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Mini corso Prof. Luciano Campi
by Luca di persio 20 May '14

20 May '14

Il Prof. Luciano Campi[ London School of Economics ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 26 al 30 Maggio 2014 e terrà un mini corso dal titolo ” *A primer on stochastic control and portfolio optimization* “ *Abstract*: We will give a short introduction to stochastic control in continuous time with some applications to optimal investment problems. In particular, after giving some examples of control problem which are relevant in finance and insurance, we will turn to the dynamic programming principle (DPP), which is the main tool to obtain the Hamilton-Jacobi-Bellman (HJB) partial differential equation describing the local behaviour of the value function. Under some regularity conditions, solving this HJB pde gives a method to find (at least theoretically) the optimal solution. We will apply this approach to solve some problems of optimal investment, e.g. the classic Merton problem of optimal investment and consumption. articolato in tre lezioni che si terranno presso il Dipartimento stesso nei giorni di - Lunedì 26 Maggio [ Aula D, 14:30-16:30 ] - Martedì 27 [ Aula F, 14:30-16:30 ] - Mercoledì 28 Maggio [ Aula D , 14:30-16:30 ] 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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PhD position available in "Statistical Methods for Geosciences" - Politecnico di Milano Dept. of Mathematics
by Simone Vantini 19 May '14

19 May '14

*Position:*PhD position in "Statistical Methods for Geosciences" in Mathematical Models and Methods in Engineering. *Institution:*Department of Mathematics, Politecnico di Milano, Milan, Italy. *Duration:*3 years, beginning November 1, 2014. *Monthly net income:*1.200 euro. *Deadline for applications: *14:00 (GMT+1:00), May 23, 2014. *Details for applications: *please click here <http://www.dottorato.polimi.it/en/looking-for-a-phd/call-for-positions-and-…>. *Motivations and objectives of the research in this field:*Problems characterized by high-dimensional and complex data have become more and more common in engineering. Due to their complexity, in many situations these data contain redundant information since their underlying structure may involve only a reduced number of relevant features. This research aims at developing new methods for the detection of suitable subspaces where data (possibly spatially-dependent) can be represented, interpreted and analyzed. The interest extends also to the identification of suitable basis, which should capture the relevant geophysical features of the phenomenon under study and allow for computationally efficient statistical analysis. *Methods and techniques that will be developed and used to carry out the research:* The PhD program aims at training young researchers by providing them with a strong mathematical background and with ability to apply their knowledge to the solution of real-world problems in the areas of Statistics and Scientific Computing. *Educational objectives:*The PhD students carry their research both in the development of new mathematical methods and in the implementation and improvement of advanced techniques in connection with specific contexts and applications. Further information can be obtained by consulting the dedicated website http://www.mate.polimi.it/dottorato *Job opportunities:* Job opportunities are in companies and research agencies which are leaders in their respective fields. -- Simone Vantini MOX Laboratory for Modeling and Scientific Computing Dept. of Mathematics "F. Brioschi" - Politecnico di Milano Address: Piazza Leonardo da Vinci 32, 20133, Milan, Italy Phone: (+39) 02 2399 4554 Email: simone.vantini(a)polimi.it Website: http://mox.polimi.it/~vantini/

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PhD studentships in Statistics - University of Padova, Italy
by PhD Secretariat 19 May '14

19 May '14

PhD Studentships in Statistics Department of Statistical Sciences University of Padova, Italy Five PhD studentships are available at University of Padova for candidates interested in the area of Statistical Sciences. Eligibility ------------ The studentship competition is open to applicants of any age or citizenship, holding a 2nd cycle degree or a single cycle degree from an Italian university or an equivalent qualification from other countries of at least four years' duration. Admission is decided on the basis of qualifications only and does not require an entry examination. Award --------- The award will be for three years, subject to satisfactory progress, at the following rate: annual grant of euros 13.638,47 with a start date of 1 November 2014. How to apply ------------------- The call will be published at the beginning of June at the page http://www.unipd.it/en/research/doctoral-degrees-phd-programmes (see Calls and Admissions) with deadline at the end of June. Application has to be made following carefully the instructions therein. Further information ---------------------------- See http://www.stat.unipd.it/fare-ricerca/ammissione or contact phd(a)stat.unipd.it Kindest regards, Monica Chiogna PhD Course Coordinator

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Workshop on "Dependence Models and Risk" - 27 maggio 2014, Bolzano
by Durante Fabrizio (P) 19 May '14

19 May '14

A tutti gli iscritti alla lista RANDOM Il workshop su "Dependence Models and Risk" si terrà a Bolzano martedì 27 maggio 2014. Tutti gli interessati sono invitati a partecipare. Per maggiori informazioni, si veda: http://pro1.unibz.it/projects/dependence_models/index.html Grazie in anticipo per l'interesse Fabrizio Durante

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Fwd: Postdoctoral positions in Buenos Aires - Argentina
by c.costantini＠unich.it 18 May '14

18 May '14

Ricevo e volentieri inoltro. Cristina Costantini ----- Messaggio inoltrato da leorolla(a)dm.uba.ar ----- Data: Fri, 16 May 2014 01:36:00 -0300 Da: Leonardo Rolla <leorolla(a)dm.uba.ar> Oggetto: Postdoctoral positions in Buenos Aires - Argentina A: "Leonardo T. Rolla" <leorolla(a)dm.uba.ar> Dear colleagues, I would much appreciate if you could help me broadcast the announcement below. Sorry in advance for any duplicates. Best regards, Leonardo T Rolla Universidad de Buenos Aires ---------- Forwarded message ---------- Date: Wed, 14 May 2014 21:57:41 -0300 (ART) From: Probability Buenos Aires <probab(a)dm.uba.ar> To: Probability Buenos Aires <probab(a)dm.uba.ar> Subject: Postdoctoral positions in Buenos Aires - Argentina Applications are invited for post-doctoral positions in Probability and related areas. Please feel free to forward this message to other colleagues and potential candidates. The dealine is May 30. The positions last two years and have a monthly stipend of 8682 pesos, to start in April 2015. Applicants should be write to probab(a)dm.uba.arattaching: - CV - Motivation letter - Short research statement Two short recommendation letters should be sent directly to the same address before June 02. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Our best regards, Buenos Aires Probability Group ----- Fine messaggio inoltrato. -----

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Fwd: announcement (fwd)
by Tiziano Vargiolu 17 May '14

17 May '14

(apologies for cross-posting) Tiziano -------------------------------------------------------------------------- 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 -------------------------------------------------------------------------- ----- Forwarded message from runggal(a)math.unipd.it ----- Date: Sat, 17 May 2014 11:04:09 +0200 From: runggal(a)math.unipd.it Subject: announcement To: vargiolu(a)math.unipd.it Caro Tiziano, potresti per favore diffondere l'allegato annuncio del convegno "SET OPTIMIZATION meets FINANCE, Second International Conference on Set-Valued Variational Analysis and Optimization with Applications in Finance" ? La deadline per iscrizione ed abstracts e' il 30 maggio. Grazie, Wolfgang

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Fwd: Seminario 22 Maggio 2014, Buffoni
by Sara Pasquali 16 May '14

16 May '14

Buongiorno. mi permetto di inoltrarvi un annuncio di seminario organizzato dal CNR-ISMAR di Santa Teresa (Pozzuolo di Lerici - La Spezia). Saluti Sara Pasquali -------- Messaggio originale -------- Buongiorno, vi informo che giovedì 22 Maggio 2014 alle ore 10.30 il Dr. Giuseppe Buffoni, ex ENEA La Spezia, attualmente associato CNR - IMATI di Milano, terrà un seminario, presso la sala conferenze di Santa Teresa (Pozzuolo di Lerici - La Spezia), dal titolo "decomposizione di un campo vettoriale piano in componenti irrotazionale (campo gradiente) e rotazionale (campo a divergenza nulla)". Il seminario verterà sui seguenti argomenti principali: - il problema, dominio finito e infinito - dominio finito: uno sguardo alla letteratura - formulazione di un B.v.p.: proprieta', esistenza di soluzioni, spettro - approssimazione numerica: proprieta' del problema discreto - metodi numerici: SVD, minimo di un funzionale di Tichonov, gradienti coniugati - risultati di una decomposizione - situazioni che influenzano la decomposizione:zeri del campo, dimensioni del dominio, livello di stocasticita' del campo - osservazioni conclusive La locandina e' in allegato in formato PDF, mentre il calendario aggiornato dei seminari e' disponibile alla pagina http://seminari.sp.ismar.cnr.it Buona giornata, Marco Bianucci _______________________________________________ Marco Bianucci Istituto di Scienze Marine, ISMAR - CNR Forte Santa Teresa Pozzuolo di Lerici 19032 Lerici, La Spezia(IT) Ph. +39 0187 978302 Fax.+39 0187 978585 mailto:marco.bianucci@cnr.it --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com -- ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Sara Pasquali CNR-IMATI Via Bassini, 15 I-20133 MILANO - ITALY =========== Tel. +39 02 23699525 Fax. +39 02 23699538 e-mail: sara(a)mi.imati.cnr.it ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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Fwd: Postdoctoral positions in Buenos Aires - Argentina
by Francesco Caravenna 16 May '14

16 May '14

Ricevo e inoltro. Da: Leonardo Rolla <leorolla(a)dm.uba.ar> Oggetto: Postdoctoral positions in Buenos Aires - Argentina Data: 16 maggio 2014 06:36:00 GMT+02:00 A: "Leonardo T. Rolla" <leorolla(a)dm.uba.ar> Dear colleagues, I would much appreciate if you could help me broadcast the announcement below. Sorry in advance for any duplicates. Best regards, Leonardo T Rolla Universidad de Buenos Aires ---------- Forwarded message ---------- Date: Wed, 14 May 2014 21:57:41 -0300 (ART) From: Probability Buenos Aires <probab(a)dm.uba.ar> To: Probability Buenos Aires <probab(a)dm.uba.ar> Subject: Postdoctoral positions in Buenos Aires - Argentina Applications are invited for post-doctoral positions in Probability and related areas. Please feel free to forward this message to other colleagues and potential candidates. The dealine is May 30. The positions last two years and have a monthly stipend of 8682 pesos, to start in April 2015. Applicants should be write to probab(a)dm.uba.ar attaching: - CV - Motivation letter - Short research statement Two short recommendation letters should be sent directly to the same address before June 02. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Our best regards, Buenos Aires Probability Group

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avviso seminario Christian Brownlees
by Lea Petrella 15 May '14

15 May '14

Christian Brownlees Department of Economics and Business, Universita' Pompeu Fabra terra' un seminario dal titolo: Nets: Network Estimation for Time Series il giorno 20 maggio 2014 alle ore 14.30 presso l'aula Fanfani, quinto piano del Dipartimento MEMOTEF, Facolta' di Economia, Sapienza Universita' di Roma, Viale del Castro Laurenziano 9. Tutti gli interessati sono invitati a partecipare Segue abstract in calce Lea Petrella Abstract: This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non--zero long run partial correlations. We then introduce a two step LASSO procedure, called NETS, to estimate high--dimensional sparse Long Run Partial Correlation networks. This approach is based on a VAR approximation of the process and allows to decompose the long run linkages into the contribution of the dynamic and contemporaneous dependence relations of the system. The large sample properties of the estimator are analysed and we establish conditions for consistent selection and estimation of the non-zero long run partial correlations. The methodology is illustrated with an application to a panel of U.S. bluechips -- **************************************************** Prof. Lea Petrella Memotef Department Sapienza University of Rome http://geostasto.eco.uniroma1.it/utenti/petrella *****************************************************

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Avviso di seminari :: (Steorts + Shalizi)@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 15 May '14

15 May '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i ----------------------------------------------------------------------------- Martedì 20 Maggio, ore 14:30 ----------------------------------------------------------------------------- Sala 34 (quarto piano) Dipartimento di Scienze Statistiche, Sapienza REBECCA STEORTS (Dep. of Statistics, Carnegie Mellon University, Pittsburgh) terrà un seminario dal titolo (abstract allegato) WILL THE REAL STEVE FIENBERG PLEASE STAND UP: A BAYESIAN APPROACH TO GRAPHICAL RECORD LINKAGE ----------------------------------------------------------------------------- Giovedì 22 Maggio, ore 14:30 ----------------------------------------------------------------------------- Sala 34 (quarto piano) Dipartimento di Scienze Statistiche, Sapienza COSMA SHALIZI (Dep. of Statistics, Carnegie Mellon University, Pittsburgh) terrà un seminario dal titolo DYNAMICS OF BAYESIAN UPDATING WITH DEPENDENT DATA AND MISSPECIFIED MODELS ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis

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