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2-year post-doc position at the University of Padova
by Claudio Fontana 08 Feb '20

08 Feb '20

Dear all (and apologies for cross-posting), A 2-year post-doctoral position at the Department of Mathematics of the University of Padova (Italy) is available, within the STARS@UNIPD project PRISMA under the supervision of Claudio Fontana (personal webpage: https://sites.google.com/site/fontanaclaud <https://sites.google.com/site/fontanaclaud>). The primary goal of the PRISMA project is the development of new stochastic methods for the modelling of information in finance and insurance. We are looking for a highly motivated candidate with a solid background in stochastic analysis and mathematical finance. A PhD degree in these fields is a necessary requirement. We offer a stimulating research environment, an exciting research project, excellent working conditions. Salary is fixed at a top level for a post-doctoral position at the University of Padova, corresponding to about 2100 euros/month (net of taxes). Generous financial support is available for participation to international conferences and workshops. The selected candidate will not have mandatory teaching duties. The starting date can be arranged, but cannot be later than September 1st, 2020. To be considered, the application package has to arrive before March 2, 2020. The official call for the position and application instructions can be found at https://www.math.unipd.it/it/news/?id=2579 <https://www.math.unipd.it/it/news/?id=2579> For any further information and expressions of interest on this position, please contact Claudio Fontana directly at fontana(a)math.unipd.it <mailto:fontana@math.unipd.it> Best regards Claudio Fontana

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Corso di dottorato "Topics from the Gaussian World" a Milano-Bicocca
by Gianmario Tessitore 07 Feb '20

07 Feb '20

Buongiorno Tra marzo e maggio 2020, Francesco Caravenna e Maurizia Rossi terranno il corso di dottorato: *"Topics from the Gaussian World"* presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca. La prima lezione avrà luogo giovedì 5 marzo alle 14:30-17:00 in aula U5-3014. Per maggiori informazioni si veda la pagina http://staff.matapp.unimib.it/~fcaraven/did1920/phd/index.html Tutti gli interessati sono invitati a partecipare un cordiali saluto -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Call for Interest - Assegno di ricerca
by Daniele Marazzina 07 Feb '20

07 Feb '20

Con preghiera di diffusione Il Qfinlab, laboratorio di finanza quantitativa del Dipartimento di Matematica del Politecnico di Milano, sta valutando la possibilità di bandire assegni di ricerca su tematiche relative alla finanza quantitativa (calcolo stocastico, portfolio allocation, pricing, ma non solo), all'econometria e/o all'utilizzo di tecniche machine learning in finanza. Eventuali persone interessate possono inviare il loro cv all'indirizzo qfinlab(a)polimi.it<mailto:qfinlab@polimi.it> . Per informazioni sul gruppo, si rimanda a www.qfinlab.polimi.it<http://www.qfinlab.polimi.it/> Cordialmente Daniele Marazzina

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Seminario Karim Barigou in Bicocca
by Valeria Bignozzi 06 Feb '20

06 Feb '20

Si avvisa che il giorno Lunedì 10 Febbraio alle ore 15:30 presso l’Università di Milano-Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario: Speaker: Karim Barigou (University of Lyon) Title: Fair valuation of insurance liabilities: interplay between actuarial judgement and market-consistency Abstract: Insurance liabilities are in most cases (only) partially replicable by traded assets. This may be due to the fact that the payoffs of the underlying insurance contracts are defined in terms of a combination of hedgeable and unhedgeable claims (e.g. unit-linked insurance) or due to the existence of traded insurance-linked securities of which the payoff is correlated with the payoff of the insurance liability (e.g. CAT bonds). Since not all insurance claims can be perfectly replicated by traded assets, we face the problem of valuating claims in incomplete markets (i.e. markets in which some claims are not perfectly hedgeable). The main goal of this presentation is to introduce different valuation frameworks for the determination of a fair valuation for insurance liabilities. The objective of this valuation is to merge the traditional actuarial valuation based on pooling and diversification with a market-consistent approach based on hedging and replication. In particular, we define a fair valuation as a valuation which is market-consistent (marked-to-market for hedgeable claims) and actuarial (marked-to-model for claims independent of financial market evolutions). Among the different fair valuation frameworks, we introduce and investigate the class of `hedge-based valuations'. Under this approach, one unbundles the unhedgeable insurance claim in a hedgeable part and a remaining part. The fair value of the claim is then set equal to the sum of the respective values of the hedgeable and the unhedgeable parts, where the hedgeable part is valuated by the financial price of its underlying hedge, while the value of the remaining part is determined via an actuarial approach. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Valeria ******************************************************************************************* Valeria Bignozzi Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano e-mail: valeria.bignozzi(a)unimib.it <mailto:valeria.bignozzi@unimib.it> ******************************************************************************************* _______________________________________________ Random mailing list Per informazioni e per disiscriversi: https://fields.dm.unipi.it/listinfo/random <https://fields.dm.unipi.it/listinfo/random> Per contattare gli amministratori: random-admin(a)fields.dm.unipi.it <mailto:random-admin@fields.dm.unipi.it> Per inviare un messaggio alla mailing list: Random(a)fields.dm.unipi.it <mailto:Random@fields.dm.unipi.it> Archivio dei messaggi inviati: https://fields.dm.unipi.it/pipermail/random <https://fields.dm.unipi.it/pipermail/random>

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Research fellowship in Padova - "Stochastic processes on random structures and applications"
by alessandra bianchi 05 Feb '20

05 Feb '20

Cari colleghi con l'invito a volerne dare la massima diffusione, vi segnalo che, all'interno di un progetto congiunto UniBo-UniFi-UniPd denominato "Dinamiche stocastiche in ambienti disordinati ed applicazioni nelle scienze ", è uscito il bando per un assegno di ricerca su "Processi stocastici su strutture aleatorie e applicazioni" con sede presso il Dipartimento di Matematica "Tullio Levi-Civita " dell'Università di Padova. La descrizione e i dettagli per l'ammissione sono indicati di seguito. The Department of Mathematics "Tullio Levi-Civita" of the University of Padova invites applications for a Research fellowship of the duration of 12 months in the framework of a joint project with the University of Bologna and the University of Firenze, with subject "Stochastic processes on random structures and applications". Successful candidates will be recent PhDs in Mathematics, or graduates with a Master's degree, who have suitable and documented academic and professional experience. The gross amount of the research fellowship contract is 21.100 euro. The deadline for application is 2nd March 2020. To submit application please refer to the page https://www.math.unipd.it/news-files/2020/20200302-bianchi-bando.pdf For additional information, please contact: Alessandra Bianchi at bianchi(a)math.unipd.it Marco Lenci at marco.lenci(a)unibo.it Francesca Nardi at francescaromana.nardi(a)unifi.it <bianchi(a)math.unipd.it>-- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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seminar announcement
by Marco Scarsini 05 Feb '20

05 Feb '20

*Xavier Venel,* Paris School of Economics Sequential Competition and the Strategic Origins of Preferential Attachment <http://mailsender.luiss.it/lists/lt.php?id=cRpRAgYLSAQFAw1OVAVUAQAH> Thursday 6 February 2020, 12 noon Room 207 Department of Economics and Finance Luiss Viale Romania, 32 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Re: [Random] [forumppg] XXIV Brazilian Probability School /São Paulo School of advanced science
by Chiara Franceschini 04 Feb '20

04 Feb '20

Ricevo e inoltro per potenziali interessati. ---------- Forwarded message --------- Subject: Fwd: [forumppg] XXIV Brazilian Probability School /São Paulo School of advanced science Date: 2020-02-04 12:02 From: Patrícia Gonçalves <mophinha(a)gmail.com> To: Chiara Franceschini <chiara.franceschini(a)tecnico.ulisboa.pt> Can you distribute this in Italy? Thanks! ---- *XXIV EBP/ São Paulo School of advanced science on singular stochastic partial differential equations and their applications* It is a pleasure to announce the XXIV EBP/ São Paulo School of advanced science on singular stochastic partial differential equations and their applications. The São Paulo school is divided into two parts and will happen in the weeks of July 28 to August 8, 2020 at Campinas University. In the first week there will be two introductory mini courses (stochastic calculus and rough paths) that lay the foundations for the courses of the second week. In the latter ones newly developed theories and their latest developments in the field of singular SPDEs and related areas will be taught. The program will be complemented with several plenary talks, invited talks, a poster session and a visit to the LNLS laboratories, where the only particle accelerator of Latin America is located. The school will give full financial support for around 100 students (50 from Brazil and 50 from abroad). More informations under https://www.ime.unicamp.br/spas2020/ . The XXIV EBP will coincide with the second week of the São Paulo School. As in previous years, the XXIV EBP will consist of two mini courses, plenary talks, contributed talks and poster sessions, all presented in a relaxed atmosphere. This will be our first edition at IMECC-UNICAMP, which is home to one of Brazil's top ranked Mathematics departments. More information under https://www.ime.unicamp.br/bsp2020/. We would be grateful if you could advertise these events among your colleagues. On behalf of the organizing committee Dirk Erhard Adriana Neumann Christian Olivera -- Roberto Imbuzeiro Oliveira Professor, IMPA rimfo(a)impa.br, rob.oliv(a)gmail.com sites.google.com/view/roboliv -- Você recebeu essa mensagem porque está inscrito no grupo "forumppg" dos Grupos do Google. Para cancelar inscrição nesse grupo e parar de receber e-mails dele, envie um e-mail para forumppg+unsubscribe(a)impa.br. Para ver essa discussão na Web, acesse https://groups.google.com/a/impa.br/d/msgid/forumppg/CAN9Gp7asj9%3DEymWpDw2… <https://groups.google.com/a/impa.br/d/msgid/forumppg/CAN9Gp7asj9%3DEymWpDw2…> . -- Esta mensagem foi verificada pelo sistema de antiv�rus e acredita-se estar livre de perigo.

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two tenure track assistant professor position (Sao Paulo)
by Daniela Bertacchi 04 Feb '20

04 Feb '20

Ricevo e inoltro ---------- Forwarded message --------- Da: Fabio Machado <faprama(a)gmail.com> Date: lun 3 feb 2020, 19:46 Subject: two tenure track assistant professor positions To: Fabio Machado <faprama(a)gmail.com> Dear colleagues, please feel free to advertise to potential applicants. The Statistics Department of IME-USP has two tenure track assistant professor vacancies open for registration until March 24th. The contest will include, in addition to a memorial judgment, didactic evidence on basic Probability and Statistical Inference topics (in master's level), and project judgment in a wide range of research areas in Probability and Statistics. See message below and attached notice for further details. Do not hesitate to contact me for further clarification. Announce Math Hire https://mathhire.org/jobs/909 Science HR announcement https://www.science.hr/jobs/59528/assistant-professor-2-positions-statistic… Att Fábio Prates Machado -- *Fábio Prates Machado* - Professor Instituto de Matemática e Estatística Universidade de São Paulo, Brasil.

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Permanent research positions near Paris
by Guillaume Kon Kam King 04 Feb '20

04 Feb '20

Dear Colleagues, a call is open for two permanent positions, as a *Research Scientist in Statistics and stochastic algorithms for dynamic processes* and as a *Research Scientist in machine learning for text mining.* These are full research positions (no compulsory teaching), based at INRAE ( https://www.inrae.fr/en/about-us) and affiliated to Université Paris-Saclay. You may find the calls and instructions on how to apply at: https://jobs.inrae.fr/en/open-competitions/open-competions-research-scienti… and https://jobs.inrae.fr/en/open-competitions/open-competions-research-scienti… The application is in English and is fairly lightweight, it includes a CV, the 4 most significant publications and a 8-10 pages report detailing past research. The deadline is March 5, 2020, 5 p.m. Central European Time (UTC+01:00). If you would consider applying, please contact Elisabeta VERGU ( elisabeta.vergu(a)inrae.fr) for the position in Statistics and stochastic algorithms for dynamic processes, or Claire NEDELLEC ( claire.nedellec(a)inrae.fr)/Louise DELEGER (louise.deleger(a)inrae.fr) for the position in machine learning for text mining. Best regards, Guillaume KON KAM KING Université Paris-Saclay, INRAE, MaIAGE, 78350, Jouy-en-Josas, France https://sites.google.com/site/guillaumekonkamking/home

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Seminar Fabrizio Leisen @ Unimib
by Federico Camerlenghi 03 Feb '20

03 Feb '20

Dear all, we are glad to announce the next DEMS seminar: Wednesday, 12th February 2020 Time 12.00, Aula de Lillo, Department of Economics, Management and Statistics (DEMS) Building U7, II floor, University of Milano - Bicocca The speaker is Fabrizio Leisen from University of Kent. *Title:* *On a Class of Objective Priors from Scoring Rules* *Abstract:* Objective prior distributions represent an important tool that allows one to have the advantages of using a Bayesian framework even when information about the parameters of a model is not available. The usual objective approaches work off the chosen statistical model and in the majority of cases the resulting prior is improper, which can pose limitations to a practical implementation, even when the complexity of the model is moderate. In this talk we propose to take a novel look at the construction of objective prior distributions, where the connection with a chosen sampling distribution model is removed. We explore the notion of defining objective prior distributions which allow one to have some degree of flexibility, in particular in exhibiting some desirable features, such as being proper, or log-concave, convex etc. The basic tool we use are proper scoring rules and the main result is a class of objective prior distributions that can be employed in scenarios where the usual model based priors fail, such as mixture models and model selection via Bayes factors. In addition, we show that the proposed class of priors is the result of minimising the information it contains, providing solid interpretation to the method. This is a work in collaboration with C. Villa and S. G. Walker. Best wishes, Federico Camerlenghi -- Federico Camerlenghi Department of Economics, Management and Statistics University of Milano Bicocca, Milano, Italy. web-page: https://www.unimib.it/federico-camerlenghi

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