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First Announcement: MODEL UNCERTAINTY AND ROBUST FINANCE
by Marco Maggis 12 May '16

12 May '16

Workshop MODEL UNCERTAINTY AND ROBUST FINANCE https://sites.google.com/site/2016murf/ <https://sites.google.com/site/2016murf/home> 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) DEADLINE FOR ABSTRACT SUBMISSION: September 30 ALL ACCEPTED CONTRIBUTED SPEAKERS WILL HAVE REGISTRATION FEE WAIVED. -- Marco Maggis, Ricercatore TD, Secs-S/06 Dipartimento di Matematica F. Enriques, Via Cesare Saldini 50, 20133, Milano Telefono: 0250316120

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Fwd: Probability -- SNS CALL FOR EXPRESSIONS OF INTEREST
by Francesco Caravenna 12 May '16

12 May '16

Ricevo e inoltro. > ---------- Forwarded message ---------- > From: CRM <crm(a)sns.it> > Date: 2016-05-11 20:08 GMT+02:00 > Subject: Probability -- SNS CALL FOR EXPRESSIONS OF INTEREST > To: CRM <crm(a)sns.it> > > > Dear Colleagues, > > the Scuola Normale Superiore decided to open an expression of interest in Probability, at the full professor level. > Please feel free to spread this information to anyone potentially interested. > Expressions of interest shall be addressed to: > > Prof. Vincenzo Barone > Preside della Classe di Scienze Matematiche e Naturali > Scuola Normale Superiore > Piazza dei Cavalieri, 7 > PISA – Italy > > and can be sent by email to the following address : classi(a)sns.it, writing EOI/PROB in the subject field. > > Here is the link for a detailed information: > > http://en.sns.it/bando/professorship-probability-theory-scuola-normale-supe… > > The deadline for submission is May 31st. > > Thank you for your collaboration. > > With best wishes, > > Stefano Marmi > Director > > Centro di Ricerca Matematica > Ennio De Giorgi > Palazzo Puteano > Piazza dei Cavalieri 3 > 56100 PISA > crm(a)sns.it >

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Seminario Prof. A. Olenko (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 09 May '16

09 May '16

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 12 Maggio, ore 11 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche "Sapienza" Università di Roma Prof. A.Olenko (La Trobe University, Melbourne, Australia) *Titolo:* Some asymptotic properties of geometric functionals of strongly dependent random fields *Sintesi:* Limit theorems for the volumes of excursion sets of strongly dependent heavy-tailed random fields will be presented. Special attention is paid to Student and Fisher random fields. We also discuss the rate of convergence to the Rosenblatt-type distributions in non-central limit theorems. In contrast to approaches based on the Malliavin calculus and Stein's method we use direct probability methods. Some examples and simulation results are shown. The presentation is based on the papers: N. Leonenko, A. Olenko, Sojourn measures of Student and Fisher-Snedecor random fields, Bernoulli, 20(3) (2014) 1454--1483. Vo Anh, N. Leonenko, A.Olenko. On the rate of convergence to Rosenblatt-type distribution, Journal of Mathematical Analysis and Applications, 425(1) (2015) 111-132. Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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seminari Marco Frittelli in Bicocca
by Fabio Bellini 06 May '16

06 May '16

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An Introduction to Risk Measures. Corso per dottorandi- Valeria Bignozzi
by Lea Petrella 05 May '16

05 May '16

Si comunica che all’interno del Dottorato di Ricerca “Modelli per l’Economa e la Finanza” (Dipartimento MEMOTEF) la Dottoressa Valeria Bignozzi svolgera’ il ciclo di lezioni “An Introduction to Risk Measures” secondo il seguente calendario 13 maggio ore 18-20 17 maggio ore 16.30-18 18 maggio ore 11.30-13 Le lezioni si svolgeranno presso l’aula Maramma VI piano Economia, Via del Castro Laurenziano 9, 00161 Sapienza Universita’ di Roma. Gli interessati possono contattarmi via mail all'indirizzo lea.petrella(a)uniroma1.it Segue il programma del corso ed i riferimenti bibliografici An Introduction to Risk Measures: 1. Definition of a risk measure (rm) and its applications in finance and insurance; 2. Classical examples of rm: Value-at-Risk (VaR), Expected Shortfall (ES), Expectiles; 3. Computing risk measures for discrete and continuous distributions; 4. Properties: Monotonicity, Translation Invariance, Positive homogeneity, subadditivity, convexity, comonotonicity, law-invariance; Convex and coherent rm; 5. Non subadditivity of VaR and its consequences on portfolio diversification; 6. Estimation of rm (Historical estimation, generalised quantile regression, maximum likelihood methods, bayesian approach); 7.Risk measurement for an aggregate position. References: 1. Embrechts, P., F. Rudiger., and A. McNeil. "Quantitative risk management." *Princeton Series in Finance, Princeton* 10 (2005). 2. Föllmer, H., and A. Schied. *Stochastic finance: an introduction in discrete time*. Walter de Gruyter, 2011. 3. Jorion, P.. *Value at risk: the new benchmark for managing financial risk*. Vol. 3. New York: McGraw-Hill, 2007. -- **************************************************** Prof. Lea Petrella Memotef Department Sapienza University of Rome http://www.memotef.uniroma1.it/users/petrella-lea ***************************************************** -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Borse di Dottorato - Dipartimento di Matematica, Politecnico di Milano
by Laura M. Sangalli 04 May '16

04 May '16

Presso il Dipartimento di Matematica del Politecnico di Milano sono disponibili 10 borse di dottorato in Modelli e Metodi Matematici per l'Ingegneria. Nell'ambito di questo programma di Dottorato è possibile sviluppare un progetto di ricerca in Statistica. La scadenza per effettuare l’iscrizione è*venerdì 27 maggio 2016 ore 14.00* Al linkhttp://www.dottorato.polimi.it/entra-al-dottorato/concorso-di-ammissione-e-borse-di-studio/bandi/bando-xxxii-ciclo-dei-corsi-di-dottorato-20162017/ sono contenute tutte le informazioni relative al bando, alle borse e ai corsi di dottorato. Vi preghiamo di dare diffusione di questo avviso ai vostri Studenti potenzialmente interessati. Cordialmente, 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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Seminario CALATRONI (Matematica Applicata & ADAMSS, CIMAB)
by Giacomo Aletti 04 May '16

04 May '16

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti =============== Nell'ambito del Seminario di Matematica Applicata, in collaborazione col centro ADAMSS e il CIMAB, il giorno giovedì 12 Maggio 2016, alle ore 14.30, nella Sala di Rappresentanza (piano terra) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Image segmentation, graph clustering and Hough transform methods for object detection and measurement in images" Luca CALATRONI Dipartimento di Matematica Universita' di Genova Abstract: In this talk we consider the problem of image segmentation through the minimisation of a Ginzburg-Landau-type functional defined on graphs (i.e. the pixel images). Such approach has first been considered by A. Bertozzi and A. Flenner and provides a binary segmentation of the image via the extraction and the comparison of features (RGB, texture,...) with a dictionary in terms of an appropriate similarity measure. From a mathematical point of view, the segmentation is obtained by exploiting the spectral properties of the differential operators appearing when taking the $\ell^2$ gradient flow of the functional. In order to overcome the numerical difficulties due to the large size of the images considered, Nyström matrix completion techniques and convex splitting methods are employed. We apply such method to the problem of scale detection in images where a fuzzy region of interest is present together with a measurement tool (e.g. a ruler). In particular, by means of a Hough transform based algorithm, we apply our combined method to several measurement tasks arising in real-world applications such as zoology, medicine and archaeology. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell:+39-340-9739142

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International Summer School on Risk Measurement and Control 2016
by Roy Cerqueti 04 May '16

04 May '16

Cari colleghi, invio questa nota circa la Summer School che stiamo organizzando a Roma, che può essere di interesse per chi si occupa di matematica applicata alla finanza. Un caro saluto e a presto Roy %%% Caro collega, dal 6 all' 11 giugno 2016, a Roma, si terrà l'XI edizione l'International Summer School on Risk Measurement and Control in cui verranno trattati tre temi di fondamentale importanza: * Session 1 - New Frontiers in Risk Management; * Session 2 - Energy Risk Management; * Session 3 - The EURO project: shadows and lights. Ulteriori informazioni di dettaglio sono reperibili sul sito. <http://www.risksummerschool.eu/> Ti chiederei gentilmente, di far circolare la notizia dell'evento quanto più possibile tra i tuoi contatti e all'interno della tua istituzione di afferenza. Siamo convinti che questo evento, che vanta un parterre di docenti internazionali di assoluta rilevanza, possa essere di interesse per molti studiosi. In attesa di un cortese riscontro, ti mando i miei più cari saluti Roy Cerqueti (Comitato Organizzatore) -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Fwd: Open Position as a Scientific Employee at Ulm University (fwd)
by Tiziano Vargiolu 03 May '16

03 May '16

----- Forwarded message from Robert Stelzer <robert.stelzer(a)uni-ulm.de> ----- Date: Tue, 3 May 2016 15:33:10 +0200 From: Robert Stelzer <robert.stelzer(a)uni-ulm.de> Subject: Open Position as a Scientific Employee at Ulm University To: Robert Stelzer <robert.stelzer(a)uni-ulm.de> Dear Colleagues and Friends, please find below and attached the announcement for an open position as a scientific employee (Postdoc or PhD level) at the Institute of Mathematical Finance at Ulm University. It would be very kind if you would bring it to the attention of possible candidates. Best Regards, Robert (Stelzer) The Institute of Mathematical Finance at the Faculty of Mathematics and Economics of Ulm University invites applications for one non-permanent position as a Scientific Employee (E13 TV-L) starting October 1st, 2016, according to the rules of the German law for non-permanent scientific positions (Wissenschaftszeitvertragsgesetz). Prerequisite is a very good master degree in a mathematical field of study or a comparable degree, and interest in future research in at least one of the areas Financial Mathematics, Financial Econometrics, Statistics of Stochastic Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic Processes or Time Series Analysis. The opportunity for further scientific qualification (Habilitation/PhD) is given. The duties include contributing to the teaching activities of the institute. For a full position the teaching duty is four hours per week during the teaching period. The language of the courses is usually English. Thus no knowledge of German is initially necessary. Candidates with a completed PhD are going to be employed on a full position, otherwise candidates will be employed on a partial position according to individual agreement. The contract duration will be in accordance with the qualificaion aim. The Ulm University is committed to increase the share of women in research and teaching positions and therefore explicitly encourages female candidates to apply. Please send your application with the usual documents until May 31st, 2016, preferably in electronic form to Ulm University Prof. Dr. Robert Stelzer Institute of Mathematical Finance Helmholtzstra?e 18 89081 Ulm, Germany E-Mail: robert.stelzer(a)uni-ulm.de Please indicate the index number 51 on the envelope or in the reference line of the email. Job sharing is always possible for full time positions. Physically disabled applicants receive favourable consideration when equally qualified. The appointment is made by the central university administration. -- +++++++++++++++++++++++++++++++++++++++++ Prof. Dr. Robert Stelzer Institute of Mathematical Finance Ulm University Helmholtzstra?e 18 89081 Ulm Germany Phone: +49 731 50 23520 Fax: +49 731 50 31096 Email: robert.stelzer(a)uni-ulm.de http://www.uni-ulm.de/mawi/finmath/people/stelzer.html ----- End forwarded message -----

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Seminario NICKL
by Matteo Ruggiero 03 May '16

03 May '16

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi 6 Maggio 2016 alle ore 16:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Richard NICKL (University of Cambridge) NONPARAMETRIC BAYESIAN INFERENCE FOR DISCRETELY SAMPLED DIFFUSIONS We consider the nonlinear statistical inverse problem of making inference on the unknown parameters of a diffusion process describing the solution of a stochastic differential equation. The observation regime is such that the process is sampled at discrete time points that are a fixed distance apart, and we investigate the asymptotic regime when more samples accrue in the time horizon (thus avoiding unrealistic `high frequency’ assumptions). We shall briefly review frequentist estimation techniques and then turn to Bayesian nonparametric approaches to the problem, which have recently been shown to be computationally tractable (work of A. Stuart, G. Roberts and co-authors). A theory of frequentist contraction rates for the posterior distribution has been elusive for several years, and we present first rigorous, minimax optimal contraction rates for posterior distributions arising from natural prior distributions on infinite-dimensional parameter spaces on the drift and diffusion coefficient. We will discuss what can be learnt from these results for the choice of prior in such problems, as well as for the Bayesian analysis of general nonlinear inverse problems. In the proofs we obtain some new (functional) concentration inequalities for additive functionals of Markov chains arising from diffusions that are of independent interest. This is joint work with Jakob Soehl (Cambridge), see http://arxiv.org/abs/1510.05526 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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PhD Studentships in Statistical Sciences - University of Padova, Italy
by Patrizia Piacentini - PhD 03 May '16

03 May '16

Seven PhD studentships will be available at University of Padova for candidates interested in the area of *Statistical Sciences* (*start of activities: October 1st, 2016*). *Eligibility* The studentship competition is open to applicants of any age or citizenship, holding a 2nd cycle degree or a single cycle degree from an Italian university or an equivalent qualification from other countries of at least four years' duration (applicants can get their qualification no later than 30th September 2016). Admission is decided on the basis of qualifications only and does not require an entry examination. *Award* The award will be for three years, subject to satisfactory progress, at the following rate: annual grant of euros 13.638,47 with a start date of 1 October 2016. *How to apply* The call will be published on *May 17 (deadline June 16)* at the page http://www.unipd.it/ricerca/dottorati-di-ricerca/bandi-e-graduatorie English version at the page http://www.unipd.it/en/node/1053 *Applications are only accepted online* *Further information* See http://www.stat.unipd.it/fare-ricerca/ammissione or contact phd(a)stat.unipd.it Kindest regards, Monica Chiogna PhD Course Coordinator

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CIME-EMS Summer School on Singular Random Dynamics
by FRANCO FLANDOLI 03 May '16

03 May '16

CIME-EMS Summer School on Singular Random Dynamics Cetraro (CS) - August 22 - August 27, 2016 Registration is open until end May at http://web.math.unifi.it/users/cime/ MINI-COURSES ============ Massimiliano Gubinelli (IAM, Bonn) Applications of controlled paths to problems in stochastic analysis Martin Hairer (Univ. Warwick) Stochastic PDEs and Renormalisation Panagiotis Souganidis (Univ. Chicago) Hamilton-Jacobi partial differential equations and conservation laws with rough time signals and applications Nikolay Tzvetkov (Univ. Cergy-Pontoise) On Hamiltonian partial differential equations with random initial conditions ============ We look forward to seeing you in Cetraro, Franco Flandoli, Massimiliano Gubinelli, Martin Hairer

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seminario B. Huang
by Daniela De Canditiis 03 May '16

03 May '16

Lunedì 9 Maggio 2016 alle ore 14:00, presso l’Aula 1B1 dip. SBAI Università La Sapienza di Roma, si terra' il seguente seminario: SPEAKER: Bill Hsin-Hsiung Huang, Ph.D. (Dep. Of Statistics University of Central Florida) TITLE: An Affine-Invariant Bayesian Cluster Process with Split-Merge Gibbs Sampler ABSTRACT: We develop a clustering algorithm which does not requires knowing the number of clusters in advance. Furthermore, our clustering method is rotation-, scale- and translation-invariant coordinatewise. We call it “Affine-invariant Bayesian (AIB) process”. A highly efficient split-merge Gibbs sampling algorithm is proposed. Using the Ewens sampling distribution as prior of the partition and the profile residual likelihoods of the responses under three different covariance matrix structures, we obtain inferences in the form of a posterior distribution on partitions. The proposed split-merge MCMC algorithm successfully and efficiently estimate the partition. Our experimental results indicate that the AIB process outperforms other competing methods. In addition, the proposed algorithm is irreducible and aperiodic, so that the estimate is guaranteed to converge to the posterior distribution. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Daniela De Canditiis -- Daniela De Canditiis, PhD Istituto per le Applicazioni del Calcolo "M.Picone" (CNR) via dei Taurini, 19 -- 00185 Roma, Italy tel: +39 06 49270942 fax: +39 06 4404306 http://www.iac.rm.cnr.it/~danielad/

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Kolmogorov meets Turing
by Marco Scarsini 29 Apr '16

29 Apr '16

The Kolmogorov meets Turing Workshop on Stochastics, Optimization, Algorithms, and Games will take place on May 18th, 2016 at LUISS, Viale Romania 32, Rome, room 403. https://sites.google.com/site/kolmogorovmeetsturing/ The purpose of KmT is to bring together researchers from Computer Science, Economics, Mathematics and many other fields to present and discuss research on probabilistic methods for the analysis of games, stochastic processes, and randomized algorithms. The workshop is free but we kindly ask you to register for logistic purposes. You can register at https://sites.google.com/site/kolmogorovmeetsturing/iscrizione ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Salzburg Workshop on Dependence Models & Copulas (DMC-Salzburg, Austria)
by Durante Fabrizio 29 Apr '16

29 Apr '16

The Salzburg workshop on Dependence Models and Copulas will take place September 19-22, 2016, in Salzburg (Austria). The workshop features Irène Gijbels (Katholieke Universiteit Leuven, BE) Erich Peter Klement (JKU Linz, AT) Roger B. Nelsen (Lewis & Clark College, Portland, US) Ludger Rüschendorf (Albert-Ludwig-Universität Freiburg, DE) Matthias Scherer (Technische Universität München, DE) as plenary speakers and includes invited sessions organized by Axel Bücher (DE), Elena Di Bernardino (FR), Fabrizio Durante (IT), Maria Rita Iacó (FR), Piotr Jaworski (PL), Ostap Okhrin (DE), and Carlo Sempi (IT) as well as various promising contributed sessions. Aiming to provide a meeting point for researchers working in the field of Dependence Modeling and Copulas the workshop comprises both, contributions with a theoretical focus as well as contributions concentrating on applied aspects. In order to stimulate the discussion of new results, ideas and applications there will be no parallel sessions. Fees are kept at a minimum: 140 € for regular participants, 80 € for PhD Students registering before the end of May (including lunches, coffee breaks and conference dinner). Registration is open already, see www.dmc-salzburg.at/Fees_and_Registration.html<http://www.dmc-salzburg.at/Fees_and_Registration.html> for details - due to an unexpectedly high number of submitted contributions only a limited number of participants not giving a talk can register (first come first serve). All relevant info can be found on the workshop homepage http://www.dmc-salzburg.at We are looking forward to welcome you in Salzburg Fabrizio Durante & Wolfgang Trutschnig

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Seminario VENTURA
by Matteo Ruggiero 28 Apr '16

28 Apr '16

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi 29 Aprile 2016 alle ore 12:00, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Laura VENTURA (Università di Padova) ROBUST APPROXIMATE BAYESIAN INFERENCE The likelihood function is the basis of both frequentist and Bayesian methods. However, the stability of likelihood-based procedures requires strict adherence to the model assumptions: mild deviations from the model can lead to misleading inferential results. A possible Bayesian solution to robustness is to use a of robust pseudo likelihood, such as the quasi- and the empirical likelihoods, in the Bayes formula. However, in multiparameter problems the quasi-likelihood is cumbersome, while with small samples the empirical likelihood can be unstable. Moreover, some estimating functions can be difficult to evaluate, which rules out the use of the empirical likelihood and other existing methods (Bayesian bootstrap, Bayesian GMM, etc.). To avoid these drawbacks, in this contribution we focus on posterior distributions from robust unbiased M-estimating functions. These robust posteriors are obtained via Approximate Bayesian Computation (ABC) with the estimating functions used as summary statistics. Theory and examples with robust M-estimating functions are discussed. 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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Assegno di Ricerca presso la Libera Università di Bolzano
by Durante Fabrizio 28 Apr '16

28 Apr '16

Gent.mi Colleghi, desidero informarvi dell'uscita di un bando della Libera Università di Bolzano per 1 assegno per attività di ricerca sul tema "Nuove Prospettive per i Modelli di Dipendenza" Il Bando è consultabile al seguente link http://www.unibz.it/it/organisation/vacancies/research/assegnidiricerca/def… Scadenza presentazione delle domande: 2 maggio 2016 Cordiali saluti, Fabrizio Durante ***************************************************************** Fabrizio Durante Faculty of Economics and Management Free University of Bozen-Bolzano Piazza Università 1 - Universitätsplatz 1 I-39100 Bozen-Bolzano T: +39 04710 13493 E-mail: Fabrizio.durante(a)unibz.it<mailto:Fabrizio.durante@unibz.it> Web: sites.google.com/site/fbdurante According to the Legislative Decree No. 196/2003, you are hereby informed that this message contains confidential information that is intended only for the use of the addressee. If you are not the addressee, and have received this message by mistake, please delete it and immediately notify us. In any case you may not copy or disseminate this message to anyone. Thank you.

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Seminario (ERC Pascal) Flandoli a Tor Vergata (2 maggio, ore 12)
by Claudio Macci 27 Apr '16

27 Apr '16

Avviso di Seminario. Dipartimento di Matematica dell'Universita` di Roma "Tor Vergata" il giorno 2 maggio 2016, ore 12, in aula Dal Passo il Prof. Franco Flandoli (Universita` di Pisa) terra` un seminario su Alcuni esempi di limite zero-noise per equazioni non ben poste Abstract In questo seminario si studieranno metodi per affrontare equazioni mal poste (cioe` essenzialmente in assenza di unicita`) mediante l'aggiunta di un termine aleatorio che fara` tendere a 0. Dopo una introduzione riguardante il caso di equazioni ordinarie con fenomeno di Peano, si studieranno esempi legati a equazioni alle derivate parziali.

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Seminario Flandoli a Tor Vergata
by Claudio Macci 27 Apr '16

27 Apr '16

Avviso di Seminario. Dipartimento di Matematica dell'Universita` di Roma "Tor Vergata" il giorno 2 maggio 2016, in aula Dal Passo il Prof. Franco Flandoli (Universita` di Pisa) terra` un seminario su Alcuni esempi di limite zero-noise per equazioni non ben poste Abstract In questo seminario si studieranno metodi per affrontare equazioni mal poste (cioe` essenzialmente in assenza di unicita`) mediante l'aggiunta di un termine aleatorio che fara` tendere a 0. Dopo una introduzione riguardante il caso di equazioni ordinarie con fenomeno di Peano, si studieranno esempi legati a equazioni alle derivate parziali. ************************************ Claudio Macci Dipartimento di Matematica Universita` di Roma Tor Vergata Via della Ricerca Scientifica 00133 Roma Italia Tel: +39 0672594728 Fax: +39 0672594699 e-mail: macci(a)mat.uniroma2.it http://www.mat.uniroma2.it/~macci ************************************

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seminario Piotr Jaworski in Bicocca
by Fabio Bellini 26 Apr '16

26 Apr '16

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seminario Yury Kutoyants in Bicocca
by Fabio Bellini 26 Apr '16

26 Apr '16

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Matlab + Advanced Risk and Portfolio Management Bootcamp
by Francesco Cesarone 25 Apr '16

25 Apr '16

Cari Colleghi, vi segnalo una scuola estiva (di alto profilo) in finanza quantitativa, che si terrà dal 15 al 21 Agosto 2016 alla New York University. Di seguito trovate tutte le informazioni sul Bootcamp. Cordialmente, Francesco Cesarone %%%%%%%%%%%%%%%%%%%%%%% Hi Francesco, As every year, ARPM is organizing the *Advanced Risk and Portfolio Management Bootcamp* <http://www.arpm.co/bootcamp/>, an intensive, quantitative 6-day course that will be held on 15-20 August at the New York University. As a past attendee and collaborator of SYMMYS/ARPM, we kindly ask you to help us spread the word by forwarding the present message -where we summarize the key highlight of the course- to your contacts. Moreover, we are trying to expand our partnerships with the universities. If you or any of your contacts would be interested in using the *ARPM Lab* <http://www.arpm.co/lab/> (an interactive educational online platform including theory, case studies, videos, exercises, and interactive Matlab/Python code) for their courses, or in collaborating on research or survey projects related to quantitative risk and portfolio management (directly or through Master’s or PhD students), we would be glad to establish a connection. The ARPM Bootcamp, taught by Dr. Attilio Meucci, has a rich program that is constantly updated and covers: estimation/data mining, factor modeling, risk modeling, portfolio construction, optimization, liquidity and execution, and much more. The program is presented in a unified framework, so that, even while exploring each topic in depth, the big picture is never lost. For the most technical topics, along with rigorous material (all available during and after the course) we use live simulations and exercises to help grasp the intuition. Beside suffering though math and technical lectures, the ARPM Bootcamp is an enriching personal experience. Networking is facilitated during social events. In particular, the Gala dinner provides a rare opportunity to engage in informal, intimate conversations with world-renowned quants. Past guests have included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more. The course is preceded by a 2 day conference on Python and MATLAB programming for Advanced Risk and Portfolio Management (included in the ARPM Bootcamp fee). After the course a (free) optional exam can be taken to be awarded the ARPM Certificate. We have reduced fees for Students and Academics ($1100 instead of $2100) and further reduced rates for groups (2 x $1000 each, 3 x $950 each, ... down to $750 for groups of 7+) For more information, testimonials and registration, please visit our website: www.arpm.co Thank you for your help! Best regards Zorica *ARPM* <http://www.arpm.co/>* - Advanced Risk and Portfolio Management | **Follow us:* *LinkedIn <https://www.linkedin.com/company/arpm---advanced-risk-and-portfolio-managem…>, Youtube <https://www.youtube.com/channel/UCf5wFT1TJo4EnD6SL0Fh32Q>, **Google+* <https://plus.google.com/u/0/+ARPM-AdvancedRiskPortfolioManagement>*,** Facebook <https://www.facebook.com/ARPM.co>, Twitter <https://twitter.com/ARPM_co>* -- -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it <francesco.cesarone(a)uniroma1.it> Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/ <http://dipeco.uniroma3.it/docenti.asp?id=164>

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Fwd: XIII Edition of the Summer School in Computational Econometrics - Programming in MatLab (fwd)
by Tiziano Vargiolu 21 Apr '16

21 Apr '16

> From: Marco LiCalzi <mlicalzi(a)gmail.com> > Subject: XIII Edition of the Summer School in Computational Econometrics - Programming in MatLab > Date: 4 April 2016 at 19:49:56 GMT+2 > To: random(a)mail.dm.unipi.it > > >> ------------------------------------------------------------------------------------ >> Summer School in Computational Econometrics >> ================================================ >> The XIV edition of the Summer School in >> "Computational Econometrics" >> will be held at the "Dipartimento di Scienze dell'Economia" of the >> University of Salento (Lecce, Italy) >> from July 25 to July 29, 2016. >> The main aim of this 30 hours course is to provide an introduction to >> applied macroeconomics and macroeconometrics with MATLAB. >> In addition, Waf, a Python-based project-building framework will be introduced. >> Lecturer: Prof. Dr. Ulrich Woitek, Department of Economics, >> University of Zurich. >> (deadline for application: 30 June 2016) >> For details visit: >> http://www.seec.unisalento.it <http://www.seec.unisalento.it/>

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PhD / PostDoc position in Bochum
by Francesco Caravenna 21 Apr '16

21 Apr '16

Ricevo e inoltro. > Ph.D. or PostDoc position at Ruhr University Bochum (Germany) > The Faculty of Mathematics at the Ruhr University Bochum has an opening for a > Ph.D. position (salary scale TV-L E 13, 75%; including social benefits) > or a > PostDoc position (salary scale TV-L E 13, 100%; including social benefits) > in probability theory starting October 1st 2016. > > Candidates should have completed (or are about to complete) a M.Sc. degree (or equivalent) or a Ph.D. in mathematics, in particular in probability theory or a closely related field. The positions carry a modest teaching load (3h per week for the Ph.D. position and 4h per week for the PostDoc position) which, in case of foreign applicants, can be offered in English. > The Faculty of Mathematics at the Ruhr University Bochum (http://www.ruhr-uni-bochum.de/ffm/) provides a lively working atmosphere with excellent working conditions. Applicants will profit from the cooperation with a large number of research groups working in probability theory as well as from the DFG-funded research training group RTG 2131 „High-Dimensional Phenomena in Probability – Fluctuations and Discontinuity“ (https://sites.google.com/site/rtg2131/) > We encourages the application of female candidates. Disabled persons will be given preferential treatment in case of otherwise equal qualification. > > > Electronic applications with the usual documents (CV, diplomas, list of publications if available) should be addressed before May 20, 2016 to: tanja.schiffmann(a)rub.de. > > If you have any questions, please send an e-mail to > > Prof. Dr. Peter Eichelsbacher > http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/stochastik/eichelsbacher.html > peter.eichelsbacher(a)rub.de > > or to > > Prof. Dr. Christoph Thäle > http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/Thaele/index.html > christoph.thaele(a)rub.de >

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Seminario Prof. Huyên Pham (Paris Diderot) al Politecnico di Milano
by Fulvia Confortola 21 Apr '16

21 Apr '16

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Fulvia Confortola -------------- Si avvisa che il giorno giovedì 5 maggio 2016 alle ore 11:30 nell'Aula Seminari al III piano del Dipartimento di Matematica (Edificio La Nave) del Politecnico di Milano, Via Bonardi 9, Milano, si terrà il seguente seminario Titolo: Control of stochastic McKean-Vlasov equation and applications. Relatore: Prof. Huyên Pham, Università Paris Diderot (Paris 7).

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