail: lorenzo.zambotti(a)upmc.fr > URL: http://www.proba.jussieu.fr/~zambotti/ _________________________________________ 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/ _________________________________________

1 0

STUDENTSHIP: PhD studentships, University of Padova, Italy
by Patrizia Piacentini 06 May '14

06 May '14

For the academic year 2014/2015 the University of Padova, Italy, offers 15 research fellowships for foreign students to attend Doctoral/International Courses - Deadline: 9 June 2014 - The call for application is available at the following address: http://www.unipd.it/en/node/142 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 November 1st, 2014 and will end on October 31st, 2017. Application is to be made following carefully the instructions in the announcement. The PhD School 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. Monica Chiogna Coordinator Phd Course in Statistics University of Padova Italy

1 0

SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 06 May '14

06 May '14

*A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA * ** *jointly organize the* *Summer School in Economics and Finance - Canazei 2014* *Alba di Canazei, Trento - Italy* ** *July 14 - 18* ** *ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS* *Prof. Michael Waterson, University of Warwick, Department of Economics,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ *Prof. Luigi Grossi, University of Verona, Department of Economics,*http://www.dse.univr.it/?ent=persona&id=3862&lang=en *Dr. Fany Nan, University of Verona, Department of Economics.* *Application: submission deadline: May 12* If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

Application for the PhD in Economics at the Ca' Foscari University of Venice
by Marco Corazza 05 May '14

05 May '14

Dear All, it is possible to apply for the PhD in Economics at the Ca' Foscari University of Venice (30th cycle, a.y. 2014/15). Deadline: May 29th, 2014. All information at: http://www.unive.it/nqcontent.cfm?a_id=173236. Please, give the maximum diffusion. Best regards, Marco Corazza -- 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 -- <<Wall Street traders now joke that "January effect" is more likely occur on the previous Thanksgiving.>> Malkiel B.G., "The efficient market hypothesis and its critics", Journal of Economics Perspectives, 17(1), 59-82 [page 64] -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

Minicorso Prof. Albeverio - Dipartimento di Informatica - UniVr [12-14 Maggio]
by Luca di persio 03 May '14

03 May '14

Il Prof. Sergio Albeverio [ Dept. Appl. Mathematics, University of Bonn, HCM, BiBoS, IZKS ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 12 al 16 Maggio 2014 e terrà un minicorso dal titolo ” *Weak solutions, martingale problem, Feynman-Kac theorem and applications* “ articolato in due lezioni che si terranno presso il Dipartimento stesso nei giorni di - Lunedì 12 Maggio [ Aula D, 14:30-17:30 ] - Mercoledì 14 Maggio [ Aula D , 14:30-16:30 - Aula B , 16:30-17:30 ] Per informazioni contattare: luca.dipersio(a)univr.it __ 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

1 0

seminario di A. Debussche a Pisa
by Marco Romito 03 May '14

03 May '14

Il giorno 7 maggio 2014, alle ore 11:00, presso l'aula riunioni del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: A. Debussche (ENS Rennes): "Invariant measures for stochastic conservation laws" Tutti gli interessati sono invitati a partecipare. m.

1 0

[Fwd: [gdre-conedp] Fwd: post-doc] (fwd)
by Tiziano Vargiolu 02 May '14

02 May '14

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 --------------------------------------------------------------------------

1 0

Fwd: 10 PhD positions in Math at GSSI L'Aquila Italy
by c.costantini＠unich.it 29 Apr '14

29 Apr '14

Ricevo e volentieri inoltro. Cristina Costantini ----- Messaggio inoltrato da pierangelo.marcati(a)gssi.infn.it ----- Data: Tue, 29 Apr 2014 11:37:19 +0200 Da: Pierangelo Marcati <pierangelo.marcati(a)gssi.infn.it> Oggetto: 10 PhD positions in Math at GSSI L'Aquila Italy *PLEASE DIFFUSE BETWEEN INTERESTED PEOPLE* *WE APOLOGIZE FOR MULTIPLE E-MAILS* *10 *fellowships at GSSI L'AQUILA Italy, for the PhD program of Mathematics in Natural, Social and Life Sciences *( in collaboration with SISSA International School for Advanced Studies, Trieste)* Core Topics: Stochastic Analysis, PDEs, Mathematical Modelling, Numerics *Online applications * http://www.gssi.infn.it/phd/ Deadline June 22, 2014 *Download the* *call for applications* at http://www.gssi.infn.it/phd/docs/call_english_14-15.pdf *S*cholarships GSSI awards scholarships for* 3 years. * The yearly amount of the scholarship is of EURO 16.159,91 gross Facilities and benefits All PhD students *will receive free* accommodation on GSSI facilities, tuition fees waived, free luncheon vouchers *For further informations *please contact info(a)gssi.infn.it * Pierangelo Marcati * Mathematics & Computer Science Division, Chair GranSasso Science Institute, INFN - L'Aquila - Italy http://www.gssi.infn.it http://www.gssi-aq.eu Professor at Department of Information Engineering, Computer Science and Mathematics University of L'Aquila - Italy Skype name: p.marcati http://univaq.it/~marcati ++39(086)243-3143 ++39(086)243-3180 ----- Fine messaggio inoltrato. -----

1 0

Deadline for Workshop MathStatNeuro 2-4 July Copenhagen is approaching!
by Massimiliano ... 29 Apr '14

29 Apr '14

Dear all, please be aware of the approaching deadline (15th May) to register at the 3-days workshop in Copenhagen, 2nd-4th of July, "Mathematical Modeling and Statistical Analysis in Neuroscience", organised by Rune Berg, Susanne Ditlevsen and me and funded by the Dynamical Systems Interdisciplinary Network, University of Copenhagen, www.dsin.ku.dk. The workshop will bring together theoretical, experimental and computational researchers who are working on various topics in neuroscience. A (partial) list of confirmed speakers is now available on the conference website homepage:http://www.math.ku.dk/english/research/conferences/mathstatneuro2014There is no conference fee and we hope to offer free lunch for all registered participants. If you would like to attend, please register within the 15th May at:http://www.math.ku.dk/english/research/conferences/mathstatneuro2014/registration We hope to welcome you in Copenhagen!Best wishes, Susanne, Rune and Massimiliano -- --------------------------------- Dr. Massimiliano Tamborrino Postdoctoral fellow Department of Mathematical Sciences University of Copenhagen email: mt(a)math.ku.dk URL: http://www.math.ku.dk/~mt/ Universitetsparken 5 DK-2100 Kobenhavn Ø, Denmark -----------------------------------------

1 0

remind: call for associate professor, deadline May, 4, 2014
by Fausto Gozzi 29 Apr '14

29 Apr '14

Avviso: Al sito http://didattica.economiaefinanza.luiss.it/avviso/2014/04/16/call-interest-… è pubblicata una <http://didattica.economiaefinanza.luiss.it/avviso/2014/04/16/call-interest-…>Call for Interest: Associate Professor in Economics (SECS-P/01) Associate Professor in Mathematical Finance (SECS-S/06) LUISS Guido Carli, Rome Department of Economics and Finance Position Title Associate Professor in Economics Associate Professor in Mathematical Finance Deadline: 04/05/2014 Type of position: Full time - Tenured The Department of Economics and Finance at LUISS Guido Carli (Rome) is seeking to fill tenured positions at Associate Professor level in Economics and Mathematical finance. Teaching needs are at all levels: Undergraduate, Masters and Ph.D, in English (and possibly Italian). Candidates will hold a Ph.D. from a recognized Research University, an established teaching experience and an appropriate record of publications in respected and highly ranked international journals. Candidates will also have either an associate professor status in a University or have recently obtained the appropriate national qualification (ASN) of the Italian University System. CVs may be sent only via email to: Giorgio Di Giorgio, Dean, Economics and Finance, <mailto:def@luiss.it>def(a)luiss.it Application Deadline for expressing interest: 04/05/2014 --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

1 0

Seminario di Probabilità - Università di Padova
by Paolo Dai Pra 28 Apr '14

28 Apr '14

Ho il piacere di invitarvi al seguente seminario, che si terrà lunedì 5 Maggio, alle ore 14:30, nell'aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Jacopo Corbetta AFFILIATION: Università di Milano - Bicocca TITLE: SMILE ASYMPTOTICS IN A MULTISCALING STOCHASTIC VOLATILITY MODEL ABSTRACT: We consider a stochastic volatility model which captures some relevant stylized facts of financial series, including the so-called multiscaling of moments. We obtain sharp large deviations estimates for the price, based on a large deviations principle for suitable functionals of a point process, which is of independent interest. This yields explicit asymptotic formulas for the price of European options, and for the related implied volatility, both in the small maturity and large strike regimes. In particular, we show that implied volatility for out-of-the-money options explodes as the maturity vanishes (even though the price has continuous paths), with an explicit limiting shape. (Joint work with F. Caravena) Paolo Dai Pra Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

1 0

Posto di ricercatore a TD presso IMATI CNR
by Antonio Pievatolo 26 Apr '14

26 Apr '14

Invio nuovamente la seguente comunicazione come promemoria. Si segnala il seguente bando di concorso per un posto di ricercatore a tempo determinato, presso l'IMATI CNR, sede di Milano (scadenza 28 aprile 2014; invio domande solo tramite PEC personale) LINK http://www.mi.imati.cnr.it/iami/BANDO_IMATI_002_2014_MI.pdf TEMA DI RICERCA Modellizzazione statistica, programmazione di esperimenti e analisi statistica dei dati, con applicazione a processi di frantumazione e separazione per il riciclo di prodotti elettronici COMPETENZE Competenze di inferenza statistica, anche per processi stocastici, e conoscenze di programmazione statistica degli esperimenti simulati (si veda ad esempio Santner, Williams, Notz "The design and analysis of computer experiments", Springer, 2003); eventuale esperienza di ottimizzazione di processi. REQUISITI RICHIESTI - Diploma di Laurea Magistrale in Scienze Statistiche (LM-82), Matematica (LM-40), Ingegneria Matematica/Modellistica Matematico-Fisica per lIngegneria (LM-44), o diploma di Laurea conseguito secondo la normativa in vigore anteriormente alla riforma di cui al D.M. 509/99 ovvero diploma di Laurea Specialistica, equiparati ai sensi del Decreto Interministeriale 9 luglio 2009, pubblicato nella Gazzetta Ufficiale del 7 ottobre 2009 n. 233. - Titolo di Dottore di Ricerca in Scienze Statistiche, Matematica, Metodi Matematici per lIngegneria o in tematiche affini, O ANCHE aver svolto per un triennio attività di ricerca in settori inerenti alle competenze succitate DATA E ORA DEL COLLOQUIO 12/05/2014 alle ore 14:00 presso la sede dellIstituto di Matematica Applicata e Tecnologie Informatiche E. Magenes - CNR Uos - Milano, Via Bassini 15 - 20133 Milano. TRATTAMENTO ECONOMICO Trattamento economico iniziale del vigente CCNL del Comparto del personale delle Istituzioni e degli Enti di Ricerca e Sperimentazione, corrispondente a quello previsto per il personale del CNR con profilo di Ricercatore, III livello. Antonio Pievatolo

1 0

Workshop on Diversification and Risk - Venice, 16 May 2014
by Monica Billio 25 Apr '14

25 Apr '14

DIVERSIFICATION AND RISK At the heart of the asset management industry, diversification and risk management will be taken up by the presentation of four recent academic papers on this theme and discussed during the panel session that will follow. This event is organized by the QMI/QuantValley Research Project and the International Center for Economics and Finance (ICEF) of the Ca' Foscari University of Venice, with the support of Euronext and CFA Society Italy. It will take place: Ca' Foscari University of Venice, Auditorium Santa Margherita, Campo Santa Margherita, Dorsoduro 3689, Venezia Friday 16 May, from 1.45pm to 7.30pm. CFA Society Italy has determined that this program qualifies for 3,5 CE credit hours under the guidelines of the CFA Institute Continuing Education Program. The workshop is free of charge to attend. The program is available at http://www.qminitiative.org/seminars.html, and free registration is available at the same site. -- 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://venus.unive.it/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

seminario di M. Erbar a Pisa
by Marco Romito 24 Apr '14

24 Apr '14

Il giorno 28 aprile 2014, alle ore 14:30, presso la sala seminari del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: M. Erbar (Bonn Universitaet): Gradient flows of the entropy for jump processes In the last decade optimal transport has proven very successful in the study of diffusion processes and the associated PDEs.The aim of this talk is to present a link between the theory of jump processes and non-local operators and techniques from optimal transport. We introduce a new transport distance between probability measures that is built from a Levy jump kernel via a non-local variant of the Benamou-Brenier formula. We study various properties of this distance. As the main result we identify the semigroup generated by the associated non-local operator as the gradient flow of the relative entropy w.r.t. the new distance. This applies e.g. to the fractional heat equation and provides a non-local analogue of the celebrated result by Jordan--Kinderlehrer--Otto. Tutti gli interessati sono invitati a partecipare. m.

1 0

Minicorso Prof. Albeverio presso DipInf UniVr
by Luca di persio 24 Apr '14

24 Apr '14

Il Prof. Sergio Albeverio [ Dept. Appl. Mathematics, University of Bonn, HCM, BiBoS, IZKS ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 28 al 30 Aprile 2014 e terrà un minicorso dal titolo ” *Girsanov and Feynman-Kac theorems with applications to SDEs* “ articolato in due lezioni che si terranno presso il Dipartimento stesso nei giorni di - Lunedì 28 Aprile [ Aula D - 14:30 - 16:30 ] - Mercoledì 30 Aprile [ Aula D - 14:30 16:30 ] Per informazioni rivolgersi a luca.dipersio(a)univr.it __ 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

1 0

Workshop on Diversification and Risk - Venice, May 16
by Monica Billio 23 Apr '14

23 Apr '14

[] *DIVERSIFICATION AND RISK *At the heart of the asset management industry, diversification and risk management will be taken up by the presentation of four recent academic papers on this theme and discussed during the panel session that will follow. This event is organized by the QMI/QuantValley Research Project and the International Center for Economics and Finance (ICEF) of the Ca' Foscari University of Venice, with the support of Euronext and CFA Society Italy. It will take place: Ca' Foscari University of Venice, Auditorium Santa Margherita, Campo Santa Margherita, Dorsoduro 3689, Venezia Friday 16 May, from 1.45pm to 7.30pm. CFA Society Italy has determined that this program qualifies for *3,5 CE credit hours *under the guidelines of the *CFA Institute Continuing Education Program*. The workshop is free of charge to attend. The program is available at http://www.qminitiative.org/seminars.html <http://www.qminitiative.org/seminars.html>, and free registration is available at the same site. [] -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

1 0

Deadline approaching, Workshop on Random Interacting Systems in Bath, UK
by Alexandre Stauffer 23 Apr '14

23 Apr '14

This is a brief reminder that the registration deadline is approaching quickly. People at all stages of career are welcome to register. We have reserved accommodation on campus for a number of participants, which needs to be confirmed right after the registration deadline. Please forward this reminder to your interested colleagues and friends. School and Workshop on Random Interacting Systems 23-27 June 2014, in Bath, U.K. Registration is open until 30th April at http://people.bath.ac.uk/ados20/workshop14/ MINI-COURSES ============ Hugo Duminil-Copin (Universite de Geneve) Geometric representations of low-dimensional spin systems Christophe Garban (ENS Lyon) Lectures around Liouville quantum gravity and multiplicative chaos theory INVITED SPEAKERS ================ Kenneth Alexander (University of Southern California) Gerard Ben-Arous* (Courant Institute of Mathematical Sciences) Nathanael Berestycki* (University of Cambridge) Ivan Corwin* (MIT) David Croydon (University of Warwick) Nadine Guillotin-Plantard (Universite Lyon 1) Ori Gurel-Gurevich* (Hebrew University of Jerusalem) Frank den Hollander (Universiteit Leiden) Neil O'Connell (University of Warwick) Ron Peled (Tel Aviv University) Alejandro Ramirez (Pontificia Universidad Catolica de Chile) Perla Sousi (University of Cambridge) Rongfeng Sun (National University of Singapore) Pierre Tarres (University of Oxford) Augusto Teixeira (IMPA) Yvan Velenik (Universite de Geneve) * = to be confirmed. The workshop will focus on recent developments on random interacting systems, including (but not restricted to) interacting and self-interacting particle systems, random walks and other stochastic processes in random environments, random and evolving graphs, the Gaussian free field, random interlacements, random polymers, percolation and spin systems. There will be slots for a small number of contributed talks (with preference to Ph.D. students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/workshop14/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

1 0

Bando Professore Associato Tor Vergata
by Domenico Marinucci 23 Apr '14

23 Apr '14

Bando Professore Associato Dipartimento di Matematica, Università di Roma Tor Vergata Avviso pubblicato sulla G.U. n. 32 del 22.04.2014 Pubblicato su sito d’Ateneo il 23/04/2014 Scadenza 22.05.2014 Settore concorsuale: 01/A3 – Analisi matematica, probabilità e statistica matematica, Macrosettore 01/A – Matematica Possono partecipare alla procedura comparativa coloro che nel triennio precedente alla data di scadenza del bando, non abbiano prestato servizio, o non siano stati titolari di assegni di ricerca, ovvero non siano stati iscritti a corsi universitari presso l’Università degli Studi di Roma “Tor Vergata” ed in possesso di uno dei seguenti requisiti: 1) gli studiosi che abbiano conseguito l'abilitazione scientifica nazionale per uno dei settori concorsuali ricompresi nel macrosettore di Matematica 2) gli studiosi che abbiano conseguito l’idoneità ai sensi della legge n. 210/1998 e s.m. per la seconda fascia in uno dei settori concorsuali ricompresi nel macrosettore di Matematica, limitatamente al periodo di durata della stessa; 3) i professori di seconda fascia già in servizio presso altri Atenei inquadrati in uno dei settori concorsuali ricompresi nel macrosettore di Matematica 4) gli studiosi stabilmente impegnati all’estero in attività di ricerca o insegnamento a livello universitario in posizioni di livello pari a quello oggetto del bando Per maggiori informazioni e dettagli sulle modalità di presentazione della domanda, si consulti il bando completo sul sito http://concorsi.uniroma2.it/php/viewbando.php?id=1649 @@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata http://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@

1 0

Mercati Energetici e Metodi Quantitativi - edizione 2014
by Tiziano Vargiolu 22 Apr '14

22 Apr '14

(chiedendo scusa in anticipo per eventuali ripetizioni) Buongiorno, volevamo ricordare che VENERDI' 25 APRILE e' la scadenza per l'iscrizione con pagamento di quota ridotta a tutte le iniziative "Mercati Energetici e Metodi Quantitativi: un Ponte tra Universita' e Aziende", in particolare: - tutorials: http://events.math.unipd.it/memq2014/ - workshop: http://www.unponte2014.stat.unipd.it/ Su quest'ultimo sito, in particolare su http://www.unponte2014.stat.unipd.it/programma.htm si possono anche trovare gli interventi in programma per il workshop. In attesa di rincontrarci a Padova, porgiamo i nostri piu' Cordiali Saluti, gli Organizzatori Giorgia Callegaro Enrico Edoli Francesco Lisi Tiziano Vargiolu

1 0

Fwd: PhD, PD and TT-positions in The Netharlands
by Francesco Caravenna 19 Apr '14

19 Apr '14

Ricevo e inoltro. > Da: "Hollander, W.T.F. den" <denholla(a)math.leidenuniv.nl> > Oggetto: PhD, PD and TT-positions in The Netharlands > Data: 19 aprile 2014 19:14:09 GMT+02:00 > > Dear colleague, > > > > Please distribute the announcement below to interested > > junior researchers. > > > > Thanks, > > Frank den Hollander > > > > %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% > > > > PhD, PD and TT-POSITIONS IN THE NETHERLANDS > > > > Transportation, traffic, communication and energy networks form the backbone of our modern society. To deal with the uncertainty, variation, unpredictability, size and complexity inherent in these networks, we need to develop radically new ways of thinking. The ultimate goal is to build self-organizing and intelligent networks. > > > NETWORKS is a 10-year programme funded by the Dutch Ministry of Education, Culture and Science through the Netherlands Organisation for Scientific Research. > > > NETWORKS is hosted by four research institutions: > > University of Amsterdam (UvA) > Eindhoven University of Technology (TU/e) > Leiden University (UL) > Center for Mathematics and Computer Science (CWI) > > The programme will start in the Summer of 2014 and will cover a broad range of topics dealing with stochastic and algorithmic aspects of networks. The aim of the programme is to address the pressing challenges posed by large-scale networks with the help of stochastics and algorithmics. The focus is on modelling, understanding, controlling and optimizing networks that are complex and highly volatile. > > Networks is looking for: > > - 14 PhD students > > - 7 Postdocs > > - 7 Tenure-tracks assistant professors > > > > See > > > > www.thenetworkcenter.nl > > > > for more information.

1 0

Fwd: seminario
by Gustavo Posta 11 Apr '14

11 Apr '14

Begin forwarded message: > From: Alessandra Faggionato <faggiona(a)gmail.com> > Subject: seminario > Date: 11 aprile 2014 11:44:22 GMT+02:00 > > > Speaker: J. Sohier > > Aula: B (Dipartimento di Matematica, Univ. La Sapienza) > Giorno: Martedi' 15 Aprile > Ora: 14:00 > > Titolo: A comparison between different cycle decompositions for Metropolis dynamics > > Abstract: In the last decades the problem of metastability has been attacked on rigorous grounds via many different approaches and techniques which are briefly reviewed in this paper. It is then useful to understand connections between different point of views. In view of this we consider irreducible, aperiodic and reversible Markov chains with exponentially small transition probabilities in the framework of Metropolis dynamics. We compare two different cycle decompositions and prove their equivalence. >

1 0

Concorso per posto di ricercatore TD presso CNR IMATI Milano
by Antonio Pievatolo 11 Apr '14

11 Apr '14

Si segnala il seguente bando di concorso per un posto di ricercatore a tempo determinato, presso l'IMATI CNR, sede di Milano (scadenza 28 aprile 2014; invio domande solo tramite PEC personale) LINK http://www.mi.imati.cnr.it/iami/BANDO_IMATI_002_2014_MI.pdf TEMA DI RICERCA Modellizzazione statistica, programmazione di esperimenti e analisi statistica dei dati, con applicazione a processi di frantumazione e separazione per il riciclo di prodotti elettronici COMPETENZE Competenze di inferenza statistica, anche per processi stocastici, e conoscenze di programmazione statistica degli esperimenti simulati (si veda ad esempio Santner, Williams, Notz "The design and analysis of computer experiments", Springer, 2003); eventuale esperienza di ottimizzazione di processi. REQUISITI RICHIESTI - Diploma di Laurea Magistrale in Scienze Statistiche (LM-82), Matematica (LM-40), Ingegneria Matematica/Modellistica Matematico-Fisica per l’Ingegneria (LM-44), o diploma di Laurea conseguito secondo la normativa in vigore anteriormente alla riforma di cui al D.M. 509/99 ovvero diploma di Laurea Specialistica, equiparati ai sensi del Decreto Interministeriale 9 luglio 2009, pubblicato nella Gazzetta Ufficiale del 7 ottobre 2009 n. 233. - Titolo di Dottore di Ricerca in Scienze Statistiche, Matematica, Metodi Matematici per l’Ingegneria o in tematiche affini, O ANCHE aver svolto per un triennio attività di ricerca in settori inerenti alle competenze succitate DATA E ORA DEL COLLOQUIO 12/05/2014 alle ore 14:00 presso la sede dell’Istituto di Matematica Applicata e Tecnologie Informatiche “E. Magenes” - CNR Uos - Milano, Via Bassini 15 - 20133 Milano. TRATTAMENTO ECONOMICO Trattamento economico iniziale del vigente CCNL del Comparto del personale delle Istituzioni e degli Enti di Ricerca e Sperimentazione, corrispondente a quello previsto per il personale del CNR con profilo di Ricercatore, III livello. -- Dr Antonio (Marco) Pievatolo CNR IMATI Tel. +39 02 23699.521 (direct: 520) Web www.mi.imati.cnr.it/marco

1 0

Cambio data, seminario di F. Delarue
by Marco Romito 10 Apr '14

10 Apr '14

Scrivo per informare gli interessati che il secondo seminario di F. Delarue, presso la sala riunioni del Dipartimento di Matematica dell'Università di Pisa, si terrà lunedi 14, invece di mercoledi 16 come precedentemente annunciato. 14 aprile, ore 9:30 F. Delarue (Université Nice Sophia-Antipolis): Mean field games II m.

1 0

Assegno di Ricerca Mat/06 [ Università di Verona ]
by Luca di persio 10 Apr '14

10 Apr '14

E' indetta la selezione per titoli e colloquio per la formulazione di una graduatoria per il conferimento di n. 1 assegno di ricerca presso il Dipartimento di Computer Science dell' Università di Verona, nel settore scientifico-disciplinare: MAT/O6 PROBABILITÀ E STATISTICA MATEMATICA per l'attuazione del seguente programma di ricerca: "Equazioni differenziali stocastiche con salti in Finanza Matematica: applicazioni al prezzaggio, copertura e problemi collegati alle misure di rischio". Il bando è disponibile al seguente indirizzo: http://www.univr.it/documenti/Albo/allegatialbo/allegatialbo062129.pdf con *scadenza 30 Aprile 2014* Referente del programma di ricerca: Luca Di Persio email: luca.dipersio(a)univr.it __ 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

1 0

Workshop conclusivo progetto FIRB Futuro in Ricerca SNAPLE
by Laura M. Sangalli 09 Apr '14

09 Apr '14

------------------------------------------------------------------------ Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering FIRB SNAPLE closing workshop Politecnico di Milano May 15-16, 2014 ------------------------------------------------------------------------ http://www.mate.polimi.it/snaple2014/ ------------------------------------------------------------------------ This is the third and closing workshop of the starting grant project FIRB Futuro in Ricerca "Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering", funded by MIUR Ministero dell'Istruzione dell'Università e della Ricerca, December 2010 - July 2014: http://mox.polimi.it/users/sangalli/firbSNAPLE.html Soon renamed SNAPLE: Statistical and Numerical methods for the Analysis of Problems in Life sciences and Engineering. SNAPLE aims at providing a substantial contribution to the development of innovative methods for the analysis of high-dimensional functional data, interfacing advanced statistical and numerical techniques. The workshop features talks about some of the achieved results and ongoing investigations of FIRB SNAPLE project, as well as various talks from internationally renowned scientists, with the aim discussing and exchanging ideas on new research perspectives. Invited speakers include: John Aston, Cambridge Marc Genton, KAUST Tilmann Gneiting, Heidelberg Institute for Theoretical Studies (HITS) and Karlsruhe Institute of Techology (KIT) Alberto Guadagnini, Politecnico di Milano Hans-Georg Muller, Universty of California - Davis Fabio Nobile, École Polytechnique Fédérale de Lausanne Davide Pigoli, Cambridge Jim Ramsay, McGill University. Registration to the workshop is free, but attendees are kindly requested to register at conference website: http://www.mate.polimi.it/snaple2014/ Best regards, 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

1 0

CALL FOR PAPERS: 15th OxMetrics User Conference, Cass Business School, 4-5 September 2014 (fwd)
by Tiziano Vargiolu 08 Apr '14

08 Apr '14

---------- Forwarded message ---------- Date: Tue, 8 Apr 2014 10:13:09 +0000 From: "Urga, Giovanni" <G.Urga(a)city.ac.uk> Subject: CALL FOR PAPERS: 15th OxMetrics User Conference, Cass Business School, 4-5 September 2014 Dear Tiziano Could you please circulate the Call for Papers below. Regards Giovanni @@@@@@@@@@@@@@@@@@@@@@@ Dear Colleagues I am pleased to report that the web page of the Conference is live and running. See http://www.cass.city.ac.uk/news-and-events/conferences/15th-oxmetrics-user- conference The pdf file of the Call for Papers is at http://www.cass.city.ac.uk/__data/assets/pdf_file/0005/217283/15thOxMetrics UserConference_Call_for_Papers.pdf . Please feel free to publicise the event throughout your own mailing lists. Regards Giovanni **************************************************************** Please use both addresses: giovanni.urga(a)unibg.it and g.urga(a)city.ac.uk **************************************************************** Giovanni Urga Professor of Finance and Econometrics Faculty of Finance Cass Business School 106 Bunhill Row London EC1Y 8TZ (U.K.) Tel.+/44/(0)20/70408698 Fax.+/44/(0)20/70408881 http://www.cass.city.ac.uk/faculty/g.urga Director, Centre for Econometric Analysis (CEA@Cass) http://www.cass.city.ac.uk/cea/index.html

1 0

Fwd: Applications open for the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford
by Tiziano Vargiolu 08 Apr '14

08 Apr '14

----- Forwarded message from jan.obloj(a)maths.ox.ac.uk ----- Date: Mon, 7 Apr 2014 20:03:33 +0000 From: Jan Obloj <jan.obloj(a)maths.ox.ac.uk> Subject: Applications open for the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford To: Jan Obloj <jan.obloj(a)maths.ox.ac.uk> Dear All, we are pleased to announce that the applications from PhD students and early career researchers to participate in the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford are now open! A limited number of fully funded places (incl. accommodation and travel grants), as well as further places with subsidised accommodation, are available. The application procedure is outlined here: http://www2.maths.ox.ac.uk/euroschoolmathfi14/application.html. and the deadline for sending complete applications is 4th of May 2014. This year, there will be two main courses running Monday-Thursday: 1) Rene Carmona (Princeton University) 'Stochastic Differential Games and Financial Applications? 2) Xuedong He (Columbia University) & Xunyu Zhou (University of Oxford) 'Quantile Approach to Behavioural Portfolio Selection and Asset Pricing.' On Friday (5th of September) there will be a dedicated 'New Challenges, New Methodologies Day?. It will include talks by Rama Cont (Imperial College London), Vladimir Piterbarg (Barclays) and Mathieu Rosenbaum (UPMC). We would appreciate if you could share this announcement with your colleagues and students who might be interested. Best regards, The local organising committee Ben Hambly, Martin Klimmek, Terry Lyons, Jan Obloj, Xunyu Zhou _________________________ Jan Obloj Associate Professor of Mathematical Finance Mathematical Institute, St John's College and Oxford-Man Institute of Quantitative Finance University of Oxford MI, ROQ, Woodstock Road Oxford OX2 6GG, UK +44 1865270124 ----- End forwarded message -----

1 0

"Unlocking the value of big data", Special Issue on EJASA-DSS, Extended Deadline
by stefano iacus 07 Apr '14

07 Apr '14

Call for papers for the Special Issue on (extended deadline) "Increasing Innovation Opportunities by Unlocking the Value of Big Data" to be published on the "Electronic Journal of Applied Statistical Analysis: Decision Support Systems and Services Evalutation" ### Guest Editors: Valentina Ndou,Faculty of Innovation for Engineering, University of Salento (ITA) Mirjeta Beqiri, Gonzaga University, Spokane, WA, (USA) Stefano M. Iacus, Department of Economics, Management and Quantitative Methods, University of Milan (ITA) ### Overview: The advent of new communication technologies and especially the exponential growth of social media web 2.0, from blogs, Facebook and Twitter to LinkedIn and YouTube, has created vast opportunities for firms and managers to get closer to customers, to gain a wealth of information about their behaviors and preferences, as well as to identify new market trends and new opportunities to remain competitive. It is known that firms today operate in the era of Big Data Revolution, overwhelmed with data that are available via web to almost everyone. The content and information that customers create in web 2.0 platforms constitute a valuable asset for firms to directly tap into the customer’s preferences and needs, as the most valuable source for attaining direct and reliable market information. ### Aim: Based on these recent trends, this special issue invites research articles and papers that put forth different approaches, statistical models, and decision making systems able to analyze the available data for gaining insights and creating new knowledge that leads to innovation and creativity. ### Topics: This special issue seeks original contribution on the following topics: 1. Techniques, tools, approaches, and methodologies used for analyzing data and information 2. Statistical Analysis for big data 3. Data and knowledge modelling techniques 4. Stimulating innovation and improving performance through statistical data analysis 5. Value of data for new business models, products, and services 6. Data management as a driver of performance and competitiveness 7. Value co-creation through data and information exchange 8. Transforming the value of data using real time analytics 9. Business optimization techniques through data analysis 10. Decision making process in the big data era 11. Role of statistical models in unlocking the value of web data 12. Real time analytics 13. Privacy, security, and intellectual property issues in the era of big data. ### Submission guidelines: Original research papers will be considered. ### Important Dates: Abstract submission: 20th March, 2014 (extended to 15th April, 2014) Review decisions sent to authors: 30th April 2014 Full paper submission: 30th July, 2014 ### Further Information: For further information, please contact: ejasa(a)unisalento.it or visit http://siba-ese.unisalento.it/index.php/ejasa_dss/announcement/view/21 Stefano ps: Com'on statisticians! Where are you? We are the "data scientist" after all! ----------------------------------- Stefano M. Iacus 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 Have a look at the new Master Degree in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further informations 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

1 0

Seminario Zorana Grbac a Padova
by Tiziano Vargiolu 07 Apr '14

07 Apr '14

ANNUNCIO DI SEMINARIO La Prof. Zorana GRBAC dell'Universit? di Parigi-Diderot (VII) terra' il seguente seminario lunedi' 14 aprile alle ore 15.30 in Aula 1BC45 del Dipartimento di Matematica, via Trieste 63, Padova. TITLE: Post-crisis interest rate models driven by Levy processes ABSTRACT: The recent credit crisis and the European sovereign debt crisis have impacted all financial markets and influenced the way derivatives are priced and hedged. In this talk we focus in particular on interest rate derivative models. When considering these models, two major changes with respect to the pre-crisis models should be taken into account. Firstly, a variety of spreads have developed between the rates that had been essentially the same before the crises. This is known as the multiple-curve phenomenon. Secondly, the crises have highlighted the native form of credit risk, namely the counterparty risk, as well as the funding issues. To meet these new modeling requirements, we develop a multiple-curve model, set in the HJM framework and driven by a Levy process. The use of Levy drivers allows an optimal balance between the flexibility needed to calibrate the model jointly to cap and swaption multiple-curve prices on one side, and the low number of Markov factors allowing the computation of counterparty risk and funding adjustments (CVA) on the other side. The pricing formulas in this framework are presented and possible Levy specifications discussed. We proceed with the calibration of the model and finally use the calibrated model as an underlying model for CVA computations. We conclude with a short and illustrative numerical example considering a basis swap. This is joint work with S. Cr?pey, N. Ngor and D. Skovmand ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

1 0

Seminario di F. Delarue a Pisa
by Marco Romito 07 Apr '14

07 Apr '14

Nei giorni 9 aprile e 16 aprile 2014, presso la sala riunioni del Dipartimento di Matematica dell'Università di Pisa, si terranno i seguenti seminari: 9 aprile, ore 11 F. Delarue (Université Nice Sophia-Antipolis): Mean field games I 16 aprile, ore 11 F. Delarue (Université Nice Sophia-Antipolis): Mean field games I Tutti gli interessati sono invitati a partecipare m.

1 0

Energy Finance 2014 conference call for abstracts
by Tiziano Vargiolu 03 Apr '14

03 Apr '14

EF14 conference call for abstracts announcement, apologies for cross-posting. ____________________________________________________________________________ Energy Finance 2014 (EF14), Sept. 24 - 26, Erice, Italy ____________________________________________________________________________ It is a pleasure to announce that a call for abstracts for EF14 is currently open, starting from April 1 and closing on July 15. Abstracts, in the form of about 1 page (max 2 pages) pdf files, can be sent via email to the address: submissions(a)energyfinance2014.org Some more information about the required abstract format can be found in the EF14 conference website energyfinance2014.org. ____________________________________________________________________________ On the website, you will also find new information about conference fees. For more information about the conference, submissions excluded, please contact: info(a)energyfinance2014.org Please remember that it won't be possible to accommodate more than about 100 participants. ____________________________________________________________________________ Regards, Carlo Lucheroni, for the EF14 Organizing Committee. -- Carlo Lucheroni Scuola di Scienze e Tecnologie Universita' di Camerino via Madonna delle Carceri 9 62032 Camerino (MC) Italy Office phone: 39-0737402552

1 0

de Finetti risk seminar - aprile 2014
by Emanuela Rosazza Gianin 02 Apr '14

02 Apr '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on April 9, 2014 at 18.00 with the Lecture Equilibrium in risk sharing games COSTANTINOS KARDARAS London School of Economics Abstract: We study equilibrium sharing of investment risk among agents whose random endowments constitute private information. Given the sharing rules that optimally allocate the submitted endowments, we propose a Nash game where agents' strategic choices consist of the endowments to be submitted for sharing. It is proved that the best response problem admits a unique solution (which we call "best endowment response") and differs from the agent's true risk exposure. Then, we proceed in showing that the Nash equilibrium risk sharing admits a finite dimensional characterisation, and that it exists and is unique in the case of two agents. Analysis shows that the game benefits the agents close to risk neutrality, since their expected utilities are higher at the Nash risk sharing equilibrium than the optimal risk-sharing one. (Joint work with Michail Anthropelos.) LOCATION: The seminar will be held on Wedsnesday, April 9, at 18.00 at Sala di rappresentanza, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali 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 *******************************************************************************************

1 0

Jean- Marc Azaïs - Tor Vergata - 7 aprile
by Valentina Cammarota 02 Apr '14

02 Apr '14

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Lunedì 7 aprile ore 14 Aula D'Antoni 1101 Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Jean-Marc Azaïs IMT, Universite de Toulouse, France Title: The tail of the maxima of Gaussian fields on non locally convex sets. Abstract: The Euler Characteristic method or the Rice method give a full expansion of the tail of the maximum of stationary Gaussian fields defined on some regular sets. A key hypothesis is local convexity that means roughly that, by a smooth change of parameterization, the parameter set can be transform in a convex set. In our talk we will present an alternative method that works for general parameter set as fractals sets and permits to obtain a full expansion in dimensions 2 for a large class. Our result will be illustrated by examples that are all new. Tutti gli interessati sono invitati a partecipare. ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

1 0

Fwd: Summer school and workshop on random interacting systems, Bath UK
by Cristian Giardina 31 Mar '14

31 Mar '14

---------- Forwarded message ---------- From: Alexandre Stauffer <a.stauffer(a)bath.ac.uk> Date: Mon, Mar 31, 2014 at 6:49 PM Subject: Summer school and workshop on random interacting systems, Bath UK To: cristian.giardina(a)unimore.it Cc: a.stauffer(a)bath.ac.uk Dear Cristian, Could you please forward this announcement to your interested colleagues and friends? (apologies for multiple posting) School and Workshop on Random Interacting Systems 23-27 June 2014, in Bath, U.K. Registration is open until 30th April at http://people.bath.ac.uk/ados20/workshop14/ MINI-COURSES ============ Hugo Duminil-Copin (Universite de Geneve) Geometric representations of low-dimensional spin systems Christophe Garban (ENS Lyon) Lectures around Liouville quantum gravity and multiplicative chaos theory INVITED SPEAKERS ================ Kenneth Alexander* (University of Southern California) Gerard Ben-Arous* (Courant Institute of Mathematical Sciences) Nathanael Berestycki* (University of Cambridge) Ivan Corwin* (MIT) David Croydon (University of Warwick) Nadine Guillotin-Plantard (Universite Lyon 1) Ori Gurel-Gurevich* (Hebrew University of Jerusalem) Frank den Hollander (Universiteit Leiden) Neil O'Connell (University of Warwick) Ron Peled (Tel Aviv University) Alejandro Ramirez (Pontificia Universidad Católica de Chile) Perla Sousi (University of Cambridge) Rongfeng Sun (National University of Singapore) Pierre Tarres (University of Oxford) Augusto Teixeira (IMPA) Yvan Velenik (Université de Genève) * = to be confirmed. The workshop will focus on recent developments on random interacting systems, including (but not restricted to) interacting and self-interacting particle systems, random walks and other stochastic processes in random environments, random and evolving graphs, the Gaussian free field, random interlacements, random polymers, percolation and spin systems. There will be slots for a small number of contributed talks (with preference to Ph.D. students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/workshop14/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

1 0

Processi stocastici su grafi - venerdi 4 aprile
by Marco Isopi 31 Mar '14

31 Mar '14

PROCESSI STOCASTICI SU GRAFI Una giornata dedicata al confronto tra studiosi che lavorano in campi diversi. Venerdi 4 aprile - Dipartimento di Matematica- Aula di Consiglio 10-30-11.15 Fabio Fagnani: Apprendimento distribuito in giochi potenziali su rati grandi. caffè 11.30-12 Alessandro Epasto: Ordinamento per similarità in grafi bipartiti grandi. 12.12.30 Elena Agliari: Assorbimento e collisioni su strutture ramificate. 12.30-13 Emanuele Natale: Dinamiche maggioritarie e sistemi distribuiti sincroni. 13-14 Discussione, problemi aperti (con spuntino durante la discussione) 14-14.30 Andrea Gabrielli: Ricostruzione di reti economico-finanziarie da informazioni parziali nello schema dei "modelli di fitness". 14.30-15 Flavio Chierichetti: Votare con informazione incompleta e molte scelte. http://www1.mat.uniroma1.it/~isopi/processi_su_grafi.html

1 0

Avviso di mini-corso :: C.V.D.@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 31 Mar '14

31 Mar '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Venerdì 04 Aprile, ore 10:00-13:00 ----------------------------------------------------------------------------- Aula VI (quarto piano) Dipartimento di Scienze Statistiche Sapienza Università di Roma C.LAUDIO DURASTANTI V.ALENTINA CAMMAROTA D.OMENICO MARINUCCI (Dip. di Matematica, Università degli Studi di Roma Tor Vergata) terranno un mini-corso dal titolo STEIN-MALLIAVIN APPROXIMATIONS IN STATISTICS & PROBABILITY tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- P R O G R A M Part I: The Geometry of Needlets Excursion Sets Domenico Marinucci In this talk, we shall be concerned with geometric functionals and excursion probabilities for some nonlinear transforms evaluated on wavelet/needlet components of spherical random fields. For such fields, we consider smoothed polynomial transforms, such as those arising from local estimates of angular power spectra and bispectra; we focus on the geometry of their excursion sets, and we study their asymptotic behaviour, in the high-frequency sense. Our main technical tools are recent results on Malliavin calculus and Total Variation bounds for Gaussian subordinated fields by Nourdin and Peccati, and the Gaussian Kinematic Formula by Adler and Taylor, which we shall review briefly in the talk. We put particular emphasis on the analysis of Euler-Poincaré characteristics, which can be exploited to derive extremely accurate estimates for excursion probabilities. The present analysis is motivated by the statistical investigation of asymmetries and anisotropies in Cosmic Microwave Background radiation (CMB) data. Based on joint work with Sreekar Vadlamani Part II: Stein-Malliavin Approximations for Needlets Polyspectra Valentina Cammarota We provide quantitative Central Limit Theorems, in the high frequency limit, for nonlinear transforms of spherical wavelets/needlets random fields, which are of immediate interest for spherical data analysis. In particular, we focus on so-called needlets polyspectra, which are popular tools for nonGaussianity analysis in the cosmological community, and on the area of excursion sets. Our results are based on Stein-Maliavin approximations for nonlinear transforms of Gaussian fields, and on an explicit derivation on the high-frequency limit of the fields' variances, which may have some independent interest. Based on joint work with Domenico Marinucci Part III: Normal Approximations for Linear and U-Statistics on Spherical Poisson Fields Claudio Durastanti We review a recent stream of research on Normal approximations for linear and U-statistics of wavelets/needlets coefficients evaluated on a homogeneous spherical Poisson fi...eld. We show how exploting results from Peccati and Zheng (2011), based on Malliavin calculus and Stein''s methods, it is possible to assess the rate of convergence to Gaussianity for a triangular array of statistics with growing dimensions. These results can be exploited in a number of statistical applications, such as spherical density estimations, searching for point sources, estimation of variance and the spherical two-sample problem. Based on joint work with Solesne Bourguin, Domenico Marinucci and Giovanni Peccati.

1 0

A Workshop to Celebrate the Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction, University of Cambridge, UK (30 April 2014)
by Julia Mortera 30 Mar '14

30 Mar '14

Dear Colleague, Many thanks to those who have already registered and who have emailed us their unavailability for the workshop. *** Gentle reminder please *** *Workshop:* The Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction *Venue:*** Centre for Mathematical Sciences, University of Cambridge, UK *Date:* 30th April 2014 *Dinner Date:* 29 April 2014 *Registration deadline:* 15 April 2014 * Registration and ***more information*: * https://sites.google.com/site/workshopdawid2014/ *Dinner only option:* If you wish to join us only for dinner, please let us know by emailing Hui Guo at hg283(a)cam.ac.uk by 15 April. You will be able to make payments for the dinner in the restaurant on the day. *Confirmed speakers:* Carlo Berzuini (University of Manchester) Simon Byrne (UCL) Panayiota Constantinou (University of Bristol) Vanessa Didelez (University of Bristol) Sara Geneletti (LSE) Peter Grünwald (CWI and Leiden University) Hui Guo* *(University of Cambridge) Steffen Lauritzen (University of Oxford) Monica Musio(University of Cagliari) Julia Mortera (Umiversity of Rome) David Spiegelhalter (University of Cambridge) Volodya Vovk (Royal Holloway University of London) Thanks for Your attention. We would be very happy if you could attend the meeting. Kind Regards, Luisa Bernardinelli Carlo Berzuini Panayiota Constantinou Vanessa Didelez Hui Guo Nuala Sheehan -- Prof.ssa Julia Mortera Dipartimento di Economia Università Roma Tre Via Silvio D'Amico 77 00145 Roma Tel: +39 06 57335732 Fax: +39 06 57335771 http://dipeco.uniroma3.it/docenti.asp?id=123# --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

1 0

Seminario di Guido Montorsi (Roma - 11 aprile)
by Marco Isopi 29 Mar '14

29 Mar '14

Seminari MoMA www.mat.uniroma1.it/ricerca/seminari/moma Venerdi’ 11 aprile, ore 12-14, aula Consiglio Guido Montorsi Analog Digital Belief Propagation and its application to channel decoders Sunto As required by information theory, channel codes with long code words are necessary building blocks in a transmission system to achieve reliable communications with minimal power and maximal throughputs over noisy physical channels. Nowadays capacity-achieving large random binary codes are actually adopted in most telecommunication standards. The breakthrough that allowed their practical use has been to substitute the optimal maximum likelihood decoding techniques at the receiver with suboptimal iterative techniques based on “belief” propagation. Belief propagation is a powerful inference technique working on graphs used in many different applications. Graph nodes are associated to factors or constraints of the model while graph edges are associated to random variables. Belief propagation algorithm proceeds by iteratively updating messages associated to the random variables, according to the constraints imposed by nodes. In the framework of channel decoding the graph nodes represent the deterministic, usually linear, code constraints. They are either associated to a (binary) parity check sum, or to a repetition of the variable. Belief propagation is initialized with a set of messages obtained from the noisy channel observations of the transmitted bits and proceeds iteratively, updating the messages according to the code constraints until convergence is reached. Most practically used codes are linear and binary codes, so that messages propagated in the graph are binary messages usually represented with a single scalar (the Log-Likelihood Ratio). In order to increase the throughput of communication systems, the use of non binary codes is an attractive solution as each symbol can carry more information bits. Non binary codes can be constructed over groups, rings, or fields and there is a vast literature on the design of capacity achieving non binary codes. The extension of the application of belief propagation to the non binary codes however poses several complexity problems as both message representation and message updating at check node grows at least linearly with the cardinality of the non binary alphabet and consequently exponentially with the increase of required throughput. In this talk I will start by recalling the fundamental ideas and terminology beyond binary channel coding constructions and corresponding iterative decoding with belief propagation and other iterative techniques. I will then extend the concepts to non binary codes and summarize the main algorithms and complexity problems related with them. I will then introduce a new algorithm, named Analog Digital Belief Propagation (ADBP) which solves the complexity problems of belief propagation for non binary codes. I will discuss the main properties of the algorithm, its possible extensions and code design problems related to the adoption of this algorithm.

1 0

Seminario Lucian Maticiuc [ Dipartimento Informatica UniVr ]
by Luca di persio 28 Mar '14

28 Mar '14

Il giorno Mercoledì 9 Aprile, alle ore 17 [ rinfresco ore 16:45 ] presso il Dipartimento di Informatica Università degli studi di Verona , strada le Grazie 15, Verona Lucian Maticiuc "G. Asachi" Technical University, Romania terrà un seminario dal titolo Stochastic Differential Delay Systems and Optimal Control Problems *Abstract* We show the existence and the uniqueness of the solution for some multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type). Afterwards we consider optimal control problems where the state X is a solution of a controlled delay stochastic system as above. We establish the dynamic programming principle for the value function and finally we prove that the value function is a viscosity solution for a suitable Hamilton- Jacobi-Bellman type equation. __ 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

1 0

seminario di Daniele Marazzina presso Prometeia - Bologna
by Giacomo Scandolo 28 Mar '14

28 Mar '14

Il giorno Giovedì 3 Aprile 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Daniele MARAZZINA (Politecnico di Milano) terrà un seminario dal titolo "Fast pricing of discretely monitored exotic options by a numerical Wiener-Hopf procedure" Abstract We present a fast and accurate pricing techniques based on the Spitzer identity and the Wiener-Hopf factorization. We apply it to barrier and lookback options when the monitoring is discrete and the underlying evolves according to an exponential Lévy process. The numerical implementation exploits the fast Fourier transform and the Euler summation. The computational cost is independent of the number of monitoring dates; the error decays exponentially with the number of grid points.

1 0

Seminario Lucian Maticiuc [ UniTn ]
by Luca di persio 28 Mar '14

28 Mar '14

*Giovedì 3 aprile **ore 10.00* *------------------------------ * *Aula Seminari - Dipartimento di Matematica* *------------------------------ * *"Backward S**tochastic Variational Inequalities with* *Time Delayed Generators"* *Lucian Maticiuc* *(**"Gheorghe Asachi" Technical University and "Alexandru Ioan Cuza" University, Iasi, Romania)* *ABSTRACT*: We show the existence and the uniqueness of the solution for the following multivalued backward stochastic differential equation withtime-delayed generators: Where is the subdifferential operator of a proper convex lower semicontinuous function *Referente*: *Luca Di Persio* -- __ 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

1 0

Seminario ROUSSEAU
by Matteo Ruggiero 28 Mar '14

28 Mar '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 4 Aprile 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Judith ROUSSEAU (Université Paris Dauphine) BEHAVIOUR OF THE POSTERIOR DISTRIBUTION IN HMM MODELS WHEN THE NUMBER OF STATES IS MISSPECIFIED Abstract: In this paper we study the asymptotic behaviour of the posterior distribution for parametric HMM models with finite number of components. We concentrate in particular on the case where the number of states of the hidden Markov chain in the model is larger than the true number of states. In such cases the parameter is not identifiable. We study the impact of the prior on the transition matrix on the asymptotic behaviour of the posterior distribution. In particular that if some independent Dirichlet priors are considered on each row of the transition matrix we can identify different types of behaviour of the asymptotic posterior distribution depending on the choice of the parameter of the Dirichlet distributions. A link is made with static mixture models and some numerical study is conducted to illustrate the results and investigate the behaviour of the posterior in cases where no theoretical results are provided. 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 & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

1 0

seminario di Pablo Ferrari a Roma Tre
by pietro caputo 28 Mar '14

28 Mar '14

Martedi 1 Aprile, alle ore 14:30 in aula 311 del Dipartimento di Matematica e Fisica dell'Universita' di Roma Tre, il Prof. Pablo Ferrari (Buenos Aires) terra' un seminario su: "Yaglom limits via Holley inequality" Abstract: We consider Markov chains on a countable partially ordered state space with an absorbing state. Assume that the absorbed chain has a quasi stationary distribution. We give sufficient conditions on the transition probabilities to guarantee that the law of the chain at time n conditioned to non absorption is monotone non decreasing in n. As a consequence the Yaglom limit (the limit of the conditioned chain starting from a minimal state, as n goes to infinity) converges to a quasi stationary distribution; the limit is minimal for the stochastic order of measues. The approach uses a dynamics on the space of trajectories and Holley inequality. Joint work with Leonardo Rolla.

1 0

Mercati Energetici e Metodi Quantitativi - edizione 2014
by Tiziano Vargiolu 25 Mar '14

25 Mar '14

(chiedendo scusa in anticipo per eventuali ripetizioni) Buongiorno, volevamo ricordare che la scadenza per presentare contributi al workshop "Mercati Energetici e Metodi Quantitativi: un Ponte tra Universit? e Aziende" e' MARTEDI' 1. APRILE. Tutte le informazioni sul sito web http://www.unponte2014.stat.unipd.it/ dove si possono anche trovare gli interventi gia' accettati: http://www.unponte2014.stat.unipd.it/programma.htm Inoltre ricordiamo che quest'anno abbiamo deciso di estendere l'iniziativa organizzando, nei due giorni precedenti la conferenza, quattro tutorial sui seguenti argomenti: - Introduzione ai mercati dell'energia e del gas - Rischio di credito e di controparte nei mercati energetici - Strumenti di analisi e di previsione per i mercati energetici. - Tecniche di gestione di portafoglio e di ottimizzazione: i contratti strutturati nei mercati dell'energia. Tutte le informazioni sui tutorial si trovano alla pagina http://events.math.unipd.it/memq2014/ In attesa di rincontrarci a Padova, porgiamo i nostri pi? Cordiali Saluti, gli Organizzatori Giorgia Callegaro Enrico Edoli Francesco Lisi Tiziano Vargiolu

1 0

Avviso di seminario :: Liseo@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 25 Mar '14

25 Mar '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 28 Marzo, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma BRUNERO LISEO (Dip. di metodi e modelli per il territorio, l'economia e la finanza, Sapienza Università di Roma) terrà un seminario dal titolo APPROXIMATE BAYESIAN INFERENCE FOR COPULA MODELS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary Si propone un metodo per la stima di un funzionale di interesse relativo ad un modello multivariato. Il metodo è basato su una rappresentazione in termini di copula e sfrutta alcuni recenti sviluppi delle tecniche computazionali bayesiane approssimate che utilizzano metodi di verosimiglianza empririca. Il termine "approximate" nel titolo è dovuto a due fattori: i) il processo di elicitazione è limitato al solo funzionale di interesse e alle distribuzioni marginali. ii) Non si utilizza la "vera" funzione di verosimiglianza, bensì una sua approssimazione empirica (Owen, 2010).

1 0

call for associate professor
by Fausto Gozzi 24 Mar '14

24 Mar '14

LUISS Guido Carli, Rome Department of Economics and Finance Position Title Associate Professor in Microeconomics Associate Professor in Macroeconomics Associate Professor in Mathematical Finance (Call for Interest) Data di pubblicazione 20/03/2014 Type of position: Full time - Tenured Discipline Economics / Math finance description: The Department of Economics and Finance at LUISS Guido Carli (Rome) is seeking to fill tenured positions at Associate Professor level in Microeconomics, Macroeconomics and Mathematical finance. Teaching needs are at all levels: Undergraduate, Masters and Ph.D, in English (and possibly Italian). Candidates will hold a Ph.D. from a recognized Research University, an established teaching experience and an appropriate record of publications in respected and highly ranked international journals. Candidates will also have either an associate professor status in a University or have recently obtained the appropriate national qualification (ASN) of the Italian University System (SECS P01 SECS S06). CVs may be sent only via email to: Giorgio Di Giorgio, Dean, Economics and Finance, def(a)luiss.it Application Deadline for expressing interest: 15/04/2014 Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old addresses: Fausto Gozzi Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facolta' di Economia Universita' di Roma La Sapienza via del Castro Laurenziano 9 00161 Roma Italy tel 06/49766275 (office) FAX 06/49766765 and also Fausto Gozzi Dipartimento di Matematica Universita' di Pisa via Filippo Buonarroti n. 2 56127 Pisa Italy tel 050/2213270 FAX 050/2213224 e-mail: GOZZI(a)DM.UNIPI.IT --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

1 0

Post-doc position in Tor Vergata
by Domenico Marinucci 24 Mar '14

24 Mar '14

APOLOGIES FOR CROSS-POSTING ONE POST-DOCTORAL POSITION IN ROME – TOR VERGATA Applications are invited for a postdoctoral position at the Department of Mathematics- University of Rome Tor Vergata. TITLE PASCAL: PROBABILISTIC AND STATISTICAL TECHNIQUES FOR COSMOLOGICAL APPLICATIONS – Fourth Level QUALIFICATIONS AND ASSESSMENT GROUNDS FOR APPOINTMENT The candidates should have completed, or should be expecting to complete soon, a PhD in Mathematics, Statistics, Physics or related fields. JOB DESCRIPTION The postdoctoral positions are part of the ERC project PASCAL, (Principal Investigator: Domenico Marinucci, http://www.mat.uniroma2.it/~marinucc/). The successful applicant is expected to work on the themes of the project which include, but are not restricted to: Random fields on the sphere, spectral representations, characterizations of isotropy and Gaussianity, geometry of Gaussian fields, angular power spectra and polyspectra, spherical wavelets/needlets, statistical estimation for spin random fields, Poisson processes and adaptive estimation of density functions on the sphere, with applications and motivations from the analysis of Cosmic Microwave Background radiation data, Cosmic Rays, Weak Gravitational Lensing experiments. SALARY Salary is fixed at 34,000 euros per year (e.g., 2580 Euros net per month approximately), plus pension benefits. Financial support will be available for travels. The position is for two years. HOW TO APPLY Candidates must apply by email to the address: Pascal_4th_level_2014(a)applications.uniroma2.it specifying in the subject “PASCAL - fourth level grant” and including the following: a) a contact email address; b) curriculum vitae; c) date and title of their undergraduate or Master’s degree; d) date and title of their PhD degree (or expected completion date); e) a list of relevant publications; f) any other document deemed useful for the present selection procedure. The candidate should ask for at least two recommendation letters to be sent directly to the same email address as for the application. The subject of the email messages should indicate the applicant’s name. For the purposes of the completion of the admission application the only languages permitted are Italian and English. The application and all the other documents must be received by April 30, 2014. INFORMATION For further information please contact Domenico Marinucci at marinucc(a)mat.uniroma2.it @@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata http://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@

1 0

PhD positions in Oslo (fwd)
by Tiziano Vargiolu 21 Mar '14

21 Mar '14

---------- Forwarded message ---------- Date: Fri, 21 Mar 2014 12:54:29 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Emanuela Rosazza Gianin <emanuela.rosazza1(a)unimib.it>, vargiolu(a)math.unipd.it Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: PhD positions in Oslo Dear Tiziano and Emanuela, could you please spread information among your contacts on two PhD grants that are opened at the department of Mathematics at the University of Oslo. One open to all Mathematical Sciences: pure and applied (including probability, statistics, mathematical finance) http://uio.easycruit.com/vacancy/1149345/64285?iso=no The other restricted to stochastic analysis, probability, statistics, mathematical finance. http://uio.easycruit.com/vacancy/1149365/64285?iso=no Candidates interested in those areas should then apply to both. Other openings in mathematics and (bio)statistics are available at: http://www.mn.uio.no/math/english/ Also the contracts are of 3 years, but if the candidate has some knowledge of one of the scandinavian languages, then the contract is extended to 4 years with teaching duties (25%) included. All this is detailed in the calls. Thank you for your help and best wishes Giulia ************************ Giulia Di Nunno Professor Centre of Mathematics for Application Department of Mathematics University of Oslo

1 0

Fwd: bandon 2-2014 Cat. B tip. I
by Gustavo Posta 21 Mar '14

21 Mar '14

Begin forwarded message: > From: Linda De Riggi <linda.deriggi(a)uniroma1.it> > Subject: bandon 2-2014 Cat. B tip. I > Date: 21 marzo 2014 10:57:49 GMT+01:00 > > Vi informo che è stato pubblicato sul sito web del Dipartimento il > seguente bando per assegno di ricerca: > > > n.2/2014 per il conferimento di n. 1 assegno di ricerca annuale di > categoria B tip. I > > http://www.mat.uniroma1.it/dipartimento/bandi/assegni-e-contratti-di-ricerca > > SSD: MAT/05, MAT/06 > > > scadenza: 30 aprile 2014 > > > responsabile scientifico: A. Pisante > > > ******************************************* > Dr.ssa Linda De Riggi > > Segreteria Amministrativa > Dipartimento di Matematica "G. Castelnuovo" > Universita' degli Studi di Roma "La Sapienza" > Piazzale Aldo Moro, 5 > 00185 Roma > Tel.e fax: 0649913271 > e-mail: linda.deriggi(a)uniroma1.it

1 0

Fw: SEFE - Stoachastics in Environmental Finance and Economics
by Emanuela Rosazza Gianin 21 Mar '14

21 Mar '14

Cari tutti, inoltro questo avviso di convegno che mi è stato inviato da Giulia Di Nunno. Cordiali saluti, Emanuela ---- Stochastics of Environmental and Financial Economics The conference will bring together leading researchers in the fields of stochastic analysis and finance to discuss recent developments and challenges with an edge towards energy, environmental and financial markets. The conference is organized by the Center of Advanced Studies (CAS), Stochastics of Environmental and Financial Economics. Scientific organizers: Fred Espen Benth and Giulia Di Nunno (UiO) Time and place: September 15-19, 2014. The Norwegian Academy of Sciences and Letters http://www.mn.uio.no/math/english/research/groups/stochastic-analysis/event… ************************ Giulia Di Nunno Professor Centre of Mathematics for Application Department of Mathematics University of Oslo

1 0

Seminario di Probabilita' - Universita' di Padova
by alessandra bianchi 20 Mar '14

20 Mar '14

Ho il piacere di invitarvi al seguente seminario che si terra' mercoledi' 26 marzo alle ore 15 nell'aula 1BC45 presso il Dipartimento di Matematica dell'Universita' degli Studi di Padova. Speaker: Giada Basile Affiliation: Dip. di Matematica - Università la Sapienza Title: Large deviations for degenerate jump processes Abstract: We prove the joint large deviation principle for the empirical measure and flow for a class of continuous time Markov chains that admit an absorbing state. Due to the lack of uniform ergodicity, the zero level set of the rate function is not a singleton. As a corollary, we deduce the Donsker-Varadhan large deviation principle for the empirical measure. We discuss in detail an example given by a linear phonon Boltzmann equation. (joint work with Lorenzo Bertini) -- Alessandra Bianchi Dip. di Matematica Pura e Applicata 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/

1 0

Mini corso "Credit Risk Modelling", SNS Pisa
by Giacomo Bormetti 20 Mar '14

20 Mar '14

Il giorno venerdì 28 Marzo presso la Scuola Normale Superiore, Andrea Pallavicini (Banca IMI, Imperial College) terrà un mini-corso dal titolo " Credit Risk Modelling Before and After the Crisis". Segue il programma: Aula Bianchi, 10:00 – 12:00 Credit Derivatives Pre-Crisis Pricing: multi-name credit products Aula Mancini, 14:00 – 16:00 Post-Crisis Pricing: credit, collateral and funding Pricing Derivatives under CSA or CCP Clearing Maggiori informazioni sono disponibili all'indirizzo mathfinance.sns.it Tutti gli interessati sono invitati a partecipare. Saluti, Giacomo

1 0

Fwd: One-day colloquium on switching problems and related topics in Le Mans
by Giorgio Ferrari 18 Mar '14

18 Mar '14

Buongiorno, inoltro la seguente comunicazione. Buona giornata, Giorgio Ferrari Dear Giorgio, Next May 22, 2014 we will organize in Le Mans (France) a one-day colloquium on switching problems and related topics. Below is the link to the website of this mini-colloquium. http://lmm.univ-lemans.fr/spip.php?rubrique26 So could you please transfert this e-mail to researchers (students or academics) who could be interested in this scientific event. Thanks a lot in advance. Best regards, S.Hamadène. -- Giorgio Ferrari Center for Mathematical Economics (IMW) Bielefeld University office: W10-100 office phone: +49 521 106 5642 Postfach 100131, 33501 Bielefeld, Germany email: giorgio.ferrari(a)uni-bielefeld.de giorgio.ferrari(a)uniroma1.it web-page: https://sites.google.com/site/giorgioferrariswebsite/

1 0

Seminari GOLDSCHMIDT e SPANO'
by Matteo Ruggiero 14 Mar '14

14 Mar '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 21 Marzo 2014, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: h. 11.00 Christina GOLDSCHMIDT (University of Oxford) THE SCALING LIMIT OF THE MINIMUM SPANNING TREE OF THE COMPLETE GRAPH h. 12.00 Dario SPANO' (University of Warwick) ON THE ANCESTRAL PROCESS OF LONG-RANGE SEED BANK MODELS Gli abstracts delle presentazioni possono essere consultati alla pagina http://www.carloalberto.org/events/seminars/statistics/ 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 & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

1 0

post Doc fellowships - Probability and Statistics
by Giacomo Aletti 13 Mar '14

13 Mar '14

The University of Milan has launched a competition by qualifications and interview to award 4 two years fellowships, possibly renewable, at the Department of Mathematics, Via Saldini 50, Milano, for a collaboration to research activities restricted to doctorate graduates. The yearly gross amount is 21.000 EURO. One collaboration will be assigned to a fellowship in Probability and Statistics or Numerical Analysis: the evaluation of the projects will determine the research area. The title for the statistics and probability project is STATISTICAL INFERENCE FOR POINT PROCESSES The main page for further details is http://www.unimi.it/ricerca/assegni_ricerca/1260.htm The deadline is 31/03/2014, see ITA http://www.unimi.it/cataloghi/ass_collaborazione_ricerca/BANDO_tipo_A_2013_… EN http://www.unimi.it/cataloghi/ass_collaborazione_ricerca/BANDO_tipo_A_2013_… Application form online at http://surplus-unimi.cineca.it/rm/public/postDocFellowship.htm Feel free to forward this announcement to whom it may be interested. Regards, Giacomo Aletti -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

1 0

Fwd: Remind: CIdE - Summer Courses in Econometrics
by mariaelvira.mancino＠unifi.it 12 Mar '14

12 Mar '14

----- Messaggio inoltrato da calzolar(a)disia.unifi.it ----- Data: Wed, 12 Mar 2014 16:05:13 +0100 Da: Giorgio Calzolari <calzolar(a)disia.unifi.it> Rispondi-A:Giorgio Calzolari <calzolar(a)disia.unifi.it> Oggetto: Remind: CIdE - Summer Courses in Econometrics A: "Recipient list suppressed"@ CIdE - Interuniversity Center for Econometrics - Courses in Econometrics for PhD students 2014. Registration is open from today till April 30: http://virgo.unive.it/cide/?page_id=625 Non academic participants (banks, insurance and financial companies, economic research offices, etc.), master's students and new graduates who wish to continue in their studies are also eligible to our courses. ----- Fine del messaggio inoltrato -----

1 0

de Finetti risk seminar - marzo 2014
by Emanuela Rosazza Gianin 12 Mar '14

12 Mar '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on March 19, 2014 at 18.00 with the Lecture A continuous auction model with insiders GIULIA DI NUNNO University of Oslo ABSTRACT In a unified framework we study equilibrium in the presence of an insider having information on the signal of a firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at some future random stopping time. We consider the two cases in which this release time of information is known and not known to the insider. We study the structure of the optimal insider's strategies in equilibrium and we discuss market efficiency in the two cases of insider's information. Some examples of explicit insider's strategy will be provided. This is joint work with Jose Manuel Corcuera, Gergely Farkas, and Bernt Øksendal. LOCATION: The seminar will be held on Wedsnesday, March 19, at 18.00 at Aula Chisini, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali 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 *******************************************************************************************

1 0

PhD position - Politecnico di Milano Dept. of Mathematics
by Simone Vantini 11 Mar '14

11 Mar '14

*Position:*PhD position in "Statistical Methods for Geosciences" in Mathematical Models and Methods in Engineering. *Institution:*Department of Mathematics, Politecnico di Milano, Milan, Italy. *Duration:*3 years, beginning May 1, 2014. *Monthly net income:*1.200 euro. *Deadline for applications: *14:00 (GMT+1:00), March 18, 2014. *Details for applications: *please click here <http://www.ricerca.polimi.it/fileadmin/files/dottorato/concorso29/bandi_agg…> to download the official call. *Motivations and objectives of the research in this field:*Problems characterized by high-dimensional and complex data have become more and more common in engineering. Due to their complexity, in many situations these data contain redundant information since their underlying structure may involve only a reduced number of relevant features. This research aims at developing new methods for the detection of suitable subspaces where data (possibly spatially-dependent) can be represented, interpreted and analyzed. The interest extends also to the identification of suitable basis, which should capture the relevant geophysical features of the phenomenon under study and allow for computationally efficient statistical analysis. *Methods and techniques that will be developed and used to carry out the research:* The PhD program aims at training young researchers by providing them with a strong mathematical background and with ability to apply their knowledge to the solution of real-world problems in the areas of Statistics and Scientific Computing. *Educational objectives:*The PhD students carry their research both in the development of new mathematical methods and in the implementation and improvement of advanced techniques in connection with specific contexts and applications. Further information can be obtained by consulting the dedicated website http://www.mate.polimi.it/dottorato *Job opportunities:* Job opportunities are in companies and research agencies which are leaders in their respective fields. *Further Details:* please click here <http://www.ricerca.polimi.it/fileadmin/files/dottorato/concorso29/bandi_agg…>for further details. -- Simone Vantini MOX Laboratory for Modeling and Scientific Computing Dept. of Mathematics "F. Brioschi" - Politecnico di Milano Address: Piazza Leonardo da Vinci 32, 20133, Milan, Italy Phone: (+39) 02 2399 4554 Email: simone.vantini(a)polimi.it Website: http://mox.polimi.it/~vantini/

1 0

[Fwd: Corso al GSSI]
by davide gabrielli 10 Mar '14

10 Mar '14

Il Prof. *Pablo Ferrari* (Dipartimento di Matematica, Università di Buenos Aires) terrà un corso presso il GSSI (Gran Sasso Science Insittute L'Aquila) dal titolo *Graphical constructions for Markov processes and interacting particles processes. * Il corso inizierà il giorno mercoledi 19 Marzo alle ore 9 e proseguirà per 4 settimane col seguente orario: mercoledi, giovedi e venerdi 9-11. -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

1 0

[Fwd: seminario Gssi]
by davide gabrielli 10 Mar '14

10 Mar '14

Il giorno Giovedi 13 Marzo alle ore 16 presso il GSSI (Gran Sasso Science Institute, L'Aquila) la Prof. *Inés Armendariz *del Dipartimento di Matematica dell'Università di Buenos Airesterrà il seguente seminario: *Title*: Scaling limit of the condensate dynamics in the zero-range process *Abstract*: We consider the zero-range process on the one dimensional torus with L sites and N particles, in the supercritical regime when N=L exceeds the critical density. It is known that in the stationary state, as L goes to infinity, the excess particles accumulate at a randomly chosen position, forming the condensate. We now show that, at the right scale, this condensates moves according to a Lévy process on the rescaled torus, with rates determined by the jump distribution of the original zero range process. For instance, for nearest neighbour probabilities, the limiting Lévy process will have rates inversely proportional to the jump length. -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

1 0

Internationalization programme at the University of Verona - Master degree in Mathematics
by Luca di persio 08 Mar '14

08 Mar '14

Dear, this is an invitation to foreign teachers, coming from a European University or non-European, to share didactical projects with the professors in charge of a particular course given within the Master degree in Mathematics at the University of Verona. Such opportunity, funded by the Unviersity of Verona, has been also thought to start a *scientific collaboration with professors afferent to the Master degree in Mathematics*: http://www.di.univr.it/?ent=cs&id=418&lang=en The minimum lenght of stay is *1 week to which corresponds a reimbursement of 2k euros*. Additional 600 euros will be payed for any additional week *and up to 3.5K euros for one month and 11k euro for three months*. The teaching load is fixed at 6 hours per week. *Collaborations in the field of stochastic processes, SPDEs theory and their applications to Mathematical Finance are particularly welcome.* Please, spread the present message to anyone you think that could be interested in the project. For any further details, feel free to contact me: luca.dipersio(a)univr.it dipersioluca(a)gmail.com or the Internationalization Office of Verona University: relazioni.internazionali(a)ateneo.univr.it Hope to hear from you soon, 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

1 0

Young Finance Scholars' Conference and Quant Finance Workshop
by Enrico Scalas 07 Mar '14

07 Mar '14

Car* collegh*, vi segnalo un'iniziativa dell'Università del Sussex con preghiera di diffusione. Nel caso i link sottostanti non funzionassero si puo' usare: www.sussex.ac.uk/bmec/qfin <http://UrlBlockedError.aspx/> Cordiali saluti Enrico Scalas Professor of Statistics and Probability University of Sussex Young Finance Scholars' Conference and Quant Finance Workshop<http://www.sussex.ac.uk/bmec/qfin/> The Finance group at the University of Sussex is pleased to announce a conference that is specially designed for junior scholars in Finance, followed by a (separately bookable) Quantitative Finance Workshop. Both events are hosted by the Department of Business and Management<http://www.sussex.ac.uk/bam/> in the School of Business, Management and Economics<http://www.sussex.ac.uk/bmec/> . Young Finance Scholars' Conference<http://www.sussex.ac.uk/bmec/qfin/conference> Quantitative Finance Workshop<http://www.sussex.ac.uk/bmec/qfin/workshop> *Thursday, 8th May 2014* *Friday, 9th May 2014* The conference provides an opportunity for junior scholars that have little (or no) experience with publishing in academic journals to share their research, debate their methodology and results, network with their peers from other institutions and - primarily - to receive expert comment and advice on publication from leading finance academics, including: - Professor Carol Alexander - University of Sussex - Professor Ben Hambly - University of Oxford - Professor Mike Lipkin - Columbia University, New York - Professor Brian Lucey - Trinity College, Dublin - Dr. Norman Seeger - VU University, Amsterdam The workshop is given by *Mike Lipkin,* a renowned specialist on Event-Driven Finance and co-author (with Marco Avallaneda) of the paper winning the Risk Magazine Quant-of-the-year award 2010. Designed to appeal to both practitioners and academics, Mike will describe his path-breaking work on trading attendant to market events, such as earnings announcements or crashes. Places are limited and workshop participation is allocated on a first come first served basis. Please visit our website www.sussex.ac.uk/bmec/qfin<http://UrlBlockedError.aspx>for more details on the conference and workshop and to register.

1 0

Fwd: [stoch-ned-l] Announcement workshop Population Dynamics and Statistical Physics in Synergie
by Cristian Giardina 06 Mar '14

06 Mar '14

---------- Forwarded message ---------- From: Koorn, P.M. <Koorn(a)eurandom.tue.nl> Date: Thu, Mar 6, 2014 at 2:55 PM Subject: [stoch-ned-l] Announcement workshop Population Dynamics and Statistical Physics in Synergie To: "stoch-ned-l(a)science.uu.nl" <stoch-ned-l(a)science.uu.nl> We would like to announce the upcoming workshop on Population Dynamics and Statistical Physics in Synergy To be held at Eurandom, Eindhoven, the Netherlands Date: August 25-29, 2014 Organizers: C. Giardina, A. Greven, F. den Hollander Mini courses by: J. Kurchan, C. Richard Talks by 20 other researchers. More information on http://www.eurandom.nl/events/workshops/2014/Population_Dynamics/Population… On behald of the organizers, Kind regards, Patty Koorn Eurandom P.O.Box 513 (MF 4.081) 5600 MB EINDHOVEN The Netherlands tel. +31 40 247 81 00 e-mail koorn(a)eurandom.tue.nl www.eurandom.tue.nl

1 0

Fwd: (fwd)
by Lucia Caramellino 06 Mar '14

06 Mar '14

---------- Forwarded message ---------- Date: Tue, 4 Mar 2014 09:19:49 +0100 From: Maria Chiarolla <maria.chiarolla(a)uniroma1.it> To: Lucia Caramellino <caramell(a)axp.mat.uniroma2.it> Subject: Fwd: ---------------------------------------- vi informo che sul sito della Facolt�, nell'apposita sezione http://www.economia.uniroma1.it/node/5559/affidamenti-e-contratti, � stato pubblicato un bando per n. 7 posti per contratti di collaborazione coordinata e continuativa, per lo svolgimento di corsi di recupero e sostegno per i seguenti insegnamenti: Economia Aziendale, Economia e Gestione delle Imprese, Finanza Aziendale, Istituzioni di Diritto Pubblico, *Matematica corso base*, Politica Economica, Statistica corso base. *La scadenza prevista per la presentazione delle domande � il giorno 11 marzo 2014.* Vi invito a darne la massima diffusione. Grazie, MCh

1 0

[amases-soci] Fwd: Second Call e web site 38mo Convegno AMASES 2014 (fwd)
by Tiziano Vargiolu 05 Mar '14

05 Mar '14

---------- Forwarded message ---------- Date: Wed, 05 Mar 2014 14:34:21 +0100 From: Antonella Basso <basso(a)unive.it> To: Soci AMASES <amases-soci(a)listserv.unive.it> Subject: [amases-soci] Fwd: Second Call e web site 38mo Convegno AMASES 2014 Cari Soci AMASES, vi inoltro la seconda call del Convegno AMASES 2014 e il link al sito web. Cordiali saluti Antonella Basso -------- Messaggio originale -------- Oggetto: Second Call e web site 38mo Convegno AMASES 2014 Data: Wed, 5 Mar 2014 13:10:56 +0100 Mittente: Massimiliano Ferrara <massimiliano.ferrara(a)unirc.it> A: Antonella Basso <basso(a)unive.it> CC: basile(a)unina.it, Weinrich Gerd <gerd.weinrich(a)unicatt.it> Cara Antonella, Ti chiedo cortesemente di comunicare ai Consoci che il sito del prossimo Convegno Amases e' da questa mattina on line al seguente indirizzo: www.amases2014.unirc.it Un abbraccio Massimiliano Ferrara -- Antonella Basso Dipartimento di Economia Universita Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893

1 0

Assegno di ricerca post-dottorale, presso CNR IMATI-MI
by Antonio Pievatolo 04 Mar '14

04 Mar '14

Segnalo la pubblicazione di un bando per un assegno di ricerca post-dottorale su "Analisi statistica dei dati", con scadenza il prossimo 24 marzo. I dettagli si trovano nella seguente pagina web: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/72788 Cordiali saluti Antonio Pievatolo -- Dr Antonio (Marco) Pievatolo CNR IMATI Tel. +39 02 23699.521 (direct: 520) Web www.mi.imati.cnr.it/marco

1 0

Two seminars and presentation of Ph.D. theses - date
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

We have the pleasure to announce the following two seminars and the defenses of two PhD thesis for the day Friday, March 7th: University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) 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 --------------------------------------------------------------------------

1 0

Two seminars and presentation of Ph.D. theses
by Tiziano Vargiolu 03 Mar '14

03 Mar '14

We have the pleasure to announce the following two seminars, in University of Padova, Italy Department of Mathematics, via Trieste 63 room 1BC/45, 1st floor 9.00 Tomas BJORK: "Time inconsistent control" (joint with Agatha Murgoci) ABSTRACT: We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear equations, for the determination for the equilibrium strategy as well as the equilibrium value function. Most known examples of time inconsistency in the literature are easily seen to be special cases of the present theory. We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples. 10.00 Thorsten SCHMIDT: "Bond markets and absence of arbitrage beyond the existence of a bank account" (joint with Irene Klein and Josef Teichmann) ABSTRACT: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid numeraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numeraires. Our setting are general cad lag processes as bond prices, where we employ directly methods from large financial markets. Moreover, we do not restrict price process to be semimartingales, which allows for example to consider markets driven by fractional Brownian motion. In the core of the article we relate the appropriate no arbitrage assumptions (NAFL), i.e. no asymptotic free lunch, to the existence of an equivalent local martingale measure with respect to the terminal bond as numeraire, and no arbitrage opportunities of the first kind (NAA1) to the existence of a supermartingale deflator, respectively. In all settings we obtain existence of a generalized bank account as a limit of convex combinations of roll-over bonds. Additionally we provide an alternative definition of the concept of a numeraire, leading to a possibly interesting connection to bubbles. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numeraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. After the two seminars, the defenses of two PhD thesis will take place: 11.00 Juan Miguel MONTES: "Aspects of affine models in the pricing of exotic options and in credit risk" (supervisor: Wolfgang J. Runggaldier) 11.45 Stefano PAGLIARANI: "Portfolio optimization and option pricing under defaultable Levy driven models" (supervisor: Tiziano Vargiolu) 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 --------------------------------------------------------------------------

1 0

CSAMA 2014: Computational Statistics for Genome Biology - June 22-27, 2014
by stefano iacus 02 Mar '14

02 Mar '14

CSAMA 2014: Computational Statistics for Genome Biology (12th edition) Bressanone-Brixen, Italy (South Tyrol Alps - half way between Verona and Munich) June 23-27, 2014 *** Registration for CSAMA 2014 is now open *** http://www-huber.embl.de/csama This one-week intensive course teaches current approaches in the statistical and computational analysis of large-scale experiments in biology. The course focuses on the methods for downstream analysis of high-throughput sequencing experiments including RNA sequencing (differential expression) and DNA sequencing (variant calling), as well as QTL analysis and high-throughput screening. Lectures also cover essentials including statistical testing, linear models, machine learning, visualisation and bioinformatic metadata integration. Topics • Introduction to R and Bioconductor • Elements of statistics: hypothesis testing, multiple testing, regression, regularisation, clustering and classification (machine learning), visualisation • Computing with sequences and genomic intervals • RNA-Seq data analysis and differential expression • DNA Variant calling • Working with annotation -- genes, genomic features and variants • Gene set enrichment analysis • High-throughput screens The course consists of • morning lectures: 20 x 45 minutes: Monday to Friday 8:30am - 12:00am • 4 practical computer tutorials in the afternoons (2pm - 5pm) on Monday, Tuesday, Thursday and Friday ----------------------------------- Stefano M. Iacus 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 Have a look at the new Master Degree in Finance ! http://www.fin.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

1 0

Fwd: Deadline abstract submission ICFIS2014 extended to March 13!
by Julia Mortera 02 Mar '14

02 Mar '14

-------- Original Message -------- Subject: Deadline abstract submission ICFIS2014 extended to March 13! Date: Tue, 25 Feb 2014 21:45:58 +0100 From: ICFIS2014 <icfis2014(a)gmail.com> Reply-To: <info(a)icfis2014.org> To: <info(a)icfis2014.org> *The deadline for abstract submission for ICFIS2014 <http://icfis2014.org> has been extended to March 13.* * *KOG We have already received 75 abstracts, but we want to give even more people the opportunity to submit an abstract. The *9th International Conference on Forensic Inference and Statistics* <http://icfis2014.org/> will take place from *19 to 22 August 2014* at Leiden University <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/venue.html>, the Netherlands. Leiden is a beautiful city with a large number of monuments and canals, and has a 15 minutes train link to Amsterdam Schiphol International Airport, one of the main gates of Europe. This international conference - in short *ICFIS2014* <http://icfis2014.org/> - unites lawyers, statisticians and forensic scientists in their interest in optimal reasoning concerning forensic evidence. Technical developments in biological, physical, chemical and digital forensic disciplines are fast and have an increasing impact on law enforcement and the justice system. Examples are DNA profiling, fingerprint and illicit drug analysis, and analysis of large digital data-sets for intelligence purposes. Whatever the type of evidence, it can only be of value when it is properly gathered, analyzed, evaluated, and communicated by the scientist. Moreover, it should be understood by the legal decision maker. This requires sound statistical and logical methods, and good communication between lawyers and scientists. The conference promotes the interaction between providers and users of forensic evidence. It focuses on probabilistic methods for the evaluation of forensic evidence, and their use in law and law enforcement. The conference will provide a forum for oral presentations and posters. Furthermore, the first day of the conference will consist of workshops. Selection by the scientific committee of the contributions for the final program is based on abstracts. If you haven't done so already, please submit your abstract by digitally filling out the form you can download from the website <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/abstracts.html>, and sending it to abstracts(a)icfis2014.org <mailto:abstracts@icfis2014.org>. *The final deadline for abstract submission is March 13, 2014. * The website lists the themes <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/index.html#themes> for the conference. See you at ICFIS2014! Charles Berger and Marjan Sjerps, on behalf of the organizing and scientific committee <http://dl.dropboxusercontent.com/u/6795661/ICFIS2014/organization.html>. ___________________________________ If you want to unsubscribe from this mailing list, just reply with 'unsubscribe' in the subject.

1 0

Cooperint call at University of Verona
by Luca di persio 02 Mar '14

02 Mar '14

Dear all, this a call for potentially interested people to join the Cooperint internationalization program of the University of Verona (see details below) in order to build a scientific collaboration in particular within the fields of: *Probability, Statistics, Stochastic Processes and their applications in Mathematical Finance*. Please feel free to contact me at: luca.dipersio(a)univr.it . *CooperInt Program - 2014 edition* *Deadline: April 7* The *University of Verona* has launched its own internationalization program called *CooperInt*, providing funding to promote research interactions with international scientists according with the following call typologies *Action A.1* (*Junior Visitor Program*) is intended to invite young researchers with no more than 7 years of academic experience after their PhD. Such positions are intended mainly for research activity/exchanges, but can also forecast teaching activities (e.g. seminars, short courses) *Action A.2* (*Senior Visitor Program*), is intended to invite world renowned Visiting Professors and scientists. During their stay in Verona the invited professors will be required to do teaching activities within a Master or a PhD Program for a minimum workload of two hours per week (eight hours per month). *Reimbursement* *A1 Funding *(max.amount) *A2 Funding *(max.amount) EU Home Institution Non-EU Home Inst. EU Home Institution Non-EU Home Inst. *2000 EURO/month NET* *2500 EURO/ month NET* *2500 EURO/ month NET* *3000 EURO/ month NET* For bureaucratic assistance refer to the International Relations Office: relazioni.internazionali(a)ateneo.univr.it Please note that the deadline is fixed at 07/04/2014, but, due to administrative duties, it is much better to have most of the required documents filled by the end of March. __ 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

1 0

bando assegno di ricerca SECS-S/06 a Firenze
by mariaelvira.mancino＠unifi.it 01 Mar '14

01 Mar '14

Il Dipartimento di Economics and Management dell'Universita' di Firenze bandisce un assegno di ricerca della durata di un anno per il settore SECS-S/06. Il bando si trova all'indirizzo: http://bandi.miur.it/bandi.php/public/fellowship/id_fellow/72982 Mavira Mancino

1 0

Seminario Sergio Albeverio
by Luca di persio 26 Feb '14

26 Feb '14

Buondì, inoltro, con preghiera di diffusione, l'annuncio del seminario che il prof. Sergio Albeverio (ospite dell'Università di Verona) terrà presso il prossimo 10 Marzo presso il Dipartimento di Informatica di UniVr. Buon lavoro, LuCa Prof. Sergio Albeverio, Bonn University "From integrals and asymptotics to (deterministic,stochastic,quantum) dynamical systems" Abstract del seminario We illustrate how deterministic ,stochastic and quantum aspects of the world emerge from infinite dimensional integrals and their asymptotics. Some recent applications in applied areas,from neurobiology to engineering and finance, are also briefly discussed. Keywords: Asymptotic expansions, Infinite dimensional integrals, Mathematical Finance, Neurobiology, SPDEs, Stochastic Processes Luogo ed ora del seminario: 10 Marzo 2014 ( ore 16:45: rinfresco, ore 17: seminario) presso il Dipartimento di Informatica dell'Università di Verona, Strada le Grazie 15 (Vr) Ca' Vignal 3 - Piramide, Sala Verde Referente: Luca Di Persio: http://www.di.univr.it/?ent=persona&id=8773&lang=en Grazie molte, 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

1 0

Scuola Estiva a Bielefeld: 7-20 Luglio 2014
by Giorgio Ferrari 26 Feb '14

26 Feb '14

*SUMMER SCHOOL: **Model Uncertainty in Economics and Finance - Advances in Stochastic Calculus* Dal *7 al 20 Luglio 2014* si svolgerà presso l´Università di Bielefeld (Germania) la Scuola Estiva *Model Uncertainty in Economics and Finance - Advances in Stochastic Calculus.* Le iscrizioni sono aperte fino al *30 Aprile 2014*. Per ulteriori informazioni http://www.bgts.uni-bielefeld.de/daad_network/2014summer/ Buona serata, Giorgio Ferrari -- Giorgio Ferrari Center for Mathematical Economics (IMW) Bielefeld University office: W10-100 office phone: +49 521 106 5642 Postfach 100131, 33501 Bielefeld, Germany email: giorgio.ferrari(a)uni-bielefeld.de giorgio.ferrari(a)uniroma1.it web-page: https://sites.google.com/site/giorgioferrariswebsite/

2 1

LMU Workshop on Stochastic Vol and Multi-Curves
by Juan Miguel Montes 26 Feb '14

26 Feb '14

The Ludwig Maximilian University of Munich - Workgroup Financial Mathematics' "quantLab" invites practitioners in the areas of quantitative finance, insurance, financial modeling, risk management and derivatives-structuring, to attend a two - part workshop on the topics STOCHASTIC VOLATILITY and MULTI-CURVE MODELS to be held on 2 - 4 April, 2014 at the LMU Math Institute, Munich, Germany. The guest presenter for Part 1 of the workshop will be Dr. Jörg Kienitz (Head of Quantitative Analysis at Deutsche PostBank AG). Part 2 of the workshop will be conducted by Prof. Dr. Christian Fries (Model Development and Methodology at DZ Bank and Professor at LMU Math Institute) and Dr. Alessandro Gnoatto (Researcher at LMU Math Institute). Participants may chose from three packages: Full Package (Part 1 & 2), Part 1 only or Part 2 only. The detailed workshop agenda, registration fees, venue instructions and contact information for inquiries, are all found on the following webpage: http://www.fm.math.lmu.de/stochasticvolatility The organizers are looking forward to your participation.

1 0

seminario claudio landim
by Faggionato, Alessandra 26 Feb '14

26 Feb '14

Buongiorno, Martedi' 4 marzo Claudio Landim terra' un seminario al Dipartimento di Matematica (Sapienza, Roma). sotto trovate i dettagli. cordiali saluti alessandra faggionato Martedi' 4 Marzo, Aula C (Dip. Matematica, Univ. Sapienza), ore 14:30 Speaker: C. Landim (IMPA Rio De Janeiro, CNRS Rouen) Title: Zero-temperature limit of the Kawasaki dynamics for the Ising lattice gas in a large two-dimensional torus Abstract: We consider the Kawasaki dynamics at inverse temperature $\beta$ for the Ising lattice gas on a two-dimensional square of length $2L+1$ with periodic boundary conditions. We assume that initially the particles form a square of length $n$, which may increase, as well as $L$, with $\beta$. We show that in a proper time scale $L^2\, \theta_\beta$ particles form almost always a square and that this square evolves as a Brownian motion when the temperature vanishes. -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

1 0

FW: QP circulation, and any others you know of ...
by Franco Fagnola 25 Feb '14

25 Feb '14

Buongiorno, prego far circolare i seguenti bandi dell'Universit? di Lancaster (UK). Grazie e cordiali saluti, Franco Fagnola ================== We have a Chair and Lectureship position in Probability in Lancaster. http://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A905 http://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A906 The deadline for both is 23rd March.

1 0

Colloquium Fabio Lucio Toninelli a Roma Tre
by pietro caputo 21 Feb '14

21 Feb '14

Mercoledi' 26 febbraio 2014 Ore 16:00, Aula F Dip. Matematica e Fisica Roma Tre EDIFICIO AULE LARGO SAN L. MURIALDO,1 Colloquium di Matematica Fabio Toninelli (Universita' di Lione) Random tilings, Glauber dynamics and macroscopic shapes I "piastrellamenti" (tiling) del piano sono un oggetto classico in meccanica statistica e combinatoria. Se le "piastrelle" sono a forma di losanga, si ha una corrispondenza esatta con le interfacce del modello di Ising 3-dimensionale a temperatura nulla. A ogni piastrellamento e' possibile associare una funzione di altezza (superficie discreta). E' ben noto [Cohn-Kenyon-Propp] che, se la taglia della regione U da piastrellare tende all'infinito, la funzione altezza associata a un piastrellamento scelto uniformemente tende verso una certa forma limite macroscopica che risolve una PDE ellittica non-lineare. Sull'insieme dei piastrellamenti si puo' definire una dinamica stocastica che corrisponde alla dinamica di Glauber a temperatura zero per il modello di Ising. Un problema classico e' quello di stimare il tempo (mixing time) che la dinamica richiede per raggiungere l'equilibrio (la misura uniforme). La congettura, basata sull'idea euristica che l'interfaccia evolve seguendo un'equazione di tipo "movimento per curvatura media", e' che il mixing time cresca essenzialmente come il quadrato del diametro della regione U. Il nostro risultato principale e' una prova di questa congettura, sotto l'ipotesi che la forma macroscopica non presenti singolarita'. Basato su lavori in collaborazione con P. Caputo, B. Laslier e F. Martinelli.

1 0

Mercati Energetici e Metodi Quantitativi - edizione 2014
by Tiziano Vargiolu 21 Feb '14

21 Feb '14

Buongiorno, volevamo informarti che anche quest'anno si ripeter? il workshop "Mercati Energetici e Metodi Quantitativi: un Ponte tra Universit? e Aziende". Trovi tutte le informazioni sul sito web http://www.unponte2014.stat.unipd.it/ Sono aperte le submission per gli speaker (accademici e professionisti provenienti da aziende) che desiderino presentare un talk. Inoltre, quest'anno abbiamo deciso di estendere l'iniziativa organizzando, nei due giorni precedenti la conferenza, quattro tutorial sui seguenti argomenti: - Introduzione ai mercati dell'energia e del gas - Rischio di credito e di controparte nei mercati energetici - Strumenti di analisi e di previsione per i mercati energetici. - Tecniche di gestione di portafoglio e di ottimizzazione: i contratti strutturati nei mercati dell'energia. Tutte le informazioni sui tutorial si trovano alla pagina http://events.math.unipd.it/memq2014/ In attesa di rincontrarci a Padova, porgiamo i nostri pi? Cordiali Saluti, gli Organizzatori Giorgia Callegaro Enrico Edoli Francesco Lisi Tiziano Vargiolu

1 0

ABS14- APPLIED BAYESIAN NONPARAMETRICS
by raffaele argiento 20 Feb '14

20 Feb '14

Registration is now open for *ABS14*, the 2014 edition of the Applied Bayesian Statistics School, which has been running since 2004. The topic of this year is *APPLIED BAYESIAN NONPARAMETRICS*. The lecturers will be Michael JORDAN (Berkeley) and Francois CARON (Oxford). The school will be held at Villa del Grumello, Como, Italy, from June 16 till 20, 2014. The school webpage is www.mi.imati.cnr.it/conferences/abs14.html Please note that a very limited number of participants (35) will be admitted. There is a late registration fee after April, 1st. For information please contact abs14(a)mi.imati.cnr.it Best regards, Raffaele Argiento Executive director of ABS14 -- Dr Raffaele Argiento CNR IMATI -- Milano Tel. +39 02 23699.529 Web www.mi.imati.cnr.it/raffaele

1 0

University of Kent-PhD Scholarship
by Fabrizio Leisen 20 Feb '14

20 Feb '14

Con preghiera di diffusione. Aggiungo che la borsa partirebbe da Settembre 2014. Cordiali Saluti, Fabrizio Leisen Postgraduate Scholarship Non-parametric priors for Bayesian inference *University* *of* *Kent* School of Mathematics, Statistics and Actuarial Science *Project:** Non-parametric priors for Bayesian Inference* *Supervisor:** Fabrizio Leisen* The use of Bayesian non-parametric (BNP) priors in applied statistical modelling has become increasingly popular in the last few years. From the seminal paper of Ferguson (1973, Annals of Statistics), the Dirichlet Process and its extensions have been increasingly used to address inferential problems in many fields. Examples range from variable selection in genetics to linguistics, psychology, human learning, image segmentation and applications to the neurosciences. The project aims to introduce and/or investigate new Bayesian non-parametric priors that can be used to describe a wide spectrum of phenomena. Keywords include: - Dirichlet and Pitman Yor Processes - Vectors of Dependent random probability measures - Non-exchangeable species sampling sequences *The* *School* *of* *Mathematics,* *Statistics* *and* *Actuarial* *Science* The School offers a lively research culture with a thriving group of around 250 taught postgraduates students and almost 100 postgraduate students, postdoctoral researchers and academic staff. Kent is among the best research-intensive universities in the UK. In the 2008 Research Assessment Exercise (RAE), the university was ranked 24th out of 159 institutions for its world-leading research, with six of our subject areas (including statistics) in the top tennationwide. Details of the research undertaken by the School can be found at: http://www.kent.ac.uk/smsas/postgraduate/phd-applications.html *The* *funding* This scholarship is partially funded by the FP7 Marie Curie Career Integration Grant "Flexible Bayesian non-parametric priors" held by Fabrizio Leisen. The scholarship is offered at the standard UK Research Councils' rate (currently£13,863) and will cover the tuition fees for a period of 3.5 years subject to satisfactory progress at each review period. *Entry* *Requirements* All candidates must have an excellent academic track record in Mathematics or Statistics or related disciplines and hold a good Honours degree in a relevant subject or equivalent. A Masters qualification such as an MSc or MMath orresearch experience would be advantageous. *To* *apply* To apply complete the online application form available by clicking the *'Apply'* button below or by visiting: http://www.kent.ac.uk/studying/postgrad/apply/index.html and select School research Scholarship under `How are you intendingto fund your studies?' and mention this research project in the research proposal. Closing date: 31st March 2014. -- Fabrizio Leisen Senior Lecturer in Statistics School of Mathematics, Statistics and Actuarial Sciences Cornwallis Building, University of Kent, Canterbury, CT2 7NF http://sites.google.com/site/fabrizioleisen/

1 0

de Finetti Risk Seminar - febbraio 2014
by Emanuela Rosazza Gianin 20 Feb '14

20 Feb '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on February 26, 2014 at 18.00 with the Lecture Evaluation of long-dated investments under uncertain growth trend, volatility, and catastrophes CHRISTIAN GOLLIER Toulouse School of Economics LOCATION: The seminar will be held on Wedsnesday, February 26, at 18.00 at room 3-E4-SR03, Bocconi University, Via Roentgen 1, Milano. A refreshment will be offered at 17.30. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali 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 *******************************************************************************************

1 0

Avviso di seminario :: Mortera@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 17 Feb '14

17 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 21 Febbraio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma JULIA MORTERA (Fac. di Economia, Università degli Studi di Roma3) terrà un seminario dal titolo ANALYSIS OF FORENSIC DNA MIXTURES tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary DNA is now routinely used in criminal investigations and court cases, although DNA samples taken at crime scenes are of varying quality and therefore present challenging problems for their interpretation. We present a statistical model for the quantitative peak information obtained from an electropherogram (EPG) of a forensic DNA sample and illustrate its potential use for the analysis of criminal cases. In contrast to most previously used methods, we directly model the peak height information and incorporates important artefacts associated with the production of the EPG. Our model has a number of unknown parameters, and we show that these can be estimated by the method of maximum likelihood in the presence of multiple unknown contributors, and their approximate standard errors calculated; the computations exploit a Bayesian network representation of the model. A case example from a UK trial, as reported in the literature, is used to illustrate the efficacy and use of the model, both in finding likelihood ratios to quantify the strength of evidence, and in the deconvolution of mixtures for the purpose of finding likely profiles of one or more unknown contributors to a DNA sample. Our model is readily extended to simultaneous analysis of more than one mixture as illustrated in a case example. We show that combination of evidence from several samples may give an evidential strength close to that of a single source trace and thus modelling of peak height information provides for a potentially very efficient mixture analysis. Joint work with Robert Cowell, Therese Graversen and Steffen Lauritzen

1 0

Research fellowship at the Insitute of Economics, Scuola Sant'Anna Pisa
by Enrico Scalas 17 Feb '14

17 Feb '14

Car* collegh*, mi hanno segnalato questa posizione post-dottorale presso Economia al Sant'Anna: http://www.sssup.it/context_elenco.jsp?ID_LINK=12550&area=6&id_context=44264 Cercano una persona che ben conosca probabilita' e teoria dei processi stocastici e, eventualmente, e' gradita una formazione in finanza. Per ulteriori infomazioni si puo' scrivere al Prof. Giulio Bottazzi: g.bottazzi(a)sssup.it Per favore, fate circolare il link alle persone interessate che conoscete. Cordiali saluti, Enrico Scalas Professor of Statistics and Probability University of Sussex http://www.sussex.ac.uk/maths/people/peoplelists/person/330303

1 0

1 posto di Maitre de Conferences e 1 di Professore in Probabilita' all'Universite' Lyon 1
by Fabio Toninelli 17 Feb '14

17 Feb '14

Gentili colleghi all'Universita' Lyon 1 e' aperto un concorso per un posto di Maitre de Conferences in probabilità e per un posto di Professore in Probabilita' (inizio: 1 settembre 2014). Entrambe le posizioni sono permanenti. Il profilo scientifico e' largo, http://math.univ-lyon1.fr/recrutements/profils_14/MCF_P_en.pdf e http://math.univ-lyon1.fr/recrutements/profils_14/PR_en.pdf. I temi di ricerca del gruppo di probabilità' di Lyon 1 sono descritti qui: http://math.univ-lyon1.fr/icj/?option=theme&th=5 I candidati interessati devono spedire elettronicamente il loro dossier ENTRO IL 12 MARZO 2014, tramite il sito https://galaxie.enseignementsup-recherche.gouv.fr/antares/can/index.jsp Qualche consiglio su come comporre il dossier di candidatura si trova qui: http://postes.smai.emath.fr/2014/OUTILS/conseils/index.php#it2 Attenzione: Il concorso e' aperto ai i candidati che hanno gia' passato la procedura di "Qualification" nazionale francese, oppure che hanno attualmente all'estero una posizione di livello equivalente a quelle di Maitre de Conferences o di Professore. Per ulteriori informazioni sullo svolgimento del concorso, i candidati interessati possono contattare o me (toninelli(a)math.univ-lyon1.fr) o Christophe Sabot (sabot(a)math.univ-lyon1.fr). Cordiali saluti 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

1 0

Fwd: Saint-Flour 2014
by Marco Romito 16 Feb '14

16 Feb '14

SAINT-FLOUR 2014 - SECOND ANNOUNCEMENT Dear colleagues, Online registration is now open for the 44th Saint-Flour Probability summer school, which will be held on July 15-25. Please note the DEADLINE FOR REGISTRATION: APRIL 18 This year, the courses are: Martin HAIRER : Regularity structures Gregory MIERMONT : Aspects of random maps SPECIAL NOTICE The previously announced lecture by Sourav Chatterjee is postponed to 2015. Consequently, this year's school will feature only two courses, and its length is slightly reduced. The registration form as well as some useful information about the school can be found on the web pages: http://math.univ-bpclermont.fr/stflour/index.php (in French) http://math.univ-bpclermont.fr/stflour/stflour-en.php (in English) For registration, you will have to accept the security certificate in your browser. These pages also contain the advertisement poster of the school (in French or in English). It would be helpful for us if you could print it and post it in your department. Thank you. Please forward the above information to anyone who might be interested. Best regards, The organizing committee Christophe Bahadoran, Arnaud Guillin, Laurent Serlet stflour(a)math.univ-bpclermont.fr Laboratoire de Mathématiques CNRS UMR 6620 Université Blaise Pascal (Clermont-Ferrand 2) Complexe Universitaire des Cézeaux BP80026 F-63177 Aubière tel (+33) 4 73 40 70 50 fax (+33)4 73 40 54 50

1 0

Seminario CHOPIN
by Matteo Ruggiero 14 Feb '14

14 Feb '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 21 Febbraio 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Nicolas CHOPIN (ENSAE, France) SEQUENTIAL QUASI MONTE CARLO Abstract: We develop a new class of algorithms, SQMC (Sequential Quasi Monte Carlo), as a variant of SMC (Sequential Monte Carlo) based on low-discrepancy points. The complexity of SQMC is O(N log N) where N is the number of simulations at each iteration, and its error rate is smaller than the Monte Carlo rate O(N^{-1/2}). The only requirement to implement SQMC is the ability to write the simulation of particle x_t^n given x_{t-1}^n as a deterministic function of x_{t-1}^n and uniform variates. We show that SQMC is amenable to the same extensions as standard SMC, such as forward smoothing, backward smoothing, unbiased likelihood evaluation, and so on. In particular, SQMC may replace SMC within a PMCMC (particle Markov chain Monte Carlo) algorithm. We establish several convergence results. We provide numerical evidence in several difficult scenarios than SQMC significantly outperforms SMC in terms of approximation error. Joint work with Mathieu Gerber. 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 & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

1 0

[Announce] "Unlocking the value of big data", Special Issue on EJASA-DSS
by stefano iacus 13 Feb '14

13 Feb '14

Call for papers for the Special Issue on "Increasing Innovation Opportunities by Unlocking the Value of Big Data" to be published on the "Electronic Journal of Applied Statistical Analysis: Decisione Support Systems and Services Evalutation" ### Guest Editors: Valentina Ndou,Faculty of Innovation for Engineering, University of Salento (ITA) Mirjeta Beqiri, Gonzaga University, Spokane, WA, (USA) Stefano M. Iacus, Department of Economics, Management and Quantitative Methods, University of Milan (ITA) ### Overview: The advent of new communication technologies and especially the exponential growth of social media web 2.0, from blogs, Facebook and Twitter to LinkedIn and YouTube, has created vast opportunities for firms and managers to get closer to customers, to gain a wealth of information about their behaviors and preferences, as well as to identify new market trends and new opportunities to remain competitive. It is known that firms today operate in the era of Big Data Revolution, overwhelmed with data that are available via web to almost everyone. The content and information that customers create in web 2.0 platforms constitute a valuable asset for firms to directly tap into the customer’s preferences and needs, as the most valuable source for attaining direct and reliable market information. ### Aim: Based on these recent trends, this special issue invites research articles and papers that put forth different approaches, statistical models, and decision making systems able to analyze the available data for gaining insights and creating new knowledge that leads to innovation and creativity. ### Topics: This special issue seeks original contribution on the following topics: 1. Techniques, tools, approaches, and methodologies used for analyzing data and information 2. Statistical Analysis for big data 3. Data and knowledge modelling techniques 4. Stimulating innovation and improving performance through statistical data analysis 5. Value of data for new business models, products, and services 6. Data management as a driver of performance and competitiveness 7. Value co-creation through data and information exchange 8. Transforming the value of data using real time analytics 9. Business optimization techniques through data analysis 10. Decision making process in the big data era 11. Role of statistical models in unlocking the value of web data 12. Real time analytics 13. Privacy, security, and intellectual property issues in the era of big data. ### Submission guidelines: Original research papers will be considered. ### Important Dates: Abstract submission: 20th March, 2014 Review decisions sent to authors: 20th April 2014 Full paper submission: 30th July, 2014 ### Further Information: For further information, please contact: ejasa(a)unisalento.it or visit http://siba-ese.unisalento.it/index.php/ejasa_dss/announcement/view/21

1 0

Young Researchers Meeting on BSDEs, Numerics and Finance
by Marco Fuhrman 13 Feb '14

13 Feb '14

Trasmetto a tutti gli interessati le informazioni rilevanti e il link internet di una conferenza sulle BSDEs (Backward Stochastic Differential Equations) destinata a giovani ricercatori, che si terra' a Bordeaux, 7-9 luglio 2014. Cordialmente, Marco Fuhrman https://indico.math.cnrs.fr/conferenceDisplay.py?confId=199 This international conference is a friendly meeting of young researchers working on: Backward Stochastic Differential Equations, and the related FBSDE, Reflected BSDE, etc... Efficient numerical computation in finance and insurance Robust control, risk management and portfolio optimisation in finance and insurance Nonlinear and Imprecise Probability Location: IMB, Université de Bordeaux, France. Dates and times: Monday 7th July 2014 (14:00) - Wednesday 9th July 2012. Who: Young researchers - broadly students and researchers within 10 years of PhD. Costs: There is no registration fees. For speakers: lunches, refreshments, accommodation at the university residence (7th, 8th, 9th July 2014) and the conference dinner are included. A part of travel costs would be also reimbursed, up to an amount that will be defined after. Non-speaker participants are welcome to apply but we may not be able to guarantee the full accommodation subsidy. Registration: directly on the website by 20 April 2014. Confirmation will be sent to all qualifying participants by the beginning of May. Format: 1/2 hour talks and informal conversations, with an explicitly accessible focus. Remark: If some parts of the website are written in french, you can choose the english version on the top-right corner of the website.

1 0

Avviso di seminario :: Aryasova@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 12 Feb '14

12 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 14 Febbraio, ore 10am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma OLGA ARYASOVA (Inst. of Geophysics, National Academy of Sciences of Ukraine, Ukraine) terrà un seminario dal titolo A REPRESENTATION FOR THE DERIVATIVE WITH RESPECT TO THE INITIAL DATA OF THE SOLUTION OF AN SDE WITH NON-REGULAR DRIFT tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Summary (* attached *)

1 0

Avviso di seminario :: Porcu@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 10 Feb '14

10 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 13 Febbraio, ore 15am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma EMILIO PORCU (Dep. de Estadística, Universidad de Valparaíso, Chile) terrà un seminario dal titolo ADAPTIVE TAPERS FOR SPACE-TIME GEOSTATISTICS tutti gli interessati sono invitati a partecipare dando magari prima un'occhiata a... http://seismomathics.wordpress.com ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Giovanna Jona Lasinio - Pierpaolo Brutti - Fulvio De Santis --- Summary We propose a class of nonseparable space-time compactly supported correlation functions, termed here quasi-tapers, to mean that such correlations can be dynamically compactly supported over space or time. An important feature of the quasi-taper is given by a spatial (temporal) compact support being a decreasing function of the temporal lag (spatial distance), so that the spatial (temporal) compact support becomes smaller when the temporal (spatial) dependence becomes weaker. We propose general classes as well as some examples that generalize the Wendland tapers to the space-time setting. Then a non separable space-time taper with spatial and temporal compact support is obtained as tensor product of quasi-tapers. Our space-time taper includes all the known constructions as special cases and will be shown to have great exibility. Covariance tapering is then explored as an alternative to maximum likelihood when estimating the covariance model of a space-time Gaussian random field in the case of large datasets. The proposed quasi and space-time tapers allows to perform covariance tapering when dealing with data that are densely observed in time (space) but sparse in space (time) or densely observed both in time and space. The statistical and computational properties of the space-time covariance tapering is addressed under increasing domain asymptotics. A simulation study and two real data examples illustrate the statistical and computational performances of the covariance tapering with respect to the maximum likelihood method using the space-time tapers proposed.

1 0

Seminario di Giovanni Puccetti presso Prometeia - Bologna
by Giacomo Scandolo 10 Feb '14

10 Feb '14

Il giorno Giovedì 13 Febbraio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Giovanni PUCCETTI (Università di Firenze) terrà un seminario su: RISK AGGREGATION AND MODEL UNCERTAINTY: SOME MESSAGES FROM THE METHODOLOGICAL FRONT Abstract. We review some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement. Specific issues that will be handled: - How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position?

1 0

seminario Stefano Iacus Roma Tre
by Julia Mortera 10 Feb '14

10 Feb '14

Il 19 febbario alle ore 14:30 presso l'aula seminari (III piano) Dipartimento di Economia, Universit? Roma Tre, Via Silvio D'Amico 77 il Prof. Stefano Iacus Dipartimento di Economia, Management e Metodi Quantitativi Universit? degli Studi di Milano terr? il seminario: ***Statistics over Big Data: How to Analyze 80 Millions of Tweets*** Abstract: There are several ways to analyze data coming from digitized texts and there are even more ways to analysis big amount of these data. Analyzing the sentiment expressed on social networks is both about big data and digitized text. But sentiment analysis is not just text mining, i.e. usual data mining applied to text data, because what matters is to capture the meaning of sentences in a corpora of texts whose language evolves in time and space or according to the age, the background of the writers, etc. We will discuss the most recent techniques of sentiment analysis available in the literature along with some new ideas and present some applications to the analysis of 80 millions of italian tweets to happyness and economics.

1 0

Seminar and Mini-course of Emmanuel Bacry at the Scuola Normale Superiore di Pisa
by Fabrizio Lillo 07 Feb '14

07 Feb '14

Emmanuel Bacry (CMAP, Ecole Polytechnique, France) will give a seminar at the Scuola Normale di Pisa on Thursday February 27 in Aula Bianchi at 1 pm The title and abstract are Hawkes process and applications Hawkes processes are point self-exciting point processes particularly well suited for applications. Introduced in the 70s, that have been used in very various domaines such as high-frequency financial time-series modeling or viral diffusion in social networks. After describing how they are defined and their main properties, we shall discuss some problems linked to parametric estimations (in high dimensions) as well as non parametric estimations. We will present several applications. Moreover he will give a mini-course on Modeling and analysis of high frequency financial time-series The agenda is attached below. Interested people are invited to participate. For more information, contact Fabrizio Lillo (fabrizio.lillo(a)sns.it) &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&& Tuesday February 25, Aula Fermi, 9.00-11.00 1- Introduction to different market and asset types - Which financial time-series for statistical analysis ? Thursday February 27, Aula Bianchi, 14.00-16.00 2- Orderbooks dynamics - Qualitative description - Some statistical elements of order books - Transaction costs - Price impact - Response function Wednesday March 5, Aula Bianchi, 14.00-16.00 3- Tick-by tick financial time-series - trading time versus physical time - ACD models - Microstructure noise Thursday March 6, Aula Bianchi, 14.00-16.00 4- Hawkes processes based tick-by-tick modeling - Microstructure noise modeling - Trading flow modeling - Response and Impact modeling ------------------------------------------------------------ Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159 web: https://sites.google.com/site/fabriziolillo9670/home

1 0

I: postdoc position available
by Massimo Campanino 07 Feb '14

07 Feb '14

________________________________________ Da: Aernout van enter [avanenter(a)gmail.com] Inviato: giovedì 6 febbraio 2014 18.24 A: aldo(a)mat.ufmg.br; Vladas Sidoravicius; gentz(a)math.uni-bielefeld.de; gantert(a)ma.tum.de; maspm(a)bath.ac.uk; spohn(a)ma.tum.de; Massimo Campanino; Jacek Miekisz; Charles Newman; Gordon Slade Oggetto: Re: postdoc position available [https://mail.google.com/mail/u/0/images/cleardot.gif] Announcement: postdoc position Groningen A one - year postdoc position is available, funded by NWO, to work on the topic of ``hidden symmetries, new and dual models of interacting particle systems.'' The project has a targeted starting date of 1 september 2014. The postdoc will work at Rijksuniversiteit Groningen and will work with the main investigators investigators A.C.D. van Enter and F. Redig (Delft University). Besides he will have the opportunity to collaborate within an international network related to this and comparable projects, situated in Modena ( C. Giardina, G. Carinci) and Warwick ( S. Grosskinsky). More information and details about the project and the position can be obtained from F. Redig (http://dutiosb.twi.tudelft.nl/~redig<http://dutiosb.twi.tudelft.nl/%7Eredig>)and A.C.D. van Enter (http://www.math.rug.nl/dsmp/People/AernoutvanEnter). Interested candidates are asked to send a letter of motivation and CV to F. Redig (f.h.j.redig(a)tudelft.nl<mailto:f.h.j.redig@tudelft.nl>) and A.C.D. van Enter (avanenter(a)gmail.com<mailto:avanenter@gmail.com>) ___________________ Prof.dr A.C.D. van Enter University of Groningen Department of Mathematics P.O. Box 800 9700 AV Groningen The Netherlands Telephone: +31 50 3633939<tel:%2B31%2050%203633939> (secretary) +31 50 3634967<tel:%2B31%2050%203634967> (extension) +31 50 3633800<tel:%2B31%2050%203633800> (telefax) +31 50 5266329<tel:%2B31%2050%205266329> (home) Email: aenter(a)phys.rug.nl<mailto:aenter@phys.rug.nl> URL: http://www.math.rug.nl/~aente<http://www.math.rug.nl/%7Eaenter>

1 0

Workshop MathStatNeuro 2-4 July Copenhagen
by Massimiliano Tamborrino 05 Feb '14

05 Feb '14

Dear all, Rune Berg, Susanne Ditlevsen and I organize a 3-days workshop in Copenhagen, 2nd-4th of July, "Mathematical Modeling and Statistical Analysis in Neuroscience", funded by the Dynamical Systems Interdisciplinary Network, University of Copenhagen, www.dsin.ku.dk. The idea is to bring together theoretical, experimental and computational researchers who are working on various topics in neuroscience. There is no conference fee and we hope to offer free lunch for all registered participants. Conference website homepage is: http://www.math.ku.dk/english/research/conferences/mathstatneuro2014 If you would like to attend, please register within the 15th May 2014 at: http://www.math.ku.dk/english/research/conferences/mathstatneuro2014/regist… We hope to welcome you in Copenhagen! Best wishes, Susanne, Rune and Massimiliano -- --------------------------------- Dr. Massimiliano Tamborrino Postdoctoral fellow Department of Mathematical Sciences University of Copenhagen email: mt(a)math.ku.dk URL: http://www.math.ku.dk/~mt/ Universitetsparken 5 DK-2100 Kobenhavn Ø, Denmark -----------------------------------------

1 0

Seminario Cristina Di Girolami a Milano-Bicocca - cambio aula
by federica.masiero＠unimib.it 05 Feb '14

05 Feb '14

1 0

seminari di O. Aryasova e E. Orsingher a Pisa
by Marco Romito 04 Feb '14

04 Feb '14

Il giorno 11 febbraio 2014, presso l'aula seminari del Dipartimento di Matematica dell'Università di Pisa, si terranno i seguenti seminari: 10:30 Olga Aryasova (Institute of Geophysics, National Academy of Sciences of Ukraine): A representation for the derivative with respect to the initial data of the solution of an SDE with non-regular drift 11:30 E. Orsingher (Roma Sapienza): Random flights Tutti gli interessati sono invitati a partecipare. m. _______________________________________________ abstract Aryasova We consider a multidimensional SDE with an identity diffusion matrix and a drift vector being a bounded measurable vector field. According to [Ver81] there exists a unique strong solution to such an equation. Recently the Sobolev differentiability of the solution with respect to the initial data was proved under rather weak assumptions on the drift (c.f. [Fed13,Moh12]). If the drift coefficient is smooth the derivative can be represent as a solution of an integral equation. For non-regular drift in dimension one such a representation was obtained using the local time of the initial process (see [Ary12,Att10]). It is well known that the solution does not have a local time at a point in multidimensional situation. We obtained the representation of the derivative using the theory of continuous additive functionals developed by Dynkin [Dyn63]. This method can be considered as a generalization of the local time approach to the multidimensional case. [Ary12] O. V. Aryasova and A. Yu. Pilipenko, On properties of a flow generated by an SDE with discontinuous drift, Electron. J. Probab. 17:no. 106, 1--20, 2012. [Att10] S. Attanasio, Stochastic flows of diffeomorphisms for one-dimensional {SDE} with discontinuous drift, Electron. Commun. Probab. 15:no. 20, 213--226, 2010. [Dyn63] E. B. Dynkin, Markov Processes, Fizmatlit, Moscow, 1963. [Translated from the Russian to the English by J. Fabius, V. Greenberg, A. Maitra, and G. Majone. Academic Press, New York; Springer, Berlin, 1965. vol. 1, xii + 365 pp.; vol. 2, viii + 274 pp.]. [Fed13] E. Fedrizzi and F. Flandoli, Hölder flow and differentiability for {SDE}s with nonregular drift, Stochastic Analysis and Applications, 31(4):708--736, 2013. [Moh12] S. E. A. Mohammed, T. Nilssen, and F. Proske, Sobolev differentiable stochastic flows of SDE's with measurable drift and applications, arXiv:1204.3867. [Ver81] A. Y. Veretennikov, On strong solutions and explicit formulas for solutions of stochastic integral equations, Math. USSR Sborn, 39(3):387--403, 1981. _______________________________________________ abstract Orsingher In this talk we present different types of random flights and examine their dynamics, probability laws and governing equations. We first consider the telegraph process (a random flight on the line), discuss its distribution, the connections with the telegraph equations, the first-passage time and the limiting case. We consider also the asymmetric telegraph process and its reduction to the symmetric one by means of relativistic transformations. Planar motions with a finite number of directions (in particular, four orthogonal directions) and an infinite number of directions, chosen at Poisson times with uniform law, are examined and several explicit distributions derived. A particular attention is devoted to the second model, where conditional and unconditional distributions are presented and the related equation of damped planar vibrations probabilistically derived. Random flights in R^d are subsequently considered and characteristic functions of the position of moving particles performing the random flights, obtained. The cases d = 2, d = 4, are investigated in detail. We present random flights in R^d with Dirichlet joint distribution for displacements, hyper-spherical uniform law for the orientation of steps and with a fractional Poisson number of changes of direction. Two types of fractional extensions of the above material are presented. The first one is obtained by considering Dzerbayshan-Caputo types of time- fractional derivatives. The second fractional extension is obtained by considering fractionalisation of Klein-Gordon equations and by applying the McBride approach to fractional powers of Bessel-type operators.

1 0

Mini corso "Interest Rates Modelling", SNS Pisa
by Giacomo Bormetti 04 Feb '14

04 Feb '14

Il giorno venerdì 21 Febbraio presso la Scuola Normale Superiore, Andrea Pallavicini (Banca IMI, Imperial College) terrà un mini-corso dal titolo "Interest-Rates Modelling in Collateralized Markets with Multiple Yield Curves". Segue il programma: Aula Fermi (Palazzo della Carovana), 10:00 – 12:00 The Money Market: central bank and interbank market reference rates The Credit Crunch and the Raising of the Basis Aula Dini (Palazzo Castelletto), 14:00 – 16:00 Pricing in Collateralized Markets: discounting and forwarding curves The HJM Framework: single-curve and multiple-curve modeling Tutti gli interessati sono invitati a partecipare. Saluti, Giacomo

1 0

risk and stochastics conference 2014, LSE (fwd)
by Tiziano Vargiolu 04 Feb '14

04 Feb '14

---------- Forwarded message ---------- Date: Mon, 3 Feb 2014 21:12:10 +0000 From: L.Campi(a)lse.ac.uk To: vargiolu(a)math.unipd.it Subject: risk and stochastics conference 2014, LSE Dear All On behalf of the organising committee, I invite you to the LSE Risk and Stochastics Conference 2014. The conference will take place on Thursday 24 and Friday 25 April 2014 in lecture theatre EAS.E171 in the East Building. This year?s speakers are: Beatrice Acciaio (LSE) Mathias Beiglb?ck (University of Vienna) Bruno Bouchard (University Paris Dauphine) Jaksa Cvitanic (Caltech) Chrsistoph Czichowsky (LSE) Stefano De Marco (?cole Polytechnique) Vladimir Kaishev (Cass Business School) Goran Peskir (University of Manchester) Philip Protter (Columbia University) Halil Mete Soner (ETH Z?rich) Conference website homepage: http://www.lse.ac.uk/statistics/events/SpecialEventsandConferences/Risk-and… Conference website programme and abstracts: http://www.lse.ac.uk/statistics/events/SpecialEventsandConferences/Risk-and… If you would like to attend, please register at: http://eshop.lse.ac.uk/browse/extra_info.asp?compid=1&modid=2&deptid=221&ca… The event is free for everyone, but registration is essential. Registration via LSE eShop is preferred, but I will accept bookings from LSE students by email if it is more convenient. With kindest regards Luciano Campi Associate Professor Department of Statistics, LSE Please access the attached hyperlink for an important electronic communications disclaimer: http://lse.ac.uk/emailDisclaimer

1 0

Fwd: Fwd: A new professorship on Insurance Mathematics at the University of Ulm (fwd)
by Tiziano Vargiolu 03 Feb '14

03 Feb '14

-------- Messaggio originale -------- Oggetto: A new professorship on Insurance Mathematics at the University of U lm Da: An Chen <an.chen(a)uni-ulm.de> A: An Chen <an.chen(a)uni-ulm.de> CC: Dear colleague, first of all, a late happy new year! I wish all of you a very successful and joyful 2014! Our faculty will post a new permanent professorship (W3) on "Insurance Mathematics". Enclosed please find the detailed descriptions about the position. If you know some one who might be interested in such a positon, please spread the news for me. Many thanks! Best regards, An -- Prof. Dr. An Chen Institute of Insurance Science Faculty of Mathematics and Economics University of Ulm Helmholtzstrasse 20 89069 Ulm Germany Tel: 0049-731-5031183 Fax: 0049-731-5031188 Website: http://www.uni-ulm.de/mawi/ivw/team/

1 0

Avviso di seminario :: Macci@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 03 Feb '14

03 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 7 Febbraio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma CLAUDIO MACCI (Dip. di Matematica, Università di Roma Tor Vergata) terrà un seminario dal titolo ASYMPTOTIC RESULTS FOR EMPIRICAL MEANS OF INDEPENDENT GEOMETRIC DISTRIBUTED RANDOM VARIABLES tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary We consider independent geometric distributed random variables which satisfy suitable hypotheses. We study large and moderate deviations for their empirical means, and we illustrate applications of the large deviation results for the weak record values of i.i.d. discrete random variables. Joint work with Barbara Pacchiarotti.

1 0

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random