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PhD in Statistics & Computer Science, Università Bocconi
by Antonio Lijoi 26 Jan '20

26 Jan '20

Cari tutti, ricordo la scadenza del *3 febbraio* per la presentazione delle domande di ammissione al dottorato di ricerca in Statistics and Computer Science presso l'Università Bocconi (a.a. 2020-2021). Vi sarei grato se voleste portare all'attenzione dei vostri studenti interessati la "call for applications", riportata di seguito. Saluti, AL **************************************************** PhD in Statistics and Computer Science Call for applications for PhD student positions **************************************************** The Bocconi PhD School provides 7 scholarships for the PhD in Statistics and Computer Science, and a position with tuition waiver. * Scholarship amount * 20.280 euro per annum in the 1st and 2nd year 15.343 euro per annum in the 3rd and 4th year Further funding is available through teaching and research assistantship. Visit www.unibocconi.eu/admissionphd<http://www.unibocconi.eu/admissionphd> for detailed information. ** Applications are due by 3 February, 2020 ** Within the PhD School at Bocconi University, the four-year PhD program in Statistics and Computer Science is a high profile and rigorous doctoral program that develops strong mathematical, statistical, computational and programming backgrounds. The curriculum is structured into two tracks: Statistics and Computer science. The first year includes courses that are compulsory for all enrolled PhD students. The second-year features track-specific and elective courses that provide students with a more specialized competence and focus on topics that may be the object of the doctoral dissertation. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi’s PhD School, as well as research experience abroad, are also encouraged. The Faculty includes internationally acknowledged top researchers in Statistics, Computer Science, Decision Theory, Statistical Physics and Machine Learning. The program also benefits from contributions of authoritative visiting professors who deliver short monographic courses. Highly qualified and motivated students with M.Sc. degrees in in Statistics, Mathematics, Computer Science, Economics, Physics, Engineering and related areas, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. For further information about the PhD program in Statistics and Computer Science at Bocconi, visit www.unibocconi.eu/phdstatscompscience<http://www.unibocconi.eu/phdstatscompscience> and feel free to contact: Antonio Lijoi, PhD program director (antonio.lijoi(a)unibocconi.it<mailto:antonio.lijoi@unibocconi.it>) Angela Baldassarre, PhD administrative assistant (angela.baldassarre(a)unibocconi.it<mailto:angela.baldassarre@unibocconi.it>) Antonio Lijoi Director, PhD program in Statistics and Computer Science Bocconi University http://mypage.unibocconi.it/antoniolijoi

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2020 Bocconi Summer School in Advanced Statistics and Probability
by Giacomo Zanella 23 Jan '20

23 Jan '20

Dear all, we are happy to announce the 2020 edition of the Bocconi Summer School in Advanced Statistics and Probability on the topic of "Reproducibility in Data Science". The main instructor of the course will be Chiara Sabatti, more information below. Please feel free to forward to any potentially interested student. Best regards, Giacomo Zanella ------------------------------------------- The Bocconi Summer School in Advanced Statistics and Probability, on "Reproducibility in Data Science", will take place on July 6-17, 2020, at Villa del Grumello, Lake of Como, Italy. The 2020 Edition of the school is organized by Bocconi University, Milan, in collaboration with the University of Oxford and Imperial College London. Instructors: Chiara Sabatti (Stanford University, USA) Tutorials Stephen Bates (Stanford University, USA) Matteo Sesia (Stanford University, USA) The 2-weeks summer school is open to all interested researchers, but is especially designed for PhD students and possibly briliant master graduates/final year students interested in doctoral studies. The deadline for applications is April 7, 2020. For more information: http://bocconi2020.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it, or sonia.petrone(a)unibocconi.it --------------

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Topics in Game Theory_Prof. Renault (TSE) at PhD EF Tor Vergata
by Davide Erminio Pirino 23 Jan '20

23 Jan '20

Dear all, on behalf of Professor Attar I am pleased to inform you that the PhD program in Economics and Finance <https://economia.uniroma2.it/phd/ef/> of the University of Rome Tor Vergata will host a course in “Topics in Game Theory”, taught by Professor Jérôme <https://www.tse-fr.eu/people/jerome-renault> <https://www.tse-fr.eu/people/jerome-renault>Renault <https://www.tse-fr.eu/people/jerome-renault> (Toulouse School of Economics). The course will be held next February. Professor Jérôme Renault is one of the best renowned mathematician of Game Theory of his generation. Lectures are scheduled in room A (1st floor, Bldg B) of the School of Economics <http://en.uniroma2.it/academics/schools-and-departments/school-of-economics/> as follows: - Mon. February 3, at 2.00 – 5.00 pm; - Tue. February 4, 2.00 – 4.00 pm; - Wed. February 5, 2.00-4.00pm; - Thu. February 6, 10.00 am – 1.00 pm; - Fri. February 7, 9.00 -11.00 am. Please find the Syllabus enclosed. Everybody is welcome to attend. Feel free to spread this information to potentially interested students and researchers. Best regards DP

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Workshop on Stochastic Analysis
by Stefania Ugolini 23 Jan '20

23 Jan '20

Geometry and Algebra in Stochastic Dynamics Department of Mathematics, Milano, 27-29 January 2020 http://users.mat.unimi.it/users/ugolini/workshop2020/ <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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Probability Seminar: Alessandra Cipriani (TU Delft) [Padova 31/01, 11.30]
by alessandra bianchi 21 Jan '20

21 Jan '20

Dear Colleagues, we would like to invite you to the following Probability seminar that will take place at the Department of Mathematics of Padova, on January 31. ________________________________________________________ Speaker: Alessandra Cipriani (TU Delft) Title: Dynamical fitness models: evidence of universality classes for preferential attachment 31 JANUARY (Friday), 11:30; ROOM 1BC45, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova Abstract: In this talk we study different variations of a particular class of random graphs called preferential attachment models with fitness. These are dynamic graphs in which, at every time step, a new node attaches itself to an older one with probability proportional to the degree and a random factor associated to the node, called the fitness. Motivated by learning mechanisms of real-life networks, we assume the fitness to be a Moving Average process MA(q) with positive increments. We study different properties of such models, for example the degree distribution, the attachment probability and the phenomenon of Bose-Einstein condensation. Finally we provide evidence that, tuning the parameters of the fitness process, we fall into two universality classes represented by the well-known Albert-Barabàsi model and Bianconi-Barabàsi model. This implies the robustness of heavy tails in the degree distribution under random perturbations of the attachment rule. All of you are very welcome. Best regards, Alessandra Bianchi -- 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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BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures (fwd)
by Tiziano Vargiolu 21 Jan '20

21 Jan '20

---------- Forwarded message ---------- Date: Tue, 21 Jan 2020 12:27:19 +0000 From: Office Bachelier Finance Society <office(a)bachelierfinance.org> Subject: BFS World Congress in Hong Kong 2020: Special Issue of Mathematical Finance and Reconfirmation of Lectures 12th World Congress of the Bachelier Finance Society SPECIAL ISSUE OF MATHEMATICAL FINANCE AND RECONFIRMATION OF LECTURES Dear Tiziano Vargiolu We are pleased to announce that a special issue of Mathematical Finance has been arranged for papers presented at the BFS World Congress in Hong Kong. Details will be available through the website soon. We are also delighted to report that Robert Merton has reconfirmed his delivery of the Louis Bachelier Lecture and all the 9 plenary speakers have reconfirmed their participation at the Congress. The deadline, January 31, 2020, for submitting abstracts to the 2020 Bachelier World Congress is approaching fast (http://www1.se.cuhk.edu.hk/~bfs2020/). Finally, the reservation of the Conference Hotel at discounted rates is open (http://www1.se.cuhk.edu.hk/~bfs2020/accommodation/accommodation.html). We are looking forward to seeing you at this unique event in Hong Kong. Nan Chen, Duan Li, Xunyu Zhou Organizers of the 2020 BFS World Congress Hong Kong Copyright ? 2020 Bachelier Finance Society, All rights reserved. You are receiving this email because you opted in via our website. Our mailing address is: Bachelier Finance SocietyRaemistrasse 101 Z?rich 8092 Switzerland Add us to your address book Want to change how you receive these emails? You can update your preferences or unsubscribe from this list.

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Seminario all'IAC
by torrisi＠iac.rm.cnr.it 21 Jan '20

21 Jan '20

Si comunica che il 30 gennaio 2020 alle ore 14.00 presso l'Aula Riunioni dell'Istituto per le Applicazioni del Calcolo (sede di Roma) si terrà il seguente seminario: Relatore: Professor Alberto Lanconelli (Universita' di Bologna) Titolo: Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Ito SDEs Abstract: We investigate the regularity of the law of Wong-Zakai-type approximations for Ito stochastic differential equations. These approximations solve random differential equations where the diffusion coefficient is Wick-multiplied by the smoothed white noise. Using a criterion based on the Malliavin calculus we establish absolute continuity and a Fokker-Planck-type equation solved in the distributional sense by the density. The parabolic smoothing effect typical of the solutions of Ito equations is lacking in this approximated framework; therefore, in order to prove absolute continuity, the initial condition of the random differential equation needs to possess a density itself. -- *Giovanni Luca Torrisi Consiglio Nazionale delle Ricerche, Rome, Italy Homepage: http://www.iac.rm.cnr.it/~torrisi/* * *

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Seminario di Francesco Caravenna a Roma 1
by Faggionato, Alessandra 21 Jan '20

21 Jan '20

Buongiorno Lunedì 27.01 alle 16:00 Francesco Caravenna (Università di Milano-Bicocca) terrà il seguente seminario in Sala di Consiglio del Dipartimento di Matematica La Sapienza. Title: On the two-dimensional KPZ and Stochastic Heat Equation Abstract: We consider the Kardar-Parisi-Zhang equation (KPZ) and the multiplicative Stochastic Heat Equation (SHE) in two space dimensions, driven by with space-time white noise. These singular PDEs are "critical" and lack a solution theory, so it is standard to consider regularized versions of these equations - e.g. convolving the noise with a smooth mollifier - and to investigate the behavior of the regularized solutions when the regularization is removed. Based on joint works with Rongfeng Sun and Nikos Zygouras, we show that these regularized solutions undergo a phase transition as the noise strength is varied on a logarithmic scale, with an explicit critical point. In the sub-critical regime, the regularized solutions of both KPZ and SHE exhibit so-called Edwards-Wilkinson fluctuations, i.e. they converge to the solution of the *additive* Stochastic Heat Equation (after centering and rescaling), with a non-trivial constant on the noise. We finally discuss the critical regime, where many questions are open. Grazie Saluti Alessandra -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Complexity72h Call for Tutors
by Mateusz Wilinski 19 Jan '20

19 Jan '20

Dear colleagues, We are glad to announce the *third edition of the Complexity72h workshop*, which will take place at LUISS, Rome, Italy, on *July 1-4 2020*, as pre-event of the *NetSci 2020* Conference. Complexity72h is an interdisciplinary workshop whose aim is to bring together young researchers from different fields of complex systems and complex networks. Participants form teams and carry out projects in a three days' time, i.e. 72 hours. The goal of each team is to upload on the arXiv a report of their work by the end of the event. The previous two editions have been a success: 11 out of 11 projects have become arXiv preprints and new collaborations have been born. Each team will have a tutor that: 1. designs and proposes the project; 2. supervises its execution; 3. provides the necessary knowledge and data. *Do you want to become a Complexity72h tutor?* We are opening a *call for tutors* targeting researchers in complex systems and networks. We are looking for people who wish to propose a stimulating project to a team of highly motivated students and postdocs, and have the stamina to carry it out in 72 hours. But is it really possible to do it in just 72 hours? To succeed, we need: 1. A motivated and multidisciplinary team of resilient researchers; 2. A comfortable research environment and supportive staff; 3. A solid and feasible research project and a tutor who can make it happen. We provide the first two. It is up to you to provide the last point. *Send your project proposal (title and abstract) and short CV to: complexity72h [at] gmail [dot] com* , or get in touch with us as soon as possible if you have any questions. *The call for tutors deadline is February 7th, 2020.* Looking forward to your ideas. Complexity72h Organizers

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7th Workshop on Stochastic Methods in Game Theory
by Marco Scarsini 17 Jan '20

17 Jan '20

The 7th Workshop on Stochastic Methods in Game Theory will take place in Erice July 1-8, 2020. https://sites.google.com/view/erice-smgt2020/the-workshop The workshop will include some tutorials that could be particularly useful to graduate students and young researchers. Some slots are still available for contributors who want to present a poster. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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avviso di due seminari a Napoli
by Enrica Pirozzi 17 Jan '20

17 Jan '20

-- AVVISO DI SEMINARI DI PROBABILITÀ E STATISTICA MATEMATICA Title: The risk model with stochastic premiums and a multi-layer dividend strategy by Olena Ragulina Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv Abstract: The lecture is devoted to a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber-Shiu function and the expected discounted dividend payments until ruin. Next, we concentrate on the detailed investigation of the model in the case of exponentially distributed claim and premium sizes and find explicit formulas for the ruin probability as well as for the expected discounted dividend payments. Moreover, we obtain an exponential bound for the ruin probability under certain conditions and study these conditions for some special distributions of claim and premium sizes. Lastly, numerical illustrations for some multi-layer dividend strategies are presented. -- Title: The first-passage time properties of the Jacobi process and applications to neuronal modeling by Giuseppe D'Onofrio Dipartimento di Matematica "Giuseppe Peano", Università di Torino Abstract: Nonlinear dynamical systems are often affected by different sources of noise and the usual belief is that the presence of noise can hinder or deteriorate the signal transmission in the system. However it has been observed, both in theoretical models and experiments, that random fluctuations can sometimes improve information processing. Mathematical models in neuroscience are one of the most prominent examples of phenomena for which the noise is of primary importance or even a part of the signal itself rather than a source of inefficiency and unpredictability. Our aim is to contribute to the discussion on the role of noise, studying the effects of a multiplicative noise on the performance of single neuron models using an analytical approach on the related first-passage-time problem. We consider a model where the evolution of the neuronal membrane depolarization between two consecutive spikes is described by a Jacobi process. We analyze the spiking activity of the neuron under study through the firing rate and the variability of the output related to the first two moments of the random variable first-passage time and we describe the occurrence of a phenomenon of coherence resonance. In particular we present counterintuitive effects due to the presence of the multiplicative noise and its dependence on the input parameters. Based on joint work with Petr Lansky (Czech Academy of Sciences) and Massimiliano Tamborrino (University of Warwick). I seminari si terranno il 23 Gennaio 2020 ore 15:00 e ore 15:45, rispettivamente, in Aula G terzo livello del Dipartimento di Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminario at Scuola Normale Superiore, Tiziano De Angelis, School of Mathematics, The University of Leeds (January 22, 2020, 11:30)
by Giulia Livieri 17 Jan '20

17 Jan '20

Dear all, On Wednesday, 22 January 2020 — at 11:30 — at the Scuola Normale Superiore (Room: Aula Fermi) Dr Tiziano De Angelis (University of Leeds) will hold the following Seminar: Title Probabilistic results concerning smoothness of the value function and of the free boundary in optimal stopping Abstract I will present probabilistic proofs of some regularity properties for the value function of general optimal stopping problems and for the associated optimal boundaries. In particular this talk focuses on C^1 regularity of the value function and Lipschitz continuity of the optimal boundary. Most of our arguments rely on fundamental concepts from the theory of Markov processes and bridge the probabilistic and the analytical strands of the literature on free boundary problems. I will also illustrate situations in which our work improves or complements known facts from PDE theory. (based on https://epubs.siam.org/doi/pdf/10.1137/17M1113709 <https://epubs.siam.org/doi/pdf/10.1137/17M1113709> and https://arxiv.org/abs/1812.04564 <https://arxiv.org/abs/1812.04564>) Feel free to forward this announcement to your colleagues. Best Giulia Livieri

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Seminar Cuturi @Bocconi
by Giacomo Zanella 16 Jan '20

16 Jan '20

We kindly invite you to the following BIDSA seminar: “Differentiable Ranking and Sorting using Optimal Transport” Marco Cuturi (Google Brain / ENSAE) Friday, January 17, 2020 | 12:30 | Room 3-e4-sr03 (third floor) Bocconi University, Via Roentgen 1, Milan Abstract: We propose in this paper proxy operators for ranking and sorting that are differentiable. To do so, we leverage the fact that sorting can be seen as a particular instance of the optimal transport (OT) problem between two univariate uniform probability measures, the first measure being supported on the family of input values of interest, the second supported on a family of increasing target values (e.g. 1,2,...,n if the input array has n elements). Building upon this link, we propose generalized rank and sort operators by considering arbitrary target measures supported on m values, where m can be smaller than n. We recover differentiable algorithms by adding to this generic OT problem an entropic regularization, and approximate its outputs using Sinkhorn iterations. To illustrate the versatility of these operators, we use the soft-rank operator to propose a new classification training loss that is a differentiable proxy of the 0/1 loss. Using the soft-sort operator, we propose a new differentiable loss for trimmed regression. Speaker: Marco Cuturi joined Google Brain, in Paris, in October 2018. He graduated from ENSAE (2001), ENS Cachan (Master MVA, 2002) and holds a PhD in applied maths obtained in 2005 at Ecole des Mines de Paris. He worked as a post-doctoral researcher at the Institute of Statistical Mathematics, Tokyo, between 11/2005 and 3/2007. He worked in the financial industry between 4/2007 and 9/2008. After working at the ORFE department of Princeton University between 02/2009 and 08/2010 as a lecturer, he was at the Graduate School of Informatics of Kyoto University between 9/2010 and 9/2016 as a tenured associate professor from 10/2013. He then joined ENSAE, the french national school for statistics and economics, in 9/2016, where he still teaches. His recent proposal to solve optimal transport using an entropic regularization has re-ignited interest in optimal transport and Wasserstein distances in the machine learning community. His work has recently focused on applying that loss function to problems involving probability distributions, e.g. topic models / dictionary learning for text and images, parametric inference for generative models, regression with a Wasserstein loss and probabilistic embeddings for words. Best regards, Giacomo Zanella Please note: if you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please communicate your participation by sending an email to c.monetti(a)unibocconi.it

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Ernesto De Vito @ Roma Tor Vergata
by Anna Vidotto 16 Jan '20

16 Jan '20

Dear all, I would like to announce the following talk that will be held on Thursday January 23rd 2020, at 4:30 PM, in Aula D’Antoni of the Department of Mathematics, University of Rome Tor Vergata. Speaker: Ernesto De Vito Title: Multi-Scale Vector Quantization with Reconstruction Trees Abstract: The aim of vector quantization is a parsimonious reconstruction of unsupervised data as provided by K-means and geometric multi-resolution analysis, to name a few. In the talk I will present a multi-scale algorithm for vector quantization and study its statistical properties. The proposed approach is inspired by decision trees and is based a family of given partitions, to quickly explore the data in a coarse to fine-multi-scale-fashion. The main technical contribution is an analysis of the expected distortion achieved by the proposed algorithm. Both asymptotic and finite sample results are derived. The presentation is based on a joint work with E. Cecini and L. Rosasco. Kind regards --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto

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seminario Djehiche a Milano 27/1/2020
by Marco Alessandro Fuhrman 15 Jan '20

15 Jan '20

Il prof. Boualem Djehiche (KTH Stockholm) terrà un seminario dal titolo On a class of mean-field reflected backward stochastic differential equations and the related obstacle problem. Il seminario è fissato alle ore 10:30 del 27/1/2020 presso il Dipartimento di Matematica dell'Università di Milano (via Saldini 50), in aula C (II piano). Tutti gli interessati sono cordialmente invitati. Un sommario è riportato sotto. Il prof. Djehiche è ospite del Dipartimento per tutta la settimana. Cordialmente, Marco Fuhrman --------------------------- Abstract. In this talk I will review some recent results on the solvability of a class of reflected backward stochastic differential equations (BSDEs) (driven by the Brownian motion) of mean-field type, where the mean-field interaction in terms of the distribution of the Y-component of the solution enters both the driver and the lower obstacle. When the reflected BSDE is driven by an underlying Markov diffusion, it is possible to derive a related obstacle problem in the form of a variational inequality involving differential operators w.r.t. both the space and the probability measure components. -------------------------- <signaturebeforequotedtext></signaturebeforequotedtext><signatureafterquotedtext></signatureafterquotedtext>

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Post-doctoral position in probability - Paris
by Cristina TONINELLI 14 Jan '20

14 Jan '20

Dear friends and colleagues, I am currently advertising a post-doctoral position in Probability at Ceremade, University Paris Dauphine. The position is for two years. The expected starting date is September 2020, though a different date may be arranged. The position is funded by my European project MALIG, whose aim is to develop a mathematical approach to the liquid-glass transition and related phenomena. Main areas of research include interacting particle systems, bootstrap percolation cellular automata and glassy dynamics. The successful candidate will also have the opportunity to collaborate with the probability group of University Roma Tre, in particular with Fabio Martinelli, a key member of the MALIG team. The grant will provide substantial fundings to cover working periods in Rome. There are no teaching duties associated to the position. Candidates can contact me directly for any additional informations. Applications including a CV, a list of publications and a one-page description of research interests and experience should be sent directly to me at toninelli(a)ceremade.dauphine.fr<mailto:toninelli@ceremade.dauphine.fr> Applicants should also arrange for up to three letters of recommendation to be sent to the same address. The deadline for applications is Monday, 3rd February 2020. I would be grateful if you could bring this announcement to the attention of potential candidates and distribute it via local mailing lists. Best wishes, Cristina Toninelli --------------------------------------------------------------------------------------------- Cristina Toninelli Postal Address: Ceremade Univ.Paris Dauphine Place du Marechal de Lattre de Tassigny 75775 Paris Cedex 16 - France Office: B617 --------------------------------------------------------------------------------------------

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de Finetti Risk Seminar - January 2020
by Emanuela Rosazza 14 Jan '20

14 Jan '20

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time Nicola Secomandi Tepper School of Business – Carnegie Mellon University Abstract. This paper extends quadratic hedging from European to Bermudan options in discrete time when markets are incomplete and investigates its use for supporting exercise policy optimization. The key idea is to construct date specific approximate replicating portfolios. Hedging any given exercise policy can be done by solving a collection of stochastic dynamic programs. Optimizing the exercise policy based on the resulting martingale measure requires care. If this measure is risk neutral (RN), the value of an optimal such policy, which can be obtained by augmenting the hedging model with an exercise policy optimization step, is a no arbitrage one. Otherwise this approach must be refined by imposing time consistency on exercise policies, although the value of the resulting exercise policy may not be arbitrage free. Following the common pragmatic strategy of specifying quadratic hedging under an RN measure, e.g., one calibrated to market prices, avoids these issues. In particular, it provides a simple hedging policy with immediate practical applicability and is equivalent to exercise policy optimization under RN valuation, thus complementing it with a consistent hedging policy. A simple numerical example shows that this procedure generates effective hedging policies LOCATION: The seminar will be held on Wednesday, January 15, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Seminar Announcement: M. Glanzer (univie) at Polimi
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, at 11:00 o'clock, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Seminar annoucement at POLIMI- Talk by Martin GLANZER (Univie)
by Carlo Sgarra 14 Jan '20

14 Jan '20

On Monday, January 21, in the Seminar Room located at the third floor of the MATHEMATICS Department ( POLITECNICO di Milano) MARTIN GLANZER of the University of Vienna will give a talk on the following subject: Stochastic Optimization with Multiple Time Scales ( Joint work with G. Pflug) All interested people are kindly invited to participate. ABSTRACT Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

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Probability Seminar: Richard Kraaij (TUDelft) [Padova, Tue 14/01 (TOMORROW), 11am]
by Francesca Collet 13 Jan '20

13 Jan '20

*** REMINDER *** ____________________________________________________________________________________________________ DR. RICHARD C. KRAAIJ (Delft University of Technology) “Large deviations for weakly coupled slow-fast systems via the comparison principle of an associated Hamilton-Jacobi equation” Tuesday 14 January (TOMORROW), 11:00; room 1BC50, Dipartimento di Matematica “Tullio Levi-Civita”, Via Trieste 63, Padova ABSTRACT. In statistical physics many interesting phenomena, e.g. behavior of systems at critical parameters or in the theory of hydrodynamic limits, arise from systems having multiple time-scales. A slow component is influenced by fast components, and as the number of interacting components tends to infinity, limiting results for the slow component are obtained in terms of `averaged' versions of the fast components. I will consider in my talk the fluctuations (large deviations) of coupled Markovian systems with two-time scales. These fluctuations can arise from two sources: fluctuations of the slow process itself, or fluctuations of the large time averages of the fast process, effectively leading to a competition of two fluctuation effects. To obtain the large deviation principle, we consider an associated Hamilton-Jacobi-Bellman equation of which the Hamiltonian is given in terms of the two fluctuation effects. We establish under mild conditions that this Hamilton-Jacobi-Bellman equation is well-posed, and as a consequence that we have a large deviation principle for a wide class of weakly coupled Markov processes. Based on joint work with Mikola Schlottke (Eindhoven, The Netherlands). ____________________________________________________________________________________________________

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OSD2020-14th International Conference on Ordered Statistical Data
by malongob＠unina.it 13 Jan '20

13 Jan '20

Dear all, we are glad to announce the 14th International Conference on Ordered Statistical Data - OSD2020, that will take place on May 26-29 at Vietri sul Mare (SA), Italy. The conference website is http://www.osd2020.unina.it/ The conference is devoted to recent advances and trends in the mathematical theory of ordered statistical data, including order statistics and their generalizations, and their applications in reliability, statistics and lifetime analysis. The scientific program will include plenary talks and sessions of contributed talks. It is our pleasure to point out the presence of Prof. Fabio Spizzichino in the list of keynote speakers of the conference. We look forward to welcome you in Vietri sul Mare. Chief organizers, Maria Longobardi and Franco Pellerey

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Robust Statistics @Lake Como: registration is now open!
by Francesca Greselin 13 Jan '20

13 Jan '20

*** apologies for cross posting *** Dear all, the III International School on Classification and Data Analysis, on *ROBUST STATISTICS: FOUNDATIONS and RECENT DEVELOPMENTS* will take place on the enchanting shores of Lake Como, Italy, on May 4-8, 2020. It is intended for Ph.D. Students, M.S. Students, Post-Docs, Young and Junior researchers. Robust statistics is at the forefront of statistical research, and a central topic in multidisciplinary science where mathematical ideas are used to model and understand the real world, without being affected by contamination that could occur in the data. Nowadays, with the increasing availability of Big data, robust statistical methods are crucially needed. The aim of this course is three-fold: present novel models to describe real-world phenomena, and their properties; study their behavior under different kinds of contamination; discuss their implementation through computational methods. The lecturers are amongst the most influential scholars in the field: Anthony Atkinson <https://www.researchgate.net/profile/Anthony_Atkinson3>, London School of Economics, UK Agustin Mayo-Iscar <https://www.researchgate.net/profile/Agustin_Mayo>, University of Valladolid, ES Marco Riani <https://www.researchgate.net/profile/Marco_Riani>, University of Parma, IT Anna Maria Paganoni <https://www.researchgate.net/profile/Anna_Paganoni>, Politecnico di Milano, IT The school is organized by the Classification and Data Analysis Group of the Italian Statistical Society <http://cladag.it/>, under the auspices of the European Regional Section <https://iasc-isi.org/ers-mission/> (ERS) of the International Association for Statistical Computing <https://iasc-isi.org/> (IASC). Please note that the conference room allows only for a very limited number of participants (no more than 30). The registration deadline is March 4th 2020. For more information, visit the School website: https://rsfd.lakecomoschool.org/

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Call for Interest: 2-year senior post-doc position at the University of Padova
by Claudio Fontana 12 Jan '20

12 Jan '20

Dear all, This is a CALL FOR INTEREST FOR A 2-YEAR POSTDOCTORAL POSITION AT THE DEPARTMENT OF MATHEMATICS OF THE UNIVERSITY OF PADOVA (ITALY), within the STARS@UNIPD project PRISMA under the supervision of Claudio Fontana (personal webpage: 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. Previous research experience in arbitrage theory, stochastic filtering, enlargement of filtrations, mean-field games, or interest rate modelling will be appreciated. The candidate should have the ability to drive discovery by working independently, interacting with colleagues with different backgrounds and establishing relevant collaborations. Knowledge of the Italian language does not represent a requirement and language courses are offered by the University of Padova. 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 Probability and Finance group (https://www.math.unipd.it/en/research/areas/probability-and-finance) at the University of Padova is a dynamic research unit, with a strong international visibility and well-established collaborations with foreign institutions and world leaders in the field of mathematical finance. The University of Padova provides excellent support to foreign candidates. Padova is a beautiful city in the Venetian region, home to one of the oldest universities in the world, with a thriving student life and an excellent quality of life. The position will be officially opened in February 2020, the selection procedure is expected to take place in March 2020 and the position will then start as soon as possible. The effective starting date can be arranged depending on the individual needs of the selected candidate, but cannot be later than September 1st, 2020. For any further information and expressions of interest on this position, please contact directly Claudio Fontana at fontana(a)math.unipd.it Best regards (and apologies for cross posting), Claudio Fontana

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inizio corso dottorato Peccati-Rossi a Pisa
by Dario Trevisan 12 Jan '20

12 Jan '20

Salve, comunico agli interessati che in data *mercoledì 15/01/2020, ore 14:00-17:00 in AULA 2, dipartimento di Matematica, Università di Pisa* avrà luogo la prima lezione del corso "Stochastic analysis on Gaussian and Poisson spaces, functional and geometric applications" tenuto da Giovanni Peccati (Univ. del Lussemburgo) e Maurizia Rossi (Univ. Milano-Bicocca). Il corso proseguirà con due lezioni nella stessa settimana, giovedì 16/01/2020, ore 14-17 e venerdì 17/01/2020, ore 10-13, sempre in AULA 2, dipartimento di matematica. Le lezioni successive saranno comunicate agli interessati. Mi scuso con lo scarso preavviso e con i non interessati. Saluti, Dario -- Dario Trevisan <dario.trevisan(a)unipi.it>

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Minicorsi Febbraio 2020
by Stefano Bonaccorsi 10 Jan '20

10 Jan '20

Carissimi, Vorrei rendere noto che dal 12 al 14 febbraio 2020, presso il Dipartimento di Matematica dell’Università degli Studi di Trento, si terrà la nuova edizione dei “Primer on Data Science”. Questa edizione è dedicata a “Matematica finanziaria e statistica attuariale”. Vi saranno tre minicorsi: 1. Arrigo Pitacco, su “A lesson from actuarial mathematics: be stochastic but also, from time to time, reasonably deterministic” 2. Giovanni Alessandro Zanco, su “System with controls and interaction: mean field games and economic” 3. Paolo Pigato, su “An introduction to mathematical option pricing” Il corso è aperto a studenti delle lauree triennali e magistrali, nonché a dottorandi e agli addetti del settore. Per ragioni organizzative il numero di posti disponibili è limitato. Tutte le informazioni sono disponibili alla pagina web http://datascience.maths.unitn.it/events/pds2020/ Per il comitato organizzatore Stefano Bonaccorsi

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