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[WORKSHOP] Stochastic Analysis, Geometry and Statistics at Imperial College London, June 21-22
by Brigo, Damiano 27 Mar '18

27 Mar '18

Workshop on Stochastic Analysis, Geometry and Statistics at Imperial College London, June 21-22, 2018. http://www.imperial.ac.uk/sagest-2018/ Invited speakers: Michael Betancourt (Symplectomorphic, LLC) David Elworthy (Warwick) Peter Friz (TU Berlin) Mark Girolami (Alan Turing Institute) Karen Haberman (Bonn) Martin Hairer (Imperial College London) Yves Le Jan (Université Paris-Sud) Xue-Mei Li (Imperial College London) Terry Lyons (Oxford) Nigel Newton (Essex) James Norris (Cambridge) Grigorios Pavliotis (Imperial College London) Giovanni Pistone (Turin) Amanda Turner (Lancaster) ORGANISING COMMITTEE John Armstrong (KCL) Damiano Brigo Thomas Cass CONFERENCE SECRETARIAT Claudio Bellani Emilio Rossi Ferrucci FUNDING BODIES CFM - Imperial Institute of Quantitative Finance Department of Mathematics, Imperial College London Department of Mathematics, King's College London London Mathematical Society CONTACTS AND REGISTRATION http://www.imperial.ac.uk/sagest-2018/contacts-and-registration/ ------ Prof. Damiano Brigo Chair at the Department of Mathematics Mathematical Finance and Stochastic Analysis Groups Imperial College London www3.imperial.ac.uk/people/damiano.brigo

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HFFE2018 CALL FOR PAPERS @ Scuola Normale Superiore
by Daniele Tantari 26 Mar '18

26 Mar '18

Dear colleagues, we are pleased to announce the workshop *Frontiers in High-Frequency Financial Econometrics * that will be held at Scuola Normale Superiore in Pisa (Italy) on 28-29 September 2018. The aim of the Workshop is to bring together leading experts and young researchers in the field of financial econometrics and mathematical finance with application to high-frequency finance. The main purpose is to listen to new ideas, and discuss about future perspective in the field. The organizers encourage submissions of papers on any topic within the overall theme of the conference with a special emphasis on the following areas: realized (co)variance estimation and forecasting, high-frequency finance, liquidity and price discovery, market microstructure analysis. The scientific committee of the workshop consists of: Giacomo Bormetti (University of Bologna), Fulvio Corsi (University of Pisa), Fabrizio Lillo (University of Bologna), Maria Elvira Mancino (University of Florence), Stefano Marmi (Scuola Normale Superiore), Davide Pirino (University of Rome "Tor Vergata"), Roberto Renò (University of Verona) *CALL FOR PAPERS* *Both papers and extended abstracts (max 4 pages) are accepted for presentation in a regular session or a poster session.* The final program of the workshop will include both submitted and invited papers. Our keynote speakers are: - *Yacine Ait-Sahalia *(Princeton University) - *Nikolaus Hautsch* (University of Vienna) - *André Lucas *(VU University Amsterdam) - *Mathieu Rosenbaum *(Ecole Polytechnique) For more information on submission and registration, see the attached flyer and the conference website https://www.hffe2018sns.com/ or contact hffe.workshop(a)gmail.com *Important dates:* Submission of a complete paper or extended abstract: May 31th, 2018 Decision: June 30th, 2018 Registration deadline: August 15th, 2018 On behalf of the organizing committee, Best Regards, Daniele Tantari

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Opening of a Post Doc position in Luxembourg
by Giovanni Peccati 26 Mar '18

26 Mar '18

Cari Colleghi, ho appena aperto un bando per un postdoc di due anni e mezzo (30 mesi) nel mio gruppo in Lussemburgo. La scadenza è il 30 aprile 2018, ed il postdoc dovrebbe iniziare tra il primo giugno 2018 (al più presto) e il primo dicembre 2018 (al più tardi). Qui sotto, trovate l'annuncio in inglese, con le necessarie istruzioni. Cordiali saluti, Giovanni Peccati --------------------------------- Dear Colleagues, I am happy to announce the opening of a new post-doc position in my group at *Luxembourg University, with specific focus on stochastic analysis and stochastic geometry. * The length is *2 years and a half* (30 months), starting anytime between *June 1st, 2018,* and *December 1st, 2018*. The deadline for applications is *April 30th, 2018.* The exact details of the position can be found here: http://emea3.mrted.ly/1ryuy The webpage also contains a link for online applications. Please, do not hesitate to share this announcement with your colleagues - in case they might be interested. With my best regards, Giovanni Peccati --------------------------------------- -- Prof. Giovanni Peccati ------------------------------------------ UR en Mathématiques Faculté des Sciences, de la Technologie et de la Communication ------------------------------------------ Université du Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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MSP 2018 - LAST CALL
by gianluca cassese 26 Mar '18

26 Mar '18

*LAST CALL FOR PAPERS* *The Mathematics of Subjective Probability - MSP 2018* The MSP 2018 Workshop will be held in September 3-5, at the University of Milan Bicocca. https://sites.google.com/view/MSP-2018 The workshop will host the following keynote speakers: - *Ehud Kalai*: *"Bayesian Learning with Economic Applications";* - *Rajeeva Karandikar*: *"Limit Theorems on Finitely Additive Probability Spaces"* ; - *Massimo Marinacci*: "*Uncertainty and All That*", - *Eugenio Regazzini*: "*Possible Effects of de Finetti's Coherence Principle on Statistical Reasoning*" - *William D. Sudderth*: "*Finite Additivity in Dubins-Savage Gambling and Stochastic Games *". MSP 2018 is open to contributions from all fields in which the subjective approach to probability is relevant, from Statistics to Economics and Game Theory. The list of potential topics includes (*but is not limited to*): - Ambiguity; Bayesian statistics; Coherence; Conditioning; Decision models under risk and uncertainty; Equivalent martingale measures; Finitely additive probabilities; Gambling; Game Theory; Limit theorems; Mass transportation; Merging of opinions; Multiple priors; Partial knowledge. The Springer Journal "*Decisions in Economics and Finance*" plans to devote a special issue to the workshop *Important dates* - *Paper submission -- April 31th* - *Notification of acceptance -- May 31st* - *Conference subscription -- June 30th* The organizing committee, --------------------------- Gianluca Cassese Pietro Rigo Barbara Vantaggi --------------------------

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[COURSE] RobustStatistics@MilanoBicocca - SAVE THE DATE
by Francesca Greselin 23 Mar '18

23 Mar '18

ROBUST STATISTICS: FOUNDATIONS AND RECENT DEVELOPMENTS *April 9-13, 2018University of Milano-BicoccaMilan, Italy* Lecturers: Antony Atkinson <https://www.researchgate.net/profile/Anthony_Atkinson3>, London School of Economics, UK Marco Riani <https://www.researchgate.net/profile/Marco_Riani>, University of Parma, IT Agustin Mayo-Iscar <https://www.researchgate.net/profile/Agustin_Mayo>, University of Valladolid, ES RobustStatistics@MilanoBicocca is focused on giving a perspective on the modern challenges of robust statistics, combining novel statistical techniques with challenging problems in different application fields. *Monday April 9* Introduction to robust statistics, *Antony Atkinson *(9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani *(2.30 - 5.30 p.m.) *Tuesday April 10* Robust regression analysis and transformations, *Antony Atkinson* (9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani* (2.30 - 5.30 p.m.) *Wednesday April 11* Robust multivariate analysis and transformations, *Antony Atkinson* (9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani* (2.30 - 5.30 p.m.) *Thursday **April 12* Introduction to robust clustering, *Agustin Mayo Iscar *(9 a.m.-1 p.m.) Applications in R and Matlab, *Agustin Mayo Iscar, Marco Riani *(2.30 - 5.30 p.m.) *Friday April 13 * Advances in robust clustering, *Agustin Mayo Iscar *(9 a.m.-1 p.m.) Applications in R and Matlab, *Agustin Mayo Iscar, Marco Riani *(2.30 - 5.30 p.m.) *For additional information please visit the course <http://www.cladag2017.unimib.it/robust-statistics-foundations-and-recent-de…> website <http://www.cladag2017.unimib.it/robust-statistics-foundations-and-recent-de…>.* *This course is supported by the Milano-Bicocca Department of STATISTICS and QUANTITATIVE METHODS <http://www.dismeq.unimib.it/en/>, within:* *The course is open to all people interested in the topic,we just ask to send an email to francesca.greselin(a)unimib.it <francesca.greselin(a)unimib.it> for organizational matters.*

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Seminars at Scuola Normale Superiore, 27-28 March 2018, Elisa Alos
by Giulia 23 Mar '18

23 Mar '18

Dear all, Prof. Elisa Alos (Universitat Pompeu Fabra) will hold the two following Seminars. =========================================================================================================================================================================================== On Tuesday, 27 March 2018 — at 11:00 — Room: Aula Fermi: Title : The implied volatility surface in modeling problems Abstract: In the Black-Scholes model, the volatility parameter is constant. But it is well-known that, if we compute this volatility parameter by inverting market option prices, the result (the implied volatility) will depend on the strike price (a variation described graphically as a smile or skew) and on time to maturity. Classical stochastic volatility models, where the volatility is allowed to be a diffusion process, can capture the observed smiles and skews, but they cannot easily explain the term structure. For instance, recent numerical analysis state that the skew slope is approximately $O((T )^{-k})$, for some positive $k$ and where $T$ denotes the time to maturity, while the rate for these stochastic volatility models is $O(1)$. In this talk, we will see how to construct new stochastic volatility models that can describe this phenomena. Towards this end, we will present short-time approximations for the implied volatility skew and smile. The obtained formulas will give us a useful tool to identify the volatilities that can explain this term structure. Based on this approach, some new models have been proposed recently (as, for example, rough volatilities). In this talk we will discuss on the state of the art of this modeling research, and we will discuss the main advantages and disavantages of these new models. =========================================================================================================================================================================================== On Wednesday, 28 March 2018 — at 14:00 — Room: Aula Bianchi Scienze Title : On the link between the Malliavin derivative operator and the implied volatility behaviour Abstract: We use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew and smile, in the context of stochastic volatility models. Our analysis does not requiere the volatility to be a diffusion or a Markov process. The obtained results will give us a tool to construct new models that can allow us to explain the empirical term structure of the implied volatility surface (joint works with J. León and J. Vives). =========================================================================================================================================================================================== Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminar at Scuola Normale Superiore, 27 March 2018, Elisa Alos
by Giulia 21 Mar '18

21 Mar '18

Dear all, On Wednesday, 27 March 2018 — at 11:00 — at the Scuola Normale Superiore (Room: Aula Fermi) Prof. Elisa Alos (Universitat Pompeu Fabra, Barcellona) will hold the following Seminar: Title : The implied volatility surface in modeling problems Abstract: In the Black-Scholes model, the volatility parameter is constant. But it is well-known that, if we compute this volatility parameter by inverting market option prices, the result (the implied volatility) will depend on the strike price (a variation described graphically as a smile or skew) and on time to maturity. Classical stochastic volatility models, where the volatility is allowed to be a diffusion process, can capture the observed smiles and skews, but they cannot easily explain the term structure. For instance, recent numerical analysis state that the skew slope is approximately $O((T )^{-k})$, for some positive $k$ and where $T$ denotes the time to maturity, while the rate for these stochastic volatility models is $O(1)$. In this talk, we will see how to construct new stochastic volatility models that can describe this phenomena. Towards this end, we will present short-time approximations for the implied volatility skew and smile. The obtained formulas will give us a useful tool to identify the volatilities that can explain this term structure. Based on this approach, some new models have been proposed recently (as, for example, rough volatilities). In this talk we will discuss on the state of the art of this modeling research, and we will discuss the main advantages and disavantages of these new models. Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminar at Scuola Normale Superiore, 28 March 2018, Elisa Alos
by Giulia 21 Mar '18

21 Mar '18

Dear all, On Wednesday, 28 March 2018 — at 14:00 — at the Scuola Normale Superiore (Room: Aula Bianchi Scienze) Prof. Elisa Alos (Universitat Pompeu Fabra, Barcellona) will hold the following Seminar: Title : On the link between the Malliavin derivative operator and the implied volatility behaviour Abstract: We use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew and smile, in the context of stochastic volatility models. Our analysis does not requiere the volatility to be a diffusion or a Markov process. The obtained results will give us a tool to construct new models that can allow us to explain the empirical term structure of the implied volatility surface (joint works with J. León and J. Vives). Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminario di Probabilità - Padova - Cambio aula
by Paolo Dai Pra 21 Mar '18

21 Mar '18

Vi invito al seguente seminario, già annunciato, di cui vi segnalo un cambio di aula. Martedì Venerdì 23 Marzo 2018 alle 11:30 in Aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Marco Zamparo AFFILIATION: Politecnico di Torino TITLE: Large Deviations Principles in Renewal Theory ABSTRACT: Cramér's theorem provides a large deviations principle for the empirical mean of independent and identically distributed random variables. In this seminar, I establish a generalization of Cramér's theorem for multivariate renewal-reward processes under optimal hypotheses. The way to attack the problem is the following. A large deviations principle is first obtained for renewal processes constrained by the event that one of the renewals occurs at a predetermined time. Then, results are transferred to standard renewal processes by resorting to conditioning. The constrained setting makes it possible to solve the problem by using an argument based on convexity and sub-additivity, which is inspired by the approach of Bahadur and Zabell to derive the modern form of the Cramér's theorem. Interestingly, with a different interpretation of the time coordinate, constrained renewal processes include important models of statistical mechanics, such as the pinning model of polymers and the Poland-Scheraga model of DNA denaturation. These models are briefly reviewed in the seminar. M. Zamparo, Large Deviations in Renewal Theory and Renewal Models of Statistical Mechanics, arXiv:1801.09941. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Workshop `Randomness and Symmetry’, UCD, June 18-22, 2018
by Bisi, Elia 21 Mar '18

21 Mar '18

Ricevo e inoltro. ________________________________ From: Randomness & Symmetry Workshop <randsym18(a)ucd.ie> Sent: 21 March 2018 11:56 To: Bisi, Elia Subject: Workshop `Randomness and Symmetry’, UCD, June 18-22, 2018 Dear colleagues, This is a preliminary announcement for the workshop `Randomness and Symmetry’, to be held at University College Dublin, June 18-22, 2018. Confirmed speakers include - Elia Bisi (Warwick), Philippe Bougerol (Paris), Jeremie Bouttier (Saclay), Manon Defosseux (Paris), Persi Diaconis (Stanford), Nick Ercolani (Arizona), Jonathan Novak (San Diego), Satya Majumdar (Orsay), Dan Romik (Davis), Gregory Schehr (Orsay), Craig Tracy (Davis), Pierre Van Moerbeke (Leuven), Balint Virag (Toronto), Paul Zinn-Justin (Melbourne). There is limited space available (and some funding for PhD students and young researchers) to participate in this workshop. To apply / register your interest, please email randsym18(a)ucd.ie<mailto:randsym18@ucd.ie> before May 1, 2018. Further details are available on the workshop web page http://www.maths.ucd.ie/~noconnell/randsym18/main.html With best wishes, on behalf of the organisers, Fabio Deelan Cunden Antoine Dahlqvist Neil O’Connell

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