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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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Fully Funded PhD Positions for International Students, University of Padova, Italy - Deadline March 28, 2017 1.00 pm (CEST)
by Patrizia Piacentini - PhD 01 Mar '17

01 Mar '17

For the academic year 2017/18 the University of Padova, Italy, offers 15 research fellowships fully funded by Fondazione Cariparo for foreign (non Italian) students to attend Doctoral Courses - *Deadline: 28 March 2017 (1.00 p.m. CEST)* The call for application is available at the following address: http://www.unipd.it/en/node/1053 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses will start on *October 1st, 2017* and will end on September 30st, 2020. Application is to be made following carefully the instructions in the announcement. The PhD Course in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Nicola Sartori Coordinator Phd Course in Statistics University of Padova Italy -- Patrizia Piacentini Secretariat PhD Course in Statistics University of Padova tel +39 049 8274167 fax +39 049 8271524 dottorato(a)stat.unipd.it

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Fwd: Two postdoc positions in Roma Tre
by Pietro Caputo 28 Feb '17

28 Feb '17

ricevo e inoltro: ---------- Forwarded message ---------- From: <giuliani(a)mat.uniroma3.it> Date: Tue, Feb 21, 2017 at 2:16 PM Subject: Two postdoc positions in Roma Tre To: giuliani(a)mat.uniroma3.it Dear Colleague, I would like to draw your attention to two 2-years postdoc position in mathematical physics within the project "Universality in Condensed Matter and Statistical Mechanics", funded by an ERC Consolidator Grant (PI: Alessandro Giuliani). Interested candidates should have a strong background in the mathematics of quantum or classical statistical mechanics. The successful applicant will be expected to work on problems related to scaling limits in 2D systems at the critical point, broken phases in systems with continuous symmetry, quantum transport in interacting systems. The appointments are for two years, starting in September 2017 or earlier (we invite applications by March 22, 2017; the call will remain open until the two positions are filled). The position is based at the Department of Mathematics of the University of Roma Tre. It comes with no teaching duties and with traveling funds to attend conferences and workshops. A full description of the project and the position, including details about how to apply can be found on the web page of the project: http://www.mat.uniroma3.it/users/giuliani/public_html/erc_CoG/index.html I would be grateful if you could bring this advertisement to any interested candidate. Thank you in advance, With best regards, Alessandro Giuliani

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seminario Marcello Restelli in Bicocca
by Fabio Bellini 28 Feb '17

28 Feb '17

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Seminario Maren Schmeck a Padova
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

Carissimi, il giorno martedi' 28 febbraio alle ore 15 presso il Dipartimento di Matematica dell'Universita' di Padova, via Trieste 63, sala Riunioni VII piano, la dott.ssa Maren Diane Schmeck dell'Universita' di Colonia terra' un seminario dal titolo ELECTRICITY PRICE MODELING WITH STOCHASTIC TIME CHANGE (joint with SVETLANA BOROVKOVA (VU AMSTERDAM)) ABSTRACT. In this paper, we develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time varying mean reversion and seasonally occurring price spikes) into the model in an elegant and economically justifiable way. The stochastic time change introduces stochastic as well as deterministic (e.g., seasonal) features in the price process? volatility and in the jump component. We specify the base process as a mean reverting jump diffusion and the time change as an absolutely continuous stochastic process with seasonal component. The activity rate of the stochastic time change can be related to the factors that influence supply and demand. Here we use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change, and show that this choice leads to realistic price paths. We derive properties of the resulting price process and develop the model calibration procedure. We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths by Monte Carlo simulations. We show that the simulated price process matches the distributional characteristics of the observed electricity prices in periods of both high and low demand. Cordiali saluti a tutti 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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Fwd: Postdoc-position in Stochastic Analysis at the University of Oslo
by Tiziano Vargiolu 27 Feb '17

27 Feb '17

---------- Forwarded message ---------- Date: Sun, 26 Feb 2017 18:35:01 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: Fwd: Postdoc-position in Stochastic Analysis at the University of Oslo Dear Tiziano,could you please help circulate this info. Thank you in advance, Giulia Begin forwarded message: From: Bernt ?ksendal <oksendal(a)math.uio.no> Subject: Postdoc-position in Stochastic Analysis at the University of Oslo Date: 21 February 2017 at 12:15:46 GMT+1 Dear All; The new postdoc position in stochastic analysis at the University of Oslo has just been announced. The deadline is 31 March 2017. For more information see https://www.jobbnorge.no/ledige-stillinger/stilling/134569/postdoctoral-res earch-fellowship-in-stochastic-analysis Please help to distribute this to anyone interested :-) Best wishes, Bernt Professor Emeritus Bernt ?ksendal Department of Mathematics, University of Oslo, Box 1053 Blindern, N-0316 Oslo, Norway. Home page: http://www.mn.uio.no/math/english/people/aca/oksendal/index.html Email: oksendal(a)math.uio.no

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Second Announcement: Stochastic Analysis Day, Pisa, Monday, February 27
by Carina Geldhauser 24 Feb '17

24 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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ARPM job offer
by Elisa Appolloni 23 Feb '17

23 Feb '17

Dear all, I am reaching out to you because at ARPM (the company for which I work) we are looking to add new resources for our Advanced Risk and Portfolio Management program. Would you mind circulating the message below to interested and qualified candidates? Thank you, Elisa Appolloni *** *The firm* ARPM – Advanced Risk and Portfolio Management <https://www.arpm.co/> is a privately held research institution, directed by Attilio Meucci, based in New York City with virtual offices world-wide. ARPM’s mission is to set and disseminate the standards for advanced quantitative risk management and portfolio management across the financial industry: asset management, banking, and insurance. *The opportunity * ARPM is looking for a new researcher-in-training for a minimum period of 6 months, indefinitely extensible. The successful candidate will review and code practical case studies and theoretical examples in quantitative finance, contributing to the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The successful candidate will work full-time, remotely, constantly communicating via multi-media with the other members of ARPM. The ARPM researcher-in-training position represents a great opportunity for candidates with strong academic background, who wish to apply to real problems in finance the rigorous, research-oriented approach acquired in their schooling. *The progression* ARPM emphasizes the constant intellectual growth of its resources. For the first 6 months the researcher-in- training will be focused on specific projects. At the end of this period (s)he will conduct a presentation on the topics covered. Then, (s)he will start broadening his/her scope, attending the presentations of their peers and seniors, working on broader projects, and acquiring hands-on- knowledge of all the topics of the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14>. The approximate time required to attain the required level of familiarity with the ARPM Lab <https://www.arpm.co/lab/books.php?action=page&id=14> is: two years for a recent master’s graduate; one year for a recent PhD graduate. When ready, the researcher-in-training will be tested on all such topics with an exam. If successful, (s)he will conclude his/her training period, attaining the title of ARPM researcher. The ARPM researcher will then engage in highly quantitative projects with ARPM clients, becoming a profit center. *The candidate* [image: arrow_20]Master’s degree in mathematics, physics, engineering, computer science, statistics, data science, quantitative economics. [image: arrow_20]PhD in hard sciences or master’s degree in quantitative finance is a plus. [image: arrow_20]Very strong command of foundational mathematics, including multivariate calculus and linear algebra. [image: arrow_20]Good knowledge of statistics and probability. [image: arrow_20]Proficiency in MATLAB, Python, or similar programming languages. [image: arrow_20]Good command of English. *Compensation* Competitive For more information, please visit arpm.co <https://www.arpm.co/> and/or contact us at info(a)arpm.co <info(a)arpm.co?Subject=job%20Post> -- *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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seminar announcement --- prof Cont, LUISS
by Sara 21 Feb '17

21 Feb '17

Thursday 2nd March from 12.00 to 13.00 LUISS room 207 viale Romania 32 00197 Roma. Speaker: Rama Cont (Imperial College and CNRS) Title: Fire sales, price-mediated contagion and systemic risk -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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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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