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

08 Jan '18

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

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

08 Jan '18

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

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

08 Jan '18

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

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

08 Jan '18

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

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

08 Jan '18

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

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

07 Jan '18

Dear All, I am glad to announce that the School of Mathematics at the University of Leeds is advertising one post for a Professor of Mathematics or Statistics. Please follow the link for details https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1074 Closing date: 31st January 2018. I would be most grateful if you could please forward this announcement to suitable candidates. Best wishes, Elena Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

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European Geosciences Union: Mathematics of Planet Earth
by Tobias Kuna 05 Jan '18

05 Jan '18

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

04 Jan '18

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

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

03 Jan '18

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

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

02 Jan '18

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

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