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Open Associate professor in Stochastic Analysis (fwd)
by Tiziano Vargiolu 30 Sep '14

30 Sep '14

---------- Forwarded message ---------- Date: Tue, 30 Sep 2014 10:07:12 +0000 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Giulia Di Nunno <giulian(a)math.uio.no> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Open Associate professor in Stochastic Analysis Dear All, could you please help distribute this adv in your list of contacts? Thank you in advance Best wishes Giulia ??????????? An associate professor position in Stochastic Analysis is now open at the Department of Mathematics, University of Oslo: http://uio.easycruit.com/vacancy/1262181/64285?iso=no Please bring this to the attention of possible candidates. Thank you in advance for your help in the distribution. Best regards, GdN ************* Giulia Di Nunno Professor, PhD CMA and Department of Mathematics University of Oslo

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Semester: Information in Finance & Insurance
by c.ceci＠unich.it 30 Sep '14

30 Sep '14

Cari colleghi, al link: http://www.informationinfinanceandinsurance.org/themes/partial-information-… trovate tutte le informazioni relative al Semestre Information in Finance & Insurance. I primi incontri dal 3 al 10 ottobre, organizzati da Caroline Hillairet (Ecole Polytechnique) and Monique Jeanblanc (Evry University), sul tema Partial Information/Filtering si svolgeranno presso l'Institut Henri Poincaré. Gli altri temi del Semestre sono: Insider information / Enlargement of Filtrations Strategic Aspect of Information in Games and Financial Markets Kyle-Back Equilibrium models Asymmetric Information and Insurance. Cari saluti Claudia Ceci ****************************** Prof. Claudia Ceci Dip. di Economia University "G. d'Annunzio" V.le Pindaro 42 65127, Pescara, ITALY c.ceci(a)unich.it *********************************

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Mini corso Yuri Kondratiev [ Statistical dynamics for interaction particle systems and applications - DipInf Verona ]
by Luca di persio 28 Sep '14

28 Sep '14

Il Prof. Yuri Kondratiev [Fakultät für Mathematik Universität Bielefeld ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 27 al 31 Ottobre 2014 e terrà il seguente mini corso [8 ore] Statistical dynamics for interaction particle systems articolato in tre lezioni, che si terranno nell'edificio Ca' Vignal 2 - Aula M, nei giorni - Lunedì 27 Ottobre [ 13:30-16:30 ] - Mercoledì 29 Ottobre [ 15:30-18:30 ] - Giovedì 30 Ottobre [ 13:30-15:30 ] con il seguente programma *Abstract* We will discuss an approach to modeling of real world phenomena by interacting particle systems in the continuum. In many cases, evolutions of considered systems may be described as Markov stochastic processes. Related statistical dynamics are evolutions of macroscopic states associated with the forward Kolmogorov (or Fokker-Planck) equations for these Markov processes. We will study statistical dynamics in terms of corresponding hierarchical chains of evolution equations for correlation functions. These chains admit mesoscopic scalings that leads to kinetic evolution equations for densities of considered systems. Particular examples which will be discussed include *models from mathematical physics, ecology, cell biology and socio-economic models*. Between other aspects these examples illustrate such notions as dynamical phase transitions, non-local evolution equations, front propagation, self-aggregation, effects of environment fluctuations etc. *Tentative program* 1. Configuration spaces 2. Harmonic analysis on configuration spaces 3. Statistical Markov evolutions and hierarchical chains 4. Birth-and-death Markov processes on configuration spaces 5. Conservative stochastic dynamics 6. Mesoscopic scalings and kinetic equations 7. Multicomponent systems 8. Applications (a) Mathematical physics (b) Ecological models (c) Cancer modeling (d) Social models Per informazioni contattare: luca.dipersio(a)univr.it __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Seminario del prof. Enzo Orsingher
by Massimo Campanino 26 Sep '14

26 Sep '14

Il giorno venerdì 24 ottobre alle ore 15 nell'Aula Seminario 2 del Dipartimento di Matematica dell'Università di Bologna in piazza Porta S. Donato 5 il prof. Enzo Orsingher della Sapienza Università di Roma terrà un seminario dal titolo Random Flights related to the Euler-Poisson-Darboux Equation Abstract: We first present an overview on random motions at finite velocity on the line an in the space. We study different forms of random motions, the probability distributions of which are solutions of the famous Euler-Poisson-Darboux equations which emerges also in the accelerated telegraph process. Finally, we present some fractional extensions of the finite-velocity random motions. References: 1) Fractional Klein-Gordon equations and related stochastic processes (2014) (with R. Garra and F. Polito) Journal of Statistical Physics, Vol. 155, 777-809. 2) Random flights governed by Klein-Gordon.type partial differential equations (2014) (with R. Garra). Stochastic Processes and their Appllications, Vol. 124, 2171-2187. 3) Flying randomly in R^d with Dirichlet displacements (2012) (with A. De Gregorio). Stochastic Processes and their Appllications, Vol. 122, 676-713. 4) Random flights in higher spaces (with A. De Gregorio) (2007). Journal of Theoretical Probability, Vol. 20, 769-806.

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Fwd: Open position for a Junior Professorship for Mathematical 4D Microscope Modeling, Image Analysis and Data Processing, JMU Wuerzburg, Germany (fwd)
by Lucia Caramellino 26 Sep '14

26 Sep '14

---------- Forwarded message ---------- From: Petra Markert-Autsch <petra.markert-autsch(a)mathematik.uni-wuerzburg.de > Date: Fri, Sep 26, 2014 at 9:40 AM Subject: Open position for a Junior Professorship for Mathematical 4D Microscope Modeling, Image Analysis and Data Processing, JMU Wuerzburg, Germany To: Alfio Borzi <alfio.borzi(a)mathematik.uni-wuerzburg.de> The Chair of Scientific Computing at the University of Wuerzburg, Germany would like to announce a *Junior Professorship for Mathematical 4D Microscope Modeling, Image Analysis and Data Processing *as from 01.04.2015 Wanted is a young scientist working in the field of applied mathematics with experience in the field of mathematical modeling, stochastic analysis, data mining, and mathematical image processing. This personality should have an excellent profile in teaching and research with internationally visible research achievements. This professorship will contribute to the research and development of interdisciplinary research between mathematics and biology, physics, computer science, and medicine and the networking of these areas while also contributing to the scientific developments within the Chair of Scientific Computing, Mathematik IX. The candidate is required to have successfully completed her/his graduate studies and received an excellent doctoral degree. Post-doc experience is desired. A detailled description can be found under the following links: http://www.mathematik.uni-wuerzburg.de/pdf/W1JuniorMathematik_1409.pdf http://www.mathematik.uni-wuerzburg.de/pdf/W1JuniorMathematik_e_1409.pdf Best regards, Alfio Borzi -- Petra Markert-Autsch _________________________________________________________________ Sekretariat Lehrstuhl für Mathematik IX (Wissenschaftliches Rechnen) Secretary Chair of Mathematics IX (Scientific Computing) Prof. Dr. Alfio Borzi Universität Würzburg Campus Hubland Nord Emil-Fischer-Straße 30 97074 Würzburg, Germany Tel. (0931) 31-85362 Fax: (0931) 31-81491 petra.markert-autsch(a)mathematik.uni-wuerzburg.de www.mathematik.uni-wuerzburg.de/lmath09.html Lehrstuhl IX SciComp http://www9.mathematik.uni-wuerzburg.de/ Bürozeiten / Office Times: Mo.-Do. 8°° - 13°° Uhr _________________________________________________________________

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Variazione data seminario :: Ratanov@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 26 Sep '14

26 Sep '14

…scusandomi per il mail-bombing, comunico che il seminario in oggetto si terrà venerdì 3 ottobre anziché giovedì 2. (Ri-)seguono dettagli… Saluti --P ----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 3 Ottobre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma NIKITA RATANOV (Universidad del Rosario, Bogotà, Colombia) terrà un seminario dal titolo DOUBLE TELEGRAPH PROCESSES AND FINANCIAL MARKET MODELS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm --- Summary The traditional versions of jump-telegraph market models are based on a Poisson process with deterministic alternating jump intensities. An alternating doubly stochastic Poisson process with random intensities of jumps is proposed as a new base. More precisely, I assume the switching intensities of the Poisson process to follow a telegraph process. The new telegraph process with underlying doubly stochastic Poisson process is studied. This corresponds to model which is subject to external influences changing the internal market situation. Martingale measures for this type of processes are completely described by using Girsanov’s transformation.

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Mini corso Jan Swart [ Interacting Particle Systems with Applications in Finance - DipInf Verona ]
by Luca di persio 25 Sep '14

25 Sep '14

Il Prof. Jan Swart [ Institute of Information Theory and Automation - Czech Republic ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 20 al 24 Ottobre 2014 e terrà un mini corso [8 ore] intitolato ” *Interacting Particle Systems with Applications in Finance* “ ed articolato in tre lezioni, che si terranno nell'edificio Ca' Vignal 2 - Aula M, nei giorni - Lunedì 20 Ottobre [ 13:30-16:30 ] - Mercoledì 22 Ottobre [ 15:30-18:30 ] - Giovedì 24 Ottobre [ 13:30-15:30 ] con il seguente programma Interacting particle systems are mathematical models for systems consisting of a large number of components that interact with each other in a random way. While the behavior of the individual components is governed by simple rules, the behavior of the whole system can be quite complicated due to the interaction. Often, one observes a phase transition between a regime of weak interaction where the components behave more or less as if they were independent and a regime of strong interaction where collective phenomena such as multiple stable states occur. Particle systems have been used in finance to model phenomena such as collective decision making or contagion of credit risk, and also in fields like mathematical physics, population biology, and sociology to model lots of other phenomena. In these lectures, I will demonstrate on the basis of examples some of the basic mathematical tools for analyzing interacting particle systems. *On Monday*, we will look at a number of different interacting particle systems that will serve as motivating examples during the lectures, such as stochastic Ising and Potts models, (biased) voter models, systems of branching and coalescing particles, and more. We will analyze the mean-field versions of these models and use numerical simulations to look at phenomena for spatial models like multiple invariant laws, first and second order phase transitions and critical exponents. We will make a start with the rigorous theory by looking at graphical representations and use these to give sufficient conditions for uniqueness of the invariant law. *On Wednesday*, the main focus will be on the regime where multiple invariant laws occur. The main techniques on this day are duality and comparison with oriented percolation, which are especially suitable for variations of the voter model and branching and coalescing particle systems. *On Thursday*, we will look at the Ising and Potts models to which the techiques of Wednesday do not apply but which are reversible with Gibbs invariant law. Through the random cluster representation, percolation again appears as the unifying principle behind collective behavior. Per informazioni contattare: luca.dipersio@univr <luca.dipersio(a)univr.it> __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Eni Award 2015 - Premio Debutto nella Ricerca (fwd)
by Tiziano Vargiolu 24 Sep '14

24 Sep '14

---------- Forwarded message ---------- Date: Wed, 24 Sep 2014 09:48:53 +0200 (CEST) From: Lucia Caramellino <caramell(a)axp.mat.uniroma2.it> To: Tiziano Vargiolu <vargiolu(a)galileo.math.unipd.it> Subject: Eni Award 2015 - Premio Debutto nella Ricerca (fwd) ---------- Forwarded message ---------- Date: Tue, 23 Sep 2014 17:57:15 +0200 From: Lorenzo Messaggi <lorenzo.messaggi(a)feem.it> To: dida(a)axp.mat.uniroma2.it Subject: Eni Award 2015 - Premio Debutto nella Ricerca Spettabile Segreteria, <?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /> vi contatto per segnalare la recente pubblicazione del bando del Premio Debutto nella Ricerca, in occasione dell?edizione 2015 di Eni Award. Possono competere al Premio Debutto nella Ricerca giovani ricercatori di et? non superiore ai 30 anni (nati dunque a partire dal 1984) che abbiano conseguito il dottorato in un ateneo italiano, discutendo la propria tesi nel corso del 2013 o del 2014. Tali tesi devono fare riferimento alle due principali aree di interesse di Eni Award, ovvero energia e ambiente. Per ulteriori informazioni, i bandi dell'Edizione 2015 sono disponibili online al seguente indirizzo: http://www.eni.com/eni-award/ita/bandi.shtml Nella speranza che vogliate cortesemente divulgare e dare visibilit? all'iniziativa - nelle forme che riterrete opportune - ai docenti e allievi presenti nella vostra struttura, allego a questa comunicazione una locandina stampabile del Premio. Vi ringrazio anticipatamente per l'attenzione e la collaborazione e rimango a vostra disposizione per ulteriori informazioni. Cordiali saluti, Lorenzo Messaggi -- Lorenzo Messaggi THE ENI AWARD SCIENTIFIC SECRETARIAT Fondazione Eni Enrico Mattei C.so Magenta, 63 20123 Milano Tel: +39-02.52036934 switchboard +39-02.52036964 Fax: +39-02.48197724 e-mail: lorenzo.messaggi(a)feem.it

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Avviso di seminario :: Ratanov@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 24 Sep '14

24 Sep '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 2 Ottobre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma NIKITA RATANOV (Universidad del Rosario, Bogotà, Colombia) terrà un seminario dal titolo DOUBLE TELEGRAPH PROCESSES AND FINANCIAL MARKET MODELS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Summary The traditional versions of jump-telegraph market models are based on a Poisson process with deterministic alternating jump intensities. An alternating doubly stochastic Poisson process with random intensities of jumps is proposed as a new base. More precisely, I assume the switching intensities of the Poisson process to follow a telegraph process. The new telegraph process with underlying doubly stochastic Poisson process is studied. This corresponds to model which is subject to external influences changing the internal market situation. Martingale measures for this type of processes are completely described by using Girsanov’s transformation.

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XVI Workshop on Quantitative Finance - Parma January 29-30, 2015
by mariaelvira.mancino＠unifi.it 23 Sep '14

23 Sep '14

XVI WORKSHOP on QUANTITATIVE FINANCE *January 29-30,2015 * *Venue:* Department of Economics University of Parma Via J.F. Kennedy, 6 43125 Parma Italy The Workshop is the sixteenth edition of a successful initiative whose aim is to set a common forum of ideas and discussions among researchers and practitioners interested in Finance. It provides an excellent platform to present and discuss recent advances in mathematical modelling and numerical methods for quantitative finance. The Workshop welcomes contributions from Mathematical Finance, Quantitative Risk Management,Financial Economics, Computational Finance, Financial Econometrics, Statistics of Financial Markets, Corporate Finance. As in the previous editions of the Workshop, we wish to particularly encourage an international participation of young researchers; both theoretical and applied contributions are welcome. There are no registration fees. *Contacts: * Marzia De Donno (xviwqf(a)gmail.com <mailto:xviwqf@gmail.com>), Phone: +39-0521-03-2481, Fax +39-0521-03-2385 *Scientific Committee:* Fabio Bellini (University of Milano Bicocca) - Andrea Consiglio (University of Palermo) - Gianluca Fusai (University of Piemonte Orientale) - Friedrich Hubalek (Vienna University of Technology) - Elisa Luciano (University of Torino) - Maria Elvira Mancino (University of Firenze) - Paola Modesti (University of Parma) - Massimo Morini (Banca IMI) - Mustafa Pinar (Bilkent University) - Simona Sanfelici (University of Parma) - Sergio Scarlatti (University of Roma Tor Vergata) - Carlo Sgarra (Polytechnic of Milano) - Peter Tankov (University Paris-Diderot) - Josef Teichmann (ETH Zurich) - Tiziano Vargiolu (University of Padova) *Local Committee:* Marzia De Donno, Gino Favero, Paola Modesti, Annamaria Olivieri, Simona Sanfelici, Federica Trani *Deadline for paper submission:*November 9^th , 2014. *Deadline for registration:*January 6^th , 2015. For more information, visit the Workshop website: www.qfinancexvi.altervista.org <http://www.qfinancexvi.altervista.org> We are looking forward to meeting you in Parma! On behalf of the Local Committee, Simona Sanfelici

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