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Next LTI@Unito webinars: March 1, 2022 @12:00 | March 2, 2022 @16:00
by Luca Regis 23 Feb '22

23 Feb '22

Dear colleagues, I am happy to invite you to the following two seminars in Quantitative Finance, organised by LTI@UniTO and Collegio Carlo Alberto: * Anatoli Segura (Bank of Italy), "Firm-bank linkages and optimal policies in a lockdown", on March 1st, h.12; * Daniel Andrei (McGill University), "Schumpeterian Competition in a Lucas economy", on March 2nd, h.16 You can find below titles, abstracts and zoom links to participate. All the best, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Affiliate, Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/ah6H1YEJxW87KLwVG32rWB4OULDhxlF8bw…> <#> *LTI@UniTO* and *Fondazione Collegio Carlo Alberto* are pleased to invite you to the following seminars <#> *March 1, 2022 | 12:00 - 13:15 @ HYBRID EVENT* <#> *Firm-bank linkages and optimal policies in a lockdown* Anatoli Segura, /Bank of Italy/ <#> *Abstract.* We develop a novel framework featuring loss amplification through firm-bank linkages. We use it to study optimal government support in a lockdown that creates heterogeneous revenue losses to firms, which must borrow from banks. Firms’ increase in debt reduces their output due to moral hazard. Banks need safe collateral to raise funds. Without government support, aggregate risk constrains bank lending, amplifying output losses. Optimal support provides sufficient aggregate risk insurance, and is implemented with firm-specific transfers, fairly-priced guarantees on bank debt, and countercyclical firms’ taxation to achieve a fiscal surplus target. Our results shed light on suboptimality dimensions in the actual policy responses. <#> To attend in presence, register here https://forms.gle/vPYYEGBktf66zc4W6 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/f9zEQSjy6xY7o19sfmiU7UwOhW9DQd5VBI…> To attend online, join zoom meeting https://us02web.zoom.us/j/88281857502?pwd=eW5GazNrYnFUUVR0cGg3RUlCM0NYUT09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/-IGT70kXO1-43Lgp7MtmZ2Fo3avErRm3RM…> Meeting ID: 882 8185 7502 Passcode: 161878 <#> <#> *March 2, 2022 | 16:00 - 17:15 @ WEBINAR* <#> *Schumpeterian Competition in a Lucas Economy* Daniel Andrei, /McGill University/ <#> *Abstract.* We model a rent-seeking game where agents experiment with a new technology and compete for claims to a consumption stream. We characterize how creative destruction affects risk, wealth, and asset prices. Competition not only imposes excessive disruption risk on existing assets and higher technological uncertainty, it also increases the wealth duration (the weighted-average maturity of the consumption stream). Because of hedging motives, a complementarity between wealth duration and technological uncertainty decreases systematic risk. If competition is sufficiently intense, a negative risk premium may arise. The model generates price paths consistent with boom-bust patterns and transient episodes of negative expected excess returns. We discuss the implications of competition for income inequality. <#> To attend online, Join Zoom Meeting https://us02web.zoom.us/j/82378901875?pwd=MVhPeTZGZktWNFk3RmdyMUltb3lDUT09 <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/tRYUAKB8XcDiTZ9YGCloGbosl3wS0nUBFI…> Meeting ID: 823 7890 1875 Passcode: 423048 <#> <#> <#> <#> <#> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/iaN__jlfz6z7ijnfLR9yi2AHyTYkufRgRm…> <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/7J-M65ra_O8_zk55wtbsnjVbAlqEnu-eZ_…> <#> FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +390116705000 segreteria(a)carloalberto.org - www.carloalberto.org Facebook <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Gny4_tfBFbYYjw5HiREGZ-3ih-MVeJe-HI…> Twitter <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Ya696wYXuXevZmqUAl4AriMzYAAdxWQM75…> LinkedIn <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/wGq5ypAH5lBEZNV43pojp_3Bxd-QPNIYqf…> Instagram <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/Q-3bd3A33E3Uq--boYenIHuOmG53Ynvmlq…> Youtube <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/zolUnqcEQVaFklBL9NPBCULdSO9KrCqZol…> <#> *INFORMATION UNDER THE NEW GENERAL DATA PROTECTION REGULATION (GDPR)* Your personal information has been gathered for the exclusive purpose of informing you about the Collegio's initiatives, considering our and your legitimate interest or your consent. If you wish to have your personal data modified please contact Fondazione Collegio Carlo Alberto, piazza Arbarello 8, 1022 Torino, Italy - phone: +390116705000 - privacy(a)carloalberto.org To find out about the policies regarding the processing of personal data pursuant to articles 13-14 of EU Regulation 2016/679, consult the information at the following link https://www.carloalberto.org/privacy/ <https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/m6_Vcv454VA2JGDbuu9ndxuODgMv44BFN7…> *Unsubscribe* <https://4z5y5.r.a.d.sendibm1.com/mk/un/x1e5O_rQKC48y-WOyCM1OTaHo8E1FyDZhh2p…> <#> © 2021 Fondazione Collegio Carlo Alberto

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PhD course "Analysis and control of stochastic models of biomolecular interactions"
by Daniele Cappelletti 23 Feb '22

23 Feb '22

Dear colleagues, I am happy to announce the following PhD course: The PhD course "Analysis and control of stochastic models of biomolecular interactions", taught by Dr. Ankit Gupta (Department of Biosystems Science and Engineering, ETH Zürich) will be hosted by Politecnico di Torino, Turin, Italy, in May 17-20, 2022. Attending in person is strongly recommended, but other options are available if necessary. To register and for any question, please write to daniele.cappelletti(a)polito.it. The course will deal with stochastic reaction network models, which are continuous time Markov chains commonly used to model biochemical dynamics within cells. Their theoretical and computational analysis is often quite challenging, and design of mathematical methods for their study is currently a very active research area. The goal of this course is to familiarize the students with a broad spectrum of these methods and illustrate them with several biological applications of current and lively interest in the research community. In particular, the following topics will be covered: 1. Finite State Projection methods 2. Moment Closure Schemes 3. Simulation approaches 4. Separation of Extrinsic and Intrinsic noise from biological data 5. Design of intracellular controllers in living cells Best regards, Daniele Cappelletti

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Scouting for temporary research position (RTD-B) at IMT School "Alti Studi" Lucca
by Irene Crimaldi 23 Feb '22

23 Feb '22

Tenure Track Assistant Professor (RTD-B) - Management and Finance The candidate must have excellent scientific production and solid experience in management science, business strategy (performance & business dynamics, dynamic capabilities) and/or quantitative finance. The position will strengthen one of the core missions of IMT Lucca in the analysis of business and market dynamics, also with the use of quantitative techniques. The ideal candidate is a scholar with a solid research background in management and/or finance at the international level, an excellent scientific production, with clear evidence of the results achieved so far and future perspectives. A specific experience in teaching at the postgraduate (master and doctorate) level will be considered as a plus. Candidates should be open to interdisciplinary collaborations. Tenure Track Assistant Professor (RTD-B) - Networks and Data Science The candidate must have an excellent scientific production and a solid experience in network science and/or data science. The position will strengthen one of the core missions of IMT Lucca in the multidisciplinary analysis of complex systems dynamics, via the application of data-driven methods (e.g. mathematical, physical, statistical or machine learning models) and/or network-based methods (e.g. agent-based models; percolation models; models for network inference from observed time series). The ideal candidate is a scholar with a solid research background in network science and/or data science at the international level,an excellent publication track record, with clear evidence of the results achieved so far and future perspectives. A specific experience in teaching at the post-graduate (master and doctorate) level will be considered as a plus. Candidates should be open to interdisciplinary collaborations in order to develop quantitative methods for data analysis and apply them to study problems of interest in the context of the natural, social, economic, financial sciences and engineering (e.g. the diffusion of epidemics, the propagation of signals and shocks, the formation of opinions). ------------------ The candidate will contribute to the teaching and research activities of the School. Knowledge of the Italian language is not required. Potential candidates are invited to fill in the form by attaching: 1. a curriculum vitae and the list of publications 2. a letter of motivation 3. three names of experts to whom letters of reference may be requested. The deadline for expressions of interest is March 18th, 2022 at 12:00 (Italian time) https://www.imtlucca.it/en/the-imt-school/job-opportunities/academic-positi…

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Doctoral or Post-Doctoral Position in Financial Econometrics/Statistics at University of Vienna
by Luca Gonzato 23 Feb '22

23 Feb '22

Dear all, The Department of Statistics and Operations Research at the University of Vienna invites applications for a doctoral (4 years) or post-doctoral (6 years) position in the field of Financial Econometrics/Statistics. The details of the call (in English) are available at https://inomics.com/job/doctoral-or-post-doctoral-position-in-financial-eco… The deadline is March 14, 2022. If you need further information regarding the position, please, contact Professor Nikolaus Hautsch (nikolaus.hautsch(a)univie.ac.at). Best regards, Luca Gonzato

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(PMS)^2 online talk: Boualem Djehiche
by margherita Zanella 23 Feb '22

23 Feb '22

Dear colleagues, we are happy to announce the following online talk: Speaker: Boualem Djehiche (KTH, Stockholm) Title: Zero-sum mean-field Dynkin games. Abstract: I will review recent results on a class of zero-sum game problems of mean-field type which extend the classical zero-sum Dynkin game problems. The results I will highlight include sufficient conditions under which such a game admits a value and a saddle point and a characterization of the value of the game in terms of a specific class of doubly reflected backward stochastic differential equations (BSDEs) of mean-field type. Moreover, a corresponding system of weakly interacting values of zero-sum Dynkin games is introduced and is shown to converge to the value of the zero-sum mean-field Dynkin game. In particular, a propagation of chaos result is derived. This is a joint work with Roxana Dumistrescu. Date and time: Monday February 28, 17:30-18:30 (Rome time zone). Zoom link: https://us02web.zoom.us/j/5772228296 Join our Cloud HD Video Meeting<https://us02web.zoom.us/j/5772228296> Zoom is the leader in modern enterprise video communications, with an easy, reliable cloud platform for video and audio conferencing, chat, and webinars across mobile, desktop, and room systems. Zoom Rooms is the original software-based conference room solution used around the world in board, conference, huddle, and training rooms, as well as executive offices and classrooms. Founded in 2011, Zoom helps businesses and organizations bring their teams together in a frictionless environment to get more done. Zoom is a publicly traded company headquartered in San Jose, CA. us02web.zoom.us This talk is a talk of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale. For more information see the dedicated webpage: https://paviamilanoseminars.wordpress.com/ Participation is free and welcome! Best regards, The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Reminder - seminario di Sara Svaluto Ferro a Padova!
by Giorgia Callegaro 21 Feb '22

21 Feb '22

Carissimi, vi scrivo per ricordarvi che venerdì 25 febbraio 2022 Sara Svaluto Ferro terrà, alle 14.30, in presenza (aula 2BC30 del Dipartimento di Matematica dell'Università di Padova) ed online (Zoom), il seminario "*Signature processes in mathematical finance, an introduction*". Ulteriori info ed il link Zoom sono disponibili qui: https://www.math.unipd.it/~bianchi/seminari/ A presto, spero, grazie, Giorgia -- Giorgia Callegaro Associate 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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OSD2022-14th International Conference on Ordered Statistical Data
by malongob＠unina.it 20 Feb '22

20 Feb '22

Care colleghe e cari colleghi, ho il piacere di informarvi che il convegno internazionale OSD2022, 14th International Conference on Ordered Statistical Data, si terrà (finalmente in presenza) a Vietri sul Mare (SA) dal 24 al 27 maggio 2022. I dettagli del convegno sono reperibili all'indirizzo www.osd2022.unina.it Spero di incontrarvi numerosi per tale evento che sarà anche l'occasione per celebrare (in ritardo) il 70° compleanno del collega e caro amico Fabio Spizzichino, che tanto ha dato alla nostra comunità. Vi saluto caramente, Mariella Longobardi Dear Colleagues, I am glad to inform you that the International Conference OSD2022, 14th International Conference on Ordered Statistical Data will be held from 24th to 27th May 2022 in Vietri sul Mare (SA). Details can be found at website www.osd2022.unina.it I hope to meet all of you at the conference that will also be the occasion to celebrate (unfortunately on late, due to Covid19) Fabio Spizzichino's 70th birthday. Greetings and best regards, Mariella Longobardi Maria Longobardi, Ph.D. in Applied Mathematics Associate Professor of Probability and Mathematical Statistics E-mail: maria.longobardi(a)unina.it Dipartimento di Biologia Università degli Studi di Napoli FEDERICO II Via Cintia - 80126 Napoli - Italy Studio 114 - V livello del Dipartimento di Matematica e Applicazioni Tel. +39 081 675620

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PhD position in Applied Mathematics and Statistics, Göteborg, Sweden
by Umberto Picchini 19 Feb '22

19 Feb '22

We are looking for a doctoral student who would like to work in *any of the research areas* of the division of Applied Mathematics and Statistics <https://www.chalmers.se/en/departments/math/organisation/Pages/applied-math…> at Chalmers University of Technology an University of Göteborg, Göteborg, Sweden. A list of possible projects is given below. PhD salaries in Sweden are attractive. The following list includes a collection of possible projects that you can work in: Marina Axelson-Fisk: AI Support for Medical Decision Making <https://www.chalmers.se/sv/institutioner/math/organisation/Documents/PhD%20…> Tobias Gebäck, Alexei Heintz and Irina Pettersson: Multiscale models for wetting dynamics in porous materials <https://www.chalmers.se/sv/institutioner/math/organisation/Documents/PhD%20…> Philip Gerle: Universal differential equations for infectious disease modelling <https://www.chalmers.se/sv/institutioner/math/organisation/Documents/PhD%20…> Erik Kristiansson: Analysis of DNA sequences using artificial intelligence <https://www.chalmers.se/sv/institutioner/math/organisation/Documents/PhD%20…> Anders Logg: High-Performance High-Quality Automated Mesh Generation for Large-Scale City Modeling and Simulation <https://www.chalmers.se/sv/institutioner/math/organisation/Documents/PhD%20…> Serik Sagitov: Critical Galton-Watson processes with overlapping generations <https://www.chalmers.se/sv/institutioner/math/organisation/Documents/PhD%20…> Aila Särkkä: Spatio-temporal modelling combined with machine learning <https://www.chalmers.se/sv/institutioner/math/organisation/Documents/PhD%20… Spatio-temporal modelling combined with machine learning.pdf> Feel free to contact any of the people above or other people in the division that you might be interested in working with already before submitting your application. For full info, contact details and links to apply, please go to https://www.chalmers.se/en/about-chalmers/Working-at-Chalmers/Vacancies/Pag… <https://www.chalmers.se/en/about-chalmers/Working-at-Chalmers/Vacancies/Pag…> *Application deadline: February 25, 2022* * * -- _________________________________________________________ Umberto Picchini, Associate Professor, PhD, Docent https://umbertopicchini.github.io/ , twitter: @uPicchini

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seminar: "Combined analysis of spatially misaligned data using Gaussian fields and the stochastic partial differential equation approach.", Paula Moraga 22 February
by Umberto Picchini 19 Feb '22

19 Feb '22

You are welcome to the next Statistics seminar at Dept of Mathematical Sciences at Chalmers and Göteborg University. We are very glad to have, on Tuesday February 22, Paula Moraga <https://www.paulamoraga.com/> (KAUST) who will talk of: ///"Combined analysis of spatially misaligned data using Gaussian fields and the stochastic partial differential equation approach."/ //** paula moraga *About the speaker: *Paula Moraga <https://www.paulamoraga.com/> is an Assistant Professor of Statistics at King Abdullah University of Science and Technology (KAUST) and the Principal Investigator of the GeoHealth research group. Her research focuses on the development of innovative statistical methods and computational tools for geospatial data analysis and health surveillance, and the impact of her work has directly informed strategic policy in reducing disease burden in several countries. She has developed modeling architectures to understand the geographic and temporal patterns and identify targets for intervention of diseases such as malaria in Africa and cancer in Australia, and has worked on the development of a number of R packages for Bayesian risk modeling, detection of disease clusters, and risk assessment of travel-related spread of disease. // //* * *Abstract: *Spatially misaligned data are becoming increasingly common due to advances in both data collection and management in a wide range of scientific disciplines including the epidemiological, ecological and environmental fields. Here, we present a Bayesian geostatistical model for fusion of data obtained at point and areal resolutions. The model assumes that underlying all observations there is a spatially continuous variable that can be modeled using a Gaussian random field process. The model is fitted using the integrated nested Laplace approximation (INLA) and the stochastic partial differential equation (SPDE) approaches. In the SPDE approach, a continuously indexed Gaussian random field is represented as a discretely indexed Gaussian Markov random field (GMRF) by means of a finite basis function defined on a triangulation of the region of study. In order to allow the combination of point and areal data, a new projection matrix for mapping the GMRF from the observation locations to the triangulation nodes is proposed which takes into account the types of data to be combined. The performance of the model is examined via simulation when it is fitted to point, areal, and point and areal data combined to predict several simulated surfaces that can appear in real settings. The model is also applied to predict the concentration of fine particulate matter (PM2.5) in Los Angeles and Ventura counties, USA, during 2011. The results show that the combination of point and areal data provides better predictions than if the method is applied to just one type of data, and this is consistent over both simulated and real data. We conclude the approach presented may be a helpful advance in the area of spatial statistics by providing a useful tool that is applicable in a wide range of situations where information at different spatial resolutions needs to be combined. *Feel free to spread this announcement in your network.* * * *Where*: https://chalmers.zoom.us/j/64709763394 Password: 920248 ** **** *When*: Tuesday 22 February at 14.15-15.15*(Swedish time)*. ** -- _________________________________________________________ Umberto Picchini, Associate Professor, PhD, Docent https://umbertopicchini.github.io/ , twitter: @uPicchini

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Seminar José Figueroa Lopez in Verona, 23/2/22 at 12, Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation
by Cecilia Mancini 16 Feb '22

16 Feb '22

José Figueroa Lopez Professor at the Washington University in St. Louis will give, both on site and on line, the SEMINAR Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation Abstract. Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic variation of the continuous component of an Itô semimartingale with jumps. Several rate- and variance-efficient estimators have been proposed in the literature when the jump component is of bounded variation. However, to date, very few methods can deal with jumps of unbounded variation. By developing new high-order expansions of the truncated moments of a Lévy process, we construct a new rate- and variance-efficient estimator for a class of Lévy processes of unbounded variation, whose small jumps behave like those of a stable Lévy process with Blumenthal-Getoor index less than 8/5. The proposed method is based on a two-step debiasing procedure for the truncated realized quadratic variation of the process. Our Monte Carlo experiments indicate that the method outperforms other efficient alternatives in the literature in the setting covered by our theoretical framework. All interested people are warmly invited to participate Professor Figueroa-Lopez is visiting our department from February the 10th to March the 22nd, and from June the 15th to August the 15th For attendance via Zoom, please register at the following page, we will send you the meeting link: https://docs.google.com/forms/d/e/1FAIpQLSdJ6PccwEy8tSEngi0JMUKYEJ4yOHuuwur… Live attendance: the Department of Economics, via Cantarane 24, Vaona room. Due to the limited number of available seats, interested people should write an e-mail to: cecilia.mancini(a)univr.it<mailto:cecilia.mancini@univr.it>

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