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Virtual Seminar by M. Grigorova (Leeds)
by Alessandro Gnoatto 01 Nov '21

01 Nov '21

Dr. Miryana Grigorova (University of Leeds) will give a talk organized by the Department of Economics - University of Verona Date: 3 November 12:00 CET. Title: "Superhedging of options in a non-linear incomplete financial market model” Abstract: We will study the superhedging price (and superhedging strategies) of European and American options in a non-linear incomplete market model with default, with a particular focus on the American options case which is more involved. We will provide a dual representation of the seller’s (superhedging) price for the American option in terms of a mixed stochastic control/stopping problem with non-linear expectations/ evaluations, and in terms of non-linear Reflected BSDEs with constraints. If time permits, we will also present a duality result for the buyer’s price in terms of a stochastic game of control and stopping with non-linear expectations/ evaluations. The talk is based on joint works with Marie-Claire Quenez and Agnès Sulem. If you would like to attend via Zoom, please register at the following link, we will send you the details: https://docs.google.com/forms/d/e/1FAIpQLScVu88XwBhoF9O3xmbKwUxv0JN2URNT3Ki… -- Prof Alessandro Gnoatto, PhD Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com E-mail: alessandro.gnoatto(a)univr.it -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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Fwd: Stochastic DE and Analysis Search
by Marco Romito 01 Nov '21

01 Nov '21

ricevo e inoltro m. > ---------- Forwarded message --------- > From: Shu-Ming Sun <sun(a)math.vt.edu> > Date: Wed, Oct 27, 2021 at 4:11 PM > Subject: Stochastic DE and Analysis Search > To: faculty <faculty(a)math.vt.edu> > > > > Hi, all, > > An opening in Stochastic Differential Equations and Analysis > for our math department has been approved > today and the ad of this job opening is enclosed. Please spread this > around among your friends and collaborators. > If you know someone who is interested in the position, please let them > apply as soon as possible. The link for applying > is the following: > https://careers.pageuppeople.com/968/cw/en-us/job/518011/assistant-professo… > > Thanks a lot! > > Best regards, > Shu-Ming > > > Virginia Tech Department of Mathematics Faculty Position in Stochastic > Differential Equations and Analysis > > The Virginia Tech Department of Mathematics anticipates a tenure-track > opening in Stochastic Differential Equations or other areas of > Stochastic Analysis with a start date of August 10, 2022, at our > Blacksburg, VA, campus. The successful candidate will have a strong > background in the analysis of stochastic, random, or ergodic systems, > or closely related areas. Possible specialties include, but are not > limited to, functional analysis, geometric analysis, harmonic > analysis, stochastic analysis, stochastic ordinary differential > equations, stochastic partial differential equations, theory of > partial differential equations, dynamical systems, mathematical > physics, or applications of at least one of these areas. The > successful candidate will have the opportunity to engage in > interdisciplinary research, curriculum development, and/or outreach > initiatives with other members of the Virginia Tech faculty. > > Appointment as an Assistant Professor of Mathematics is anticipated, > but exceptional senior candidates will be considered for positions of > Associate Professor of Mathematics or Professor of Mathematics. > > Job requirements include a Ph.D. in mathematics or a related field at > the time of appointment and an active research program, or, for new > Ph.D.’s, strong promise for developing an active research program. > The successful candidate will be expected to establish a distinguished > research program and to provide effective instruction and advising to > a diverse population of undergraduate and graduate students. > Additional responsibilities include: continuing development of > professional capabilities and scholarly activities, including travel > to attend conferences and meetings; curriculum development; > participation in department, college, and university governance; and > professional service. Position requires occasional travel to attend > conferences and meetings. > > The Mathematics Department is committed to building an inclusive > community of mathematical scientists through programs and activities > that are woven into the department’s research, teaching, and outreach > efforts. Our commitment is illustrated by programs such as our: > Broadening Engagement and Participation in Undergraduate Research; > Mathematics: Opportunities in Research and Education; and professional > development activities organized by the Virginia Tech Chapter of the > Association for Women in Mathematics, winner of the 2021 AWM Student > Chapter Award for Scientific Excellence. Through undergraduates’ > supervised tutoring of local public school students and through the > department’s participation in the Commonwealth Cyber Initiative, the > Mathematics Department introduces secondary school and community > college students to opportunities in the mathematical sciences. The > diversity statement required in our application process gives > candidates opportunities to bring to our attention their > qualifications for and interest in contributing to efforts to > diversify our discipline. Strong statements will demonstrate informed > awareness of the rewards and challenges arising from efforts to > provide equitable opportunities for all. Specific examples of > experiences, activities, and plans will help us identify candidates > who can support and extend our department’s commitment to inclusive > excellence. > > Virginia Tech is committed to supporting the success of its faculty > members through policies that include the modification of duties, the > extension of tenure clocks, mentoring, proposal-writing guidance, and > dual-career accommodations, depending on individual circumstances. > Interviewed candidates will meet with a work-life liaison for a > confidential conversation about details of these policies. > > An online application is required. To apply, please visit > www.jobs.vt.edu, select “Apply Now,” and search by posting number > 518011. Please include a cover letter, a CV, a research statement, a > teaching statement, and a diversity statement as part of the online > application. Each applicant should follow the instructions in the > online application system to request that four references submit > letters of recommendation, or letters can be emailed to > stochsearch21(a)math.vt.edu. Additional information about position > requirements and responsibilities can be found at the following url’s. > http://www.hr.vt.edu or https://www.math.vt.edu. The faculty handbook > (at https://faculty.vt.edu/faculty-handbook.html ) gives a complete > description of faculty responsibilities. The successful candidate will > be required to have a criminal conviction check as well as > documentation of COVID 19 vaccination or receive approval from the > university for a vaccination exemption due to a medical condition or > sincerely held religious belief. Questions about the search may be > addressed to: stochsearch21(a)math.vt.edu. > > Applications received by November 29, 2021, will receive full > consideration. > > About Virginia Tech > > Dedicated to its motto, Ut Prosim (That I May Serve), Virginia Tech > pushes the boundaries of knowledge by taking a hands-on, > transdisciplinary approach to preparing scholars to be leaders and > problem-solvers. A comprehensive land-grant institution that enhances > the quality of life in Virginia and throughout the world, Virginia > Tech is an inclusive community dedicated to knowledge, discovery, and > creativity. The university offers more than 280 majors to a diverse > enrollment of more than 36,000 undergraduate, graduate, and > professional students in eight undergraduate colleges, a school of > medicine, a veterinary medicine college, Graduate School, and Honors > College. The university has a significant presence across Virginia, > including the Innovation Campus in Northern Virginia; the Health > Sciences and Technology Campus in Roanoke; sites in Newport News and > Richmond; and numerous Extension offices and research centers. A > leading global research institution, Virginia Tech conducts more than > $500 million in research annually. > > Virginia Tech does not discriminate against employees, students, or > applicants on the basis of age, color, disability, sex (including > pregnancy), gender, gender identity, gender expression, genetic > information, national origin, political affiliation, race, religion, > sexual orientation, or military status, or otherwise discriminate > against employees or applicants who inquire about, discuss, or > disclose their compensation or the compensation of other employees or > applicants, or on any other basis protected by law. > > If you are an individual with a disability and desire an > accommodation, please contact Glenda Dalton at gldalto1(a)vt.edu during > regular business hours at least 10 business days prior to the event.

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OSD2022
by francesco.buono3＠unina.it 28 Oct '21

28 Oct '21

On the behalf of Chief organizers of OSD2022: Dear colleagues, we are writing to inform you that, after the cancellation of the conference in 2020 due to the Covid-19 outbreak, we have fixed the new date for the 14th edition (2022): from 24th to 27th May 2022. The location will be the same as the one of 2020: it will be held at the Lloyd Baia Hotel, in Vietri sul Mare (close to Salerno, in the south of Italy). Further details may be found in the web page of the conference: www.osd2022.unina.it We hope to meet all of you in Vietri sul Mare! Best regards, Maria Longobardi and Franco Pellerey Many greetings, Francesco Buono

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Fwd: Probability positions in Montreal (postdoctoral and tenure-track)
by Elisabetta Candellero 28 Oct '21

28 Oct '21

Salve a tutti, Ricevo ed inoltro... Elisabetta ---------- Forwarded message --------- From: Louigi Addario-Berry <louigi.addario(a)mcgill.ca> Date: Thu, Oct 28, 2021 at 3:12 PM Subject: Probability positions in Montreal (postdoctoral and tenure-track) To: Louigi Addario-Berry <louigi.addario(a)mcgill.ca> Dear colleagues, There are a number of postdoctoral and tenure-track positions open to probabilists and probability-adjacent researchers, currently being advertised in Montreal. Details are below; the soonest deadline is November 12. I would be grateful if you could circulate information about this to colleague and trainees who may be interested. Best wishes, Louigi. 1. Tenure-track position in probability, Université de Montréal: https://www.mathjobs.org/jobs/list/18488 2. Postdoctoral fellowship in probability theory and related fields, McGill: https://www.mathjobs.org/jobs/list/18737 3. CRM-ISM postdoctoral fellowships (any mathematical subject, any CRM institution): https://www.mathjobs.org/jobs/list/18027 4. CRM-Simons postdoctoral fellowship (any mathematical subject, any CRM institution): https://www.mathjobs.org/jobs/list/18111 -- Louigi Addario-Berry (he/his) Director, Probability Lab Centre de Recherches Mathématiques louigi.addario(a)mcgill.ca problab.ca/louigi <http://www.problab.ca/louigi> https://twitter.com/Methemedantics

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Assegno di ricerca a Tor Vergata
by mic sal 28 Oct '21

28 Oct '21

Cari colleghi, vi segnalo un bando per assegno di collaborazione della durata di 1 anno presso l'Università di Roma "Tor Vergata". La data di scadenza per la presentazione delle domande è prevista per il 3/11. Il bando è reperibile al sito pica.cineca.it immettendo come chiavi di ricerca il codice del bando F3-2021-0014 e l'ente/istituzione Università degli Studi di Roma "Tor Vergata" In fondo a questo messaggio, allego il titolo del progetto di ricerca e la sua descrizione sintetica. Sono benvenute candidature con profili in un qualsiasi ambito della matematica applicata, purché prevedano delle applicazioni computazionali da sviluppare durante l'anno di collaborazione all'attività di ricerca. Esse dovranno essere svolte con le risorse di calcolo messe a disposizione del dipartimento di matematica dell'Università di Roma "Tor Vergata". Qualora il/la candidato/a vincitore/trice abbia già lavorato in meccanica celeste / sistemi dinamici Hamiltoniani / astrodinamica, potrà collaborare con il prof. Ugo Locatelli, il quale è formalmente responsabile del bando. Altrimenti, se sarà principalmente esperto/a in altre aree della matematica applicata, sarà possibile scegliere un altro qualsiasi docente del Dipartimento, che assumerà le funzioni di principale collaboratore/trice del/la futuro/a vincitore/trice della procedura di selezione. Cordiali saluti, Michele Salvi %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Titolo del progetto di ricerca "New Computational Challenges in Applied Mathematics" Descrizione sintetica della ricerca In the last decades, the fast increase of the computational resources opened the possibility to tackle new fascinating problems in mathematics. This recent development is concerning both the hardware and the software. From one hand, the total computational power has been enormously increased by codes that can be efficiently parallelized on GPGPU cards and/or in multi-core environments. On the other hand, in computer science new paradigms have shown their effectiveness: e.g., machine learning has been applied in several different contexts. The candidates are expected to be able to autonomously develop a high-level research with computational applications in at least one field of the following (non-exhaustive) list: dynamical systems, simulations in ODEs/PDEs, high-dimensional statistical analysis. The transfer of knowledge will be strongly encouraged also with exposure to activities of (active and passive) training.

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research fellows - Sapienza
by Roy Cerqueti 28 Oct '21

28 Oct '21

Dear all, to inform you on five positions at Sapienza on complex systems - methods and applications. More info can be found here https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/181701 https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/181705 Thank you for your attention. Yours sincerely, Roy -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega di non leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non si è il legittimo destinatario dello stesso. Qualora tale messaggio sia stato ricevuto per errore, si prega di restituirlo al mittente e di cancellarlo permanentemente dal proprio computer. The information contained in this e mail message is strictly confidential and intended for the use of the addressee only. If you are not the intended recipient, please do not read, copy, forward or store it on your computer. If you have received the message in error, please forward it back to the sender and delete it permanently from your computer system.

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Fwd: Bando Borsa di Dottorato su "Machine learning and new diagnostic approaches" - Università di Siena
by Marco Romito 27 Oct '21

27 Oct '21

ricevo e inoltro m. -------- Forwarded Message -------- Subject: Bando Borsa di Dottorato su "Machine learning and new diagnostic approaches" - Università di Siena Date: Wed, 27 Oct 2021 17:13:48 +0200 /Per conto della prof. ALESSANDRA RENIERI:/ Buongiorno, sperando di fare cosa gradita, invio per diffusione alla lista Random da voi gestita il bando appena uscito relativo alla Borsa di Dottorato su "/Machine learning and new diagnostic approaches/" - del Dottorato in Genetica, Oncologia e Medicina Clinica (GenOMeC) dell'Università di Siena, e che è possibile trovare al link: https://www.unisi.it/ricerca/dottorati-di-ricerca-0 <https://www.unisi.it/ricerca/dottorati-di-ricerca-0> La tematica in oggetto è a pag. 23. Cari saluti Elisa Frullanti -- Frullanti Elisa, PhD Assistant Professor Medical Genetics University of Siena Viale Bracci, 2 - 53100 - Siena - Italy Phone: +39 0577 586618 FAX: +39 0577 233325

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PostDoc Position in Probability and Statistical Mechanics in Rome
by Lorenzo Taggi 27 Oct '21

27 Oct '21

A call for a PostDoc position in probability and statistical mechanics is open at University of Rome Sapienza. Research topics include random loop models, interacting random walks, spin systems. The research activities will be carried on under the supervision of the principal investigator (PI) Dr. Lorenzo Taggi. The research program offers the opportunity to interact with the probability and mathematical physics communities of Rome three universities and with the research partners of the priority program “Random Geometric Systems” of German Research Foundation (DFG). Time length: two years Salary: 2350 euro monthly (after taxes) Application deadline: 24th November Starting period: early 2022 For questions please send an email to the PI Lorenzo Taggi: lorenzo.taggi(a)uniroma1.it <mailto:lorenzo.taggi@uniroma1.it> Relevant links: Webpage of the PI: https://sites.google.com/site/lorenzotaggiswebpage2/ <https://sites.google.com/site/lorenzotaggiswebpage2/> Mathematics Department of Sapienza: https://www.mat.uniroma1.it/en <https://www.mat.uniroma1.it/en> How to apply: https://sites.google.com/site/lorenzotaggiswebpage2/open-positions/apply-fo… <https://sites.google.com/site/lorenzotaggiswebpage2/open-positions/apply-fo…> DFG Priority program “Random Geometric Systems”: https://spp2265.wias-berlin.de <https://spp2265.wias-berlin.de/>

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Bandi PON - borse di dottorato Sapienza Università di Roma
by Marco Isopi 26 Oct '21

26 Oct '21

Cari colleghi, ieri e` stato pubblicato il bando per le borse di dottorato PON (sui temi Green e Innovazione). Il bando e` consultabile al sito: https://www.uniroma1.it/it/pagina/dottorati-di-ricerca <https://www.uniroma1.it/it/pagina/dottorati-di-ricerca> Si tratta di 4 borse di dottorato, in allegato gli argomenti dei progetti di ricerca.

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Annuncio Seminario Johannes Ruf (fwd)
by Tiziano Vargiolu 26 Oct '21

26 Oct '21

---------- Forwarded message ---------- Date: Mon, 25 Oct 2021 14:27:29 +0200 From: grassell(a)math.unipd.it To: vargiolu(a)math.unipd.it Subject: Annuncio Seminario Johannes Ruf Caro Tiziano potresti estendere alla tua lista l'annuncio del seguente seminario please ? Verr? tenuto in presenza con possibilit? di seguirlo via zoom. Grazie mille Martino --------------------------------- On Tuesday Nov 2 at 11am the Math Department of the University of Padua is pleased to host a seminar given by Prof. Johannes Ruf (LSE University, London). Here below the relevant details: WHEN: November 2, at 11:00am WHERE: Room 2BC30 at 2nd floor of the Math Department "Tullio Levi-Civita", via Trieste 63, Padua ZOOM link: https://unipd.zoom.us/j/83202006980 (without password) SPEAKER: Johannes Ruf TITLE: The Growth-Optimal Portfolio in Fund Models ABSTRACT: This study concerns the estimation of the growth-optimal portfolio. The growth-optimal portfolio, or the numeraire portfolio, maximises the expected logarithmic growth rate and plays a fundamental role in portfolio choice and asset pricing. Efficient estimates of the growth-optimal portfolio under the CAPM and multi-fund models are derived. The accuracy of estimation is greater, the larger the variances of the returns. A measure of investors' economic loss caused by information loss due to missing data or unavailable observations is provided. In particular, the economic loss is larger, the larger the investment universe or the factors affecting asset returns. The estimate has a Bayesian interpretation. A shrinkage method targets maximal growth with the least amount of deviation of the growth rates.

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