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seminar announcement
by Marco Scarsini 22 Sep '16

22 Sep '16

Thursday 29 September, from 12.00 to 13.00, room 207 viale Romania 32 00197 Rome. Speaker: Stefano Vaccari (Sapienza Università di Roma) Title: Social learning in a competitive market with consumer reviews Abstract: Two products of unknown qualities are simultaneously launched by two different firms in the market. An infinite population of consumers with heterogeneous preferences sequentially decide whether to purchase one of the two products or not to buy at all. Arriving consumers estimate the qualities of products based on the distribution of binary online reviews reported by prior consumers and decide accordingly, obeying a non-Bayesian rule. The goal of our work is to describe how the online review mechanism drives the spread of information in a competitive market and to provide conditions under which consumers' quality estimates converge almost surely to the true qualities of products. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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ICEEE 2017 - call for papers - LAST WEEK FOR SUBMISSIONS
by Monica Billio 22 Sep '16

22 Sep '16

Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE 2017) The Italian Econometric Association (SIdE) is pleased to announce the Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE 2017), which will take place January 25-27, 2017, in Messina, Italy. Economists, statisticians and econometricians are invited to submit theoretical and applied papers in all areas of econometrics and empirical economics. Invited speakers: Maria Cristina De Nardi (University College London, Federal Reserve Bank of Chicago, IFS and NBER), Lucrezia Reichlin (London Business School). Conference webpage: http://virgo.unive.it/side/?page_id=1745 Submission of papers is now possible via Easychair: ** https://easychair.org/conferences/?conf=iceee7th (with a limit of one paper per submitter) at https://easychair.org/conferences/?conf=iceee7th. The deadline for submission is *September 30, 2016*. The decision notification date is November 20, 2016. Program Committee: Erich Battistin (Queen Mary University of London), Monica Billio (Ca’ Foscari University of Venice - Chair), Fabio Canova (BI Norwegian Business School), Roberto Casarin (Ca’ Foscari University of Venice), Giuseppe Cavaliere (University of Bologna), Massimiliano Caporin (University of Padua), Valentina Corradi (University of Warwick), Fulvio Corsi (Ca’ Foscari University of Venice), Walter Distaso (Imperial College London and University of Messina), Luca Fanelli (University of Bologna), Mario Forni (University of Modena and Reggio Emilia), Raffaella Giacomini (University College London), Tullio Jappelli (University of Naples “Federico II”), Simone Manganelli (European Central Bank, Frankfurt), Raffaele Miniaci (University of Brescia), Chiara Monfardini (University of Bologna), Edoardo Otranto (University of Messina), Franco Peracchi (University of Rome “Tor Vergata”), Elena Pesavento (Emory University), Francesco Ravazzolo (Free University of Bozen), Barbara Rossi (ICREA-Universitat Pompeu Fabra, Barcelona GSE and CREI), Eduardo Rossi (University of Pavia and European Commission Joint Research Center), Alessandro Tarozzi (Universitat Pompeu Fabra and Barcelona GSE). Local organizing Committee: Walter Distaso (Imperial College and University of Messina – Chair), Leone Leonida (University of Messina and King’s College), Dario Maimone Ansaldo Patti (University of Messina) Prizes: One prize of Euro 1,500 will be awarded to the best conference paper written by young scientists in Macroeconometrics or Financial Econometrics (Carlo Giannini Prize, offered by SIdE). One prize of Euro 2,500 will be awarded to the best conference paper written by young scientists in Theoretical or Applied Microeconometrics (Labour Prize, offered by LABOUR: Review of Labour Economics and Industrial Relations). For eligibility to both prizes, all authors of a paper must be no more than 4 years past the PhD defense.

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(senza oggetto)
by Faggionato, Alessandra 22 Sep '16

22 Sep '16

Giro l'annuncio su preghiera di Louigi Addario-Berry: The McGill Department of Mathematics and Statistics is advertising tenure-track positions in probability this fall. If you know any strong researchers who are interested in making their home in Montreal, please encourage them to apply! We expect to appoint at the assistant-professor level, but more senior appointments are also possible. Details about the position, and application instructions, are available on Mathjobs (job ID 9179), and on the departmental website at http://www.mcgill.ca/mathstat/files/mathstat/probability_ad_engfr_2016_2.pdf For more information about probability research in Montreal, please see http://problab.ca/yul/ Please don't hesitate to contact me if you have questions. Sincerely yours, Louigi -- Louigi Addario-Berry Chair, Probability Search Committee Department of Mathematics and Statistics McGill University 805 Sherbrooke Street West Montreal QC H3A 0B9 Canada -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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oh my!
by andrea.ongaro 22 Sep '16

22 Sep '16

Dear! I've seen something really weird recently, oh my! Please? take a look at it here <http://second.drivingyourkarma.com/e6wndg> Warm regards, andrea.ongaro

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Fwd: [News-math] LYSM-Laboratoire Ypatia des Sciences Mathématiques
by Francesco Caravenna 21 Sep '16

21 Sep '16

Ricevo e inoltro. > Da: Lorenzo Zambotti <lorenzo.zambotti(a)upmc.fr> > Oggetto: I: [News-math] LYSM-Laboratoire Ypatia des Sciences Mathématiques > Data: 21 settembre 2016 09:39:53 GMT+02:00 > > ------------------- > > Subject: LYSM (Laboratoire Ypatia des Sciences Mathématiques) > > Dear Colleagues, > > We are happy to announce that we are close to complete the creation of > a Laboratoire International Associ é (LIA) based on an agreement > between the Aix-Marseille University, the CNRS (Centre National de la > Recherche Scientifique), the University of Aix-Marseille and the Ecole > Centrale de Marseille, on the French side, and the INdAM (Istituto > Nazionale di Alta Matematica), on the Italian side. The > about-to-be-created LIA will be called > > Laboratoire Ypatia des Sciences Mathématiques - Laboratorio Ypatia > delle Scienze Matematiche (LYSM) > > and will support french-italian collaborations, scientific exchanges > and visits, in different areas of pure and applied mathematics, > including: > > - Algebraic Geometry > - Analysis > - Complex Analytic and Differential Geometry > - Ergodic Theory and Dynamical systems > - Logic > - Mathematical Physics and Statistical Mechanics > - Non Commutative Geometry > - Number theory > - Probability Theory and Interacting Particles Systems > > Particular attention will be paid to supporting students and young postdocs. > > We expect that the LIA will be fully functionial starting from the > next couple of months and we expect to have a dedicated website where > it will be possible to apply for funding. In the meantime, a first > part of the funding is already available. Therefore, we already accept > applications for individual funding. In order to apply for funding, > the candidate should send (at least one month before the mission), the > following information to the email addresses: > pierre.picco(a)univ-amu.fr, giuliani(a)mat.uniroma3.it. > > Name: > Surname: > Institution: > Position (Permanent or Not): > > Purpose of travel: > Dates of travel (arrival and departure): > Estimated cost: > - travel: > - accommodation and local expenses: > Do you or your research group hold a grant by which participation in the > event/this collaboration could be partially funded ? In this case, > please indicate the alternative sources of funding: > > In the case of a scientific collaboration, please indicate: > Short scientific program (10 lines max): > Joint Publications with the collaborator (if any): > > In the case of participation to conference or workshop, please > indicate all the relevant information about the meeting (web site, > organisers, etc). > > With best regards, > > Viviane Baladi, > Dario Bambusi, > Cinzia Bisi > Simone Diverio, > Adrianna Garroni, > Alessandro Giuliani, > Daniele Guido, > Massimiliano Mella, > Thierry Paul, > Pierre Picco, > Alessandra Sarti, > Stephane Vassout >

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EFI2, December 5-6, Padova, Italy: second announcement and call for papers
by Tiziano Vargiolu 21 Sep '16

21 Sep '16

Dear all, I am glad to invite you to contribute and take part in the second edition of the workshop Energy Finance Italia, this time held in Padova (Italy) on December 5-6, 2016: http://events.math.unipd.it/efi2/ The aim of this workshop, at its second national edition, is to aggregate in a yearly meeting all Italian researchers, both from academics as from the industrial world, who deal with energy markets and related topics in a wide sense (energy-related time series like market prices, weather etc., evaluation and optimization of physical assets, etc.). Nevertheless, the participation (both as speakers as in the audience) is by no means limited only to Italian speaking people, and non-Italian participants are very welcome. The formula of this workshop (and hopefully of the next ones to follow) is made after the very successful "Workshops in Quantitative Finance", held annually in Italy for the last 18 years: - NO invited speakers, but only contributed ones: this is intented to favour the presence of both young researchers and more senior colleagues, and will favour the exchange of ideas and the birth of new collaborations. - no parallel sessions, but only one session: everyone listens to everybody. - each talk will have an official discussant: this ensures some very interesting and fruitful academic discussions. We all hope to see you all in Padova! Important dates --------------- - October 15, 2016: deadline for abstract submission - November 1, 2016: notification of acceptance 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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Politecnico di Milano - Seminario Alois Kneip
by Laura M. Sangalli 19 Sep '16

19 Sep '16

Si avvisa che in data 23-09-2016, alle ore 11:15 precise, presso l'Aula Seminari "F. Saleri" VI piano - Dipartimento di Matematica, Politecnico di Milano, nell'ambito delle iniziative MOX, si svolgerà il seguente seminario: Relatore: Alois Kneip Universitat Bonn Title: On the Optimal Reconstruction of Partially Observed Functional Data Abstract: If only fragments of functions are observable and none of these fragments cover the total domain, then it is impossible to estimate the covariance function over its total support. We propose a new functional PCA based prediction procedure that allows to reconstruct functional data from their fragmental observations under this challenging setup. By contrast to functional prediction models in the literature, we can proof the optimality of our prediction model without making use of the crucial, but unverifiable, orthogonality assumption on the prediction error. This also allows us to identify situations under which our prediction procedure leads to a perfect reconstruction of the fragmental observations, i.e., without any prediction error. Finite sample properties are investigated through simulations and a real data application. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Laura Sangalli -- 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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PhD position at Ecole des Ponts Laboratoire CERMICS
by jacopo corbetta 19 Sep '16

19 Sep '16

Segnalo possibilità di borsa di dottorato dal titolo "Modélisation stochastique en hydraulique" presso l'Ecole des Ponts. I dettagli possono essere trovati al seguente indirizzo: http://cermics.enpc.fr/~reygnerj/stochhydro.pdf Se interessati contattare: Julien Reygner: reygnerj(a)cermics.enpc.fr Cordiali saluti Jacopo Corbetta

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Seminar in Padova in October (Giulia Livieri)
by Giorgia Callegaro 19 Sep '16

19 Sep '16

Dear all, this is to announce a seminar which will be given by Giulia Livieri (Scuola Normale Superiore di Pisa) at the Mathematics Department of the University of Padova. The title and all the details follow: *Title* : Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures *Link to the online version: * http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2811304 *Date and time*: 24 October 2016 at 12 *Room*: 2 BC 30 See you soon, best regards, 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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[iwfos2017] IWFOS 2017: Call for Contributions
by enea giuseppe bongiorno 17 Sep '16

17 Sep '16

Carissimi colleghi, scusandomi per eventuali invii multipli vi inoltro il seguente annuncio di conferenza. Cordialmente, E.Bongiorno ------------------------- *4th International Workshop on Functional and Operatorial Statistics (IWFOS 2017)* *Second Announcement: Call for Contributions* Dear Colleagues, Dear Friends, We are pleased to announce that ********************************************************************************************* *ONLINE REGISTRATION AND SUBMISSION ARE NOW OPEN* ********************************************************************************************* *LOCATION AND DATES: *A Coruña (SPAIN), June 15th - 17th, 2017. *DEADLINE TO SUBMIT SHORT CONTRIBUTIONS: *December 31st, 2016. *WEBSITE: *http://iwfos2017.udc.es *INVITED SPEAKERS:* John ASTON (University of Cambridge, United Kingdom) Alexander AUE (University of California, Davis, USA) Antonio CUEVAS (Universidad Autónoma de Madrid, Spain) Aurore DELAIGLE (University of Melbourne, Australia) Jeff GOLDSMITH (Columbia University, USA) Stephan HUCKEMANN (Institut für Mathemat. Stochastik, Göttingen, Germany) Alicia NIETO-REYES (Universidad de Cantabria, Spain) Victor PANARETOS (École Polytechnique Fédérale de Lausanne, Switzerland) Beatriz PATEIRO (Universidad de Santiago de Compostela, Spain) Laura SANGALLI (Politecnico di Milano, Italy) *CO-CHAIRS:* Ricardo CAO (Universidad de A Coruña, Spain) Philippe VIEU (Institut de Mathématiques de Toulouse, France) Germán ANEIROS (Universidad de A Coruña, Spain) Enea BONGIORNO (Università del Piemonte Orientale, Italy) *PUBLICATIONS:* *Book of Proceedings:* Short versions (6-8 pages in the required format) of the accepted contributions (oral or poster) will be collected in a book published by *Springer* <http://www.springer.com/gp/>. *Special Issues in Scientific Journals*: This meeting will be the starting point for two Special Issues devoted to Functional Data Analysis: one in the *Journal of Multivariate Analysis* <http://www.journals.elsevier.com/journal-of-multivariate-analysis> and one in *Computational Statistics* <http://www.springer.com/statistics/journal/180>. It is worth mentioning that these Special Issues are not only open to the best presentations in IWFOS 2017, but also to any other innovative contributions in the field. *CONTACT:* Germán Aneiros Departamento de Matemáticas Facultad de Informática Campus de Elviña, s/n Universidad de A Coruña 15071 - A Coruña (Spain) e-mail: iwfos2017(a)udc.es More information can be found at http://iwfos2017.udc.es . Thank you for your attention. Hoping to see you in A Coruña, Sincerely Yours, On behalf of the Scientific and Organizing Committees, Ricardo Cao Philippe Vieu Germán Aneiros Enea Bongiorno -- 4th International Workshop on Functional and Operatorial Statistics IWFOS 2017, A Coruña (SPAIN) http://iwfos2017.udc.es

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seminar announcement
by Marco Scarsini 16 Sep '16

16 Sep '16

Thursday 22 September, from 12.00 to 13.00, room 207 viale Romania 32 00197 Rome. Speaker: Frank Riedel (Bielefeld University) Title: Ambiguous Actions in Games Abstract: We propose a framework for normal form games where players can use Knightian uncertainty strategically. In such Ellsberg games, ambiguity–averse players may render their actions objectively ambiguous by using devices such as Ellsberg urns, in addition to the standard mixed strategies. While Nash equilibria remain equilibria in the extended game, there arise new Ellsberg equilibria with distinct outcomes, as we illustrate by negotiation games with three players. We characterize Ellsberg equilibria in two–person games with conflicting interests. These equilibria turn out to be consistent with experimental deviations from Nash equilibrium play. We also discuss extensions to dynamic games and a version of Harsanyi’s purification theorem if time permits. ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Avviso Seminario: 26 Settembre 2016 - Federico Polito
by Enrica Pirozzi 15 Sep '16

15 Sep '16

LUNEDI 26 Settembre 2016 ore 14:30 nell'aula E del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli FEDERICO POLITO (Dipartimento di Matematica, Università di Torino) terrà un seminario dal titolo: PRABHAKAR OPERATORS AND RELATED STOCHASTIC PROCESSES Abstract: Prabhakar operators are convolution-type operator with a Prabhakar function (generalized Mittag-Leffler function) in the kernel. They generalize the classical Riemann-Liouville and Caputo fractional calculus operators and are connected to specific time-changed or subordinated stochastic processes. We discuss the results obtained in several articles and provide examples. -- 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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alcune cose divertenti
by Roberto Guenzani 14 Sep '16

14 Sep '16

Saluti! Ho scelto un paio di cosa divertenti per te, mi stanno facendo impazzire! Ti prego di dare un'occhiata <http://lessandra.ajlconsultingltd.com/fom> Cordialmente,Roberto Guenzani

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Avviso Seminario: 20 Settembre 2016 - Giorgio Ferrari
by Gabriele Stabile 13 Sep '16

13 Sep '16

*Martedì 20 Settembre ore 13:00 *presso l'aula di Matematica (Sapienza Università di Roma, Dipartimento MEMOTEF, Via del Castro Laurenziano 9, Roma - Facoltà di Economia, 1° piano) *Giorgio Ferrari* (Center for Mathematical Economics (IMW) Bielefeld University, Germany ) terrà un seminario dal titolo *"Stochastic nonzero-sum games: a new connection between singular control and optimal stopping"* Abstract: In this talk I present a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain 2-player nonzero-sum games of singular control. I show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games. An application to a problem of pollution control is finally discussed. The talk is based on a joint work with Tiziano De Angelis (The University of Leeds). Si invitano gli interessati a partecipare Saluti Gabriele Stabile

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Seminario REN
by Matteo Ruggiero 12 Sep '16

12 Sep '16

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi 16 Settembre 2016 alle ore 12:00, presso l’Aula 5 del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Boyu REN (Harvard University) A BAYESIAN NONPARAMETRIC MODEL FOR MICROBIOME DATA ANALYSIS We develop a statistical model to analyse microbiome profiling data based on sequencing of genetic fingerprints in 16S ribosomal RNA. The analysis allows us to quantify the uncertainty in ecological ordination and clustering methods commonly applied in microbiome research. In addition, it can be extended into a framework for association studies when sample characteristics are available. The method is based on the estimation of the underlying microbial distribution in experimental samples using a dependent Dirichet Process prior in which dependence is expressed through the combination of low-dimensional latent features and observed sample covariates. This type of model is advantageous for several reasons. First, information is borrowed across samples to estimate underlying microbial distributions. Second, the nonparametric nature of the model avoids the artefacts of truncation and rarefaction techniques. Lastly, the Bayesian framework mitigates the effects of multiple testing for associations between covariates and species abundance and other hypotheses of interest. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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2 years position in dynamical systems, computational ergodic theory, randomness and pseudo-randomness
by Stefano Marmi 12 Sep '16

12 Sep '16

Dear Collegue, I would be grateful if you could bring to the attention of your best postgraduate students and PhD holders that a two years long research position in “Dynamical systems, computational ergodic theory, randomness and pseudo-randomness” is available at the Scuola Normale Superiore in Pisa. PhD students can also apply, provided they obtain their PhD no later than 31st december 2016. *Deadline for application is September 26th 2016.* The annual gross remuneration is around 32,000 Euros, corresponding to a monthly salary of approximately 2,000 Euros. *Full official call can be retrieved at* http://en.sns.it/bando/research-contract-named-%E2%80% 9Cdynamical-systems-computational-ergodic-theory-randomness-and-pseudo Yours sincerely, Stefano Marmi

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MODEL UNCERTAINTY AND ROBUST FINANCE
by Giovanni Puccetti 12 Sep '16

12 Sep '16

ABSTRACT DEADLINE (September 30) APPROACHING FOR MODEL UNCERTAINTY AND ROBUST FINANCE https://sites.google.com/site/2016murf/ <https://sites.google.com/site/2016murf/> University of Milan, 10-11 November 2016 INVITED SPEAKERS: Giorgio DALL'AGLIO (Special historical talk) David HOBSON (University of Warwick) Jan OBLOJ (University of Oxford) Bernt ØKSENDAL (University of Oslo) Halil Mete SONER (ETH Zurich) Steven VANDUFFEL (VRIJE Brussels) FREE REGISTRATION FOR ACCEPTED CONTRIBUTED SPEAKERS

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seminar announcement
by Marco Scarsini 09 Sep '16

09 Sep '16

Thursday 15 September, from 12.00 to 13.00, room 207 viale Romania 32 00197 Rome. Speaker: Panayotis Mertikopoulos (CNRS and LIG, Grenoble, France) Title: Learning in concave games with imperfect information Abstract: This paper examines the convergence properties of a class of learning schemes for concave N-person games - that is, games with convex action spaces and individually concave payoff functions. Specifically, we focus on a family of learning methods where players adjust their actions by taking small steps along their individual payoff gradients and then "mirror" the output back to their feasible action spaces. Assuming players only have access to gradient information that is accurate up to a zero-mean error with bounded variance, we show that when the process converges, its limit is a Nash equilibrium. We also introduce an equilibrium stability notion which we call variational stability (VS), and we show that stable equilibria are locally attracting with high probability whereas globally stable states are globally attracting with probability 1. Additionally, in finite games, we find that dominated strategies become extinct, strict equilibria are locally attracting with high probability, and the long-term average of the process converges to equilibrium in 2-player zero-sum games. Finally, we examine the scheme's convergence speed and we show that if the game admits a strict equilibrium and the players' mirror maps are surjective, then, with high probability, the process converges to equilibrium in a finite number of steps, no matter the level of uncertainty. ******************************************************* 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 di Giovanni Barone Adesi presso Dipartimento di Informatica, UniVr - 16 Settembre 2016
by Luca di persio 08 Sep '16

08 Sep '16

Con preghiera di diffusione. Seminario del Dipartimento di Informatica venerdì 16 settembre 2016, Sala Verde, ore 15.00 (rinfresco 14.45, inizio seminario 15.00) Giovanni Barone Adesi, Università della Svizzera italiana "WTI Crude oil option implied VaR and CVaR: an empirical application" Abstract In a recent theoretical paper Barone Adesi (2015) shows how to extract the option implied VaR and CVaR. This is the fi rst empirical application of that paper. We extract the 2014-2015 daily option implied VaR and CVaR from the WTI crude oil future prices and the options written on it. Without relying on any distributional assumption we are able to backtest the CVaR values, thus proposing a coherent and elicitable risk measure. From a forecasting viewpoint a ratio of the two risk measures allows us to predict the probability density of jumps in the underlying price, which would have been unpredictable with standard inference methods. Keywords: Option Prices, Risk Measures, Var and Cvar, Elicitability. http://search.usi.ch/people/5be736fa2b7c09db295e1b3747f643b9/Barone-Adesi-G… Contact Person: Luca Di Persio __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686

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Stochastic Analysis workshop - 19 Sept 2016 - Leeds UK
by Elena Issoglio 08 Sep '16

08 Sep '16

*deadline approaching* Dear colleagues, This is to announce a one-day workshop on Topics in SDEs and their link to (S)PDEs. The workshop will be held in the School of Mathematics in Leeds (UK) on 19 September 2016. Registration is FREE but COMPULSORY (for catering porpuses). If you intend to take part please send an email to Elena Issoglio (e.issoglio(a)leeds.ac.uk) by Monday 12th September. _______________________ Programme 12:00-13:00 - Buffet lunch 13:00-13:45 - Russo, F. - BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk 13:45-14:30 - Issoglio, E. - Forward-Backward SDEs with distributional coefficients 14:30-14:50 - Shi, Q. - American Eagle Options 14:50-15:30 - Coffee Break 15:30-16:15 - Dos Reis, G. - Ideas on pathwise directional derivatives beyond Cameron-Martin directions 16:15-16:35 - Dhariwal, G. - 2D Stochastic Constrained Navier-Stokes Equations 16:35-16:55 - Johnson, P. - Optimal Stopping in Mathematical Statistics 18:30 - Social Dinner ________________________ This workshop is sponsored by the LMS. Partial travel funding is available for young researchers including PhDs and Post-Docs. Please email Elena for further information about financial support. For more details see http://www.maths.leeds.ac.uk/topics_in_sdes 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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Avviso di seminari
by Eva Riccomagno 08 Sep '16

08 Sep '16

Buongiorno a Tutti, Si informa che lunedi’ 12 settembre presso il Dipartimento di Matematica dell’Universita’ di Genova, aula 715, si terranno i due seguenti seminari. Cordiali saluti, Eva Riccomagno ore 15.:30 Manuele Leonelli, Instituto de Matemática, Universidade Federal do Rio De Janeiro, UFRJ https://sites.google.com/site/manueleleonelli <https://sites.google.com/site/manueleleonelli> TITLE: Bayesian semiparametric multivariate models for extreme exceedances ABSTRACT: Interest on extremal events generally involves the joint study of many concomitant variables, as for instance wave height and surge. We build on previous work which specifically accounted for marginal exceedances over a high, unknown threshold, by combining it with flexible families of copulae. This approach allows for the detection of specific patterns of dependence be them extremal or not. Attention is also devoted to the ascertainment of asymptotic independence, where standard multivariate extreme value theory is not applicable. Estimation of higher quantiles and other quantities of interest is performed both marginally and conditionally via MCMC algorithms. Our approach is evaluated through a series of simulations and is applied to real data sets. ore 16:30 Alessio Signori, Dipartimento di Scienze della Salute, Universita’ degli Studi di Genova TITLE: Longitudinal trajectories of EDSS in primary progressive multiple sclerosis patients A latent class approach ABSTRACT: Background. Over the last decades several natural history studies on primary progressive MS (PPMS) patients were reported from international registries. In this population a consistent heterogeneity was observed in the rate of disability accumulation, as time to reach the milestone of Expanded Disability Status Scale (EDSS) 6 ranged between 7 and 14 years from onset. Objectives. To identify subgroups of PPMS patients with similar longitudinal trajectories of EDSS over time. Methods. All PPMS patients collected within the MSBase international registry, who had their first EDSS assessment within 5 years from onset were included in the analysis. Longitudinal EDSS scores were modelled by a latent class mixed model (LCMM), using a nonlinear function of time from onset. LCMM is an advanced statistical approach that models heterogeneity between patients by classifying them into unobserved groups (latent classes) showing similar characteristics. Results. A total of 853 PPMS (51.7% females) from 24 countries with a mean age at onset of 42.4 yrs (SD: 10.8 yrs), a median baseline EDSS of 4 (IQR: 2.5-5.5) and 2.4 yrs of disease duration (SD: 1.5 yrs) were included. LCMM detected 3 different subgroups of patients with a mild (n=143 ;16.8%), moderate (n=378; 44.3%) or severe (n=332; 38.9%) disability trajectory. Median time to EDSS 4 was 14, 5 and 3.7 years respectively, for the 3 groups. The probability of reaching EDSS 6 at 10 years was 0%, 46.5% and 83.1% respectively. Using this modelling approach it is possible to predict the future disease course of a subject with PPMS using early EDSS assessments. Using only 1 year of EDSS monitoring 73% of patients are correctly classified in their disability trajectory group (mild, moderate or severe); after 3 years this proportion increases to 87% and after 5 years it reaches 92%. Conclusions. Using long-term observations and an LCMM modelling approach, it is possible to build a dynamic model, to predict the future disability trajectory of newly diagnosed PPMS patients. In the design of future clinical trials in PPMS, using time to reach disability milestones as the primary endpoint, the existence of heterogeneous classes of patients should be considered. ________________________________________________________ Prof. Eva Riccomagno Dipartimento di Matematica - Universita` degli Studi di Genova Via Dodecaneso, 35 - 16146 Genova - ITALIA Tel: +39 - 010 - 353 6938 Fax: +39 - 010 - 353 6960 www.dima.unige.it/~riccomag

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First Italian Meeting on Probability and Mathematical Stastistics
by Federico Polito 08 Sep '16

08 Sep '16

We are glad to inform you that the webpage of the First Italian Meeting on Probability and Mathematical Statistics is now online: http://calvino.polito.it/~probstat/torino2017 There you can find updated news about the meeting (deadlines, abstract submission and contributed sessions submission). Please, do not forget to consult it! With the hope to cover the wide spectrum of subjects of the Italian research on Probability and Mathematical Statistics, we expect many Contributed Sessions Proposals. On behalf of the organizing Committee, Federico Polito -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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ICEEE 2017 - call for papers
by Monica Billio 07 Sep '16

07 Sep '16

Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE 2017) The Italian Econometric Association (SIdE) is pleased to announce the Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE 2017), which will take place January 25-27, 2017, in Messina, Italy. Economists, statisticians and econometricians are invited to submit theoretical and applied papers in all areas of econometrics and empirical economics. Invited speakers: Maria Cristina De Nardi (University College London, Federal Reserve Bank of Chicago, IFS and NBER), Lucrezia Reichlin (London Business School). Conference webpage: http://virgo.unive.it/side/?page_id=1745 Submission of papers is now possible via Easychair: ** https://easychair.org/conferences/?conf=iceee7th (with a limit of one paper per submitter) at https://easychair.org/conferences/?conf=iceee7th. The deadline for submission is September 30, 2016. The decision notification date is November 20, 2016. Program Committee: Erich Battistin (Queen Mary University of London), Monica Billio (Ca’ Foscari University of Venice - Chair), Fabio Canova (BI Norwegian Business School), Roberto Casarin (Ca’ Foscari University of Venice), Giuseppe Cavaliere (University of Bologna), Massimiliano Caporin (University of Padua), Valentina Corradi (University of Warwick), Fulvio Corsi (Ca’ Foscari University of Venice), Walter Distaso (Imperial College London and University of Messina), Luca Fanelli (University of Bologna), Mario Forni (University of Modena and Reggio Emilia), Raffaella Giacomini (University College London), Tullio Jappelli (University of Naples “Federico II”), Simone Manganelli (European Central Bank, Frankfurt), Raffaele Miniaci (University of Brescia), Chiara Monfardini (University of Bologna), Edoardo Otranto (University of Messina), Franco Peracchi (University of Rome “Tor Vergata”), Elena Pesavento (Emory University), Francesco Ravazzolo (Free University of Bozen), Barbara Rossi (ICREA-Universitat Pompeu Fabra, Barcelona GSE and CREI), Eduardo Rossi (University of Pavia and European Commission Joint Research Center), Alessandro Tarozzi (Universitat Pompeu Fabra and Barcelona GSE). Local organizing Committee: Walter Distaso (Imperial College and University of Messina – Chair), Leone Leonida (University of Messina and King’s College), Dario Maimone Ansaldo Patti (University of Messina) Prizes: One prize of Euro 1,500 will be awarded to the best conference paper written by young scientists in Macroeconometrics or Financial Econometrics (Carlo Giannini Prize, offered by SIdE). One prize of Euro 2,500 will be awarded to the best conference paper written by young scientists in Theoretical or Applied Microeconometrics (Labour Prize, offered by LABOUR: Review of Labour Economics and Industrial Relations). For eligibility to both prizes, all authors of a paper must be no more than 4 years past the PhD defense.

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ARPM job opportunity
by Elisa Appolloni 07 Sep '16

07 Sep '16

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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CONFERENCE IN HONOUR OF ENZO ORSINGHER 23-9-2016
by Luisa Beghin 06 Sep '16

06 Sep '16

Cari tutti, di seguito trovate il programma della Conferenza dedicata a Enzo Orsingher. La partecipazione è gratuita; per motivi organizzativi è necessario compilare il modulo online disponibile al seguente link: https://sites.google.com/site/enzoorsingherconference/ RECENT DEVELOPMENTS IN PROBABILITY THEORY AND STOCHASTIC PROCESSES *A CONFERENCE IN HONOUR OF ENZO ORSINGHER* *ON THE OCCASION OF HIS 70TH BIRTHDAY* DEP. STATISTICAL SCIENCES, "SAPIENZA" UNIVERSITY OF ROME AULA II, GROUND FLOOR ROME, SEPTEMBER 23, 2016 *Program * 09:45 Opening 10:00 Aimé Lachal (University of Lyon/ Institute Camille Jordan CNRS) Some distributions on pseudo-Brownian motion and pseudo-random walk 10:25 Fabio Spizzichino ("Sapienza" University of Rome) Special classes of exchangeable occupancy models. Related transformations and related closure properties 10:50 Marina Santacroce (Turin Polytechnic) Forward backward semimartingale systems for utility maximization 11:15 Coffee break 11:35 Nikolai Leonenko (Cardiff University) Fractional Poisson fields and martingales 12:00 Laura Sacerdote (University of Turin) Generalized nonlinear Yule models 12:25 Stefano Iacus (University of Milan) On statistical analysis of the telegraph process and related processes 12:50 Lunch break 15:00 Antonio Di Crescenzo (University of Salerno) Recent advances on the telegraph process 15:25 Mirko D'Ovidio ("Sapienza" University of Rome) Delayed diffusions on random Koch domains 15:50 Elvira Di Nardo (University of Turin) Symbolic calculus in probability and mathematical statistics 16:15 Coffee break 16:35 Federico Polito (University of Turin) The space-fractional Poisson process and extensions 17:00 Personal recollections from Enzo's colleagues and closing Tutti gli interessati sono invitati a partecipare. Cordiali saluti. Luisa Beghin e Alessandro De Gregorio ***************************************************************** Luisa Beghin Dipartimento di Scienze Statistiche Fac. Ingegneria dell'Informazione, Informatica e Statistica "SAPIENZA" Università di Roma Piazzale Aldo Moro 5, 00185 Roma T (+39) 06 49910543 F (+39) 06 4959241 http://www.dss.uniroma1.it/?q=content/beghin-luisa *****************************************************************

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