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EFI call for papers
by Tiziano Vargiolu 27 Nov '15

27 Nov '15

Carissimi, stiamo organizzando un workshop intitolato Energy Finance Italia (EFI), prima edizione, per collegare la comunit? italiana che lavora su finanza ed economia dell'energia. Sul tema avevamo gia' organizzato in Italia il convegno Energy Finance 2014 (energyfinance2014.org), della serie europea Energy Finance. EFI sara' tenuto all'Universita' di Camerino (Camerino, MC), giovedi' 10 e venerdi' 11 dicembre pp.vv. Il tema e': tutto quanto di interessante si fa in energy finance ed economics, (dal pricing alla policy, dall'econometrics al disegno e alle simulazioni del mercato elettrico, dagli equilibri micro nei mercati dei carburanti, della CO2 e delle rinovabili al disegno di contratti derivati, dalle analisi con integrated assessment model del global warming all'ottimizzazione della gestione degli impianti idroelettrici), con gli scopi di: 1) riunirci come 'collezione di competenze' del settore, e di 2) creare una comunita' di riferimento italiana, da usare per integrare le proprie reti di contatti individuali, per proporre progetti per finanziamenti, come workshop italiano a cui mandare dottorandi e postdoc, eccetera, tutto questo, ovviamente, in Italia. Il sito del workshop e': http://energyfinanceitalia.dtdns.net/ Chi fosse interessato a partecipare e/o a contribuire con un talk, e' pregato di scrivere a carlo.lucheroni(a)unicam.it ENTRO VENERDI' 5 DICEMBRE. Grazie per l'attenzione, Carlo Lucheroni (Universit? di Camerino), Carlo Mari (Universit? di Chieti Pescara), Tiziano Vargiolu (Universit? di Padova). -------------------------------------------------------------------------- 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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Annuncio di seminario (fwd)
by Tiziano Vargiolu 27 Nov '15

27 Nov '15

---------- Forwarded message ---------- Date: Fri, 27 Nov 2015 16:21:41 +0100 From: Pietro Rossi <pietro.rossi(a)prometeia.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Annuncio di seminario Con il consueto invito di estenderlo a chiunque possa essere interessato Giovedi 3 Dicembre ore 14:30 Anna Maria Gambaro Dottoranda presso il dipartimento di statistica e metodi quantitativi (DISMEQ) dell'universit? di Milano Bicocca HJM multiple-curve model with time-changed L?vy processes Abstract:We propose a multiple-curve model, set in Heath-Jarrow-Morton framework, with time-changed L ?evy as driving processes. This class of process was introduced in finance by Carr and Wu (2004) for pricing of equity derivatives. However, recently, empirical studies, as Leippold and Str?mberg (2014), suggest the application of time-changed L ?evy process to interest rate financial products. In particular, L ?evy processes generate very flexible return innovation distribution and take into account potential discontinuities in Libor dynamics. On the other hand, the time change and the dependence between the L ?evy process and the random time introduce ?stochastic volatility? and ?stochastic skew? in the model, in order to reproduce the term structure of the volatility smile of caps and swaptions. This paper is inspired by the work of Eberlein and Raible (1999) on L ?evy models, generalized in Crepey et al. (2014) to a multiple curve setting. To the best of our knowledge, no previous works present a theoretically consistent no-arbitrage framework for pricing interest rate derivatives with time-changed L ?evy process. Moreover we apply these flexible processes to a multiple-curve post crisis set-up. First of all, we build a term structures for zero coupon bonds and Libor forward rate and we derive sufficient conditions to ensure the absence of arbitrage. Moreover the pricing of interest rate derivatives, as caps and swaptions, is developed using the Fourier transform method. Finally different choices for the construction of the driving process are examined and compared. Il seminario si terra' presso la sede di Prometeia a Bologna in Via Marconi 43. -- Disclaimer: http://www.prometeia.it/disclaimer

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Fwd: FW: postdoc position on "Stochastic Processes for Anomalous Diffusion" at BCAM
by Enrico Scalas 27 Nov '15

27 Nov '15

Car* collegh*, e' disponibile una posizione di postdoc per 2 anni al BCAM a Bilbao. Il tema e' "Stochastic Processes for Fractional Diffusion". La scadenza e' il 30 dicembre. Questi sono i link ufficiali http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM15_Postdoc_Pr… http://www.bcamath.org/en/research/job/ic2015-winter-postdoctoral-fellowshi… Se avete domande o candidature potete rivolgervi a -- Gianni Pagnini Ikerbasque Research Fellow *BCAM - * Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini Cordiali saluti, Enrico Scalas

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Fwd: Spring School in Financial Mathematics 2016
by Tiziano Vargiolu 27 Nov '15

27 Nov '15

SPRING SCHOOL IN FINANCE 2016 March 10-12, 2016 University of Bologna, Italy https://events.unibo.it/ssf2016 A three day Spring School in Financial Mathematics will be held in Bologna on March 10-12, 2016. The School is open to both practitioners and people from the academic world and intends to provide two crash courses on Credit and Counterparty risk given by * St?phane Cr?pey (University of Evry) * Andrea Pallavicini (Banca IMI, Milan - Imperial College, London) For further information and registration, see: https://events.unibo.it/ssf2016/registration Barbara Giovannini Tutor C.A.F. Finanza Matematica Dipartimento di Matematica Piazza di Porta San Donato, 5 40126 Bologna

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Fwd: Post-doctoral positions in Probability and Statistical Mechanics at Tel Aviv University
by Elisabetta Candellero 25 Nov '15

25 Nov '15

A tutti gli interessati. Elisabetta ---------- Forwarded message ---------- From: Ron Peled <peledron(a)post.tau.ac.il> Date: 24 November 2015 at 08:26 Subject: Post-doctoral positions in Probability and Statistical Mechanics at Tel Aviv University To: Dear colleagues, We would appreciate if you could bring the following announcement of post-doctoral positions at Tel Aviv University to the attention of relevant applicants. The School of Mathematical Sciences at Tel Aviv University invites applications for post-doctoral fellowships in Probability Theory and Statistical Mechanics. Our group includes Prof. Asaf Nachmias <http://www.math.tau.ac.il/~asafnach/>, Ron Peled <http://www.math.tau.ac.il/%7Epeledron/>, Boris Tsirelson <http://www.tau.ac.il/%7Etsirel/> and Sasha Sodin <http://www.math.tau.ac.il/~sashas1/> and keeps close ties with the analysis and combinatorics groups in the school. The position starts on October 1, 2016 and its duration is for 2 years with an option for renewal. Shorter durations or other starting dates can be considered. Applicants should complete their Ph.D. degree by September 30, 2016. Post-doctoral fellowships are research positions and do not carry teaching responsibilities. Candidates should e-mail the following application materials to Ms. Nurit Liberman at nuritl(a)tauex.tau.ac.il with cc to Prof. Ron Peled at peledron(a)post.tau.ac.il: - CV - List of publications - Research statement - Three letters of recommendation The deadline for applications is January 15, 2016. Applications received after the deadline will be considered if positions remain open. The positions are also announced on the MathJobs website: https://www.mathjobs.org/jobs/jobs/8089 Thank you very much, Ron

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seminario Claudio Macci in Bicocca
by Fabio Bellini 25 Nov '15

25 Nov '15

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PhD position in statistics of extremes -- TU Delft
by Alessandra Cipriani 24 Nov '15

24 Nov '15

With apologies for crossposting. -------- Original Message -------- Subject: PhD position in statistics of extremes From: Juan-Juan Cai <J.J.Cai(a)tudelft.nl> We are now recruiting a phd student for the project “Probabilistic forecasts of extreme weather utilizing advanced methods from extreme value theory”. Might you help to forward this to some candidates who might be interested? Thank you very much! For information about this position, see the end of the email or click here http://recruitment2.tudelft.nl/vacatures/index.php?lang=en&id=564779&type=a . Best, juan Duration of contract 4 years Salary scale €2125 to €2717 per month gross Job description The research project “Probabilistic forecasts of extreme weather utilizing advanced methods from extreme value theory” is funded by STW and is a collaboration between the statistics section, Delft University of Technology and the R&D Weather and Climate Modelling department of the Royal Netherlands Meteorological Institute (KNMI). There is an urgent need for statistically sound prediction methods for extreme weather, which often has a strongly disruptive societal impact. The PhD candidate will develop advanced statistical post-processing methods to estimate the probability of extreme weather, utilizing large meteorological data sets and extreme value theory, and will verify these newly developed methods. It is expected that the new statistical models will be used by several partners, including KNMI, to improve their short-term forecasts and warnings of extreme weather. The PhD candidate will work in close collaboration with colleagues from KNMI and communicate regularly with the partners on project progress. The student will be supervised by Prof. G. Jongbloed (TU Delft), Dr. J. Cai (TU Delft) and Dr. M.J. Schmeits (KNMI). The position includes modest teaching duties. The candidate is expected to finish his/her project with a PhD thesis and disseminate the results through publications in peer-reviewed journals and presentations at international conferences. Requirements The candidate possesses an MSc degree in mathematics (specialisation statistics or probability theory) or econometrics, preferably with a strong curriculum in extreme value theory. Some experience with handling and analysing large data sets would also be advantageous. (S)he must be highly motivated and interested in meteorology and have some experience in (statistical) programming (e.g. in R). In addition, we require very good communication skills and fluent spoken and written English. How to apply Applications should include a letter of application emphasising your specific interest in and qualifications for this position, a detailed CV, a publication list if applicable and contact details of at least two references. Additionally, a transcript of the course programmes attended and the grades obtained is required. Please e-mail your application by 15 December 2015 to Mrs. P.T.M. van den Bergh, Hr-eemcs(a)tudelft.nl . When applying for this position, please refer to vacancy number EWI2015-42. Information For more information about this position, please contact Dr. J. Cai ( J.J.Cai(a)tudelft.nl ) or Prof. G. Jongbloed ( G.Jongbloed(a)tudelft.nl ).

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Seminario di Probabilità - Università di Padova
by Paolo Dai Pra 23 Nov '15

23 Nov '15

Ho il piacere di invitarvi al seguente seminario, che si terrà Lunedì 30 Novembre, alle 16:30, in Aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Alessandro Zocca AFFILIATION: TU Eindhoven TITLE: Hitting times asymptotics for hard-core interaction on finite graphs and applications to random-access networks ABSTRACT: We consider the hard-core model on finite graphs, which is a stochastic model for particles that dynamically interact in a finite volume subject to hard-core constraints. This model can be used to describe the dynamics of random-access networks, where, due to wireless interference, active users prevent other nearby users from simultaneous activity. In order to gain insight in the network performance and starvation phenomena, we examine the behavior of the first hitting times between maximum-occupancy configurations and mixing times. For this purpose it is convenient to look at the same model in the framework of Friedlin-Wentzell Markov chains with Metropolis transition probabilities. In this context, the high-fugacity regime in which we are interested corresponds to the low-temperature limit and the maximum-occupancy configurations are the stable states of the corresponding energy landscape. We will illustrate how we extended the pathwise approach beyond the classical metastability setting in order to study, for instance, the tunneling time between stable states. For some specific graphs of interest, e.g. grid graphs and triangular grid graphs, we will show by means of a novel combinatorial method how the order-of magnitude of the tunneling time between the two stable states depends on the size of the lattice and on the boundary conditions. After having discussed some applications of our results to random-access networks, we will then focus on the Widom-Rowlison model on finite graphs which, besides providing another example where our generalized framework can be used, is also instrumental to study multi-channel random-access networks. (This talk is based on joint work with Sem C. Borst, Johan S.H. van Leewaarden and Francesca R. Nardi) Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it <mailto:daipra@math.unipd.it>

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Seminario Fabio Spizzichino a Macerata
by Roy Cerqueti 23 Nov '15

23 Nov '15

Si avvisa che il prof. Fabio Spizzichino terrà un seminario presso lUniversità di Macerata. Titolo: Funzioni di utilita' multiattributo: il caso "target-based" e il ruolo delle funzioni di aggregazione Data, ora e luogo: mercoledì 25/11, ore 11, aula E (Piazza Strambi). Saluti Roy Cerqueti

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Position as Quantitative Risk Analyst in Eon Global Commodities in Duesseldorf (fwd)
by Tiziano Vargiolu 20 Nov '15

20 Nov '15

---------- Forwarded message ---------- Date: Fri, 20 Nov 2015 14:50:06 +0000 From: "Sabino, Piergiacomo" <Piergiacomo.Sabino(a)eon.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Position as Quantitative Risk Analyst in Eon Global Commodities in Duesseldorf Dear Tiziano, I am writing to you in order to inform that there a position as ?Quantitative Risk Analyst? in my team in Eon Global Commodities in Duesseldorf in Germany. The team, called Quantitative Risk Modelling and Analytics, is part of the wider Quantitative Risk Model Department in the Risk Management area. Could you please forward this email? The link to the offer and job description are: http://karriere.eon.beesite.de/html/jobad14240.html Many thanks for your help, Kind regards, Piergiacomo

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