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Fwd: The 9th International Conference on Stochastic Analysis and Its Applications - Save the date
by Michele Coghi 16 Oct '17

16 Oct '17

Dear all, this is the first announcement for "The 9th International Conference on Stochastic Analysis and Its Applications" (ICSAA) to be held at Bielefeld University, Germany, from 3th - 7th September 2018. The main topics of the conference series include but are not limited to: * Stochastic analysis and its applications * Stochastic differential and partial differential equations * Markov processes including jump type processes and measure-valued processes * Dirichlet forms * Analysis on fractals and percolation clusters * Random walk in random media and on random graphs More information and (soon) the registration form are available on the website https://www.math.uni-bielefeld.de/icsaa/ We are looking forward to seeing you in Bielefeld, Michele Coghi Local organizer

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Fwd: Stimulate
by Marco Romito 14 Oct '17

14 Oct '17

ricevo e giro la segnalazione di borse PhD nell'ambito del progetto Stimulate (Simulation in multiscale physical and biological systems). Il flyer dell'annuncio: http://www.stimulate-ejd.eu/sites/default/files/stimulate_poster.png Per maggiori informazioni: http://www.stimulate-ejd.eu

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Position at the UK Office for National Statistics
by Enrico Scalas 13 Oct '17

13 Oct '17

Dear Colleagues, The Office for National Statistics in the UK is recruiting statisticians. You might wish to circulate the ads to interested persons (deadline 22 Oct): https://www.civilservicejobs.service.gov.uk/csr/index.cgi?SID= c2VhcmNoX3NsaWNlX2N1cnJlbnQ9MiZjc291cmNlPWNzcXNlYXJjaCZwYWdl YWN0aW9uPXZpZXd2YWNieWpvYmxpc3QmcGFnZWNsYXNzPUpvYnMmb3duZXJ0 eXBlPWZhaXImdXNlcnNlYXJjaGNvbnRleHQ9NDUyMjYyOTUmb3duZXI9NTA3 MDAwMCZqb2JsaXN0X3ZpZXdfdmFjPTE1NTgyODYmcmVxc2lnPTE1MDcxMTg3 ODUtZjA0NTBmNjVhOWM2NDc4ZjFiZTZiNWVkNmYxMjk3NTQwZTcyMTEwOQ== https://www.civilservicejobs.service.gov.uk/csr/index.cgi?SID= Y3NvdXJjZT1jc3FzZWFyY2gmb3duZXJ0eXBlPWZhaXImdXNlcnNlYXJjaGNv bnRleHQ9NDUyMjYyOTUmam9ibGlzdF92aWV3X3ZhYz0xNTU4MjgzJnNlYXJj aF9zbGljZV9jdXJyZW50PTEmb3duZXI9NTA3MDAwMCZwYWdlY2xhc3M9Sm9i cyZwYWdlYWN0aW9uPXZpZXd2YWNieWpvYmxpc3QmcmVxc2lnPTE1MDcxMTg2 NTQtYmRmN2M0MWQ1MDhmYzEwNGQ0ZGY5NzkxMmVkMGU3ZmEzM2EyODZjMA== I hope the links above do work. If not, please feel free to contact me personally in case you are interested. Best regards, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Assegno di Ricerca SECS-S/06 a Roma Tre
by Pietro Caputo 12 Oct '17

12 Oct '17

Segnalo il seguente assegno di ricerca bandito presso il Dipartimento di Studi Aziendali, SSD SECS-S/06 "Metodi matematici per l'analisi di problemi relativi alla gestione aziendale, alla finanza, alle scelte individuali, strategiche e collettive". Il bando e' reperibile qui: http://europa.uniroma3.it/dottorati2010/assegni/6ef6e164-5bf6-48de-ab04- d5f9d4f62994.pdf Scadenza: 20 ottobre 2017

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Model Uncertainty and Robust Finance (II edition)
by Giovanni Puccetti 12 Oct '17

12 Oct '17

FIRST ANNOUNCEMENT for the Workshop Model Uncertainty and Robust Finance (II edition), University of Milano, MARCH 15-16, 2018 https://sites.google.com/site/murf2018/ CONFIRMED INVITED SPEAKERS Carole BERNARD (VUB & Grenoble EM) Roger COOKE (TU Delft) David LI (SAIF & SJTU Shangai) Massimo MARINACCI (Bocconi University) Walter SCHACHERMAYER (University of Vienna) Ludovic TANGPI (University of Vienna) FREE REGISTRATION FOR ACCEPTED CONTRIBUTED SPEAKERS (Deadline for abstract submission: JANUARY 31, 2018) DE FINETTI RISK SEMINAR on MARCH 14, 2018 (Lecture by W. SCHACHERMAYER and Welcome Reception) SPECIAL ISSUE in DEPENDENCE MODELING edited by Marco Frittelli and Emanuela Rosazza-Gianin Hope to see you soon in Milan!

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Fifth edition of the StaTalk series (workshops on statistical topics)
by Euloge C. Kenne Pagui 12 Oct '17

12 Oct '17

Dear all, we are pleased to announce that the fifth edition of the StaTalk series will be held at the Department of Statistical Sciences of the University of Padua, on November, 17, 2017. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. The topic of this fifth edition will cover many areas of research currently undergoing at the Department of Statistical Sciences of the University of Padua ranging from methodological statistics to demography. Registrations, as in the past StaTalk events, is free of charge but mandatory. Additional information, can be found at the workshop page statalk.stat.unipd.it Best regards, The Organising Committee --------------------------------------------------------- Department of Statistical Sciences, University of Padova. Via Cesare Battisti, 241 - 35121 Padova ---------------------------------------------------------

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Lezioni inaugurali - MSc FIRM - Firenze (mar 17/10)
by Giacomo Scandolo 11 Oct '17

11 Oct '17

Inaugural Lectures MSc in Finance and Risk Management (Università di Firenze) Academic Year 2017/2018 17 October 2017 Aula 0.05, D15 building, Polo di Novoli PROGRAM 9.30 Institutional greetings 9.45 Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" 10.45 Coffee-break 11.15 Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" 12.30 Dimitri LORENZANI (European Commission, Directorate General for Economic and Financial Affairs) "The European Commission's 2017 Country Report: analytical insights" More information http://www.frm.unifi.it/ Abstracts Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" Large life insurance companies are internationally diversified. The cost-effectiveness or business-cycle smoothing of international diversification is not always at work. How can the empirical evidence be rationalized, then? We show that diversification gains from international expansion can reduce risk margins and Solvency requirements due to longevity risk. Gains are more pronounced in a low-interest rates regime. To show that result, we build parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in different populations. We define a diversification index and measure diversification gains in capital requirements according to the current regulation. We present a calibrated example, based on annuity portfolios of UK and Italian males. The results of our application show that diversification gains, evaluated as the reduction in the portfolio risk margin following the international expansion, may be non-negligible. Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" Abstract: Implied volatility modeling has been a mainstream research in academia and industry almost since the trading of options was introduced to the financial world. In this talk, we review stylized facts of implied volatility in equity market, followed by an introduction to the commonly used models that captures partly the stylized facts. The models include local volatility model, stochastic volatility model, local-stochastic volatility, and the fractional volatility model. The last in the list has been regaining great attentions these days. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. We conclude the talk by the pricing of financial instruments that are directly or indirectly related to implied volatilities. Dimitri Lorenzani (European Commission, Directorate General for Economic and Financial Affairs) " The European Commission's 2017 Country Report: analytical insights" Abstract: In the 2017 Country Report, the European Commission assessed Italy's economy in the light of the economic priorities established through the 2017 Annual Growth Survey: (i) boosting investment; (ii) pursuing structural reforms; and (iii) ensuring responsible fiscal policies. The presentation aims to provide insights into some of the analytical work underpinning the European Commission's findings. The Country Report indicates that, despite some important reforms in recent years, significant structural weaknesses in diverse policy areas continue to undermine Italy's productivity growth, slowing the correction of Italy's excessive macroeconomic imbalances. In particular, the high public debt remains a major source of vulnerability for the Italian economy given the low potential growth and a still fragile fiscal position. Moreover, the competitiveness gap of the Italian economy vis-à-vis the rest of the euro area persists also due to the insufficient innovation capacity of Italian firms. The legacies of the long-lasting crisis also weigh on Italy's growth prospects since sizeable non-performing loans hamper banks' ability to support investment, while long-term and youth unemployment remain high.

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Seminario Tai-Ho Wang 19 ottobre 2017 presso Università Cattolica sede di Milano
by Marina DI GIACINTO 11 Oct '17

11 Oct '17

Seminario di Tai-Ho Wang (Department of Mathematics - Baruch College - The City University of New York) Giovedi' 19 ottobre 2017 - ore 14:30 - aula 200 Università Cattolica del Sacro Cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Modeling of implied volatility and its recent progress ABSTRACT: Modeling of implied volatility has been active ever since the introduction of trading of option. In this talk, starting from the minimal and complete local volatility model, we discuss the development of more sophisticated models that aim to capture stylized facts observed in the market. In addition to local volatility models, the models include stochastic volatility model, exponential Levy models, and the recently revived fractional models. We also elaborate which of the styles facts are, and which aren't, captured by these models. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. Tutti gli interessati sono invitati a partecipare.

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2 postdoc positions in Geometric Methods for Deep and Reinforcement Learning at RIST
by Luigi Malagò 09 Oct '17

09 Oct '17

=========================================================== *Subject*: 2 postdoc positions in Machine Learning (1 year, renewable up to 3 years) *Institution*: RIST - Romanian Institute of Science and Technology, Cluj-Napoca *Keywords*: Deep Learning, Reinforcement Learning, Stochastic Optimization, Optimization over Manifolds, Information Geometry, Riemannian Geometry *Application deadline*: 20 October 2017 (applicants are encouraged to apply earlier) *Salary*: around 2190 euro net *Official announcement*: http://rist.ro/en/details/news/postdoc- positions-in-deep-learning-and-machine-learning.html =========================================================== Dear colleagues, the Romanian Institute of Science and Technology (RIST) has an opening for 2 postdoc positions, in the context of the DeepRiemann project “Riemannian Optimization Methods for Deep Learning”, funded by European structural funds through the Competitiveness Operational Program (POC 2014-2020). The appointments will be for 1 year, with possible extensions up to 3 years. The DeepRiemann project aims at the design and analysis of novel training algorithms for Neural Networks in Deep Learning, by applying notions of Riemannian optimization and differential geometry. The task of the training a Neural Network is studied by employing tools from Optimization over Manifolds and Information Geometry, by casting the learning process to an optimization problem defined over a statistical manifold, i.e., a set of probability distributions. The project is highly interdisciplinary, with competences spanning from Machine Learning to Optimization, Deep Learning, Statistics, and Differential Geometry. The objectives of the project are multiple and include both theoretical and applied research, together with industrial activities oriented to transfer knowledge, from the institute to a startup or spin-off of the research group. The positions will be part of the new Machine Learning and Optimization group http://luigimalago.it/group.html, which performs research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, from the unifying perspective of Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST, where about 20 new postdoctoral research associates and research software developers will be hired by 2018. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in- deep-learning-and-machine-learning.html Informal inquiries can be sent to Dr. Luigi Malagò <malago(a)rist.ro>, principal investigator of the DeepRiemann project. Application deadline: 20 October 2017 (applicants are encouraged to apply earlier) best regards, Luigi Malagò

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Fwd: Summer School in Probability and Mathematical Physics at IST Austria
by pietro caputo 09 Oct '17

09 Oct '17

---------- Forwarded message ---------- From: Jan Maas <jan.maas(a)ist.ac.at> Date: Mon, Oct 9, 2017 at 10:46 AM Subject: Summer School in Probability and Mathematical Physics at IST Austria To: pmp-2018(a)ist.ac.at Dear colleagues, IST Austria organizes a Summer School in Probability and Mathematical Physics which takes place on June 4-8, 2018. The school consists of three lecture series by eminent mathematicians: Hugo Duminil-Copin (IHES): Sharp threshold phenomena via randomized algorithms Martin Hairer (Imperial College London): A BPHZ theorem for stochastic PDEs Jason Miller (University of Cambridge): The Gaussian free field and Liouville quantum gravity The event is aimed at a broad audience of researchers, particularly focusing on PhD students and postdocs. It takes place at the campus of IST Austria, a young international institute dedicated to basic research and graduate education in the natural and mathematical sciences. The institute is located in Klosterneuburg on the outskirts of Vienna. Limited support is available for partially covering the costs of travel and/or accommodation for qualified (PhD) students and postdocs. More information and a registration form can be found at http://ist.ac.at/pmp2018/ We would be grateful if you could bring this information to the attention of researchers who may be interested to attend. Best regards, Laszlo Erdos, Jan Maas, Robert Seiringer

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