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Invitation to upcoming PhD course
by Daniele Marazzina 15 Mar '17

15 Mar '17

Con preghiera di diffusione To Whom It May Concern >>>>>> Upcoming PhD Course <<<<<<<<<<<<<<<<<<<<<<<<<<<< Giorgia Callegaro (Università degli Studi di Padova) Lucio Fiorin (Università degli Studi di Padova) Daniele Marazzina (Politecnico di Milano) Option Pricing: from Monte Carlo Methods to Quantization The PhD Course (5 CFU) will take place in the Seminar Room of the Third Floor of the Department of Mathematics, Politecnico di Milano, in via Bonardi, 9, Milano, according to the following calendar: > May, 8th: 11am-1pm and 2pm-6pm > May, 9th: 9am-1pm and 2pm-4pm > May, 15th: 11am-1pm and 2pm-6pm > May, 16th: 9am-1pm and 2pm-4pm > May, 17th: 10am-12pm and 1pm-3pm For further details, please contact Daniele Marazzina daniele.marazzina(a)polimi.it Giorgia Callegaro gcallega(a)math.unipd.it >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Abstract: Monte Carlo methods are extensively used in finance to value and analyze complex instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value. The advantage of Monte Carlo methods over other techniques increases as the dimensions (sources of uncertainty) of the problem increase. However, it is well known that the disadvantage of Monte carlo methods is the slow convergence, and thus the high computational cost of the algorithms. Quantization is a way to approximate a random vector or a stochastic process using a nearest neighbour projection on a finite codebook. The birth of quantization dates back to the 1950s, when in the Bell laboratories ad hoc signal discretization procedures were developed for signal transmission. In the last years, Quantization has been deeply considered in numerical probability, especially for solving problems arising in mathematical finance, presenting itself as a de facto alternative to Monte Carlo methods. The purpose of the course is to highlight the characteristics of the two methodologies and to deeply analyze (and implement) their applications in financial context, mainly option pricing.

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UiO - PhD and PostDoc in stochastic analysis available
by Giulia Di Nunno 14 Mar '17

14 Mar '17

Dear Colleagues, this is to bring to your attention the available calls for 2 PhD positions and 1 PostDoc at the Department of Mathematics, University of Oslo. The descriptions are a little different from each other and can interest various candidates. https://www.jobbnorge.no/ledige-stillinger/stilling/135500/phd-research-fel… https://www.jobbnorge.no/ledige-stillinger/stilling/135491/phd-research-fel… https://www.jobbnorge.no/ledige-stillinger/stilling/134569/postdoctoral-res… Please help to distribute the information among your students and contacts. Thank you in advance for your help. Best regards, Giulia -- Giulia Di Nunno Professor Department of Mathematics University of Oslo http://folk.uio.no/giulian/

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PHD Lectures on Stochastic Processes - Prof. Youri Davydov
by Francesca Greselin 14 Mar '17

14 Mar '17

Nelle due prossime settimane, nelle giornate di martedì 21 -venerdì 24, e lunedi 27- giovedì 30 marzo, dalle 9.00 alle 12.00 si terrà un corso di Processi Stocastici, per il Dottorato in Statistica e Matematica per la Finanza, presso l'Università di Milano Bicocca. Le lezioni saranno tenute (in inglese) dal prof. Youri Davydov, del Laboratoire Painlevé, dell'Université Lille 1. La partecipazione al corso è aperta agli interessati, cui è chiesto solo di inviare una mail alla dott.ssa Nicoletta Alghisi, ( nicoletta.alghisi(a)unimib.it) per ragioni organizzative. (di seguito un breve sillabo del corso e bibliografia) PHD Lectures on Stochastic Processes Prof. Youri Davydov Laboratoire Painlevé - Université Lille 1 Syllabus • Definitions and general notions • Examples • Processes with independent increments • Stationary processes • Gaussian processes • Martingales. References 1. Gikhman, I. I., & Skorokhod, A. V. (1969). Introduction to the theory of random processes. Philadelphia: WB Saunders. 2. Lamperti, J. (2012). Stochastic processes: a survey of the mathematical theory (Vol. 23). Springer Science & Business Media. 3. Resnick, S. I. (1992). Adventures in Stochastic Processes, Birkhauser, Boston. -- Francesca Greselin Department of Statistics and Quantitative Methods University of Milano Bicocca Tel +39 02 6448 3118 Fax +39 02 6448 3105 *www.economia.unimib.it/ <http://www.economia.unimib.it/>GRESELIN* google scholar <http://scholar.google.com/citations?user=xOOTbBAAAAAJ&hl=en> researchgate <https://www.researchgate.net/profile/Francesca_Greselin> *Skype: francesca.greseli <francesca.greselin(a)unimib.it>n*

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Avviso di Seminario del Prof. Claudio Macci
by Enrica Pirozzi 14 Mar '17

14 Mar '17

AVVISO di SEMINARIO Asymptotic results for runs and empirical cumulative entropies Prof. Claudio Macci Dipartimento di Matematica Università di Roma Tor Vergata Abstract: We prove large and moderate deviations for two sequences of estimators based on the order statistics and, more precisely, on spacings. In the first case we deal with runs, and we have sums of independent Bernoulli distributed random variables. In the second case we deal with empirical cumulative entropies, and we have linear combinations of independent exponentially distributed random variables. Joint work with Rita Giuliano and Barbara Pacchiarotti. Il seminario si terrà il giorno 16 Marzo 2017 ore 15:00 nella Sala Professori secondo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminario di Probabilità - Padova
by Paolo Dai Pra 13 Mar '17

13 Mar '17

Ho il piacere di invitarvi al seguente seminario, che si terrà Lunedì 20 Marzo, alle 14:15, in aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Francesca Nardi AFFILIATION: Università di Firenze TITLE: Hitting Time Asymptotics for Hard-Core Interactions on Grids ABSTRACT: We consider the hard-core model with Metropolis transition probabilities on finite grid graphs and investigate the asymptotic behavior of the first hitting time between its two maximum-occupancy configurations in the low-temperature regime. In particular, we show how the order-of-magnitude of this first hitting time depends on the grid sizes and on the boundary conditions by means of a novel combinatorial method. Our analysis also proves the asymptotic exponentiality of the scaled hitting time and yields the mixing time of the process in the low-temperature limit as side-result. In order to derive these results, we extended the model-independent framework in Manzo et al. (J Stat Phys 115(1/2):591–642, 2004) for first hitting times to allow for a more general initial state and target subset. Work in collaboration with A. Zocca S. C. Borst Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Seminario DE IORIO
by Matteo Ruggiero 10 Mar '17

10 Mar '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 17 Marzo 2017 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Maria DE IORIO (University College London) DEPENDENT GENERALISED DIRICHLET PROCESS PRIORS We propose a novel Bayesian nonparametric process prior for modelling a collections of random discrete distributions. This process is defined by combining a Generalised Dirichlet Process with a suitable Beta regression framework that introduces dependence among the discrete random distributions. This strategy allows for covariate dependent clustering of the observations. Some advantages of the proposed approach include wide applicability, ease of interpretation and efficient MCMC algorithms. The methodology is illustrated through two real data applications involving acute lymphoblastic leukaemia and London primary schools quality evaluations. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://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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seminari Bernard e Vanduffel in Bicocca
by Fabio Bellini 10 Mar '17

10 Mar '17

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(senza oggetto)
by Piccioni, Mauro 09 Mar '17

09 Mar '17

Lunedì 13 marzo Ore 16:00, Aula di Consiglio, Dipartimento di Matematica, Università Roma La Sapienza Seminario di probabilità e statistica matematica Yosi Rinott, The Hebrew University and LUISS. Title: Differential Privacy applied to common methods of dissemination of frequency tables. When official data are to be disseminated to the public, the agency that releases the data must guarantee the privacy of individuals whose data are to be released. It is not clear how to define and measure privacy. I will explain a notion developed in computer science known as Differential Privacy, and my work (with others) on issues that arise in applying it to the dissemination of frequency tables. Tutti gli interessati sono invitati ad intervenire. Per informazioni rivolgersi a piccioni(a)mat.uniroma1.it

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Reminder - Seminario CARLO SGARRA @ UniTo
by Federico Polito 07 Mar '17

07 Mar '17

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* *::..Reminder..::* 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. Un saluto, -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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PhD course in GeoStatistics
by Laura M. Sangalli 07 Mar '17

07 Mar '17

The following PhD course in Geostatistics will be held at the Department of Mathematics, Politecnico di Milano The course covers classical and advanced models and methods for the statistical analysis of data with spatial dependence. Lectures include tutorial sessions with the software R. Many case studies will be presented, with applications in the earth-sciences, in the neurosciences and more generally in the life-sciences (including medical imaging), and in the engineering. Lessons: 1 & 2) Kriging: stationary and isotropic random fields; structural properties of the variogram; valid variogram models; variogram estimation; kriging prediction for georeferenced data; drift estimation; kriging for data in Hilbert spaces. Lecturer: A. Menafoglio. 3) Non-parametric techniques. Lecturer: Simone Vantini. 4) Bayesian models for georeferenced data and areal data. Lecturer: A. Guglielmi. 5) Numerical methods for the analysis of spatially distributed data: thin-plate splines; tensor product splines. Lecturer: L. Sangalli. 6) Spatial regression with differential regularization. Lecturer: L. Sangalli. Essential bibliography: - N. Cressie. Statistics for Spatial data. John Wiley & Sons, New York, 1993. - S. Banerjee, B. P. Carlin, and A. E. Gelfand. Hierarchical Modeling and Analysis for Spatial Data. Chapman & Hall / CRC, 2004. - R. Bivand, E. Pebesma, V. Gomez-Rubio. Applied Spatial Data Analysis with R. Springer, 2008 Calendar: Tuesday 7/3, 14:30-17:30, aula del Consiglio, seventh floor; Kriging; Lecturer: Alessandra Menafoglio Thursday 9/3, 10:00-13:00, aula Seminari, sixth floor; Kriging; Lecturer: Alessandra Menafoglio Tuesday 21/3, 14:30-17:30, aula Seminari, sixth floor; Non-parametric techniques; Lecturer: Simone Vantini Thursday 23/3, 14:30-17:30, aula Seminari, sixth floor; Bayesian models for georeferenced data and areal data; Lecturer: Alessandra Guglielmi Tuesday 28/3, 14:30-17:30, aula Seminari, sixth floor; Numerical methods for the analysis of spatially distributed data; Lecturer: Laura Sangalli Thursday 30/3, 14:30-17:30, aula Seminari, sixth floor; Spatial regression with differential regularization; Lecturer: Laura Sangalli People interested to attend are kindly requested to write an email to laura.sangalli(a)polimi.it -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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de Finetti risk seminar - March 2017
by Emanuela Rosazza 06 Mar '17

06 Mar '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 TITLE: Duality formulas for robust pricing and hedging in discrete time Patrick Cheridito ETH Zurich ABSTRACT: In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating the shortfall risk completely, aim to reduce it to an acceptable level. This yields robust price bounds with tighter spreads. As applications we study strict super- and subhedging with general convex transaction costs and trading constraints as well as risk based hedging with respect to robust versions of the average value at risk and entropic risk measure. Our approach is based on representation results for increasing convex functionals and allows for general financial market structures. As a side result it yields a robust version of the fundamental theorem of asset pricing. Joint work with Michael Kupper and Ludovic Tangpi. LOCATION: The seminar will be held on Wednesday, March 15, 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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Fwd: Bocconi Summer School in Statistics & Probability, 10-22 July 2017
by Pietro Muliere 06 Mar '17

06 Mar '17

Oggetto: [Forum SIS] Bocconi Summer School in Statistics & Probability, 10-22 July 2017 --> CALL FOR APPLICATIONS Bocconi Summer School in Advanced Statistics and Probability: "Statistical Causal Learning", July 10-22, 2017 http://spas.lakecomoschool.org We are pleased to announce the "Bocconi Summer School in Advanced Statistics and Probability", organized and sponsored by Bocconi University, Milano, in collaboration with the Lake Como School of Advanced Studies. The aim of the Bocconi Summer School is to establish a track of high level courses on advanced and cutting-edge topics in Statistics and Probability and related areas. The school is open to all interested scholars, but is especially addressed to doctoral students, and possibly to brilliant MSc graduates interested in pursuing doctoral studies in Statistics, Probability, Computer Science, Applied Mathematics, Operation Research and related fields. The School is hosted yearly at Villa del Grumello, on the shores of the Lake of Como, usually in July. The 2017 edition, on "STATISTICAL CAUSAL LEARNING", will take place on 10-22 July, 2017. INSTRUCTORS: * Bernhard Schölkopf (Empirical Inference Department Director, Max Planck Institute for Intelligent Systems, Tubingen); * Ilya Tolstikhin (Research Scientist, Max Plank Institute for Intelligent Systems, Tubingen); * David Lopez-Paz (Researcher at Facebook AI Research, Paris). APPLICATIONS: The School will be open to 30 qualified and selected students. Applications can be submitted BY APRIL 7, 2017, through the form: http://spas.lakecomoschool.org/application-form/ REGISTRATION and FEES. Admitted participants should register by May 7, 2017. The registration fee (450 euro) covers all the school activities and course material; wi-fi connections; all work-days lunches in the beautiful park of Villa del Grumello and accommodation in the Guest House of the Villa and in other facilities in the immediate surroundings for the 2 weeks (July 9 – July 22, 2017). For any further information, please visit the website http://spas.lakecomoschool.org or contact BBS.statistics(a)unibocconi.it

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seminario Università Bicocca
by daniela.bertacchi 06 Mar '17

06 Mar '17

ANNUNCIO DI SEMINARIO Il giorno 13/3/2017 alle ore 15 esatte, in aula 3014 presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, il professor Rafael De Mattos Grisi (Universidade Federal do ABC -Brasile) terrà un seminario dal titolo A view on maximal spacings in several dimensions tutti gli interessati sono invitati a partecipare. Abstract: Let K be a compact subset of R^d and N a Poisson process on K. The maximal spacing of N on K is defined as the radius of the largest open ball in K, avoiding the points of N. Considering N homogenized with intensity t, Jason('87) studied the behaviour of the maximal spacing of N as t goes to infinity. In 1983, Deheuvels studied the asymptotic behaviour of the k-th maximal spacing considering K a hypercube and measuring the spaces also using hypercubes. More recently Fraiman et.al.('15) studied the non-homogeneous case. In this ongoing work, we try to generalize Jason's results, studying the behaviour of k-th maximal spacing for the homogeneous process. This is a joint work with Pablo Ferrari, from Universidad de Buenos Aires.

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Seminario di Probabilita, Pisa, Mercoledi 8 marzo, ore 11:00
by Carina Geldhauser 06 Mar '17

06 Mar '17

Annuncio Seminario di Probabilita, Pisa, Dipartmento di Matematica, Universita di Pisa Mercoledi, 8 marzo, ore 11:00, Aula Seminari Seminario di Probabilita SPEAKER 1 (ore 11:00): Francesca R. Nardi, University of Florence TITLE: Metastability for General Dynamics with Rare Transitions: Escape Time and Critical Configurations ABSTRACT: Metastability is an ubiquitous physical phenomenon in first order phase transitions. A fruitful mathematical way to approach this phenomenon is the study of rare transitions for Markov chains. For Metropolis chains associated with statistical mechanical systems, this phenomenon has been described in an elegant way through a pathwise approach in terms of the energy landscape associated to the Hamiltonian of the system. In the seminar we will first explain the main results and ideas of this approach and compare it with other existing ones. Then we will provide a similar description in the general rare transitions setup that can be applied to irreversible systems as well. Besides their theoretical content, we believe that our results are a useful tool to approach metastability for non-Metropolis systems such as Probabilistic Cellular Automata. Moreover, we will describe results pertaining to exponential hitting times which range of applicability includes irreversible systems, systems with exponentially growing volumes and systems with a general starting measure. (joint work with Emilio N. M. Cirillo, R. Fernandez, F. Manzo, E. Scoppola and J. Sohier). Dopo una pausa di circa 5min, proseguiamo con SPEAKER 2 (ore 12:00): Valeria De Mattei, Universita di Pisa TITLE: Mean field games with mean field and moderate interactions ABSTRACT: We consider a mean field game where N players interact both inthe cost functionals and in the dynamics. The new feature is that thedynamical interaction is of the so called "moderate" type, intermediatebetween the more classical mean field interaction and a strictly localinteraction. A modification of the classical mean field game scheme ispresented. Convergence to a system of PDEs, the mean field equation forour system, is discussed. Tutti gli interessati sono invitati a partecipare. Per informazioni scrivere a carina.geldhauser(a)dm.unipi.it <mailto:carina.geldhauser@dm.unipi.it>

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Fwd: [World] Summer school on networks, in Berlin (Aug 21-Sep 1 2017)
by Gustavo Posta 06 Mar '17

06 Mar '17

Begin forwarded message: > From: Cécile Mailler <c.mailler(a)bath.ac.uk> > Date: 06 marzo 2017 12.03.15 GMT+01.00 > Subject: [World] Summer school on networks, in Berlin (Aug 21-Sep 1 2017) > > Dear all, > > This is the first announcement of the summer school on > > Probabilistic and statistical methods for networks > to be held at TU Berlin, 21 August - 1 September 2017. > > The summer school will focus on probabilistic and statistical methods for networks. This is an enormously rich topic that has many connections between branches of mathematics, and applications to many other scientific disciplines. The central theme is randomness that may arise in various forms: it can be used to construct models for networks, to analyse networks using statistical methods, or as part of stochastic processes on networks. One strand of the school will consider the theory of statistical physics models on networks; another strand will develop tools of statistical inference in network data; and a third strand investigates applications such as networks in neuroscience, traffic and telecommunication. > > The School is primarily aimed at graduate students, but also at postdocs, working in applied probability or in one of the application fields with strong probabilistic flavour. > > Speakers: > Shankar Bhamidi (North Carolina) > Benedikt Jahnel (Berlin) > Max Klimm (Berlin) > Peter Mörters (Bath) > Tiago Peixoto (Bath) > Jörg Polzehl / Karsten Tabelow (Berlin) > Klaus Obermayer / Wilhelm Stannat (Berlin) > Lenka Zdeborová (Saclay) > > For further details and registration, see https://www.math-berlin.de/academics/summer-schools/2017/randgraph. > Registration will be open from 1 April 2017 until 31 May 2017. > > The summer school is supported by the EPSRC via the Centre for Doctoral Training in Statistical Applied Mathematics (SAMBa) at the University of Bath, the DFG via the Berlin Mathematical School and by the Weierstrass Institute for Applied Analysis and Stochastics, Berlin. > > Please direct scientific questions about the school to the organisers. > We hope to see you in Berlin at the end of August. > > Best wishes, > > Wolfgang König, koenig(a)wias-berlin.de > Cécile Mailler, c.mailler(a)bath.ac.uk > Marcel Ortgiese, m.ortgiese(a)bath.ac.uk > Matt Roberts, mattiroberts(a)gmail.com > Tim Rogers, t.c.rogers(a)bath.ac.uk > _______________________________________________ > World mailing list > World(a)aleanetwork.net > http://aleanetwork.net/cgi-bin/mailman/listinfo/world

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International Conference in Venice - CALL FOR PAPERS - DEADLINE May 31, 2017
by Monica Billio 06 Mar '17

06 Mar '17

16^th INTERNATIONAL CONFERENCE CREDIT 2017 */INTEREST RATES, GROWTH and REGULATION /*Venice, Italy 28-29 September 2017 *GRETA Associati *(Venice, Italy), the *European Investment Fund* (Luxembourg) and *Intesa Sanpaolo* (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 28-29, 2017. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca' Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *sixteenth* of a series dedicated to various aspects of credit risk. Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented new monetary policies (low interest rates, quantitative easing, forward guidance...). The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Alternatives and complements to commercial banking have continued their progress. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Low interest rates and asset management: emergence of alternative asset classes; changes in banks asset management, repositioning towards wealth management services. * Low interest rates and econometric modelling: Zero Lower Bound; lift off; unconventional monetary policy; default risk; contagion and systemic risk. * Interest rates and alternative financing: venture capital; credit risk in p2p lending/crowdfunding, is there adverse selection? the financing of SMEs; impact on the real economy. * New regulation environment: impact of Basel 4; internal models versus standardized approach; international harmonization; impact of TLAC (total loss absorbent capacity) and IFRS9. The Scientific Committee for the Conference consists of: *Alain Monfort* (CREST-Paris, Programme Chair) *Monica Billio* (Ca' Foscari University of Venice) *Francesca Campolongo* (EU-JRC Unit 'Financial and Economic Analysis') *Helmut Kraemer-Eis* (Head EIF's Research & Market Analysis) *Jan Peter Krahnen* (SAFE - Goethe University) *Steven Ongena* (University of Zurich, SFI & CEPR) *Jean-Paul Renne* (University of Lausanne) *Fulvio Pegoraro* (Bank of France) *Bernd Schwaab* (European Central Bank) CALL FOR PAPERS The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Thomas Philippon *(New York University), *Manju Puri* (Duke University) and *Jean-Paul Renne* (University of Lausanne). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. Those wishing to present a paper at the Conference should submit by *May 31, 2017* to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *July 10, 2017*. The final version of accepted papers must be received by August 31, 2017. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> Local Organisers: *Davide Alfonsi* (Intesa Sanpaolo), *Monica Billio* (Ca' Foscari University of Venice & GRETA), *Andrea Giacomelli* (Knowshape & GRETA), *Pier Luigi Gilibert* (European Investment Fund) and *Domenico Sartore* (Ca' Foscari University of Venice & GRETA) IMPORTANT DATES May 31, 2017: Papers submission deadline July 10, 2017: Paper acceptance notification August 31, 2017: Deadline for sending final version of accepted papers More detailed information available on the Conference website: http://www.greta.it/credit/credit2017/credit2017.htm <http://www.greta.it/credit/credit2017/credit2017.htm>

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Seminario C. Ceci a Padova: cambio data e ora
by Giorgia Callegaro 06 Mar '17

06 Mar '17

Carissimi, mi scuso con i non interessati e scrivo per comunicarvi che il seminario della Prof.ssa Claudia Ceci (Università di Chieti-Pescara), dal titolo Credit derivatives and unit-linked life insurance contracts: optimal hedging in partially observable market models avrà luogo, diversamente da quanto indicato in una mia precedente mail, il giorno martedì *14 marzo *2017 alle ore *16.30* presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 2BC30 (secondo piano). Grazie per l'attenzione, saluti a tutti, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Reminder -- First Italian Meeting on Probability and Mathematical Stastistics
by Federico Polito 04 Mar '17

04 Mar '17

*First Italian Meeting on Probability and Mathematical Statistics* *June 19-22, 2017, Torino, Italy* *Reminder* Website: http://calvino.polito.it/~probstat/torino2017/ The conference website is now updated with the latest available information. Please visit it for more details. *::..* Note that the registration is still open. *Deadline for registration: March 31, 2017* *..::* We are looking forward to meeting you in Torino next June. On behalf of the Organizing Committee, Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: fpolito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Seminario Claudia Ceci a Padova
by Giorgia Callegaro 03 Mar '17

03 Mar '17

Carissimi, il giorno lunedì 13 marzo 2017 alle ore 12.30 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, aula 2BC30 (secondo piano), la Prof.ssa Claudia Ceci dell'Università di Chieti-Pescara, terrà un seminario dal titolo Credit derivatives and unit-linked life insurance contracts: optimal hedging in partially observable market models Siete tutti benvenuti! Saluti a tutti, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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Fwd: Fwd: Rutgers meeting on math-finance, probability, and pdes (fwd)
by Cecilia Mancini 02 Mar '17

02 Mar '17

-------- Messaggio Inoltrato -------- Oggetto: Fwd: Rutgers meeting on math-finance, probability, and pdes (fwd) Data: Thu, 2 Mar 2017 17:23:04 +0100 (CET) Mittente: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Date: Thu, 2 Mar 2017 10:44:51 -0500 From: Kasper Larsen <kasperl2andrew.cmu.edu(a)gmail.com> Subject: Rutgers meeting on math-finance, probability, and pdes To: Dear friends and colleagues: We are organizing a meeting on mathematical finance, probability theory, and partial differential equations to be held at Rutgers University, New Brunswick, May 17-19, 2017. We are hoping that you can help spread the word through your network. You can find more information here: http://finmath.rutgers.edu/partial-differential-equations-conference The conference seeks to encourage and promote early-career mathematicians: The conference schedule will allow for several contributed talks without parallel sessions. We have limited financial support available from NSF for junior US-located researchers (including graduate students, post docs, and tenure tracks). Priority for travel funding will be given to presenters who are graduate students, other junior mathematicians, and those from underrepresented groups. You can submit requests (for a presentation slot and/or funding) through the above conference webpage. Feel free to forward this email to other interested parties. We hope to see you! On behalf of the organizers, Kasper -- Cheers, Kasper Larsen Associate Professor Dept. of Mathematical Sciences Carnegie Mellon University http://www.math.cmu.edu/math/faculty/larsen.html ----- End forwarded message -----

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Seminario Nien-Lin Liu (Ritsumeikan University, Japan) a Firenze, 6/3/2017
by Cecilia Mancini 02 Mar '17

02 Mar '17

Nell'ambito del ciclo di seminari del Dipartimento di Scienze per l'Economia e l'Impresa (DISEI) dell'Universita' di Firenze, la prossima settimana si terrà il seguente seminario: Lunedì 6 Marzo 2017 (D6/Aula Bracco) ore 14.00: Nien-Lin Liu (Ritsumeikan University, Japan) "Fourier-Malliavin estimators based on discrete measures" 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

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Postdoctoral position at BCAM, Bilbao
by Enrico Scalas 02 Mar '17

02 Mar '17

Car* collegh*, Vi prego di diffondere il seguente annuncio alle persone potenzialmente interessate. Non ho inserito il documento con la descrizione del profilo richiesto, ma lo si puo' trovare a: http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM17-PostDoc_Pr… Cordiali saluti, Enrico Scalas Professor of Statistics and Probability Head of Department, Mathematics University of Sussex, UK -- *Dear Colleagues,* *The Basque Centre for Applied Mathematics (BCAM <http://www.bcamath.org/en/>) opened the position <http://www.bcamath.org/en/research/job/ic2016-winter-postdoctoral-fellowshi…> of Postdoctoral Fellow in Modelling and Simulation in Life and Materials Sciences (MSLMS) group*. The selected candidate will work on Bayesian analysis with Hamiltonian Monte Carlo methods in biomedical applications under the supervision of Elena Akhmatskaya <http://www.bcamath.org/en/people/eakhmatskaya> in collaboration with the members of MSLMS <http://www.bcamath.org/en/research/lines/MSLMS> as well as the Researchers in the Joint BioEnergy Institute (JBEI <https://www.jbei.org/>), US DOE, and the Brest Cancer Stem Cells Lab at CIC <http://www.cicbiogune.es/center/about>bioGUNE <http://www.cicbiogune.es/center/about>. The applications of interest include metabolic flux analysis and drug sensitivity prediction. The Hamiltonian Monte Carlo (HMC) and the Mix & Match HMC <https://bird.bcamath.org/handle/20.500.11824/323> implemented in BCAM in-house software HaiCS (*Ha*miltonians *i*n *C*omputational *S*tatistics) will be used as primary sampling tools in Bayesian analysis and developed further. The full description of the position is provided in the attached file. I will highly appreciate if you could distribute this announcement among your colleagues. Many thanks, Best Regards, Elena. Elena Akhmatskaya Ikerbasque Professor Group Leader BCAM - Basque Center for Applied Mathematics Mazarredo 14. 48009 Bilbao, Basque Country, Spain Tel.: +34 946 567 842 <+34%20946%2056%2078%2042> Fax: +34 946 567 843 <+34%20946%2056%2078%2043> e-mail: akhmatskaya(a)bcamath.org Web: www.bcamath.org/en/people/akhmatskaya

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Lecturer Position at Leeds - deadline 6 March
by Elena Issoglio 02 Mar '17

02 Mar '17

Dear Colleagues this is to announce that a Lecturer Position in Financial/Actuarial Mathematics is currently being advertised at the University of Leeds. Note that the deadline for applications is very soon, *Monday 6 March*. Previous research experience in financial mathematics is *not* essential. School/Institute: School of Mathematics, University of Leeds Position: Permanent Lecturer, grade 8 Salary: £39,324 to £46,924 p.a. Closing Date: Monday 06 March 2017 For more info and to apply online, please visit https://jobs.leeds.ac.uk/vacancy.aspx?ref=MAPMA1052 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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Announcement: 8th AMaMeF Conference - MARK THE DATES! (fwd)
by Tiziano Vargiolu 02 Mar '17

02 Mar '17

---------- Forwarded message ---------- Date: Thu, 2 Mar 2017 12:03:29 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> Caro Tiziano, mi puoi girare questo annuncio sulla lista random? Grazie Un saluto Giulia --------------------------------------- Dear Colleague, on behalf of the organising committee is a pleasure to announce that the 8th AMaMeF Conference will take place in Amsterdam June 19-23, 2017, thanks to the joint efforts of groups at the University of Amsterdam, Radboud University, and ING Bank. With the participation of TopQuants. The conference features plenary lectures and parallel sessions covering the forefront areas of research in theoretical and quantitative finance, risk, insurance. Plenary speaker are: Fred Espen Benth (University of Oslo) Carole Bernard (Grenoble School of Management and Vrije Universiteit Brussel) Bruno Bouchard (Universit? Paris-Dauphine) S?ren Christensen (University of Hamburg) Christa Cuchiero (University of Vienna) Paul Glasserman (Columbia University) Xin Guo (UC Berkeley) Jan Ob??j (University of Oxford) Mikl?s R?sonyi (Alfr?d R?nyi Institute of Mathematics) Follow the developments, the registration procedures, the abstract submission and all see: http://8amamef.nl Please help to distribute this announcement among your all contacts. Welcome to Amsterdam in June! Best regards Giulia Di Nunno Professor Department of Mathematics University of Oslo

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Seminari di probabilità e statistica matematica
by Piccioni, Mauro 01 Mar '17

01 Mar '17

Lunedì 6 marzo Ore 16:00, Aula di Consiglio Seminario di probabilità e statistica matematica Mauro Piccioni Conditional iid structures in exchangeable multivariate distributions: from Marshall-Olkin to “load sharing” models The discovery of a conditional iid structure allows the understanding of the dependence contained in a d-variate distribution as generated by an exogenous latent factor . According to the celebrated de Finetti ‘s theorem this is equivalent to the possibility of defining an infinitely exchangeable sequence of random variables with the given d-marginal. In parametric classes of multivariate distributions, the determination of the values of the parameter corresponding to a structure of this type is a difficult problem which have been solved only in a few cases. In the talk the elegant theory developed by Mai and Scherer for the Marshall-Olkin distribution will be reviewed and some partial results for “load-sharing” models will be presented (joint work with Gerard Letac and Fabio Spizzichino). Tutti gli interessati sono invitati a partecipare. I seminari proseguiranno durante il secondo semestre ogni lunedì con cadenza settimanale.

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