- Random - Mailing list — Dipartimento di Matematica, UniPI

PhD position in stochastic analysis at Leeds
by Elena Issoglio 17 Dec '15

17 Dec '15

Dear Colleagues, At the University of Leeds we have a PhD position in stochastic analysis within the framework "Leeds York NERC Doctoral Training Partnership (DTP)". Details are as follows: Topic: An Abstract Model for Surface Water Flow - Stochastic Differential Equations on Graphs and related Fractal Limits Deadline: January 11th 2016 How to apply: http://www.nercdtp.leeds.ac.uk/how-to-apply/ More info can be found at http://www.nercdtp.leeds.ac.uk/projects/index.php?id=284 . Alternatively you can contact Elena Issoglio at e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> Please draw this to the attention of potential candidates. With best wishes, Elena Issoglio

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Fwd: CRM-PISA -- 4 two-year Junior Visiting Positions -- DEADLINE 11th JANUARY 2016
by Tiziano Vargiolu 16 Dec '15

16 Dec '15

From: CRM <crm(a)sns.it> Date: 2015-12-15 20:08 GMT+01:00 Subject: CRM-PISA -- Announcement for 4 two-year Junior Visiting Positions -- DEADLINE 11th JANUARY 2016 To: CRM <crm(a)sns.it> Dear Colleague, I would be grateful if you could bring to the attention of your best postgraduate students and PhD holders the *CRM-PISA Junior Visiting Programme <http://crm.sns.it/grant/31/>* The program covers four two-year Junior Visiting positions starting in the Academic Year 2016/17 and is aimed at highly qualified new or recent PhD's in mathematics with an exceptional research potential. PhD students can also apply, provided they obtain their PhD no later than 1 st October 2016. *Deadline for application is 11th January 2016.* The annual gross remuneration is around 32,000 Euros, corresponding to a monthly salary of approximately 2,000 Euros, plus a research allowance of 1,000 Euros that can be used for exchange visits. Junior Visitors are expected to start their research activity at CRM-PISA no later than October 2016. *Full official call can be retrieved at* *http://www.sns.it/bando/assegni-di-ricerca-denominati-%E2%80%9Cjunior-visiting-position%E2%80%9D-quattro-giovani-studiosi-lo-svolgimento-di-attivit%C3%A0-di-ricerca-nel <http://www.sns.it/bando/assegni-di-ricerca-denominati-%E2%80%9Cjunior-visit…>* *For an English version please view the Announcement in attachment to the call:* *http://www.sns.it/sites/default/files/documenti/09-12-2015/2015announcement617.pdf <http://www.sns.it/sites/default/files/documenti/09-12-2015/2015announcement…>* Hosting over 4000 visitors since its foundation in 2001, CRM-PISA* (**Centro di Ricerca Matematica Ennio De Giorgi <http://crm.sns.it/>**) *provides a thriving international and interdisciplinary research environment and Junior Visitors can take part to a great variety of scientific activities including intensive research periods, workshops and seminars, and have a unique opportunity to interact with top-class scientists. Yours sincerely, Stefano Marmi Director CRM-PISA ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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modifica seminari 16 dicembre
by Matteo Ruggiero 14 Dec '15

14 Dec '15

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Mercoledi 16 Dicembre 2015, nell’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: 11:00 am Harry CRANE (Rutgers University) RELATIVE EXCHANGEABILITY -- 12:00 pm Juhee LEE (University of California at Santa Cruz) BAYESIAN INFERENCE FOR INTRA-TUMOR HETEROGENEITY IN MUTATIONS AND COPY NUMBER VARIATION -- 4:00 pm Mattia CIOLLARO (Carnegie Mellon University) AN INFERENTIAL THEORY OF CLUSTERING FOR FUNCTIONAL DATA Rispetto al programma precedentemente annunciato, è stato cancellato l'intervento di Linxi LIU. Tutti gli interessati sono invitati a partecipare. Gli abstracts possono essere consultati alla pagina www.carloalberto.org/events/seminars/statistics/ Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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seminario Alois Pichler in Bicocca
by Fabio Bellini 14 Dec '15

14 Dec '15

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Workshop "Stochastic Models And Related Topics"
by Antonio Di Crescenzo 10 Dec '15

10 Dec '15

The International Workshop "Stochastic Models And Related Topics" will take place on January 21 and 22, 2016 at the Department of Mathematics of Salerno University Via Giovanni Paolo II, n. 132, 84084 Fisciano (SA), Italy Main topics of the Workshop include stochastic models in dynamical systems, reliability theory, biomathematics, mathematical finance, queueing systems. Some talks will also focus on current problems in applications of mathematics, probability and statistics, and on related computational aspects. The program of the activities is still being planned. We wish to have a scientifically interesting and stimulating opportunity to exchange information both in the form of lectures, seminars and, above all, informal discussions among the participants. There is no registration fee for attending the Workshop. The deadline for Abstracts is January 5, 2016. Abstract submissions must be sent by email to adicrescenzo(a)unisa.it The abstract template and other details are available at http://www.unisa.it/docenti/antoniodicrescenzo/smart2016/workshop Those who are interested are kindly invited to write an email to adicrescenzo(a)unisa.it The Organizing Committee Antonio Di Crescenzo, Virginia Giorno, Barbara Martinucci, Alessandra Meoli, Amelia G. Nobile, Serena Spina --

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Conference MAF 2016 - Extended deadline for abstract sublission
by Marco Corazza 09 Dec '15

09 Dec '15

========================================================================== Seventh International Conference on MAF 2016 - MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE March 30-31 and April 1, 2016 University Paris-Dauphine - Paris (France) Extended deadline for abstract submission: December 20th, 2015 http://maf2016-paris.dauphine.fr/fr.html ========================================================================== Third call for papers ========================================================================== Dear All, the seventh international conference "MAF 2016 - MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE" will be held from March 30 to April 1, 2016 at the University Paris-Dauphine, in Paris (France). Here, I highlight only a few things: 1) Submission of abstracts, no more than two pages, within December 20th, 2015 (extended deadline). You can download the instructions for authors and the template for the abstract from the webpage: http://maf2016-paris.dauphine.fr/fr/registration-submission.html. Then you can send the abstract by email: maf2016_submission(a)unive.it. 2) Notification of the abstract acceptance within January 11th, 2016. 3) Please, give the widest possible diffusion to the call for paper. See you in Paris, Marco (Corazza) P.S. - Apologies for cross sending. -- 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 -- <<If a risk measure is coherent for return distributions, it may not be coherent for payoff distributions.>> S.T. Rachev, S.V. Stoyanov, F.J. Fabozzi, “A probability metrics approach to financial risk measures”, Wiley-Blackwell, 2011 [pag. 150]

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Modifica orario del Mini-corso "Martingale Optimal Transport" del prof. Nizar Touzi a Pisa
by Fausto Gozzi 08 Dec '15

08 Dec '15

Modifica orario Riguardo al mini-corso dal titolo "Martingale Optimal Transport" presso il Dipartimento di Matematica dell'Universita' di Pisa di cui all'avviso qui sotto, si comunica che l'orario della lezione di domani, Mercoledi' 9 Dicembre, verra' spostato in avanti di mezz'ora. Quindi la lezione si svolgerà dalle 16.30 alle 18.30, stesso luogo. Fausto Gozzi >Si ricorda che nei giorni 9-11 dicembre il prof. Nizar Touzi dell'Ecole >Polytechnique di Parigi terra' un mini-corso dal >titolo "Martingale Optimal Transport" presso il >Dipartimento di Matematica dell'Universita' di Pisa. > >L'abstract ed il calendario sono riportati di seguito. > >-------------------------------------------------------------- > >- MER 9/12: ore 16 - 18 (Aula riunioni) >- GIO 10/12: ore 10 - 12 (Aula seminari) >- GIO 10/12: ore 15 - 17 (Aula seminari) >- VEN 11/12: ore 9 - 13 (Aula seminari) > >Abstract: We provide an introduction to martingale optimal transport. In >the context of the one-period version of the problem, we establish the >Kantorovitch duality, we discuss the existence for the primal and the >dual problems, and we provide the martingale version of the cyclic >monotonicity condition together with of the one-dimensional Brenier >theorem. We finally show the connection between continuous-time >martingale transport and the Skorohod embedding problem, and we provide >some applications. > > >Salvatore Federico >_______________________________________________ >Random mailing list > >Per informazioni e per disiscriversi: >https://fields.dm.unipi.it/listinfo/random >Per contattare gli amministratori: random-admin(a)fields.dm.unipi.it >Per inviare un messaggio alla mailing list: Random(a)fields.dm.unipi.it >Archivio dei messaggi inviati: >https://fields.dm.unipi.it/pipermail/random/#end Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old addresses: Fausto Gozzi Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facolta' di Economia Universita' di Roma La Sapienza via del Castro Laurenziano 9 00161 Roma Italy tel 06/49766275 (office) FAX 06/49766765 and also Fausto Gozzi Dipartimento di Matematica Universita' di Pisa via Filippo Buonarroti n. 2 56127 Pisa Italy tel 050/2213270 FAX 050/2213224 e-mail: GOZZI(a)DM.UNIPI.IT --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus

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Seminari LIU, LEE, CRANE
by Matteo Ruggiero 08 Dec '15

08 Dec '15

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Mercoledi 16 Dicembre 2015, nell’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: 11:00 am Linxi LIU (Stanford University) CONVERGENCE RATE OF A CLASS OF MULTIVARIATE DENSITY ESTIMATORS BASED ON ADAPTIVE PARTITIONING -- 12:00 pm Juhee LEE (University of California at Santa Cruz) BAYESIAN INFERENCE FOR INTRA-TUMOR HETEROGENEITY IN MUTATIONS AND COPY NUMBER VARIATION -- 4:00 pm Harry CRANE (Rutgers University) RELATIVE EXCHANGEABILITY Tutti gli interessati sono invitati a partecipare. Gli abstracts possono essere consultati alla pagina www.carloalberto.org/events/seminars/statistics/ Il seminario e' organizzato dalla "de Castro" Statistics Initiative (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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EFI - Edizione 1
by Tiziano Vargiolu 05 Dec '15

05 Dec '15

Carissimi, trovate online le ultime informazioni sul workshop Energy Finance Italia (prima edizione), a Camerino (MC) il 10-11 dicembre 2015. Il programma del workshop con gli orari degli interventi ed il nome dei chair di ogni sessione ? stato pubblicato sul sito web: http://energyfinanceitalia.dtdns.net/ E' prevista alla fine del workshop una riunione per discutere insieme di questa nuova rete. Nel sito sono presenti anche i link a informazioni su come raggiungere la sede del convegno e l'albergo. La fee (che comprende cena, una notte di albergo e i coffee break) ? di 120 euro, e dovrebbe essere pagata con la seguente modalit?: 1) per enti pubblici (le universit?): versamento su BANCA D?ITALIA DI MACERATA CC/ di tesoreria unica n. 37554 ; indicando nella causale 'partecipazione NOME COGNOME a Energy Finance Italia 2015' 2) per privati: versamento su Banca Marche, AGENZIA 13 Camerino, CC/ IBAN: IT83 P060 5568 8300 0000 0010346 ; indicando nella causale 'partecipazione NOME COGNOME a Energy Finance Italia 2015' Chi ha bisogno del certificato di partecipazione me lo faccia sapere. A presto ! Carlo -- Carlo Lucheroni School of Sciences and Technologies Universita' di Camerino via Madonna delle Carceri 9 62032 Camerino (MC) Italy Office phone: 39-0737402552 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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Secondo annuncio: Mini-corso "Martingale Optimal Transport" del prof. Nizar Touzi a Pisa
by Salvatore Federico 05 Dec '15

05 Dec '15

Si ricorda che nei giorni 9-11 dicembre il prof. Nizar Touzi dell'Ecole Polytechnique di Parigi terra' un mini-corso dal titolo "Martingale Optimal Transport" presso il Dipartimento di Matematica dell'Universita' di Pisa. L'abstract ed il calendario sono riportati di seguito. -------------------------------------------------------------- - MER 9/12: ore 16 - 18 (Aula riunioni) - GIO 10/12: ore 10 - 12 (Aula seminari) - GIO 10/12: ore 15 - 17 (Aula seminari) - VEN 11/12: ore 9 - 13 (Aula seminari) Abstract: We provide an introduction to martingale optimal transport. In the context of the one-period version of the problem, we establish the Kantorovitch duality, we discuss the existence for the primal and the dual problems, and we provide the martingale version of the cyclic monotonicity condition together with of the one-dimensional Brenier theorem. We finally show the connection between continuous-time martingale transport and the Skorohod embedding problem, and we provide some applications. Salvatore Federico

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Fwd: School and Workshop on Random Interacting Systems in Bath, UK
by Faggionato, Alessandra 04 Dec '15

04 Dec '15

School and Workshop on Random Interacting Systems 19-24 June 2016, in Bath, U.K. Registration is open until 25th March 2016 at http://people.bath.ac.uk/ados20/ris2016/ MINI-COURSES ============ Michael Damron (Georgia Institute of Technology) Geodesics in first-passage percolation Ron Peled (Tel Aviv University) The spin and loop O(n) models INVITED SPEAKERS ================ Krzysztof Burdzy (University of Washington) Manuel Cabezas (PUC Chile) Elisabetta Candellero (University of Warwick) Pietro Caputo (Roma Tre) Shirshendu Ganguly* (University of Washington) Jack Hanson (CCNY) Dmitry Ioffe (Technion) Elena Kosygina (Baruch College, CUNY) Fabio Martinelli* (Roma Tre) Allan Sly* (UC Berkeley) Yinon Spinka (Tel Aviv University) Alain-Sol Sznitman (ETH Zurich) Vincent Tassion (Universite Geneve) Balint Toth (Bristol & TU Budapest) Daniel Ueltschi (University of Warwick) * = to be confirmed. There will be slots for a small number of contributed talks (with preference to PhD students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/ris2016/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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Annuncio seminario Prof. Meilijson
by Cristina Zucca 04 Dec '15

04 Dec '15

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Lunedì 14 Dicembre 2015 alle ore 15:00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. Isaac Meilijson (Department of Statistics and Operations Research · School of Mathematical Sciences; Tel Aviv University) terrà un seminario dal titolo How variable can a martingale with a given final variance be? Abstract: The ratio between the expected diameter (maximum-minimum) of an L2-bounded martingale and the standard deviation of its last term cannot exceed √3 (Dubins, Gilat & Meilijson). This extends the Dubins & Schwarz respective bounds 1 and √2 for the ratios between the expected maximum and maximal absolute value of the martingale and the standard deviation of its last term. All three will be reviewed in a unified way, by showing that these problems can be reduced to finding some optimal stopping times in Brownian Motion. ------------------------------------------------------------------------------------------------------ Tutti gli interessati sono invitati a partecipare Cristina Zucca -- Dr. Cristina Zucca Department of Mathematics University of Torino Via Carlo Alberto 10 10123 Torino, Italy tel: +39-011-6702850 fax: +39-011-6702878

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Seminario Ilaria Spassiani a RM1
by Nappo, Giovanna 03 Dec '15

03 Dec '15

*********************************************************************************************** SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA *********************************************************************************************** Dipartimento di Matematica G. Castelnuovo Sapienza, Università di Roma piazzale A. Moro 2, Roma *********************************************************************************************** Mercoledì 9 dicembre 2015 Ore 11:30, Aula di Consiglio Seminario di Probabilità e Statistica Matematica/Presentazione Tesi di Dottorato Ilaria Spassiani (Sapienza Università di Roma) Un nuovo modello ETAS per terremoti con magnitudo dipendenti Il classico modello ETAS temporale per sequenze sismiche fa parte della classe di processi di Hawkes con marche indipendenti. Tuttavia, poiché l'ipotesi di dipendenza tra le magnitudo è supportata da analisi statistiche, proponiamo una nuova versione dell'ETAS temporale, in cui le magnitudo degli aftershocks (eventi triggerati) dipendono dalle magnitudo dei rispettivi eventi madre (eventi triggeranti) attraverso una probabilità di transizione tale che, in accordo con i risultati sperimentali, (i) eventi triggerati con magnitudo grande/piccola sono più probabili se scatenati da eventi triggeranti con magnitudo grande/piccola; (ii) tutte le magnitudo seguono la stessa legge esponenziale di Gutenberg-Richter, ovvero la sua densità è autofunzione di un opportuno operatore. Infine, discuteremo la non esplosione del modello, l'approssimazione della probabilità di zero eventi in [0,t], per t piccolo, ed interpreteremo i risultati come un'approssimazione della densità comune degli intertempi. *********************************************************************************************** Tutti gli interessati sono invitati a partecipare Giovanna Nappo ***********************************************************************************************

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posizioni di post-doc e borse per studenti di master c/o centro Lebesgue
by Marco Romito 03 Dec '15

03 Dec '15

segnalo per gli interessati. ---------------------------------------------------- The Lebesgue Center invites to apply for post-doctoral positions in mathematics for a period of six months to a year (renewable once). The hired applicant will conduct his/her research at one of these Institutes: IRMAR (Rennes), LMJL (Nantes), LMBA (Brest and Vannes), LAREMA (Angers). The position is open to all research areas present within the four Institutes. It does not include an obligation to teach. The net salary will be 2 225 Euros per month. Deadline: April 15, 2016. http://www.lebesgue.fr/ ---------------------------------------------------- The Lebesgue Center offers 10,000€ scholarships to outstanding mathematics students applying for a master programme in mathematics, for a fist year of Master (M1) or for a second year of Master (M2), in Rennes, Nantes, Angers, Brest or Vannes. Deadline: March 10, 2016. http://www.lebesgue.fr/

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Seminario Valeria Bignozzi
by Gabriele Stabile 03 Dec '15

03 Dec '15

Mercoledì 9 Dicembre, alle ore 13, presso l'Aula Fanfani al 5° piano del Dipartimento MEMOTEF (Sapienza Università di Roma, Via del Castro Laurenziano 9, Roma), si terrà il seminario: "How superaddittive can a risk measure be?" Speaker: Velaria Bignozzi (Sapienza University of Rome). ABSTRACT ************** Risk measures that are not subadditive may penalize the aggregation of risk, by inducing portfolio requirements that are larger than those of undiversified positions. This happens for instance for Value-at-Risk (VaR), as well as convex shortfall risk measures. In this paper we characterize the potential for superadditivity that any risk measure may exhibit, considering both dependence uncertainty as well as the effect of portfolio size. It is shown that for the wide majority of risk measures of use or interest this corresponds to calculating the smallest dominating coherent risk measure (SDCRM). We show that this risk measure often exists and is identified with the notion of extreme-aggregation risk measure introduced in this paper. Explicit results are provided for the class of distortion risk measures, where the SDCRM is again a distortion risk measure and for the class of shortfall risk measures, where the SDCRM is given by an expectile. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Gabriele Stabile

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Fwd: Saint-Flour 2016
by Marco Romito 02 Dec '15

02 Dec '15

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Seminario di Probabilita' - Universita' di Padova
by alessandra bianchi 01 Dec '15

01 Dec '15

Ho il piacere di invitarvi al seguente seminario, che si terrà giovedì 10 dicembre, alle 11:30, in Aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Sander Dommers AFFILIATION: Ruhr University Bochum TITLE: Metastability in the reversible inclusion process ABSTRACT: In the reversible inclusion process with N particles on a finite graph, each particle at a site x jumps to site y at rate (d+n_y) r(x,y), where d is a diffusion parameter, n_y is the number of particles on site y and r(x,y) is the jump rate from x to y of an underlying reversible random walk. When the diffusion d converges to 0 as N goes to infinity, the particles cluster together to form a condensate. It turns out that these condensates only form on the sites where the underlying random walk spends the most time. Once such a condensate is formed the particles stick together and the condensate performs a random walk itself on much longer timescales, which can be seen as metastable behavior. We study the rates at which the condensate jumps and show that in the reversible case there are several time scales on which these jumps occur depending on how far (in graph distance) the sites are from each other. This generalizes work by Grosskinsky, Redig and Vafayi who study the symmetric case where only one timescale is present. Our analysis is based on the martingale approach by Beltrán and Landim. This is work in progress jointly with Alessandra Bianchi and Cristian Giardinà. -- Alessandra Bianchi Dip. di Matematica Università di Padova Via Trieste, 63 - 35121 Padova, Italy phone: +39 049 827 14 06 fax: +39 049 827 14 28 e-mail: bianchi(a)math.unipd.it http://www.math.unipd.it/~bianchi/

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internship position "An analysis of the firebrand landing distributions" at BCAM, Bilbao
by Gianni Pagnini 01 Dec '15

01 Dec '15

Dear all, an internship position is open at BCAM www.bcamath.org [1], Bilbao, Basque Country - Spain, on the topic "AN ANALYSIS OF THE FIREBRAND LANDING DISTRIBUTIONS" related to a ongoing research on modelling wildland fire propagation. The deadline for application submission is the 20th of January, 2016. http://www.bcamath.org/en/research/internships [2] http://www.bcamath.org/documentos_public/archivos/internships/SP_FirebrandL… [3] For information you can contact Inderpreet kaur: ikaur(a)bcamath.org. Sincerely, Gianni Pagnini -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini [4] _ _ _(__ __matematika mugaz bestalde )_ Links: ------ [1] http://www.bcamath.org [2] http://www.bcamath.org/en/research/internships [3] http://www.bcamath.org/documentos_public/archivos/internships/SP_FirebrandL… [4] http://www.bcamath.org/gpagnini

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postdoc position on "Stochastic Processes for Anomalous Diffusion" at BCAM, Bilbao
by Gianni Pagnini 01 Dec '15

01 Dec '15

Dear all, I would like inform you about a call for a 2-year postdoc position at BCAM - Basque Center for Applied Mathematics [1], Bilbao, Basque Country - Spain. The topic is "Stochastic Processes for Anomalous Diffusion" and the deadline for submission of applications the 30th of December, 2015. Here is the link http://www.bcamath.org/en/research/job/ic2015-winter-postdoctoral-fellowshi… [2] The applicant should select the research line SP-Statistical Physics. Please, share this announcement with any colleague and applicant that could be interested. Questions can be sent to me gpagnini(a)bcamath.org. Thank you very much. Regards, Gianni -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini [3] _ _ _(__ __matematika mugaz bestalde )_ Links: ------ [1] http://www.bcamath.org/ [2] http://www.bcamath.org/en/research/job/ic2015-winter-postdoctoral-fellowshi… [3] http://www.bcamath.org/gpagnini

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4 new positions at Loughborough (fwd)
by Michele Gianfelice 01 Dec '15

01 Dec '15

---------- Forwarded message ---------- Date: Mon, 30 Nov 2015 12:38:03 +0000 From: Wael Bahsoun <W.Bahsoun(a)lboro.ac.uk> To: Wael Bahsoun <W.Bahsoun(a)lboro.ac.uk> Subject: 4 new positions at Loughborough Dear Colleagues, We are advertising for 4 new positions at Loughborough. I would greatly appreciate it if you pass the info below to suitable candidates, and encourage them to apply as soon as possible. The deadline is 17 December: 1. Lecturer in Stats https://vacancies.lboro.ac.uk/tlive_webrecruitment/wrd/run/ETREC107GF.open?… 2. Prof in Stats or in Applied Maths https://vacancies.lboro.ac.uk/tlive_webrecruitment/wrd/run/ETREC107GF.open?… 3. SL/Reader in Stats or in Applied Maths https://vacancies.lboro.ac.uk/tlive_webrecruitment/wrd/run/ETREC107GF.open?… 4. Lecturer in Maths (geometry, algebra or algebraic geometry) https://vacancies.lboro.ac.uk/tlive_webrecruitment/wrd/run/ETREC107GF.open?… Best wishes, Wael

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Lectureship in Financial Mathematics at DCU (fwd)
by Tiziano Vargiolu 30 Nov '15

30 Nov '15

---------- Forwarded message ---------- Date: Fri, 27 Nov 2015 15:33:26 +0000 From: Paolo Guasoni <paolo.guasoni(a)dcu.ie> To: undisclosed-recipients: ; Subject: Lectureship in Financial Mathematics at DCU Dear Colleague, Dublin City University has a Lecturer vacancy in Financial Mathematics: http://www4.dcu.ie/hr/vacancies/current.shtml Please draw this to the attention of potential candidates. The closing date for applications is January 3rd. All the best, Paolo Guasoni

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EFI call for papers
by Tiziano Vargiolu 27 Nov '15

27 Nov '15

Carissimi, stiamo organizzando un workshop intitolato Energy Finance Italia (EFI), prima edizione, per collegare la comunit? italiana che lavora su finanza ed economia dell'energia. Sul tema avevamo gia' organizzato in Italia il convegno Energy Finance 2014 (energyfinance2014.org), della serie europea Energy Finance. EFI sara' tenuto all'Universita' di Camerino (Camerino, MC), giovedi' 10 e venerdi' 11 dicembre pp.vv. Il tema e': tutto quanto di interessante si fa in energy finance ed economics, (dal pricing alla policy, dall'econometrics al disegno e alle simulazioni del mercato elettrico, dagli equilibri micro nei mercati dei carburanti, della CO2 e delle rinovabili al disegno di contratti derivati, dalle analisi con integrated assessment model del global warming all'ottimizzazione della gestione degli impianti idroelettrici), con gli scopi di: 1) riunirci come 'collezione di competenze' del settore, e di 2) creare una comunita' di riferimento italiana, da usare per integrare le proprie reti di contatti individuali, per proporre progetti per finanziamenti, come workshop italiano a cui mandare dottorandi e postdoc, eccetera, tutto questo, ovviamente, in Italia. Il sito del workshop e': http://energyfinanceitalia.dtdns.net/ Chi fosse interessato a partecipare e/o a contribuire con un talk, e' pregato di scrivere a carlo.lucheroni(a)unicam.it ENTRO VENERDI' 5 DICEMBRE. Grazie per l'attenzione, Carlo Lucheroni (Universit? di Camerino), Carlo Mari (Universit? di Chieti Pescara), Tiziano Vargiolu (Universit? di Padova). -------------------------------------------------------------------------- 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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Annuncio di seminario (fwd)
by Tiziano Vargiolu 27 Nov '15

27 Nov '15

---------- Forwarded message ---------- Date: Fri, 27 Nov 2015 16:21:41 +0100 From: Pietro Rossi <pietro.rossi(a)prometeia.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Annuncio di seminario Con il consueto invito di estenderlo a chiunque possa essere interessato Giovedi 3 Dicembre ore 14:30 Anna Maria Gambaro Dottoranda presso il dipartimento di statistica e metodi quantitativi (DISMEQ) dell'universit? di Milano Bicocca HJM multiple-curve model with time-changed L?vy processes Abstract:We propose a multiple-curve model, set in Heath-Jarrow-Morton framework, with time-changed L ?evy as driving processes. This class of process was introduced in finance by Carr and Wu (2004) for pricing of equity derivatives. However, recently, empirical studies, as Leippold and Str?mberg (2014), suggest the application of time-changed L ?evy process to interest rate financial products. In particular, L ?evy processes generate very flexible return innovation distribution and take into account potential discontinuities in Libor dynamics. On the other hand, the time change and the dependence between the L ?evy process and the random time introduce ?stochastic volatility? and ?stochastic skew? in the model, in order to reproduce the term structure of the volatility smile of caps and swaptions. This paper is inspired by the work of Eberlein and Raible (1999) on L ?evy models, generalized in Crepey et al. (2014) to a multiple curve setting. To the best of our knowledge, no previous works present a theoretically consistent no-arbitrage framework for pricing interest rate derivatives with time-changed L ?evy process. Moreover we apply these flexible processes to a multiple-curve post crisis set-up. First of all, we build a term structures for zero coupon bonds and Libor forward rate and we derive sufficient conditions to ensure the absence of arbitrage. Moreover the pricing of interest rate derivatives, as caps and swaptions, is developed using the Fourier transform method. Finally different choices for the construction of the driving process are examined and compared. Il seminario si terra' presso la sede di Prometeia a Bologna in Via Marconi 43. -- Disclaimer: http://www.prometeia.it/disclaimer

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Fwd: FW: postdoc position on "Stochastic Processes for Anomalous Diffusion" at BCAM
by Enrico Scalas 27 Nov '15

27 Nov '15

Car* collegh*, e' disponibile una posizione di postdoc per 2 anni al BCAM a Bilbao. Il tema e' "Stochastic Processes for Fractional Diffusion". La scadenza e' il 30 dicembre. Questi sono i link ufficiali http://www.bcamath.org/documentos_public/archivos/ofertas/BCAM15_Postdoc_Pr… http://www.bcamath.org/en/research/job/ic2015-winter-postdoctoral-fellowshi… Se avete domande o candidature potete rivolgervi a -- Gianni Pagnini Ikerbasque Research Fellow *BCAM - * Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org | www.bcamath.org/gpagnini Cordiali saluti, Enrico Scalas

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Fwd: Spring School in Financial Mathematics 2016
by Tiziano Vargiolu 27 Nov '15

27 Nov '15

SPRING SCHOOL IN FINANCE 2016 March 10-12, 2016 University of Bologna, Italy https://events.unibo.it/ssf2016 A three day Spring School in Financial Mathematics will be held in Bologna on March 10-12, 2016. The School is open to both practitioners and people from the academic world and intends to provide two crash courses on Credit and Counterparty risk given by * St?phane Cr?pey (University of Evry) * Andrea Pallavicini (Banca IMI, Milan - Imperial College, London) For further information and registration, see: https://events.unibo.it/ssf2016/registration Barbara Giovannini Tutor C.A.F. Finanza Matematica Dipartimento di Matematica Piazza di Porta San Donato, 5 40126 Bologna

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