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Mini course in Verona - Simone Mattia Scotti: Real markets, microstructure, clusters and Hawkes with a Branching process point of view.
by Luca di persio 20 Feb '17

20 Feb '17

*Mini course announcement* Prof. Simone Mattia Scotti [ LPMA, Université Paris Diderot ] will give a mini course on *Real markets, microstructure, clusters and Hawkes with a Branching process point of view*, according with the following time table: 21st of March (2017) : Room I 1430-1730 23rd of March (2017) : Room M 1530-1730 24th of March (2017) : Room M 1430-1730 all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal located here https://goo.gl/maps/Yx2JU *Abstract and structure of the course* The analysis of real financial markets, along with the study of related economic time series, represents an increasing field of research and development of effective applications, from the stochastic processes point of views, as well as from the statistic and computational sides of the moon. In this mini-course, we first recall the classical framework behind the modern and mathematically rigorous, theory of finance, starting from the treatment of continuous-path stochastic processes. Then, we focus on the microstructure of market data, discussing both limit and market orders, along with correlated liquidity problems. In a second part, we will specialize our analysis on a particular feature of financial markets, namely the existence of jumps' cluster. It is worth to mention that the latter has been highlighted in recent literature in microstructure, showing to have a deep impact on real markets and representing a main research axis in the field. >From a mathematical point-of-view, we will first introduce point processes and then Hawkes processes. We will show that the self-exciting structure of Hawkes processes can easily explain some features exhibited by financial data, e.g. the cluster effects. In the third part, we will introduce the branching processes (CBI) showing that they can be seen as a natural extension (marked versions) of Hawkes processes. We will show that this class of models has very nice properties from computational as well as from analytical point of view, particularly by exploiting the Dawson-Li representation. Moreover, we will point out some unexpected features of the aforementioned approaches, such, e.g., the persistency of low interest rates and negative risk premium in electricity markets. A detailed bibliograpy will be given during the course. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa -- __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <+39%20045%20802%207968> Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686 <+39%200461%20281686>

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Mini course in Verona - Adrian Zalinescu : Introduction to SPDEs with applications
by Luca di persio 18 Feb '17

18 Feb '17

*Mini course announcement* Prof. Adrian Zalinescu [ Universitatea Alexandru Ioan Cuza - Iaşi, Romania ] will give a mini course on *Introduction to Stochastic Partial Di fferential Equations* (with applications to Finance, Biology, etc.), according with the following calendar 13 - 20 - 27 of March (2017) time table: from 1430 to 1730 all the lessons will take place at the Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona Ca' Vignal 2, first floor , *Room M* located here https://goo.gl/maps/Yx2JU The* tentative programme* is the following: 1. *Gaussian measure theory* Random vectors and Bochner integral. Some elements of probability in in nite-dimensional spaces are considered, with emphasis on the integration of random vectors with values in separable Banach-spaces and in operator spaces. Gaussian measures. We introduce cylindrical Gaussian random variables and Hilbert-spacevalued Gaussian random variables and then de ne cylindrical Wiener processes and Q-Wiener processes (i.e. with the covariance given by the trace-class operator Q) in a natural way. Stochastic integral and Ito's formula. The stochastic integral is constructed with respect to a cylindrical Wiener process, then with respect to a Q-Wiener process, by extending the integral of elementary processes. Some properties of the stochastic integral are given, including Ito's formula. 2. *Stochastic Di erential Equations* Semigroup Theory. In this section we review the fundamentals of semigroup theory. Stochastic Convolutions and Linear SPDEs. We derive existence and uniqueness of di erent types of solutions for linear SDEs driven by generators of C0-semigroups. The method is based on the study of the stochastic convolution. Solutions by Variational Method. The purpose is to study solutions of nonlinear SPDEs, which are seen as evolution equations in a Gelfand triplet, under assumptions of compact embedding or monotone coe cients. 3. *Applications* Along the abstract study of SDEs in in nite-dimensional spaces, various examples of SPDEs with applications in physics, biology and mathematical finance will be given. A detailed bibliograpy will be given during the course. ___________ Do not hesitate to contact me for further details: luca.dipersio(a)univr.it LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Seminar announcement
by Marco Scarsini 17 Feb '17

17 Feb '17

Thursday 23 February from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. *Speaker:* Bruno Ziliotto (CNRS) *Title:* In zero-sum stochastic games, the payoff is constant *Abstract*: In a zero-sum stochastic game, at each stage, two adversary players take decisions and receive a stage payoff determined by these actions and by a random variable called state of nature. The total payoff is the discounted sum of the stage payoffs. Assume that players are very patient and use optimal strategies. We then prove that at any point in the game, players get essentially the same payoff: the payoff is constant. No game theory prerequisite of any kind is needed to understand this talk. (joint work with Miquel Oliu Barton) ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminario CARLO SGARRA @ UniTo
by Federico Polito 17 Feb '17

17 Feb '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* mercoledì 15 Marzo 2017 alle ore 11:30 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. CARLO SGARRA (Politecnico di Milano) terrà un seminario dal titolo A BRANCHING PROCESS-BASED APPROACH TO POWER MARKETS (The talk will be mainly based on a joint paper with Y. Jiao, C. Ma and S. Scotti). Abstract: Energy markets, and in particular, electricity markets, exhibit very peculiar features. The historical series of both futures and spot prices include seasonality, mean-reversion, spikes and small fluctuations. Very often a stochastic volatility dynamics is postulated in order to explain their high degree of variability. After the pioneering paper by Schwartz, where an Ornstein-Uhlenbeck dynamics is assumed to describe the spot price behavior, several different approaches have been investigated in order to describe the price evolution. High frequency trading, on the other hand, introduced some new features in commodity prices dynamics: in a recent paper by V. Filimonov, D. Bicchetti, N. Maystre and D. Sornette evidence is shown of endogeneity and structural regime shift, and in order to quantify this level the branching ratio is adopted as a measure of this endogenous impact and a Hawkes processes dynamics is assumed as a reasonable modelling framework taking into account the self-exciting properties. The purpose of the present investigation is to propose a new modeling framework including all the above mentioned features, still keeping a high level of tractability. The model considered allows to obtain the most common derivatives prices in closed or semi-closed form. Here with semi-closed we mean that the Laplace transform of the derivative price admits an explicit expression. The models we are going to introduce can describe the prices dynamics in two different forms, that can be proved to be equivalent: the first is a representation based on random fields, the second is based on Continuous Branching Processes with Immigration (CBI in the following). Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.fpolito.eu

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seminario Matteo Burzoni in Bicocca
by Fabio Bellini 17 Feb '17

17 Feb '17

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Teaching assistantships at LUISS
by Marco Scarsini 16 Feb '17

16 Feb '17

LUISS is looking for teaching assistants for various courses in mathematics, statistics, and computer science for the academic year 2017/2018. Teaching assistants are expected to teach in either English or Italian (not necessarily both), hold office hours, and assist with exams. Whoever is interested should fill out the application form that can be found at the pages http://www.luiss.edu/ateneo/opportunita-di-lavoro/reclutamento-docenti-cont… (Department of Economics and Finance), http://www.luiss.edu/ateneo/opportunita-di-lavoro/reclutamento-docenti-cont… (Department of Management). The deadline is 02 March 2017. I would greatly appreciate if you could inform your graduate students of this opportunity. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Annuncio di seminari
by Piccioni, Mauro 15 Feb '17

15 Feb '17

Il giorno 21 febbraio 2017 presso l'Aula E del Dipartimento di Matematica, Sapienza Università di Roma si terranno i seguenti seminari di Probabilità e Statistica Matematica: Ore 14.30 Wolfgand Woess (TU Graz, Austria) Multidimensional reflected random walk - some results and many questions Abstract: Let (Y_n,V_n) be i.i.d. distributed, with the components r and s-dimensional, respectively. Reﬂected random walk starting at a point x of the positive r-dimensional orthant is deﬁned recursively by X_0 = x, X_n = |X_{n−1}−Y_n|, where |(a_1,...,a_r)| = (|a_1|,...,|a_r|). In R^s, consider the ordinary sum S_n = V_1 +···+V_n . We are interested in (topological) recurrence of the process (X_n,v+S_n) starting at (x,v). While this is quite well understood for refelcted random walk with r=1, in higher dimension (r \geq 2) or with some non-reﬂected coordinates (s \in {1,2}) we have a few basic results and various open questions with some partial answers. This is work with Judith Kloas, with input from Marc Peigne' and Wojciech Cygan. Ore 15.30 Oriane Blondel (CNRS Lyon, France) More random walks on random walks Abstract: We consider a Poissonian distribution of particles performing independent simple random walks. Simultaneously, on top of this system, a random walker evolves with a drift to the right when it is on top of (at least) a particle, to the left when it is on an empty site. We obtain a LLN, CLT and large deviation bounds in high and low density. Joint work with Marcelo Hilario, Renato dos Santos, Vladas Sidoravicius, Augusto Teixeira. Tutti gli interessati sono invitati a partecipare. per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Seminario Prof. Giorgio Ferrari
by Tiziano Vargiolu 15 Feb '17

15 Feb '17

Il giorno martedi' 21 febbraio alle ore 11 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 1AD/100, il prof. Giorgio Ferrari dell'Universita' di Bielefeld, e ospite del Dipartimento di Matematica in qualita' di professore visitatore nell'ambito del progetto YITP (Young Investigation Training Program), terra' un seminario dal titolo Controlling Public Debt without forgetting Inflation Abstract -------- Consider a government that wants to control its debt-to-GDP (gross domestic product) ratio, while taking into consideration the evolution of the inflation rate of the country. The uncontrolled inflation rate follows an Ornstein-Uhlenbeck dynamics and affects the growth rate of the debt ratio. The level of the latter can be reduced by the government through fiscal interventions. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the total expected cost of interventions on debt ratio. We model such problem as a two-dimensional singular stochastic control problem over an infinite time-horizon. We show that it is optimal for the government to adopt a policy that keeps the debt-to-GDP ratio under an inflation-dependent ceiling. This curve is the free-boundary of an associated fully two-dimensional optimal stopping problem, and it is shown to be the unique solution of a nonlinear integral equation. Finally, some economic conclusions are drawn. Tutti gli interessati sono invitati a partecipare. Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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BISP10, Milano, June 2017-extended deadlines
by fabrizio＠mi.imati.cnr.it 15 Feb '17

15 Feb '17

The 10th workshop on Bayesian Inference for Stochastic Processes (BISP10) will take place in Milano, Italy, on June 13-15, 2017. ** The online abstract submission (for oral or poster presentation) is extended to the 28th of February ** Theoretical and applied contributions on Bayesian inference in stochastic processes are both welcome. A non-exhaustive list of topics includes Markov processes, temporal and spatial processes, computations and methods for complex structures, empirical processes, birth-death and branching processes, networks and relational data, queuing, signal processes, stochastic differential equations. BISP10 is dedicated to Pietro Muliere, on his 70th birthday. All information can be found on the website : www.unibocconi.eu/bisp10 If you have any questions, please contact the Chairs of the Local and Scientific Committees: Sonia Petrone sonia.petrone(a)unibocconi.it and Fabrizio Ruggeri fabrizio(a)mi.imati.cnr.it Best wishes, and we look forward to welcoming you in Milano at BISP10. Sonia Petrone & Fabrizio Ruggeri -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

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Seminario Dott.ssa Zehra Eksi
by Katia Colaneri 14 Feb '17

14 Feb '17

Il giorno giovedì 16 febbraio alle ore 16 presso il Dipartimento di Economia dell'Università di Perugia, la Dott.ssa Zehra Eksi, Assistant Professor presso la WU-Vienna University of Economics and Business, e ospite del Dipartimento di Economia in qualità di professore visitatore nell'ambito del progetto YITP (Young Investigation Training Program), terrà un seminario dal titolo "EM Algorithm for Markov Chains observed via Gaussian Noise and Point Processes Information" *Abstract*: In this paper we obtain an Expectation-Maximization (EM) algorithm for a setting in which the state variable follows a finite-state Markov chain observed via diffusive and point process information. Such a setting may arise, for example, in the modelling of sovereign credit risk where information stems from default history (jump component) and CDS spreads (diffusive component). Obtaining the EM algorithm amounts to the derivation of finite-dimensional filters for quantities such as number of jumps and sojourn times associated to the Markov chain. In this context, we obtain both exact and unnormalized filters for the related quantities. Moreover, we compute discretized robust versions of the unnormalized filters. Next, we introduce a novel goodness of fit test to check how well the estimated model explains a given data set. Finally, we run a simulation study to test speed and accuracy of the algorithm. In particular, we provide a comparison for the estimates resulting from the robust and naive discretization and the value of point process information (This is a Joint work with Camilla Damian and Ruediger Frey) Tutti gli interessati sono invitati a partecipare. Dott.ssa Katia Colaneri Department of Economics, University of Perugia Via A. Pascoli 20, Perugia 06123- Italy e-mail: katia.colaneri@unipg <katia.colaneri(a)gmail.com>.it

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Mini-workshop announcement: Stochastic Analysis Day 2017, Monday, February 27, Pisa
by Carina Geldhauser 13 Feb '17

13 Feb '17

Stochastic Analysis Day 2017 The Stochastic Analysis Day 2017 will take place on Monday, February 27, at the Department of Mathematics of the University of Pisa. Speakers: * J.C. Alfonso Lopez (Braunschweig) * L. Bianchi (Berlin) * T. Funaki (Tokyo) * C. Geldhauser (Pisa) * H. Hatzikirou (Braunschweig) *M. Maurelli (Berlin) More information can be found on the website http://www.dm.unipi.it/pages/romito/SPASS/workshop/20170227/ Registration is not obligatory, but highly recommended for organizational purposes. To register, please contact the organizers.

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WIRN 2017 - First Call for Papers - 27th Italian Workshop on Neural Networks
by Marco Corazza 13 Feb '17

13 Feb '17

*** WIRN 2017 - First Call for Papers *** *** 27th Italian Workshop on Neural Networks *** *** June 14-16, Vietri sul Mare, Salerno, Italy *** WIRN 2017 – PRELIMINAY CALL FOR PAPERS The Italian Workshop on Neural Networks (WIRN) is the annual conference of the Italian Society of Neural Networks (SIREN). The conference is organized in co-operation with the International Institute for Advanced Scientific Studies (IIASS) of Vietri S/M (Italy), and is a traditional event devoted to the discussion of novelties and innovations related to field of Artificial Neural Networks. In recent years, it also became a multidisciplinary forum on psychological and cognitive theories for modelling human behaviours. The 27th Edition of the Italian Workshop on Neural Networks (WIRN 2017) will be held at the IIASS of Vietri sul Mare, near Salerno, Italy. CALL FOR PAPERS, SPECIAL SESSIONS PROPOSALS: Prospective authors are invited to contribute high quality papers in the topic areas listed below and proposals for special sessions. Special sessions aim to bring together researchers in special focused topics. Each special session should include at least 3 contributing papers. A proposal for a special session should include a summary statement (1 page long) describing the motivation and relevance of the proposed special session, together with the article titles and author names of the papers that will be included in the track. Contributions should be high quality, original and not published elsewhere or submitted for publication during the review period. Please visit the web site for further details of the required paper format. Papers will be reviewed by the Program Committee, and may be accepted for oral or poster presentation. All accepted contributions will be published in a special volume printed by Springer and indexed by SCOPUS. Authors will be limited to one paper per registration. Manuscripts should not exceed the limit of 8 pages. The description of the submission procedure will appear soon on the SIREN Website www.associazionesiren.org TOPIC AREAS: Suggested topics for the conference include, but are not limited to, the following research and application areas: - General Topics of Interest about Computational Intelligence: Neural Networks, Fuzzy Systems, Evolutionary Computation and Swarm Intelligence, Support Vector Machines, Complex Networks, Bayesian and Kernel Networks, Consciousness and Models of Emotion Cognitive and Psychological Models of Human Behavior. - Algorithms & Architectures: Among others: Opportunist Networks, Metabolic Networks, ICA and BSS, Deep Neural Networks, Bio-inspired Neural Networks, Wavelet Neural Networks, Intelligent Algorithms for Signal (Speech, Faces, Gestures, Gaze, etc) Processing and Recognition. - Implementations: Among others: Hardware Implementations and Embedded Systems, Neuromorphic Circuits and Hardware, Spike-based VLSI NNs, Intelligent Interactive Dialogue Systems, Embodied Conversational Agents. - Applications: Among others: Finance and Economics, Big Data Analysis, Neuroinformatics and Bioinformatics, Brain-Computer Interface and Systems, Data Fusion, Time Series Modelling and Prediction, Intelligent Infrastructure and Transportation Systems, Sensors and Network of Sensors, Smart Grid, Process Monitoring and Diagnosis, Intelligent and Adaptive Systems for Human-Machine Interaction. PAPER SUBMISSION: Important Dates - Special Session/Workshop proposals: March 16, 2017; - Paper Submission deadline: April 16, 2017; - Notification of acceptance: May 16, 2017; - Camera-ready copy: on site, June 1, 2017; - Conference Dates: June 14-16, 2017. More detailed instructions will follow soon on the SIREN home page www.associazionesiren.org or in www.wirn2017.polito.it. -- Marco Corazza Department of Economics Ca' Foscari University of Venice San Giobbe, Cannaregio 873 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it --

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PhD in Financial Mathematics at the Scuola Normale Superiore (Pisa). Call 2017-2018
by Fabrizio Lillo 12 Feb '17

12 Feb '17

The call for applications to the 2017/2018 PhD program in Financial Mathematics at the Scuola Normale Superiore, Pisa, has been published on the web site http://phd.sns.it/call-2017-2018/, and on the home page of the institutional web site of the Scuola (www.sns.it). The deadline is February 20, 2017 Should you need any further information, please address your request to Fabrizio Lillo (fabrizio.lillo(a)sns.it). Thank you very much in advance. ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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seminario Cosimo Munari in Bicocca /2
by Fabio Bellini 10 Feb '17

10 Feb '17

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seminario Cosimo Munari in Bicocca /2
by Fabio Bellini 10 Feb '17

10 Feb '17

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2 Seminari Firenze 14/2/17 ore 10 al DISEI
by cecilia mancini 09 Feb '17

09 Feb '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze, il giorno Martedì 14 Febbraio 2017 (Edificio D6/Aula Bracco, ossia 1.12): si terranno i seguenti 2 seminari ore 10 Francesca Lilla (Università di Bologna) OPTION PRICING WITH HIGH FREQUENCY ESTIMATES OF CONTINUOUS AND DISCONTINUOUS VOLATILITY COMPONENTS ore 11 Susana Martins, University of Minho & NIPE, Braga, Portugal MODELLING SOVEREIGN DEBT CONTAGION: A SMOOTH TRANSITION APPROACH Tutti gli interessati sono cordialmente invitati a partecipare. La lista dei seminari Disei è raggiungibile al seguente indirizzo: http://www.disei.unifi.it/vp-104-seminari.html Abstract dei seminari OPTION PRICING WITH HIGH FREQUENCY ESTIMATES OF CONTINUOUS AND DISCONTINUOUS VOLATILITY COMPONENTS Jump-diffusion model represents the popular approach to match return stylized facts. Its estimation is simplified since prices are observable quantities, but it does not appear to be sufficient to yield the rapid increases in volatility which have been historically experienced. Examining price evolution at ultra high frequency, traditional measures of jump variation tend to spuriously assign a burst in volatility to the jump components. What jump-diffusion model identifies as genuine price jumps are period of heightened volatility. Starting from these findings, I develop a new multifactor volatility model, labeled as VARG-J, in which volatility is decomposed in two components: continuous and discontinuous. The first involves small changes while the second occasional big moves. The VARG-J model belongs to the class of affine discrete-time models based on high frequency volatility measures. The pricing approach performed in this paper allows to incorporate risk premia in order to compensate for two new sources of risk concerning both volatility components, beyond the risk related to shocks in log-returns. Combining high-frequency returns and option data, the empirical analysis illustrates that volatility jump component is a key ingredient for reproducing the observed volatility smile and for improving the pricing performances of S&P 500 Index options. MODELLING SOVEREIGN DEBT CONTAGION: A SMOOTH TRANSITION APPROACH ABSTRACT: In this paper, we study the timing and extent of the European sovereign debt contagion across nine Eurozone countries from 2005 until 2016. In this setting, financial contagion is measured as a significant increase in cross-market correlations which are assumed to follow a Smooth Transition Conditional Correlation (STCC-) GARCH model. The cross-market correlations change smoothly between two extreme states according to an observable transition variable. This variable is specified both as a function of time and lagged returns. When using time, a pre-crisis and two crises sub-periods are identified. Our results suggest contagion effects within the periphery countries, notably from Greece and Portugal, and between the periphery and core countries.

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CLADAG 2017: Call for Papers
by Francesca Greselin 09 Feb '17

09 Feb '17

11th Scientific Meeting of the Classification and Data Analysis Group of the Italian Statistical Society CLADAG 2017 September 13rd to 15th, 2017 University of Milano-Bicocca, Milan, Italy We happily announce and invite paper submissions for the *11th Scientific Meeting of the Classification and Data Analysis Group of the Italian Statistical Society - CLADAG 2017* conference, which will take place at the University of Milano-Bicocca, from September 13th to 15th. Areas of interest to the conference include: • Classification Theory • Multivariate Data Analysis • Proximity Structure Analysis • Applied Classification and Data Analysis • Software Developments People who wish to submit a paper should send the title of their paper by February 28th. Details of title submission are available at http://www.cladag2017.unimib.it The conference will be a mix of plenary, invited and submitted talks and posters. Invited sessions details can be seen at the conference website. ::: CLADAG 2017 KEYNOTES ::: We are delighted of having the following keynote speakers: *Antony Davison,* <http://statwww.epfl.ch/davison/davison.html> Institute of Mathematics, Ecole Poytechnique Federale de Lausanne, Switzerland *Sunil J. Rao,* <http://www.biostat.med.miami.edu/people/primary-faculty/sunil-rao> Division of Biostatistics, Department of Public Health Sciences University of Miami, Florida, USA *Roberto Rocci <http://economia.uniroma2.it/faculty/145/rocci-roberto>, *Dipartimento di Economia e Finanza, Università degli studi di Tor Vergata, Rome, Italy ::: CLADAG 2017 PAPERS AND SPECIAL ISSUES ::: Book of Abstract: all the accepted short papers will be published in the CLADAG2017 Proceedings, with ISBN. After the Conference, authors will be encouraged to submit a full paper (up to 8 pages) for the publication in the Springer series "Studies in Classification, Data Analysis, and Knowledge Organization" to be released in 2018. All submitted papers will undergo a regular reviewing process. ::: CLADAG 2017 DEADLINES ::: - Title and pre-registration: *February 28th, 2017* - Short paper: *March 31th, 2017* - Notification of acceptance: *May 15th, 2017* - Revised short paper: *May 31th, 2017* - Payment of registration fee: *from May 1rst, 2017* ::: CLADAG 2017 YOUNG RESEARCHERS AWARD ::: A Call for Ideas has been issued for organizing an event for Young researchers, on September 12th, with excellent proposals that are now under finalization. Prizes for the challenge will be awarded during the Conference. Looking forward to seeing you at CLADAG 2017! Francesca Greselin Local Organizing Committee

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de Finetti Risk Seminar - February 2017
by Emanuela Rosazza 09 Feb '17

09 Feb '17

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Coalitionally Strategy Proof Social Choice Functions K.P.S. Bhaskara Rao Indiana University Northwest LOCATION: The seminar will be held on Wednesday, February 15, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, 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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Master and PhD offers - LAAS, Touluse
by Cecchi, F. 08 Feb '17

08 Feb '17

Inoltro con richiesta di diffusione: 2 posizioni per Master/Phd thhesis in Touluse at LAAS sui seguenti argomenti: 1) Vehicular Networks 2) Stochastic Modeling of Computing Systems Dettagli in allegato. Saluti, Fabio

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Fwd: 10th European Summer School in Financial Mathematics
by Carlo Sgarra 08 Feb '17

08 Feb '17

---------- Messaggio inoltrato ---------- Da: "Martin Keller-Ressel" <martin.keller-ressel(a)tu-dresden.de> Data: 03/feb/2017 15:31 Oggetto: 10th European Summer School in Financial Mathematics A: Cc: <summerschool2017.math(a)tu-dresden.de> Dear colleagues, We happily announce and invite applications for the 10th European Summer School in Financial Mathematics „Rough Volatility and Transaction Costs" which will be held at TU Dresden in Dresden, Germany from August 28 - September 1, 2017. Mini-courses will be given by Jim Gatheral Johannes Muhle-Karbe Mathieu Rosenbaum Walter Schachermayer More detailed information on the summer school and instructions for application can be found at: https://www.math.tu- dresden.de/euroschoolmathfi17 The application deadline is April 17, 2017. Successful applicants will be sponsored for travel and accommodation. Please bring the announcement to the attention of PhD-students, Post-Docs and other researchers who may be interested to attend. Martin Keller-Ressel, for the organizing committee: Bruno Bouchard, Stefano De Marco, Martin Keller-Ressel, Mathieu Rosenbaum, Nizar Touzi -------------------------------- Martin Keller-Ressel Professor für Stochastische Analysis und Finanzmathematik Technische Universität Dresden Institut für Mathematische Stochastik Willersbau B 316, Zellescher Weg 12-14 01062 Dresden --------------------------------

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Alcuni aggiornamenti sulla lista Random
by Marco Romito 06 Feb '17

06 Feb '17

Cari iscritti, alcune informazioni importanti relative alla lista Random. 1) C'è stato un piccolo problema tecnico sul server che ospita la lista (più dettagli in calce per gli interessati) per cui alcuni dei messaggi inviati tra il 26 gennaio ed il 5 febbraio potrebbero non essere stati recapitati a tutti gli iscritti (essenzialmente, non hanno ricevuto messaggi coloro la cui posta in un modo o nell'altro passa attraverso server Google). Il problema è attualmente risolto. 2) L'archivio dei messaggi inviati su Random è disponibile all'indirizzo seguente (riportato in calce a ogni messaggio inviato sulla lista): https://fields.dm.unipi.it/pipermail/random/ Chi invia un messaggio a Random è invitato a controllare tale archivio 15 minuti dopo l'invio, per assicurarsi che il proprio messaggio sia effettivamente passato. (Talvolta capita che chi invia un messaggio non lo riceva al proprio indirizzo. Se il messaggio compare in archivio, gli altri utenti lo hanno ricevuto.) 3) L'indirizzo a cui inviare i messaggi alla lista è random(a)fields.dm.unipi.it Ricordiamo che è importante inviare i messaggi dall'indirizzo con cui si è iscritti a Random, altrimenti i messaggi vengono bloccati. Buona giornata, Francesco e Marco _Dettagli tecnici per gli interessati_: nel fine settimana del 27-28 gennaio il numero IP del server che ospita la lista è stato cambiato. Contestualmente, il tecnico che gestisce il server ha attivato la posta sull'indirizzo IPv6 (e non su IPv4). In teoria nulla di grave, perché l'architettura attuale dei server (dns, etc) permette l'indirizzamento con entrambi i tipi. Purtroppo i server di Google si aspettano che il DNS abbia anche una chiave crittografica per garantire che l'indirizzo IPv6 in questione sia autorizzato a inviare posta. Questo, tragicamente, non è stato fatto dal tecnico. La soluzione più immediata è stata di riportare la posta sull'indirizzo IPv4.

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Fwd: open position in Eindhoven
by Bertini, Lorenzo 06 Feb '17

06 Feb '17

---------- Forwarded message ---------- From: Peletier, M.A. <M.A.Peletier(a)tue.nl> Date: 2017-02-03 21:55 GMT+01:00 Subject: open position in Eindhoven To: "bertini(a)mat.uniroma1.it" <bertini(a)mat.uniroma1.it> I’m contacting you now because we just opened a position that’s specifically aimed to be between analysis and stochastics: http://jobs.tue.nl/nl/vacature/crossdisciplinary-tenuretrack-assistant-prof…

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Fwd: posto di Assistant Professor - Università Carlos III di Madrid
by Antonio DI CRESCENZO 06 Feb '17

06 Feb '17

DE: "BERNARDO D AURIA ." <<mailto:bdauria@est-econ.uc3m.es>bdauria(a)est-econ.uc3m.es> ASUNTO: 1 POSTO DI RICERCATORE (TENURE TRACK PER PROF. ASSOCIATO) ALLA UNIVERSITÀ DI MADRID CARLOS III FECHA: 6 de febrero de 2017 13:18:17 GMT+1 PARA: Mailing list RANDOM <<mailto:random@mail.dm.unipi.it>random(a)mail.dm.unipi.it> L'Università Carlos III di Madrid, in particolare il dipartimento di Statistica e Ricerca Operativa, ha bandito un posto di Assistant Professor (Profesor Visitante) Vi passo l'annuncio sperando sia di vostro interesse, la scadenza è per il 28 di Febbraio. La pagina web del dipartimento è http::/<http://www.est.uc3m.es/>www.est.uc3m.es Un saluto Bernardo D'Auria Universidad Carlos III de Madrid email: <mailto:bernardo.dauria@uc3m.es>bernardo.dauria(a)uc3m.es tel: 91.624.9502 en: 3.2.06 - DECANATO (Getafe) tel: 91.624.8804 en: 7.3.J29 - JUAN BENET (Leganés)

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Annuncio di seminario
by Piccioni, Mauro 06 Feb '17

06 Feb '17

*Martedì 14 febbraio* *Ore 14:00, Aula di Consiglio* *Seminario di Probabilità e Statistica Matematica* *Lorenzo Bertini, Dipartimento di Matematica, Sapienza Università di Roma* *Titolo: *Grandi deviazioni rispetto al moto per curvatura media *Sunto: *Si consideri l'equazione di Allen-Cahn in dimensione d=2 o d=3. Effettuando un riscalamento diffusivo, per dati iniziali opportuni, la dinamica limite dell'interfaccia tra le due fasi stabili e' descritta dal moto per curvatura media. Verra' introdotta una perturbazione stocastica di tale equazione e analizzata la corrispondente asintotica di grandi deviazioni nel limite di interfacce concentrate. Il corrispondente funzionale di tasso e' analogo a quello ottenuto analizzando la convergenza variazionale dei funzionali d'azione. La dimostrazione della stima di grandi deviazioni utilizza strumenti di teoria geometrica della misura. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a: piccioni(a)mat.uniroma1.it

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seminario Cosimo Munari in Bicocca
by Fabio Bellini 06 Feb '17

06 Feb '17

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