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Summer school in Santander for Master students
by Maurizia Rossi 11 Feb '20

11 Feb '20

Dear all, I would like to advertise this Probability Summer School on Random and deterministic point configurations https://www.ub.edu/santalo20/ that will be held in Santander - July 13-17, 2020. The aim of this Summer School is to introduce Master students into the field of point configurations, with wide-view courses that will include a friendly exposition of the main results in the area and its applications. If you know someone who might be interested in joining this event, please let them contact the organizers (C. Beltran and J. Marzo). Best wishes, Maurizia -- Maurizia Rossi Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca https://mauriziarossi.wordpress.com

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PROBABILITY SEMINAR: Giovanni Conforti (CMAP, École Polytechnique ) [Padova, 21/02, 14.30]
by alessandra bianchi 10 Feb '20

10 Feb '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on February 21. ________________________________________________________ Speaker: Giovanni Conforti (CMAP, École Polytechnique ) Title: Understanding the most likely evolution of interacting particle systems 21 FEBRUARY (Friday), 14:30; ROOM 1BC45, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: An old question posed by Schrodinger may be rephrased as follows: what is the most likely evolution of an interacting particle system conditionally on the observation of its initial and final configurations? It is often the case that by means Large Deviation Principle this question is rigorously formulated as a (mean field) control problem in the space of probability measures. In the first part of this talk we will see if the space of probability measures is endowed with a Riemannian metric naturally induced by the form of the rate function, the equations governing the most likely evolution take the form of Newton's law. In some examples the Riemannian metric to be considered coincides with the Otto metric of optimal transport, but it is often the case that a different metric has to be chosen. In the second part of the talk we discuss how to use Newton’s laws to obtain convexity principles and dissipation estimates for entropy functionals along the most likely evolution. The interest of these estimates is twofold: on the one hand they imply a novel class of functional inequalities; on the other hand they allow to establish the turnpike property for the control problem defining the most likely evolution and to study its ergodic behaviour. Two concrete examples will be discussed in more detail: the exclusion process and systems of weakly interacting diffusions. Based on joint works with A.Chiarini, I.Gentil, J.Backhoff, C.Léonard, M.Pavon and L. Tamanini. All of you are very welcome. Best regards, Alessandra Bianchi tp://www.math.unipd.it/~bianchi/ <http://www.math.unipd.it/~bianchi/> -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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Quantitative Finance @ WORK - Rome, April 24, 2020
by Davide Erminio Pirino 10 Feb '20

10 Feb '20

Dear Student, Dear Colleague, The *Master of Science in Finance and Banking -* *University of Rome Tor Vergata* are pleased to host the fourth edition of *QFin@Work on April 24, 2020. *The Workshop is on the practical use of quantitative methods in Finance and related fields. The goal of the Workshop is to get together leading experts, and especially finance professionals, to learn from their experiences, listen to new ideas, and discuss about future perspectives in the field. The 2020 schedule is now available at https://qfinatwork.com/2020 Registration is free but compulsory to anyone will attend the meeting. We hope to see you there, *The Scientific Committee* Rocco Ciciretti Katia Colaneri Annalisa Fabretti Stefano Herzel Marco Nicolosi Davide Pirino Alessandro Ramponi Sergio Scarlatti

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PhD course by Prof Antoine Jacquier (Imperial College London) in Padova
by Giorgia Callegaro 10 Feb '20

10 Feb '20

Dear all, this email is to announce the PhD course entitled "*A smooth tour around rough models in finance (From data to stochastics to machine learning)*" which will be given by Prof Antoine Jacquier (Imperial College, London) at the Department of Mathematics of University of Padova in March/April 2020. The course details (aim, contents and prerequisites) are available here: https://www.math.unipd.it/~dottmath/corsi2020/Jacquier.pdf and here is the schedule (lectures will be given in room *2BC30* in Torre Archimede, Dept of Mathematics, Via Trieste 63, 35121 Padova) 1. Thursday 19 March: 14-16 2. Friday 20 March: 14-16 3. Monday 23 March: 14-16 4. Thursday 26 March: 14-16 5. Friday 27 March: 14-16 6. Thursday 2 April: 14-16 7. Friday 3 April : 14-16 8. Monday 6 April : 14-16. Every lecture lasts 45 minutes, so in a slot of 2 hours please expect two lectures (for a total of 90 minutes) with a break. Everybody is welcome! See you in Padova, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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avviso breve ciclo seminari
by Franco Flandoli 08 Feb '20

08 Feb '20

Si comunica che nei giorni *martedì 11 febbraio (aula Mancini) martedì 18 febbraio (aula Mancini) martedì 25 febbraio (aula Tonelli)* si terranno, presso la Scuola Normale Superiore di Pisa, i seguenti due cicli di seminari, con eventuale proseguimento da concordare: *ore 11-12 Sigurd Assing ore 12-13 Michael Goldman* Il tema dei seminari è brevemente descritto qui di seguito. Tutti gli interessati sono invitati a partecipare. ------------------------ *Sigurd Assing* (University of Warwick) TITLE: Bayesian Gaussian Process Latent Variable Model ABSTRACT: We introduce a variational inference framework for training the Gaussian process latent variable model and thus performing Bayesian nonlinear dimensionality reduction. The maximization of the variational lower bound provides a Bayesian training procedure that is robust to overfitting and can automatically select the dimensionality of the nonlinear latent space. ------------------------ *Michael Goldman* (Université Paris Diderot, CNRS) TITLE: A variational approach to regularity in optimal transport and applications to the optimal matching problem. ABSTRACT: In this course I will present the regularity theory for optimal transport maps recently developed together with M. Huesmann and F. Otto. The main point of the course is to show that as long as we are in a linearization regime, that is as long as the local displacement and the local distances of the two marginals to the Lebesgue measure are small, the displacement is quantitatively close to the gradient of the solution of a Poisson equation. We will see applications both to partial regularity and to (a variant of) the optimal matching problem. In particular, we will see how this theory allows to justify down to the microscopic scale some predictions made by Caracciolo and al for that problem.

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2-year post-doc position at the University of Padova
by Claudio Fontana 08 Feb '20

08 Feb '20

Dear all (and apologies for cross-posting), A 2-year post-doctoral position at the Department of Mathematics of the University of Padova (Italy) is available, within the STARS@UNIPD project PRISMA under the supervision of Claudio Fontana (personal webpage: https://sites.google.com/site/fontanaclaud <https://sites.google.com/site/fontanaclaud>). The primary goal of the PRISMA project is the development of new stochastic methods for the modelling of information in finance and insurance. We are looking for a highly motivated candidate with a solid background in stochastic analysis and mathematical finance. A PhD degree in these fields is a necessary requirement. We offer a stimulating research environment, an exciting research project, excellent working conditions. Salary is fixed at a top level for a post-doctoral position at the University of Padova, corresponding to about 2100 euros/month (net of taxes). Generous financial support is available for participation to international conferences and workshops. The selected candidate will not have mandatory teaching duties. The starting date can be arranged, but cannot be later than September 1st, 2020. To be considered, the application package has to arrive before March 2, 2020. The official call for the position and application instructions can be found at https://www.math.unipd.it/it/news/?id=2579 <https://www.math.unipd.it/it/news/?id=2579> For any further information and expressions of interest on this position, please contact Claudio Fontana directly at fontana(a)math.unipd.it <mailto:fontana@math.unipd.it> Best regards Claudio Fontana

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Corso di dottorato "Topics from the Gaussian World" a Milano-Bicocca
by Gianmario Tessitore 07 Feb '20

07 Feb '20

Buongiorno Tra marzo e maggio 2020, Francesco Caravenna e Maurizia Rossi terranno il corso di dottorato: *"Topics from the Gaussian World"* presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca. La prima lezione avrà luogo giovedì 5 marzo alle 14:30-17:00 in aula U5-3014. Per maggiori informazioni si veda la pagina http://staff.matapp.unimib.it/~fcaraven/did1920/phd/index.html Tutti gli interessati sono invitati a partecipare un cordiali saluto -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Call for Interest - Assegno di ricerca
by Daniele Marazzina 07 Feb '20

07 Feb '20

Con preghiera di diffusione Il Qfinlab, laboratorio di finanza quantitativa del Dipartimento di Matematica del Politecnico di Milano, sta valutando la possibilità di bandire assegni di ricerca su tematiche relative alla finanza quantitativa (calcolo stocastico, portfolio allocation, pricing, ma non solo), all'econometria e/o all'utilizzo di tecniche machine learning in finanza. Eventuali persone interessate possono inviare il loro cv all'indirizzo qfinlab(a)polimi.it<mailto:qfinlab@polimi.it> . Per informazioni sul gruppo, si rimanda a www.qfinlab.polimi.it<http://www.qfinlab.polimi.it/> Cordialmente Daniele Marazzina

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Seminario Karim Barigou in Bicocca
by Valeria Bignozzi 06 Feb '20

06 Feb '20

Si avvisa che il giorno Lunedì 10 Febbraio alle ore 15:30 presso l’Università di Milano-Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario: Speaker: Karim Barigou (University of Lyon) Title: Fair valuation of insurance liabilities: interplay between actuarial judgement and market-consistency Abstract: Insurance liabilities are in most cases (only) partially replicable by traded assets. This may be due to the fact that the payoffs of the underlying insurance contracts are defined in terms of a combination of hedgeable and unhedgeable claims (e.g. unit-linked insurance) or due to the existence of traded insurance-linked securities of which the payoff is correlated with the payoff of the insurance liability (e.g. CAT bonds). Since not all insurance claims can be perfectly replicated by traded assets, we face the problem of valuating claims in incomplete markets (i.e. markets in which some claims are not perfectly hedgeable). The main goal of this presentation is to introduce different valuation frameworks for the determination of a fair valuation for insurance liabilities. The objective of this valuation is to merge the traditional actuarial valuation based on pooling and diversification with a market-consistent approach based on hedging and replication. In particular, we define a fair valuation as a valuation which is market-consistent (marked-to-market for hedgeable claims) and actuarial (marked-to-model for claims independent of financial market evolutions). Among the different fair valuation frameworks, we introduce and investigate the class of `hedge-based valuations'. Under this approach, one unbundles the unhedgeable insurance claim in a hedgeable part and a remaining part. The fair value of the claim is then set equal to the sum of the respective values of the hedgeable and the unhedgeable parts, where the hedgeable part is valuated by the financial price of its underlying hedge, while the value of the remaining part is determined via an actuarial approach. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Valeria ******************************************************************************************* Valeria Bignozzi Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano e-mail: valeria.bignozzi(a)unimib.it <mailto:valeria.bignozzi@unimib.it> ******************************************************************************************* _______________________________________________ Random mailing list Per informazioni e per disiscriversi: https://fields.dm.unipi.it/listinfo/random <https://fields.dm.unipi.it/listinfo/random> Per contattare gli amministratori: random-admin(a)fields.dm.unipi.it <mailto:random-admin@fields.dm.unipi.it> Per inviare un messaggio alla mailing list: Random(a)fields.dm.unipi.it <mailto:Random@fields.dm.unipi.it> Archivio dei messaggi inviati: https://fields.dm.unipi.it/pipermail/random <https://fields.dm.unipi.it/pipermail/random>

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Research fellowship in Padova - "Stochastic processes on random structures and applications"
by alessandra bianchi 05 Feb '20

05 Feb '20

Cari colleghi con l'invito a volerne dare la massima diffusione, vi segnalo che, all'interno di un progetto congiunto UniBo-UniFi-UniPd denominato "Dinamiche stocastiche in ambienti disordinati ed applicazioni nelle scienze ", è uscito il bando per un assegno di ricerca su "Processi stocastici su strutture aleatorie e applicazioni" con sede presso il Dipartimento di Matematica "Tullio Levi-Civita " dell'Università di Padova. La descrizione e i dettagli per l'ammissione sono indicati di seguito. The Department of Mathematics "Tullio Levi-Civita" of the University of Padova invites applications for a Research fellowship of the duration of 12 months in the framework of a joint project with the University of Bologna and the University of Firenze, with subject "Stochastic processes on random structures and applications". Successful candidates will be recent PhDs in Mathematics, or graduates with a Master's degree, who have suitable and documented academic and professional experience. The gross amount of the research fellowship contract is 21.100 euro. The deadline for application is 2nd March 2020. To submit application please refer to the page https://www.math.unipd.it/news-files/2020/20200302-bianchi-bando.pdf For additional information, please contact: Alessandra Bianchi at bianchi(a)math.unipd.it Marco Lenci at marco.lenci(a)unibo.it Francesca Nardi at francescaromana.nardi(a)unifi.it <bianchi(a)math.unipd.it>-- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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