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Seminario LA VECCHIA
by Matteo Ruggiero 12 Jan '18

12 Jan '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 19 Gennaio 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Davide LA VECCHIA (University of Geneva) SADDLEPOINT TECHNIQUES FOR DEPENDENT DATA Saddlepoint techniques provide numerically accurate, higher-order, small sample approximations to the distribution of estimators and test statistics. While a rich theory is available for saddlepoint techniques in the case of independently and identically distributed observations, only a few results have been obtained for dependent data. In this talk, we explain how to fill this gap in the literature. Using the method of the tilted-Edgeworth expansion, we devise new saddlepoint density approximations and saddlepoint test statistics in the settings of time series (short or long memory) and spatial processes (panel data models, with fixed effects, time-varying covariates and spatially correlated errors). We compare our new approximations to the ones obtained by standard asymptotic theory, by Edgeworth expansion and by resampling methods. The numerical exercises illustrate that our approximations yield accuracy's improvements, while preserving analytical tractability. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <http://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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ARPM min-workshop on "Advanced statistical techniques across disparate asset classes" at Roma Tre University
by Francesco Cesarone 11 Jan '18

11 Jan '18

Dear Colleagues, on 24 January 2018 from 9:30 to 13:00 (Aula 8, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Dr. Angela Loregian, senior researcher at ARPM, will hold a min-workshop on "Advanced statistical techniques across disparate asset classes". The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - ARPM min-workshop. *About the Program.* *We introduce the concept of "risk driver" and **"invariant“, illustrating:* *- the asset-specific art of building risk drivers across the financial markets* *- the asset-agnostic science of applying statistics (econometrics and **machine learning) to extract the invariants and estimate their joint * *distribution. **Then, we translate the above statistical analysis into the asset-specific **joint distribution of instrument returns.* For more details, see the attached pdf file. We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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min-workshop on "Machine Learning and Big Data Analytics with MATLAB" at Roma Tre University
by Francesco Cesarone 11 Jan '18

11 Jan '18

Dear Colleagues, on 23 January 2018 from 14:00 to 17:00 (Computer Lab, ground floor, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma), Dr. Francesca Perino, Application Engineer at MathWorks, will hold a min-workshop on "Machine Learning and Big Data Analytics with MATLAB". The attendance of the course is free, but for organizational reasons it is necessary to register to register on the following web page: https://it.mathworks.com/company/events/seminars/ml-da-with-matlab-2373496.… . *Overview* *At the heart of many financial applications are machine learning techniques used for risk classification, economic analysis, credit scoring, time series forecasting, estimating default probabilities, and data mining. Big data represents an opportunity for quantitative analysts and data scientists alike to impact the way organizations make informed business decisions. By building machine learning models that harness big data, a greater level of insight and confidence can be achieved.* *However, implementing and comparing machine learning techniques to choose the best method can be challenging. Furthermore, there is no single approach to solving the many challenges arising from working with big data. MATLAB minimizes these challenges by providing you with a number of built-in functions and tools for quick prototyping, integration, and scaling, to take you from initial prototype all the way to business-critical production system.* *In this session, we will introduce ways of working with big data systems, the different types of machine learning techniques in MATLAB, how to determine the best techniques for your problem by evaluating model performance, and rapidly deploying your machine learning models into production. We will cover several new workflows and data types in MATLAB and the toolboxes that have been designed to address the most common challenges with big data analytics and machine learning.* *Highlights* *Data management and integration with databases, live market data, and big data environments* *Efficient workflows for heterogenous time-series data using new data management capabilities* *Parallel Computing techniques to speed up long-running computations and deal with out-of-memory data* *Predictive modeling and using supervised machine learning techniques to build a credit rating engine* We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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[Forum SIS] : Seminari prof. Berger, Duke University
by Brunero Liseo 11 Jan '18

11 Jan '18

Avviso Ciclo di Seminari Il prof. James O. Berger, Duke University, https://en.wikipedia.org/wiki/Jim_Berger_(statistician) sarà ospite del Dipartimento MEMOTEF, Sapienza Università di Roma dal 22 al 26 gennaio 2018. Nel corso della settimana il prof. Berger terrà una serie di seminari su Bayesian Model Selection I seminari si terranno in Aula 6B, al piano terrà della facoltà di Economia, Via del Castro Laurenziano, 9, secondo il seguente orario: Lunedì 22 gennaio ore 11-13 Martedì 23 gennaio ore 16.30-18 Mercoledì 24 gennaio 11.30-13 Mercoledì 24 gennaio 14.30-16 I seminari sono rivolti ad un pubblico di dottorandi ma tutti gli interessati sono invitati a partecipare. Brunero Liseo -- ============================================ Brunero Liseo *Dip. di metodi e modelli per il territorio, l'economia e la finanza * *Sapienza Università di Roma* *Viale Castro Laurenziano, 9 Roma I-00161 *Tel. +39 06 49766973 Fax +39 06 4957606 *https://sites.google.com/a/uniroma1.it/bruneroliseo/ <https://sites.google.com/a/uniroma1.it/bruneroliseo/>* ============================================

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Correction: RISM School in Developements in SPDEs, first announcement
by gianmario tessitore 10 Jan '18

10 Jan '18

My pevious mail contained a missprint in the title of the school following is the correct announcement Gianmario Tessitore ======================================== Dear Colleagues, This is the first announcement of the upcoming sixth RISM school DEVELOPMENTS IN STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS in honor of Giuseppe Da Prato. It will take place in Varese during the week July 23-27, 2018 at the Riemann International School of Mathematics, Universita’ degli Studi dell'Insubria, and it will be directed by Martin Hairer. Please find the poster and further details at the link www.rism.it. The school will consist of three courses delivered by: Arnaud Debussche (Ecole Normale Superieure Rennes) Martin Hairer (Imperial College, London) Felix Otto (Max Planck Institute, Leipzig) and of three specialized talks aimed at presenting recent advances and challenges of contemporary research in SPDEs in connection with the work of Giuseppe Da Prato. Moreover young participants will be offered the possibility to present short communications on their own research. Interested people can register at the link http://www.rism.it/registration_rism5_45.html (a modest registration fee will cover 5 lunches and local transportations). IMPORTANT: PhD students, young researchers and postdocs are invited to apply for financial support towards lodging expenses by sending a CV to presidente(a)rism.it For organizing purposes we kindly ask participants to get registered as soon as possibe and, in any case, by the end of March 2018. With very best regards and wishes for a prosperous 2018, Scientific Committee: M. Hairer (Imperial College - London), S. Cerrai (University of Maryland), A. Debussche (ENS - Rennes), L. Zambotti (Universite Pierre et Marie Curie - Paris). Organizing Committee: D. Cassani (Univ. Insubria), M. Fuhrman (Univ. Milano), G. Guatteri (Politecnico di Milano), F. Masiero and G. Tessitore (Univ. Milano-Bicocca) -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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RISM School in Developements in SDEs, first announcement
by gianmario tessitore 10 Jan '18

10 Jan '18

Dear Colleagues, This is the first announcement of the upcoming sixth RISM school DEVELOPMENTS IN STOCHASTIC DIFFERENTIAL EQUATIONS in honor of Giuseppe Da Prato. It will take place in Varese during the week July 23-27, 2018 at the Riemann International School of Mathematics, Universita’ degli Studi dell'Insubria, and it will be directed by Martin Hairer. Please find the poster and further details at the link: www.rism.it. The school will consist of three courses delivered by: Arnaud Debussche (Ecole Normale Superieure Rennes) Martin Hairer (Imperial College, London) Felix Otto (Max Planck Institute, Leipzig) and of three specialized talks aimed at presenting recent advances and challenges of contemporary research in SPDEs in connection with the work of Giuseppe Da Prato. Moreover young participants will be offered the possibility to present short communications on their own research. Interested people can register at the link http://www.rism.it/registration_rism5_45.html (a modest registration fee will cover 5 lunches and local transportations). IMPORTANT: PhD students, young researchers and postdocs are invited to apply for financial support towards lodging expenses by sending a CV to presidente(a)rism.it For organizing purposes we kindly ask participants to get registered as soon as possibe and, in any case, by the end of March 2018. With very best regards and wishes for a prosperous 2018, Scientific Committee: M. Hairer (Imperial College - London), S. Cerrai (University of Maryland), A. Debussche (ENS - Rennes), L. Zambotti (Universite Pierre et Marie Curie - Paris). Organizing Committee: D. Cassani (Univ. Insubria), M. Fuhrman (Univ. Milano), G. Guatteri (Politecnico di Milano), F. Masiero and G. Tessitore (Univ. Milano-Bicocca) -- Gianmario Tessitore Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca

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Fwd: 3 year postdoc at Oxford in economic complex systems modeling
by Fabrizio Lillo 10 Jan '18

10 Jan '18

Ricevo e inoltro ---------------------------------------- Fabrizio Lillo Dipartimento di Matematica Università di Bologna ITALY Personal website: fabriziolillo.wordpress.com University website: www.unibo.it/sitoweb/fabrizio.lillo <http://fabriziolillo.wordpress.com/> phone: +39 050509159 <+39%20050%20509159> ---------- Forwarded message ---------- From: Doyne Farmer <Doyne.Farmer(a)inet.ox.ac.uk> Date: 2017-12-22 13:34 GMT+01:00 Subject: 3 year postdoc at Oxford in economic complex systems modeling To: Fabrizio Lillo <fabrizio.lillo(a)sns.it> We are seeking to appoint a Senior Research Associate to participate in the ‘Sensitive Intervention Points in the Transition to the Post-Carbon Society” project funded by the Oxford Martin School under the leadership of the Principal Investigators, Professor Doyne Farmer and Professor Cameron Hepburn. The project will study the transition to carbon neutral energy generation from economic, sociological and technological points of view. Key duties include playing a leadership role in managing the project, working closely with the principal investigators and the other members of the team to achieve the goals of the project; managing and undertaking academic research and write articles for publication in scientific journals; managing and co-ordinating research activities, administrative activities and grant reporting; playing a mentoring role, and act as a source of information and advice to other members of the group; disseminating research and presenting research outputs at conferences, workshops and to stakeholders; and developing ideas for generating research income and take a leadership role in finding additional sources of funding and making applications for research grants. The successful candidate will have ability to undertake interdisciplinary research, with strong skills in mathematics, programming, and large-scale data analysis; a PhD/DPhil in a field of quantitative science such as economics, mathematics, physics, computer science, social science, biology, statistics or engineering; fluency in written and spoken English; and a demonstrated track record in writing papers for publication. An ability to work in a demanding environment subject to deadlines and exacting professional and academic standards is essential. The appointment will be available for up to 36 months.

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Postdoctoral Research Associate position: "Postdoctoral Research Associate position “Laboratoire des Sciences du Climat et de l’Environnement” (LSCE, Gif-sur-Yvette, France) funded by CEA on "Event Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators" (fwd)
by Michele Gianfelice 10 Jan '18

10 Jan '18

Ricevo ed inoltro p.c. . Cordialmente, m.gianfelice p.s: Among the Skills & diploma requested, the successful candidate should possess: - A PhD in Statistics, Applied Mathematics or related fields; - Strong bases on stochastic models including their statistical inference; - An excellent knowledge of R (recommended) or Python (second choice) programming languages; - English proficiency and attitude to work in an international research environment. ---------- Forwarded message ---------- Date: Wed, 10 Jan 2018 14:05:07 +0100 (CET) From: Davide Faranda <davide.faranda(a)lsce.ipsl.fr> Cc: Mathieu Vrac <mathieu.vrac(a)lsce.ipsl.fr> Subject: Postdoctoral Research Associate position: "Postdoctoral Research Associate position ?Laboratoire des Sciences du Clima t et de l?Environnement? (LSCE, Gif-sur-Yvette, France) funded by CEA on "E vent Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators" Dear Colleague, (sorry for cross-posting) please circulate this announcement for a post-doctoral position at LSCE starting Spring 2018 for (at least) 16 months. Applications will be open untill January 31, 2018 Best Regards, Mathieu Vrac, Davide Faranda Postdoctoral Research Associate position ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE, Gif-sur-Yvette, France) funded by CEA on Event Attribution of Climate Changes with dynamically driven-Stochastic Weather Generators Expected starting date: Spring 2018. Duration: 16 months Context of the position: There is an increasing interest worldwide in assessing the extent to which recent extreme weather and climate events can be solely linked to natural climate variability or be significantly altered in frequency or intensity by human-induced climate change (Stott, 2016). Examples are numerous: Paris flood in June 2016, drought in Central Europe in Summer 2015, or the extremely cold European winter of 2009/10. The usual question is to know to what extent such extremes are linked to climate change, and if they are becoming (or will become) more or less frequent. Therefore, the science of ?event attribution? is evolving rapidly. This postdoctoral position is part of the European ERA4CS ?EUPHEME? project, whose one of the main objectives is to develop state-of-the-art event attribution methods for a range of timescales, and new techniques for evaluating their reliability. The vision of the EUPHEME project is to place extreme weather events in the context of climate variability and change, thereby helping European citizens adapt to a changing climate and mitigate its worst effects. Scientific context: Event attribution relies on comparisons of various statistics of extreme events between a ?factual world? (i.e., the world as we observe it or at least with the real physical forcings) and a ?counter-factual world? (i.e., the world as it would be without one or several given forcings, as human-induced greenhouse gas emissions). Those comparisons are usually performed based on a very high number (1000s of runs) of climate model simulations. One issue is that General circulation models are generally too expensive to be run as long as needed to compute such statistics and at the demanded resolution. Stochastic weather generators (SWGs) are therefore a valid alternative: they are statistical models calibrated on past observations to simulate as many datasets as desired with the same statistical properties [Wilks, 2010, 2012]. Moreover, the dynamics of atmospheric motions depends on the observed atmospheric states. Recently, a technique to measure such state-dependent dynamical properties have been found [Faranda et al., 2017] by the computation of the so-called local dimensions (a measure of the state disorder) and the local persistence. Preliminary studies have shown that such information can be lumped with the statistical model to obtain ?conditional SWGs? (e.g., Wong et al., 2014) providing simulations with a realistic dynamics. Main goals: The goal of the postdoctoral research is to provide both a theoretical framework and a numerical tool to build conditional SWGs driven by dynamical systems properties. - The first step will be to introduce such properties and indicators in simple autoregressive models to mimic the dynamical properties of univariate time series of climate variables and simple dynamical systems. - Those state-dependent indicators will then be used to condition progressively more sophisticated SWGs (e.g., Vrac et al., 2007), up to spatial models (i.e., simulating fields) for climate variables as wind, temperature or precipitation. - At each stage, the different conditional SWGs developed will be applied in an event attribution purpose to evaluate the improvements achieved or still needed, depending on the extreme events of interest. Skills & diploma requested: The successful candidate should possess: - A PhD in Statistics, Applied Mathematics, Statistical Physics, Climate sciences or related field; - Strong bases on stochastic models including their statistical inference; - A basic knowledge of climate dynamics; - An excellent knowledge of R (recommended) or Python (second choice) programming languages; - A basic knowledge of dynamical systems framework will be a plus but is not mandatory; - English proficiency and attitude to work in an international research environment. Geographical location & scientific team: This postdoctoral position will be located at Gif-sur-Yvette (France), in the ?Extremes ? Statistics ? Impacts ? Regionalization? (ESTIMR) scientific research team of the ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE). The ESTIMR team develops a methodological research aiming to better understand the climate data: statistical analyses of observations and simulations in order to investigate the variability and identify the trends, modelling of extreme events, detection and attribution of their changes, downscaling, bias adjustment of simulations, uncertainty modelling of climate projections, etc. The ESTIMR team leads and participates to international projects, from pure to more applied science project. The main activity of the team relies on the use and development of advanced statistical models via a strong multidisciplinary interaction among climatology, modelling and statistics. How to apply: Applications will be open until January 31, 2018 (or until the position is filled) and have to be submitted by e-mail to M. Vrac (mathieu.vrac[at]lsce.ipsl.fr) and D. Faranda (davide.faranda[at]lsce.ipsl.fr) as soon as possible and must include: - a CV (max 2 pages + Publication list), - A statement of research interests describing why the candidate fits the position (max 2 pages), - The names of at least two references including e-mail addresses and telephone numbers. More information on the ?Extremes ? Statistics ? Impacts ? Regionalization? (ESTIMR) team: http://www.lsce.ipsl.fr/en/Phocea/Vie_des_labos/Ast/ast_groupe.php?id_group… More information on the ?Laboratoire des Sciences du Climat et de l?Environnement? (LSCE): http://www.lsce.ipsl.fr/ References: Davide Faranda, Gabriele Messori and Pascal Yiou. Dynamical proxies of North Atlantic predictability and extremes. Scientific Reports, 7-41278, 2017 Vrac, M., M. Stein, K. Hayhoe. Statistical downscaling of precipitation through nonhomogeneous stochastic weather typing. Climate Research, 2007, 34: 169-184, doi: 10.3354/cr00696 Wilks DS. Use of stochastic weather generators for precipitation downscaling. WIRES Clim Change 2010, 1(6):898?907 Wilks, D. S. (2012), Stochastic weather generators for climate-change downscaling, part II: multivariable and spatially coherent multisite downscaling. WIREs Clim Change, 3: 267?278. doi:10.1002/wcc.167 Wong, G., D. Maraun, M. Vrac, M. Widmann, J.M. Eden, and T. Kent, 2014: Stochastic Model Output Statistics for Bias Correcting and Downscaling Precipitation Including Extremes. J. Climate, 27, 6940?6959, https://doi.org/10.1175/JCLI-D-13-00604.1 -- Davide Faranda LSCE - CNRS http://www.lsce.ipsl.fr/Pisp/davide.faranda/

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Master programmes at the University of Kent
by Fabrizio Leisen 10 Jan '18

10 Jan '18

Con preghiera di diffusione. Contattami pure se avete bisogno di ulteriori informazioni. Cordiali saluti, Fabrizio Leisen A postgraduate degree in Statistics from the University of Kent can open many doors both in industry and research. The taught programmes in Statistics and Statistics with Finance provide exemption from the professional examinations of the Royal Statistical Society and qualification for Graduate Statistician status. The School of Mathematics, Statistics and Actuarial Science has a strong reputation for world-class research and a well-established system of support and training, with a high level of contact between staff and research students. Postgraduate students develop analytical, communication and research skills. Developing computational skills and applying them to mathematical problems forms a significant part of the postgraduate training in the School. The School encourages all postgraduate statistics students to take part in statistics seminars and to help in tutorial classes. The Statistics Group is forward-thinking, with varied research, and received high rankings in the Research Excellence Framework (REF) 2014 for research power and quality. An overview of the Statistics group activities can be found at https://www.kent.ac.uk/smsas/statistics/research/index.html For more information about postgraduate statistics programmes at Kent visit www.kent.ac.uk/smsas or contact the Admissions Officer: E: smsaspgadmissions(a)kent.ac.uk T: +44 (0) 1227 816050 Director: Fabrizio Leisen, F.Leisen(a)kent.ac.uk -- Fabrizio Leisen Reader in Statistics School of Mathematics, Statistics and Actuarial Sciences Sibson Building, University of Kent, Canterbury, CT2 7FS http://www.kent.ac.uk/smsas/statistics/our-people/profiles/leisen_fabrizio.… http://sites.google.com/site/fabrizioleisen/

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Seminario di Probabilità e Statistica Matematica a RM1
by Fabio Spizzichino 09 Jan '18

09 Jan '18

Il Prof. Yaakov Malinovsky (University of Maryland, Baltimore County) terra' un seminario dal titolo *Nested Group Testing Procedures and Generalized GT Problem* Giovedi' 11 Gennaio, ore 14:00, Aula B del Dipartimento di Matematica dell'Università La Sapienza, Piazzale A. Moro, 2 Tutte le persone interessate sono invitate ad intervenire Fabio Spizzichino ================ Abstract Group testing has its origins in the identi cation of syphilis in the US army during World War II. It is a useful method that has broad applications in medicine, engineering, and even in airport security control. Consider a finite population of N units, where unit i has a probability p to be defective. A group test is a simultaneous test on an arbitrary group of units with two possible outcomes: all units are good or at least one of the units is defective. The goal is to construct a procedure which classi fies all units in a given population, with as small as possible expected number of tests. In this talk I shall review previously known results in the group testing literature and present new results characterizing optimality of commonly used nested group testing procedures. In the second part of the talk, the generalized group testing problem (where unit i has a probability p_{i} to be defective) will be discussed as well. <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> Virus-free. www.avast.com <https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campai…> <#DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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mini corso di Mustafa Pinar su Combinatorial e Robust Optimization
by fabio bellini 09 Jan '18

09 Jan '18

Nei giorni 29-30-31/1 e 1-2/2, dalle ore 14 alle 17, il prof. Mustafa Pinar della Bilkent University di Ankara terrà un mini corso di dottorato su "Combinatorial and Robust Optimization". Le lezioni avranno luogo presso la Aula Seminari 2062 al secondo piano dell'edificio U7, in via Bicocca degli Arcimboldi 8. Tutti gli interessati sono invitati a partecipare; la partecipazione è libera; per motivi organizzativi occorre preiscriversi inviando una mail a nicoletta.alghisi(a)unimib.it. Saluti -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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MURF18 - Deadline for abstract submission: JAN 31, 2018
by Giovanni Puccetti 09 Jan '18

09 Jan '18

MURF18 - Deadline for abstract submission: JANUARY 31, 2018 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

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Bando RTD-A presso Politecnico di Torino
by Franco Pellerey 09 Jan '18

09 Jan '18

A tutti gli interessati segnalo che presso il Politecnico di Torino e' stata indetta la procedura di selezione per la copertura di una posizione da Ricercatore Universitario a tempo determinato di tipo A, nell'SSD Mat/06, riservata a candidati che abbiano conseguito il Dottorato di Ricerca in data non antecedente al 01/01/2013. Il termine di scadenza per la presentazione delle domande alla predetta procedura di selezione è fissato per il giorno Giovedì 1° febbraio 2018. Il testo del bando e' reperibile al link https://www.swas.polito.it/services/concorsi/240.asp?id_documento_padre=147… Cordiali saluti, Franco Pellerey Dipartimento di Scienze Matematiche Politecnico di Torino

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de Finetti Risk Seminar - January 2018
by Emanuela Rosazza 09 Jan '18

09 Jan '18

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture David Hobson University of Warwick TITLE: Optimal stopping, time inconsistency and naive agents ABSTRACT: Many problems from finance and economics can be cast as optimal stopping problems. In the classical framework when we model agents as maximisers of expected utility the optimal stopping rule is a threshold rule. But what happens if we move beyond the standard setting? We discuss some examples from cautious stochastic utility and prospect theory. Then the problems become time-inconsistent and we must discuss how agents respond to time inconsistency. LOCATION: The seminar will be held on Wednesday, Januar 17, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) ****************************************************************************************** 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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Sapienza bando RTB/B SSD MAT/06
by Barbara Vantaggi 09 Jan '18

09 Jan '18

Con preghiera di diffusione a tutti gli interessati Si segnala l'uscita di un bando per un posto di RTD-B nel settore MAT/06 in Sapienza Università di Roma, presso il Dipartimento SBAI. Il bando ha scadenza 05/02/2018 ed è disponibile alla pagina https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/93601 Cordiali saluti Barbara Vantaggi

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REMINDER - January 15 deadline for Papers and Abstracts - 10th World Congress of the Bachelier Finance Society
by Paolo Guasoni 08 Jan '18

08 Jan '18

10th World Congress of the Bachelier Finance Society Dublin, July 16-20, 2018 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, discuss the latest trends, and find new collaborations and employment opportunities. Submissions of papers and abstracts are open through January 15, 2018 at http://bacheliercongress2018.com/ Registration fees and accommodation options will be announced in the coming weeks on the website. Bachelier Finance Society Junior Scholar Award - sponsored by SIG At SIG, 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. For details on the Bachelier Finance Society Junior Scholar Award, see http://www.bachelierfinance.org/awards/junior-scholar-award.html 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), Jianfeng 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). -- *Séanadh Ríomhphoist/Email DisclaimerTá an ríomhphost seo agus aon chomhad a sheoltar leis faoi rún agus is lena úsáid ag an seolaí agus sin amháin é. Is féidir tuilleadh a léamh anseo. <https://www4.dcu.ie/iss/seanadh-riomhphoist.shtml>This e-mail and any files transmitted with it are confidential and are intended solely for use by the addressee. Read more here. <https://www4.dcu.ie/iss/email-disclaimer.shtml>* -- <https://www.facebook.com/DCU/> <https://twitter.com/DublinCityUni> <https://www.linkedin.com/company/dublin-city-university> <https://www.instagram.com/dublincityuniversity/?hl=en> <https://www.youtube.com/user/DublinCityUniversity>

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Intensive Course in Optimization of Mustafa Pinar at Roma Tre University
by Francesco Cesarone 08 Jan '18

08 Jan '18

Dear Colleagues, on 15-16-17-18-19-22 January 2018 from 14:00 to 17:00 and on 23 January 2018 from 10:00 to 13:00 (Aula 18, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Prof. Mustafa Pinar of Bilkent University in Ankara will hold an intensive course on "Optimization in Economics and Finance". The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone(a)uniroma3.it with the following subjects: Name Surname - course on Optimization. PROGRAM Optimization: theory and algorithms - Static optimization - Equality and inequality constraints. Lagrange multipliers, KKT conditions - The role of convexity and its generalizations in optimization - Lagrangian duality - Applications in Economics and Finance - Univariate uncostrained optimization - Multivariate unconstrained optimization (gradient-based methods, Newton's method and its variants) - Constrained optimization (penalty and barrier methods, augmented lagrangian method, sequential quadratic programming) - Optimization Software References - Optimization: Insights and Applications, J. Brinkhuis and V. Tikhomirov - Convex Optimization, S. Boyd and L. Vandenberghe - Convex Analysis and Optimization, Lecture Notes by A. Nemirovski We look forward to meeting you in Roma Tre! Best regards, Francesco Cesarone -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Posto di ricercatore di Tipo A), Settore SECS-S/ 06èpresso la Luiss, Roma
by Fausto Gozzi 08 Jan '18

08 Jan '18

Vi segnalo che sono stati pubblicati in G.U. il 5 gennaio 2018 2 bandi (Ricercatore lett. a), settori SECS-S/06 e SECS-P/11). In particolare si segnala il bando seguente e si invitano tutti gli interessati a presentare domanda. 13/D4 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Pubblicato sulla Gazzetta Ufficiale in data 5 gennaio 2018 Settore scientifico-disciplinare SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie presso il Dipartimento di Economia e Finanza della LUISS Libera Università Internazionale degli Studi Sociali Guido Carli. Ricercatore art. 24, comma 3, lett. a) Codice concorso DEF-RIC-03/2018 Scadenza: 19 febbraio 2018 * <http://www.luiss.it/sites/www.luiss.it/files/BANDO_DEF-RIC-03-2018.pdf>Bando DEF-RIC-03/2018 Fausto Gozzi Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old address, sometimes still used: Fausto Gozzi Dipartimento di Matematica Universita' di Pisa Largo Bruno Pontecorvo n.5 56127 Pisa Italy tel 050/2213270 e-mail: gozzi(a)dm.unipi.it

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Seminaio di N. Torri a Milano-Bicocca (11 gen 2018)
by Francesco Caravenna 08 Jan '18

08 Jan '18

Giovedì 11 gennaio 2018 alle ore 15:30 Niccolò Torri (Université Paris 6 - Pierre et Marie Curie) terrà un seminario dal titolo "Scaling limit of the prudent random walk" Aula 3014, Dipartimento di Matematica e Applicazioni (edificio U5, terzo piano, via Cozzi 55, Milano) Università di Milano-Bicocca Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%%%%%%%%%% The self-interacting self-avoiding random walk (ISAW) is a mathematical model introduced for studying the behavior of a polymer dipped in a repulsive solvent. In this model the possible spatial configurations of the polymer are provided by self-avoiding walk trajectories. However, self avoiding walks, especially in dimension 2 and 3, are complicated objects. This is the reason why, in the mathematical literature, the ISAW model was studied for sub-families of self-avoiding walks, as for instance the partially directed self-avoiding walk. A natural generalization of the partially directed self-avoiding walk is given by the so called "prudent random walk". A prudent path a non-directed self-avoiding path which cannot take a step towards a previously visited lattice site. The prudent self-avoiding walk has attracted the attention of the combinatorial and probabilistic community over recent years and already the 2-dimensional case presents challenging issues. In this talk we consider two of such issues, concerning the scaling limit as well as exponential growth rate of the set of prudent paths, making a link with the general context of the ISAW model. Joint work with N. Pétrélis and R. Sun %%%%%%%%%%%%%%%%%%%%%%%%%% _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Post-Doc research grant in Padova
by Tiziano Vargiolu 08 Jan '18

08 Jan '18

(sorry for possible cross-postings) Dear all, the Interdepartmental Centre "Giorgio Levi Cases" for Energy, Economics and Technology (University of Padova) issues a research grant on the topic "Capacity markets and the definition of the value of Reliability Options" to be performed at the Department of Mathematics under the supervision of Prof. Tiziano Vargiolu (as the scientific responsible), in cooperation with Prof. Fulvio Fontini, of the Department of Economics and Management. - duration: 27 month; - deadline: January 18, 2017 - topic: In energy markets, it is of particular interest the problem of a fair evaluation of Reliability Options (RO), namely, physical call options derived on electricity, issued by generators and acquired by a subject to hedge adequacy risk of power generation. The aim of this grant is to define a fair pricing of RO, which requires techniques which go beyond those classically used in financial markets to price and hedge derivative assets. - call for grant: http://www.math.unipd.it/it/news/?id=2152 The English version is at the bottom (2 downloadable files). The successful candidate will not have teaching duties (however, there is in principle the possibility to teach, if wanted) and will have access to the Department's fundings for travel. For further information, feel free to contact me (vargiolu(a)math.unipd.it) Please circulate -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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University of Leeds - one post for a Professor of Mathematics or Statistics
by Elena Issoglio 07 Jan '18

07 Jan '18

Dear All, I am glad to announce that the School of Mathematics at the University of Leeds is advertising one post for a Professor of Mathematics or Statistics. Please follow the link for details https://jobs.leeds.ac.uk/Vacancy.aspx?ref=MAPMA1074 Closing date: 31st January 2018. I would be most grateful if you could please forward this announcement to suitable candidates. Best wishes, Elena Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

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European Geosciences Union: Mathematics of Planet Earth
by Tobias Kuna 05 Jan '18

05 Jan '18

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Call for Abstracts: StochMod 2018 at Lancaster University
by Cecchi, F. 04 Jan '18

04 Jan '18

On behalf of Peter Jacko. Dear colleagues, We would like to invite you to submit abstracts for presentation at the 7th Stochastic Modelling meeting (StochMod 2018), which will take place on 13-15 June 2018 at Lancaster University, UK. Abstract submission closes on 14 February 2018. The StochMod meeting is run biennially by the EURO working group on stochastic modelling, and its scope covers both the theory and applications of stochastic models. StochMod 2018 will include keynote talks from - Margaret Brandeau (Stanford University) - Kevin Glazebrook (Lancaster University) - Kalyan Talluri (Imperial College London) and a tutorial by - Warren B. Powell (Princeton University). We will also have a panel discussion on "Teaching of stochastic modelling in the era of business analytics and data science", chaired by Ger Koole (VU-Amsterdam). [X] For additional information about StochMod 2018, please visit the meeting's webpage: http://www.lancaster.ac.uk/staff/jacko/stochmod2018/ We look forward to welcoming you in Lancaster! Best regards, Peter Jacko and Rouba Ibrahim (StochMod 2018 co-chairs)

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Univ. Ca' Foscari: SCADENZA 15-01-2018 - RTDa in Econometria
by Roberto Casarin 03 Jan '18

03 Jan '18

Gentili Colleghi, Il Dipartimento di Economia dell’Università Ca' Foscari di Venezia ha aperto un bando per una posizione di ricercatore a tempo determinato, di tipo A, della durata di 3 anni, per il settore SECS P/05 - Econometria: http://intra.unive.it/plapps/bandi/common/file_bandi/28096.pdf Si segnalano tra gli ulteriori requisiti indicati nel bando: "Il ricercatore dovrà essere particolarmente competente nell'uso di software econometrici e statistici come R o Matlab, avere conoscenza approfondita di statistica, econometria e modelli e metodi per l'analisi delle serie storiche" Il termine di presentazione della domanda è il 15 gennaio 2018 (vedere dettagli nel bando). Vi chiedo la cortesia di diffondere la notizia ai potenziali interessati. Cordiali saluti, Roberto Casarin -- Prof. Roberto Casarin Director of IMEF - International Master in Economics and Finance University Ca' Foscari, Venice Address: San Giobbe 873/b 30121 Venezia, Italy Phone: +39 041.234.91.49 Web: http://venus.unive.it/r.casarin/ IMEF: http://virgo.unive.it/imef/ -- Nota automatica aggiunta dal sistema di posta.

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Posizione Ricercatore tipo B in SECS-06 Sapienza
by Gabriele Stabile 02 Jan '18

02 Jan '18

Con preghiera di diffusione a tutti gli interessati Concorso per un posto di *RTD-B* nel settore *SECS-S/06* in* Sapienza Università di Roma*, presso il Dipartimento MEMOTEF, per attività di ricerca sul tema *Metodi quantitativi, modelli matematici e tecniche numeriche per il pricing di strumenti finanziari e per la valutazione del rischio. * Il bando ha *scadenza 22/01/2018 *ed è disponibile alla pagina https://web.uniroma1.it/trasparenza/dettaglio_bando_albo/93163 Un saluto Gabriele Stabile

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