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Seminar by prof. Walter Schachermayer at LUISS
by Sara 18 Oct '17

18 Oct '17

Dear all, on Friday 24 November at 9:30, room A105 prof Schachermayer will give the following seminar: *Title:* The amazing power of dimensional analysis: Quantifying market impact *Abstract:* A basic problem when trading in financial markets is to analyze the prize movement caused by placing an order. Clearly we expect - ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called market impact. Following Kyle and Obizhaeva we apply dimensional analysis - a line of arguments wellknown in classical physics - to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order. The mathematical tools of this analysis reside on elementary linear algebra. Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi. Regards, Sara -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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10th World Congress of the Bachelier Finance Society
by Paolo Guasoni 18 Oct '17

18 Oct '17

10th World Congress of the Bachelier Finance Society Banner BFS Congress 2018 <http://www.bachelierfinance.org/wp/wp-content/uploads/2017/10/banner_congre…> Trinity College Dublin, July 16-20, 2018 Call for Papers Every two years, the *World Congress* of the *Bachelier Finance Society* brings together academics and practitioners in the Mathematical and Quantitative Finance community to exchange ideas on the state-of-the-art, discuss the latest trends in the field, and find new collaborations and employment opportunities. The 10th World Congress of the Bachelier Finance Society will take place at *Trinity College Dublin, July 16-20, 2018*. Plenary Speakers René Aïd (Paris Dauphine), Hansjoerg Albrecher (HEC Lausanne), Bruno Bouchard (Paris Dauphine), J. Doyne Farmer (Oxford), Masaaki Fukasawa (Osaka), Xin Guo (Berkeley), Monique Jeanblanc (Evry), Charles-Albert Lehalle (Capital Market Fund), Walter Schachermayer (University of Vienna), José A. Scheinkman (Columbia), Mete Soner (ETH Zurich), Jiangfeng Zhang (USC). Scientific Committee Pauline Barrieu (LSE), Erhan Bayraktar (University of Michigan), Michel Crouhy (Natixis), Jean-Pierre Fouque (Santa Barbara), Paolo Guasoni (Dublin City University), Takaki Hayashi (Keio), Vicky Henderson (Warwick), Alexander Lipton (Stronghold Labs), Andrew Lo (MIT), Jin Ma (USC), Huyên Pham (Paris VII), Jean-Charles Rochet (University of Zurich), Mathieu Rosenbaum (Ecole Polytechnique), Alexander Schied (Waterloo), Wim Schoutens (KU Leuven). Submissions open now Submissions are open on the conference website through January 15, 2018: http://bacheliercongress2018.com/ Bachelier Finance Society Junior Scholar Award - sponsored by SIG At SIG <https://sig.com/>, Quantitative Researchers explore the latest concepts in financial mathematics to solve problems found in the markets. Sponsored by SIG, this new award will honour the most outstanding contribution by a PhD student or postdoc with EUR 5000 (conditions apply). The award has been created to recognise scholars who share SIG’s passion for cutting-edge research. Conference participants will also have the opportunity to submit their CVs and potentially interview with our sponsors. Click here <http://www.bachelierfinance.org/awards/junior-scholar-award.html> to read more about the Bachelier Finance Society Junior Scholar Award. Poster The poster of the Congress can be downloaded here <http://bacheliercongress2018.com/uploads/files/BFS-A4-flyer5.pdf>.

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Conference in Bologna
by Sabrina Mulinacci 17 Oct '17

17 Oct '17

Dear all, Like every year, the opening of the Graduate course in Quantitative Finance is celebrated with an international conference devoted to hot topics in risk management. As always, the conference takes place in the days around Halloween, and for this reason, and also for the risk topics addresses, is known among Quantitative Finance alumni's as the Halloween conference. This year, the conference will take place on October 26th and 27th, and topic covered will be: Sovereign Risk and the Euro: Lessons from the Crisis Info about the program and participation is in the website below. Participation is free of charge, but for organizational reasons we kindly ask you to notify participation to marialuigia.loiudice(a)unibo.it<mailto:marialuigia.loiudice@unibo.it> http://www2.stat.unibo.it/sovereign-risk/Home.html Looking forward to seeing you in Bologna! Umberto Cherubini and Sabrina Mulinacci

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Bruti Liberati Prize
by Daniele Marazzina 16 Oct '17

16 Oct '17

Con preghiera di diffusione XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX We are happy to announce the Bruti Liberati Prize 2017. The Bachelier Finance Society and the Department of Mathematics of the Politecnico di Milano, in cooperation with Springer, are proud to announce the Seventh Nicola Bruti Liberati Prize which is to be awarded for a doctoral thesis defended in 2016-2017 in all subjects of Mathematical Finance Application deadline is 31 January 2018. You find all the necessary information on the website https://www.mate.polimi.it/brutiliberatiprize/ Qfinlab Department of Mathematics Politecnico di Milano Bruti-Liberati Prize - Politecnico di Milano<https://www.mate.polimi.it/brutiliberatiprize/> www.mate.polimi.it The Bachelier Finance Society and the Department of Mathematics of the Politecnico di Milano, in cooperation with Springer, are proud to announce the Sixth Nicola ...

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Fwd: The 9th International Conference on Stochastic Analysis and Its Applications - Save the date
by Michele Coghi 16 Oct '17

16 Oct '17

Dear all, this is the first announcement for "The 9th International Conference on Stochastic Analysis and Its Applications" (ICSAA) to be held at Bielefeld University, Germany, from 3th - 7th September 2018. The main topics of the conference series include but are not limited to: * Stochastic analysis and its applications * Stochastic differential and partial differential equations * Markov processes including jump type processes and measure-valued processes * Dirichlet forms * Analysis on fractals and percolation clusters * Random walk in random media and on random graphs More information and (soon) the registration form are available on the website https://www.math.uni-bielefeld.de/icsaa/ We are looking forward to seeing you in Bielefeld, Michele Coghi Local organizer

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Fwd: Stimulate
by Marco Romito 15 Oct '17

15 Oct '17

ricevo e giro la segnalazione di borse PhD nell'ambito del progetto Stimulate (Simulation in multiscale physical and biological systems). Il flyer dell'annuncio: http://www.stimulate-ejd.eu/sites/default/files/stimulate_poster.png Per maggiori informazioni: http://www.stimulate-ejd.eu

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Position at the UK Office for National Statistics
by Enrico Scalas 13 Oct '17

13 Oct '17

Dear Colleagues, The Office for National Statistics in the UK is recruiting statisticians. You might wish to circulate the ads to interested persons (deadline 22 Oct): https://www.civilservicejobs.service.gov.uk/csr/index.cgi?SID= c2VhcmNoX3NsaWNlX2N1cnJlbnQ9MiZjc291cmNlPWNzcXNlYXJjaCZwYWdl YWN0aW9uPXZpZXd2YWNieWpvYmxpc3QmcGFnZWNsYXNzPUpvYnMmb3duZXJ0 eXBlPWZhaXImdXNlcnNlYXJjaGNvbnRleHQ9NDUyMjYyOTUmb3duZXI9NTA3 MDAwMCZqb2JsaXN0X3ZpZXdfdmFjPTE1NTgyODYmcmVxc2lnPTE1MDcxMTg3 ODUtZjA0NTBmNjVhOWM2NDc4ZjFiZTZiNWVkNmYxMjk3NTQwZTcyMTEwOQ== https://www.civilservicejobs.service.gov.uk/csr/index.cgi?SID= Y3NvdXJjZT1jc3FzZWFyY2gmb3duZXJ0eXBlPWZhaXImdXNlcnNlYXJjaGNv bnRleHQ9NDUyMjYyOTUmam9ibGlzdF92aWV3X3ZhYz0xNTU4MjgzJnNlYXJj aF9zbGljZV9jdXJyZW50PTEmb3duZXI9NTA3MDAwMCZwYWdlY2xhc3M9Sm9i cyZwYWdlYWN0aW9uPXZpZXd2YWNieWpvYmxpc3QmcmVxc2lnPTE1MDcxMTg2 NTQtYmRmN2M0MWQ1MDhmYzEwNGQ0ZGY5NzkxMmVkMGU3ZmEzM2EyODZjMA== I hope the links above do work. If not, please feel free to contact me personally in case you are interested. Best regards, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK

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Assegno di Ricerca SECS-S/06 a Roma Tre
by Pietro Caputo 12 Oct '17

12 Oct '17

Segnalo il seguente assegno di ricerca bandito presso il Dipartimento di Studi Aziendali, SSD SECS-S/06 "Metodi matematici per l'analisi di problemi relativi alla gestione aziendale, alla finanza, alle scelte individuali, strategiche e collettive". Il bando e' reperibile qui: http://europa.uniroma3.it/dottorati2010/assegni/6ef6e164-5bf6-48de-ab04- d5f9d4f62994.pdf Scadenza: 20 ottobre 2017

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Model Uncertainty and Robust Finance (II edition)
by Giovanni Puccetti 12 Oct '17

12 Oct '17

FIRST ANNOUNCEMENT for the Workshop Model Uncertainty and Robust Finance (II edition), University of Milano, MARCH 15-16, 2018 https://sites.google.com/site/murf2018/ CONFIRMED INVITED SPEAKERS Carole BERNARD (VUB & Grenoble EM) Roger COOKE (TU Delft) David LI (SAIF & SJTU Shangai) Massimo MARINACCI (Bocconi University) Walter SCHACHERMAYER (University of Vienna) Ludovic TANGPI (University of Vienna) FREE REGISTRATION FOR ACCEPTED CONTRIBUTED SPEAKERS (Deadline for abstract submission: JANUARY 31, 2018) DE FINETTI RISK SEMINAR on MARCH 14, 2018 (Lecture by W. SCHACHERMAYER and Welcome Reception) SPECIAL ISSUE in DEPENDENCE MODELING edited by Marco Frittelli and Emanuela Rosazza-Gianin Hope to see you soon in Milan!

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Fifth edition of the StaTalk series (workshops on statistical topics)
by Euloge C. Kenne Pagui 12 Oct '17

12 Oct '17

Dear all, we are pleased to announce that the fifth edition of the StaTalk series will be held at the Department of Statistical Sciences of the University of Padua, on November, 17, 2017. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. The topic of this fifth edition will cover many areas of research currently undergoing at the Department of Statistical Sciences of the University of Padua ranging from methodological statistics to demography. Registrations, as in the past StaTalk events, is free of charge but mandatory. Additional information, can be found at the workshop page statalk.stat.unipd.it Best regards, The Organising Committee --------------------------------------------------------- Department of Statistical Sciences, University of Padova. Via Cesare Battisti, 241 - 35121 Padova ---------------------------------------------------------

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Lezioni inaugurali - MSc FIRM - Firenze (mar 17/10)
by Giacomo Scandolo 11 Oct '17

11 Oct '17

Inaugural Lectures MSc in Finance and Risk Management (Università di Firenze) Academic Year 2017/2018 17 October 2017 Aula 0.05, D15 building, Polo di Novoli PROGRAM 9.30 Institutional greetings 9.45 Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" 10.45 Coffee-break 11.15 Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" 12.30 Dimitri LORENZANI (European Commission, Directorate General for Economic and Financial Affairs) "The European Commission's 2017 Country Report: analytical insights" More information http://www.frm.unifi.it/ Abstracts Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" Large life insurance companies are internationally diversified. The cost-effectiveness or business-cycle smoothing of international diversification is not always at work. How can the empirical evidence be rationalized, then? We show that diversification gains from international expansion can reduce risk margins and Solvency requirements due to longevity risk. Gains are more pronounced in a low-interest rates regime. To show that result, we build parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in different populations. We define a diversification index and measure diversification gains in capital requirements according to the current regulation. We present a calibrated example, based on annuity portfolios of UK and Italian males. The results of our application show that diversification gains, evaluated as the reduction in the portfolio risk margin following the international expansion, may be non-negligible. Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" Abstract: Implied volatility modeling has been a mainstream research in academia and industry almost since the trading of options was introduced to the financial world. In this talk, we review stylized facts of implied volatility in equity market, followed by an introduction to the commonly used models that captures partly the stylized facts. The models include local volatility model, stochastic volatility model, local-stochastic volatility, and the fractional volatility model. The last in the list has been regaining great attentions these days. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. We conclude the talk by the pricing of financial instruments that are directly or indirectly related to implied volatilities. Dimitri Lorenzani (European Commission, Directorate General for Economic and Financial Affairs) " The European Commission's 2017 Country Report: analytical insights" Abstract: In the 2017 Country Report, the European Commission assessed Italy's economy in the light of the economic priorities established through the 2017 Annual Growth Survey: (i) boosting investment; (ii) pursuing structural reforms; and (iii) ensuring responsible fiscal policies. The presentation aims to provide insights into some of the analytical work underpinning the European Commission's findings. The Country Report indicates that, despite some important reforms in recent years, significant structural weaknesses in diverse policy areas continue to undermine Italy's productivity growth, slowing the correction of Italy's excessive macroeconomic imbalances. In particular, the high public debt remains a major source of vulnerability for the Italian economy given the low potential growth and a still fragile fiscal position. Moreover, the competitiveness gap of the Italian economy vis-à-vis the rest of the euro area persists also due to the insufficient innovation capacity of Italian firms. The legacies of the long-lasting crisis also weigh on Italy's growth prospects since sizeable non-performing loans hamper banks' ability to support investment, while long-term and youth unemployment remain high.

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Seminario Tai-Ho Wang 19 ottobre 2017 presso Università Cattolica sede di Milano
by Marina DI GIACINTO 11 Oct '17

11 Oct '17

Seminario di Tai-Ho Wang (Department of Mathematics - Baruch College - The City University of New York) Giovedi' 19 ottobre 2017 - ore 14:30 - aula 200 Università Cattolica del Sacro Cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Modeling of implied volatility and its recent progress ABSTRACT: Modeling of implied volatility has been active ever since the introduction of trading of option. In this talk, starting from the minimal and complete local volatility model, we discuss the development of more sophisticated models that aim to capture stylized facts observed in the market. In addition to local volatility models, the models include stochastic volatility model, exponential Levy models, and the recently revived fractional models. We also elaborate which of the styles facts are, and which aren't, captured by these models. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. Tutti gli interessati sono invitati a partecipare.

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2 postdoc positions in Geometric Methods for Deep and Reinforcement Learning at RIST
by Luigi Malagò 09 Oct '17

09 Oct '17

=========================================================== *Subject*: 2 postdoc positions in Machine Learning (1 year, renewable up to 3 years) *Institution*: RIST - Romanian Institute of Science and Technology, Cluj-Napoca *Keywords*: Deep Learning, Reinforcement Learning, Stochastic Optimization, Optimization over Manifolds, Information Geometry, Riemannian Geometry *Application deadline*: 20 October 2017 (applicants are encouraged to apply earlier) *Salary*: around 2190 euro net *Official announcement*: http://rist.ro/en/details/news/postdoc- positions-in-deep-learning-and-machine-learning.html =========================================================== Dear colleagues, the Romanian Institute of Science and Technology (RIST) has an opening for 2 postdoc positions, in the context of the DeepRiemann project “Riemannian Optimization Methods for Deep Learning”, funded by European structural funds through the Competitiveness Operational Program (POC 2014-2020). The appointments will be for 1 year, with possible extensions up to 3 years. The DeepRiemann project aims at the design and analysis of novel training algorithms for Neural Networks in Deep Learning, by applying notions of Riemannian optimization and differential geometry. The task of the training a Neural Network is studied by employing tools from Optimization over Manifolds and Information Geometry, by casting the learning process to an optimization problem defined over a statistical manifold, i.e., a set of probability distributions. The project is highly interdisciplinary, with competences spanning from Machine Learning to Optimization, Deep Learning, Statistics, and Differential Geometry. The objectives of the project are multiple and include both theoretical and applied research, together with industrial activities oriented to transfer knowledge, from the institute to a startup or spin-off of the research group. The positions will be part of the new Machine Learning and Optimization group http://luigimalago.it/group.html, which performs research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, from the unifying perspective of Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST, where about 20 new postdoctoral research associates and research software developers will be hired by 2018. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in- deep-learning-and-machine-learning.html Informal inquiries can be sent to Dr. Luigi Malagò <malago(a)rist.ro>, principal investigator of the DeepRiemann project. Application deadline: 20 October 2017 (applicants are encouraged to apply earlier) best regards, Luigi Malagò

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Fwd: Summer School in Probability and Mathematical Physics at IST Austria
by pietro caputo 09 Oct '17

09 Oct '17

---------- Forwarded message ---------- From: Jan Maas <jan.maas(a)ist.ac.at> Date: Mon, Oct 9, 2017 at 10:46 AM Subject: Summer School in Probability and Mathematical Physics at IST Austria To: pmp-2018(a)ist.ac.at Dear colleagues, IST Austria organizes a Summer School in Probability and Mathematical Physics which takes place on June 4-8, 2018. The school consists of three lecture series by eminent mathematicians: Hugo Duminil-Copin (IHES): Sharp threshold phenomena via randomized algorithms Martin Hairer (Imperial College London): A BPHZ theorem for stochastic PDEs Jason Miller (University of Cambridge): The Gaussian free field and Liouville quantum gravity The event is aimed at a broad audience of researchers, particularly focusing on PhD students and postdocs. It takes place at the campus of IST Austria, a young international institute dedicated to basic research and graduate education in the natural and mathematical sciences. The institute is located in Klosterneuburg on the outskirts of Vienna. Limited support is available for partially covering the costs of travel and/or accommodation for qualified (PhD) students and postdocs. More information and a registration form can be found at http://ist.ac.at/pmp2018/ We would be grateful if you could bring this information to the attention of researchers who may be interested to attend. Best regards, Laszlo Erdos, Jan Maas, Robert Seiringer

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seminar at LUISS
by Marco Scarsini 09 Oct '17

09 Oct '17

Thursday October 12 from 12:00 to 13:00, room 207 Department of Economics and Finance LUISS viale Romania 32 00197 Roma. Speaker: Fabio Martinelli Title: Bootstrap percolation and interacting particle systems with kinetic constraints Abstract: Recent years have seen a great deal of progress in understanding the behavior of bootstrap percolation models, a particular class of monotone cellular automata. In the two-dimensional lattice, there is now a quite satisfactory understanding of their evolution starting from a random initial condition, with a strikingly beautiful universality picture for their critical behavior (length and time scales). Much less is known for their non-monotone stochastic counterpart, namely kinetically constrained models (KCM). In KCMs the state of each vertex which could be infected by the bootstrap percolation rules is resampled (independently among the vertices) at rate one by tossing a p-coin. In particular, the infection can also heal, hence the non-monotonicity. Besides their connection with bootstrap percolation, KCMs have a strong interest in their own: as p ↓ 0 they display some of the most striking features of the liquid/glass transition, a major and still largely open problem in condensed matter physics. In this talk, after an introductory first part, I shall discuss (i) some recent conjectures relating the universality behavior of critical KCMs to their bootstrap percolation counterpart and (ii) some very recent progress towards proving the above conjectures. Joint project with C. Toninelli (Univ. Paris VII) and R. Morris (IMPA, Rio de Janeiro) ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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PhD Course on Hawkes Processes and Applications in Finance
by Carlo Sgarra 07 Oct '17

07 Oct '17

In my previous message announcing a PhD Course at Politecnico di Milano on "Hawkes Processes and Applications in Finance" a systematic misprint on the dates of the lectures appeared. The lectures will take place in JANUARY 2018, not January 2017 (as appearing in the previous message); the other informations concerning classrooms, days and times were correct. I apologize for the misprint. Kind Regards, Carlo Sgarra

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Seminario KAKAMU
by Matteo Ruggiero 06 Oct '17

06 Oct '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 13 Ottobre 2017, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Kazuhiko KAKAMU (Kobe University) HOW DOES MONETARY POLICY AFFECT INCOME INEQUALITY IN JAPAN? EVIDENCE FROM GROUPED DATA We examine the effects of monetary policy on income inequality in Japan using a novel econometric approach that jointly estimates the Gini coefficient based on micro-level grouped data of households and the dynamics of macroeconomic quantities. Our results indicate different effects on income inequality depending on the monetary policy measure under consideration: A traditional rate increase decreases income inequality, whereas a reduction of asset purchases leads to more inequality. Movements of inflation expectations and equity prices might account for theses differences. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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PhD Course on Hawkes Processes and Aplications in Finance
by Carlo Sgarra 06 Oct '17

06 Oct '17

The Mathematics Department of Politecnico di Milano will offer a PhD course on the subject "Hawkes Processes and Applications in Finance". The course will be given by Carlo Sgarra. The calendar and the subjects of the lectures will be the following: January 8, 2017 9:30-12:30 Motivation for introducing Hawkes processes in financial models, the self-exciting features of jumps and the clustering property. January 8, 2017 14:30-16:30 Introduction to point processes: their basic properties. January 9, 2017 9:30-12:30 Definition and basic properties of Hawkes processes. January 9, 2017 14:30-16:30 The microstructure foundation of Hawkes processes. January 10, 2017 9:30-12:30 Multivariate Hawkes processes. January 10, 2017 14:30-16:30 Simulation of Hawkes processes. The time change technique. January 15, 2017 9:30-12:30 The Statistics of Hawkes processes: parametric estimation. The Maximum Likelihood Estimator for Hawkes Processes. January 15, 2017 14:30-16:30 Hawkes processes and pricing. January 16, 2017 9:30-12:30 Hawkes processes and the branching property. Branching processes in continuous time and their relation with Hawkes. January 16, 2017 14:30-16:30 Hawkes processes and power market. January 17, 2017 9:30-12:30 Hawkes processes and rough volatility models: an introduction to rough volatility models. January 17, 2017 14:30-16:30 Optimal control problems in Hawkes framework: a few examples from the literature. Some slides will be available at the end of the course. The lectures will take place in the classroom inside the Department of Mathematics located at the third floor of the building called "La Nave". Best Regards, Carlo Sgarra

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Fwd: 4th Barcelona Summer School on Stochastic Analysis
by Marco Romito 06 Oct '17

06 Oct '17

-------- Forwarded Message -------- Subject: 4th Barcelona Summer School on Stochastic Analysis Date: Thu, 5 Oct 2017 15:43:29 +0200 From: Bústia CRM Difusions <crmdifusions(a)crm.cat> Dear colleague, We are pleased to announce the upcoming *4th Barcelona Summer School on Stochastic Analysis*, which will be held at the Centre de Recerca Matemàtica in Bellaterra (Barcelona) from *July 9 to July 13, 2018*. The school is intended for PhD students and young researchers mainly in stochastic analysis. The courses will be the following: * /Some stochastic models in eco-evolution/, by *Sylvie Méléard*(École Polytechnique, France) * /Topology of zero sets of smooth random Gaussian functions, by**/*Mikhail Sodin*(Tel Aviv University, Israel) We invite you to visit the homepage of the school http://www.crm.cat/en/Activities/Curs_2017-2018/Pages/4th-BCN-Summer-School… to keep posted with the progress of and news about the organization. Sincerely Yours, The Organizing Committee: Xavier Bardina (Universitat Autònoma de Barcelona) Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) Marta Sanz-Solé (Universitat de Barcelona) Josep Vives (Universitat de Barcelona) *CRM_LOGO_P* Centre de Recerca Matemàtica Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 *www.crm.cat <http://www.crm.cat/>*** *@CRMatematica <https://twitter.com/CRMatematica>*

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DataScience@Sapienza
by Pierpaolo Brutti 05 Oct '17

05 Oct '17

A tutti gli interessati, Venerdì 6 ottobre si terrà il simposio "DataScience@Sapienza" al termine del quale il rettore Eugenio Gaudio proclamerà i primi laureati magistrali in "Data Science" dell'Ateneo. Durante il simposio sono previsti gli interventi della direttrice di ricerca Google per il Machine learning, Corinna Cortes e del direttore per i servizi IT di Eurostat, Emanuele Baldacci. Inoltre, si discuterà sulle opportunità di lavoro e sulle competenze della figura del data scientist attraverso la partecipazione di alcune delle numerose realtà industriali che hanno collaborato con il Corso di laurea magistrale (IBM, Microsoft, SAS, Banca d'Italia e Unicredit). Per maggiori informazioni: DataScience@SAPIENZA: Symposium and Graduation Ceremony url: http://news.uniroma1.it/06102017_0900 --P

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Open full professorship, Prob-L@B, University of Bath, UK
by Alexandre Stauffer 03 Oct '17

03 Oct '17

Apologies for cross postings The Department of Mathematical Sciences at the University of Bath is inviting applications for a full professorship in Probability. Applicants must have a strong research vision, and a track record of engagement within their Department and across the wider mathematical community. Applicants are expected to have an excellent track record of publications and research grant acquisition, commensurate to their stage of career, as well as a keen interest in pursuing excellence in teaching and in supervising graduate students. Key attributes are strategic leadership and the ability to influence and shape the output and success of the Department. We particularly welcome applications from established Professors, as well as from Readers, Senior Lecturers and Associate Professors or equivalent who can demonstrate a significant upward trajectory. Applications from all groups currently under-represented in academic posts are particularly encouraged. Both the Department and the University are committed to providing a supportive and inclusive working environment. Flexible working options will be considered wherever possible. For more information visit http://www.bath.ac.uk/hr/working/flexible-working/. For further information on how to apply, please visit https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=SF5266 Contact Professor Andreas Kyprianou (a.kyprianou(a)bath.ac.uk) should you have further questions. Best wishes, Alexandre

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avviso di seminario - Univ. Milano-Bicocca
by Emanuela Rosazza 03 Oct '17

03 Oct '17

Si avvisa che il giorno mercoledì 11 ottobre alle ore 16 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- Sala del Consiglio) si terrà il seguente seminario: Speaker: Prof. Giorgio Ferrari (Università di Bielefeld, Germania) Titolo: “On a Class of Optimal Dividend Problems with Capital Injection” Abstract: In this talk I present some recent results on the optimal dividend problem with capital injection. That is the problem of a fund manager aiming at maximising the discounted dividend payments, net of the penalised discounted capital injections needed to avoid bankruptcy of the fund. In our model the surplus dynamics is driven by a general linearly controlled one-dimensional diffusion, that is reflected at zero. Moreover, we assume that the dividend payments are subject to surplus-dependent taxes/transaction costs. We show that depending on the properties of the surplus-dependent taxes/transaction costs we can have different kinds of optimal strategies for the dividend payments. Either it is optimal to follow a classical barrier strategy, or not paying dividend at all is the best thing to do. Tutti gli interessati sono invitati a partecipare. Un saluto cordiale, Emanuela ******************************************************************************************* 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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French-Italian Statistics Workshop
by Matteo IACOPINI 02 Oct '17

02 Oct '17

Dear all, it is our pleasure to announce the French-Italian workshop "New Challenges in Statistics for Social Sciences", which will take place on 16-17 October 2017 at Ca' Foscari University of Venice, Department of Economics (Meeting Room 1, Campus Economico, Fondamenta San Giobbe 873). This workshop aims at presenting recent developments in both theoretical and applied statistics for social sciences, with particular attention to economics and finance. The workshop will feature six presentations by international speakers and two tutorial classes will be offered: - Bayesian inference for Poisson processes, by prof. Fabrizio Ruggeri (CNR IMATI of Milan) - Introduction to Approximate Bayesian Computation by prof. Christian Robert (Université Paris Dauphine and University of Warwick). The sponsors of the event are: - Université Franco-Italienne (UFI) - GRETA research group - Dipartimento di Economia dell'Università Ca’ Foscari di Venezia All interested researchers, as well as PhD students, are invited to participate. The participation is free, but for organization reasons, people interested in attending the Workshop are kindly requested to contact the local organizers within October 7 via the following account: Matteo Iacopini: matteo.iacopini(a)unive.it <mailto:matteo.iacopini@unive.it> For further information please visit: http://sites.google.com/site/ifstatseminar/ <http://sites.google.com/site/ifstatseminar/> We apologize for cross-posting and look forward to seeing you in Venice! Best regards, Monica Billio, Roberto Casarin and Matteo Iacopini

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Fwd: 3-year post-doctoral fellowship in probability at Durham
by Pietro Caputo 02 Oct '17

02 Oct '17

---------- Forwarded message ---------- From: Andrew Wade <andrew.wade(a)durham.ac.uk> Date: Mon, Oct 2, 2017 at 11:05 AM Subject: 3-year post-doctoral fellowship in probability at Durham To: Dear colleagues, Apologies if you receive more than one copy of this message. Please allow us to draw your attention to the fact that Durham University is advertising for a 3-year post-doctoral fellowship (Willmore Fellowship) in probability or a closely related area of analysis (closing date 25 October 2017): https://recruitment.durham.ac.uk/pls/corehrrecruit/erq_ jobspec_details_form.jobspec?p_id=008217 Please pass this on to anyone who you think might be interested. Many thanks, Sunil Chhita Nicholas Georgiou Ostap Hryniv Mikhail Menshikov Andrew Wade

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Quantitative Finance Workshop 2018 - Call for Papers
by Davide Erminio Pirino 30 Sep '17

30 Sep '17

[image: Immagine incorporata 1] Dear Collegues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is 26 November 2017. Notification of acceptance will be given by 23 December 2017. The full paper for the discussant will have to be provided by 7 January 2018. Looking forward to seeing you in Rome! Best regards The organizing committee

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