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Corso Andreas Kyprianou
by Matteo Ruggiero 24 Mar '16

24 Mar '16

Cari colleghi, siamo lieti di annunciare che nell’ambito della nuova Laurea Magistrale in lingua inglese in Stochastics and Data Science http://www.master-sds.unito.it/ attiva all’Università di Torino dal corrente a.a., il Prof. Andreas E. KYPRIANOU (University of Bath, UK) terrà un corso introduttivo su LEVY PROCESSES Le lezioni si terranno nell’aula 10 dell’edificio di Corso Unione Sovietica 218/bis dell’Università di Torino, secondo il seguente calendario: - 5 e 12/4, h. 16.00 - 6 e 13/4, h. 9.30 - 7 e 14/4, h. 11.15 - 8 e 15/4, h. 9.30 La partecipazione è libera. Ulteriori informazioni possono essere richieste all’indirizzo matteo.ruggiero(a)unito.it Cordiali saluti, i coordinatori del Programma Laura Sacerdote Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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[Dynstoch] Newsletter (fwd)
by Tiziano Vargiolu 24 Mar '16

24 Mar '16

---------- Forwarded message ---------- Date: Mon, 19 Oct 2015 21:55:19 +0000 From: Dynstoch Newsletter <sci-math-dynstoch(a)list.ku.dk> To: "sci-math-dynstoch(a)list.ku.dk" <sci-math-dynstoch(a)list.ku.dk> Subject: [Dynstoch] Newsletter DYNSTOCH NEWSLETTER 19 October 2015 ************************************************ DYNSTOCH 2016 The Dynstoch 2016 Workshop will take place in Rennes, France in the days 8 - 10 June 2015. For more information, please go to http://www.lebesgue.fr/content/sem2016-DYNSTOCH2016 Best wishes, Michael --------------------------------------------------------------------------- Michael S?rensen, Professor and Associate Chair for Research Dept. of Mathematical Sciences E-mail: michael(a)math.ku.dk University of Copenhagen Tel.: +45 3533 0402 Universitetsparken 5 Fax: +45 3532 9555 DK-2100 Copenhagen ? Web-page: www.math.ku.dk/~michael Denmark Skype: michaelsor1 ---------------------------------------------------------------------------

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Fwd: Open position at Charles University in Prague (fwd)
by Tiziano Vargiolu 24 Mar '16

24 Mar '16

-------- Messaggio Inoltrato -------- Oggetto: Open position at Charles University in Prague Data: Wed, 23 Mar 2016 00:07:46 +0100 Mittente: kopa(a)karlin.mff.cuni.cz Apologies for cross-posting ----------------------------------- Charles University in Prague, Faculty of Mathematics and Physics, Dept. of Probability and Math. Statistics Position Title: Assistant Professor Position Type: Tenured/Tenure-track faculty Position Location: Prague, Czech Republic Subject Area: Econometrics, Operations Research, Financial Mathematics Application Deadline: 2016/04/30 Position Description: Responsibilities: Teaching at the undergraduate and graduate levels; conducting independent and collaborative research; supervision of Bachelors and Masters theses. Qualifications: Ph.D. in Econometrics, Operations Research, Financial Mathematics or related fields; promise of strong publication record; fluency in written and spoken English; willingness to learn Czech. Application process: Candidates should submit applications to e-mail address kpms(a)karlin.mff.cuni.cz. The application must include CV, list of publications, description of professional interests and teaching experience, and specification of future goals in teaching and research. Candidates should provide names and telephone/e-mail contacts for two professional references (letters of reference will be requested at a later date). The deadline for receiving applications is April 30, 2016. Contacts: Departmental web page: http://kpms.karlin.mff.cuni.cz/?lang=en. Questions may be directed to Dr. M. Kulich, the Chair of the Department, e-mail kulich(a)karlin.mff.cuni.cz. About the Department: The department currently employs 27 faculty members conducting research and education in mathematical fields that involve randomness and uncertainty, in particular theoretical and applied statistics, econometrics, stochastic optimization, stochastic processes and stochastic geometry, and financial and insurance mathematics. Current research topics in econometrics, operations research and financial mathematics include economic and financial time series, asset-liability management, financial accounting, simulation, facility planning, scheduling, portfolio optimization, sensitivity and output analysis, risk management, credit scoring, derivatives pricing, rate-making, optimal pricing in insurance, reserving, stress testing. The department teaches courses in the Bachelor's programs "General Mathematics" and "Financial Mathematics", in the Master's programs "Probability, Statistics, and Econometrics", and "Financial and Actuarial Mathematics", and in the Doctoral program "Probability and Statistics, Econometrics and Financial Mathematics".

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Seminario Prof. Y. Mishura (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 24 Mar '16

24 Mar '16

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 1 Aprile, ore 11 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche "Sapienza" Università di Roma Prof. Yuliya Mishura (Kyiv University) *Titolo:* *Between two self-similarities* *Sintesi:* Everybody knows that fractional Brownian motion with any Hurst index is a self-similar process with stationary increments. According to geometric terminology of J. P. Kahane, it belongs to helix. Self-similarity and incremental stationarity are very useful when we study the properties of different functionals based on fBm however these properties are rather restrictive. For example, Ornstein-Uhlenbeck process starting from zero time point is neither self-similar nor stationary or with stationary increments. Therefore the goal of the present talk is to consider wider class of Gaussian processes. In our terminology, they live between two self-similarities, or belong to the generalized quasi-helix. We consider three problems concerning such processes: --asymptotic behavior of maximal functionals; --representation theorems involving integrals w.r.t. such processes; --some statistical results. The results are common with: Alexander Novikov (Sydney University), Mikhail Zhitlukhin (Steklov Mathematical Institute), Georgij Shevchenko (Kyiv University) and Kostjantin Ralchenko (Kyiv University) Tutti gli interessati sono invitati a partecipare. Cordiali saluti Alessandro De Gregorio

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Course on Bayesian Statistics: Modelling and Computation by Ioannis Ntzoufras
by Consonni Guido 23 Mar '16

23 Mar '16

? Universita' Milano-Bicocca Dottorato di Statistica e Matematica per la Finanza Bayesian Statistics: Modelling and Computation Ioannis Ntzoufras (Athens University of Business and Economics) April 11-15, 2016 ? Syllabus * Introduction to Bayesian Logic * MCMC methods * Bayesian regression analysis * Introduction to Bayesian modelling using Winbugs * Bayesian model and variable selection Schedule Monday, April 11th: 16-18 (pc Lab 715 first floor) Tuesday, April 12th: 10-13 (pc lab 715 first floor) Thursday, April 14th: 9-13 (pc lab 715 first floor) Friday, April 15th: 10-13 (pc lab 715 first floor) The course is targeted at PhD students and young researchers in Statistics, Biostatistics, Econometrics, Economics and Finance, and in any other field dealing with empirical research. Attendance is free The max. n. of participants is 28, and for organizational reasons we ask to register by sending an email to nicoletta.alghisi(a)unimib.it<mailto:nicoletta.alghisi@unimib.it> ?

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Grants for PhD International Students, University of Padova, Italy - Deadline April 22, 2016
by Patrizia Piacentini - PhD 23 Mar '16

23 Mar '16

For the academic year 2016/17 the University of Padova, Italy, offers 15 research fellowships for foreign (non Italian) students to attend Doctoral/International Courses - Deadline: 22 April 2016 (10.00 a.m. Italian local time) The call for application is available at the following address: http://www.unipd.it/en/node/1053 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses will start on October 1st, 2016 and will end on September 30st, 2019. Application is to be made following carefully the instructions in the announcement. The PhD Course in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Monica Chiogna Coordinator Phd Course in Statistics University of Padova Italy

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Junior Professorship (W1) at the Universty of Munich (Germany) (fwd)
by Tiziano Vargiolu 22 Mar '16

22 Mar '16

---------- Forwarded message ---------- Date: Tue, 22 Mar 2016 10:01:29 +0100 (CET) From: Francesca Biagini <biagini(a)mathematik.uni-muenchen.de> Subject: Junior Professorship (W1) at the Universty of Munich (Germany) (fwd) ****************************** The Faculty of Mathematics, Informatics and Statistics of the University of Munich invites applications for a Junior Professorship (W1) (for a period of 3 years) of Stochastic Methods in Financial and Insurance Sciences commencing as soon as possible. The primary tasks of the successful candidate include active research and teaching in the field of Financial and Insurance Mathematics / Stochastics. Applicants are expected to participate actively in research and teaching at the Institute of Mathematics. In particular, they should be able to teach all courses in Financial Mathematics / Stochastics of the Bachelor-/Master Program in Mathematics and Financial Mathematics. Prerequisites for this position are a university degree, teaching skills at university level and an aptitude for an academic career, usually evidenced by the excellent quality of a doctoral degree. If the applicant was employed as a research assistant either before or after obtaining the doctoral degree, the entire duration of the period of employment and of the doctoral degree should not exceed six years. The position is a fixed-term professorship for the duration of three years. Pending a positive evaluation, the position may be extended by another period of three years. A conversion to an indefinite position (tenure track) is not possible. LMU Munich makes a point of providing newly appointed professors with various types of support, such as welcoming services and assistance for dual career couples. LMU Munich is an equal opportunity employer. The University continues to be very successful in increasing the number of female faculty members and strongly encourages applications from female candidates. LMU Munich intends to enhance the diversity of its faculty members. Furthermore, disabled candidates with essentially equal qualifications will be given preference. Please submit your application comprising a curriculum vitae, documentation of academic degrees and certificates as well as a list of publications under the keyword ?math9? to the Dean of the Faculty of Mathematics, Informatics and Statistics, Prof. Dr. Andreas Rosenschon, Theresienstra?e 39, 80333 Munich, Germany, no later than April 21, 2016. Please mail the application also electronically to dekanat16(a)lmu.de as one pdf-file not greater than 10 MB. For further information you can contact Prof. Francesca Biagini, biagini(a)math.lmu.de.

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Fwd: Reminder 3rd Barcelona Summer School on Stochastic Analysis: A 2016 EMS Summer School
by Marco Romito 21 Mar '16

21 Mar '16

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Fwd: ETH Post-doc
by Giovanni Puccetti 21 Mar '16

21 Mar '16

Begin forwarded message: > > From: Embrechts Paul <paul.embrechts(a)math.ethz.ch> > Subject: ETH Post-doc > Date: 18 Mar 2016 14:36:37 CET > To: Embrechts Paul > > Dear colleagues, > I would be most grateful if you could bring the ETH Risk Center post doc position below to the attention of possible candidates. > Bruno Sudret and I are jointly involved in the supervision and am convinced that the project holds great promise. > The main theme is high-dimensional dependence modeling with engineering applications; for application details, see > > https://apply.refline.ch/845721/4353/pub/7/index.html > > Please feel free to pass on the announcement to other copula-loving colleagues! > Kind regards, > Paul. > PS Sorry for the possible double-mailing. >

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conference statistical mechanics Nantes, June 10
by Niccolo Torri 18 Mar '16

18 Mar '16

Dear Colleagues, This is the first announcement for the conference on: MODELISATION PROBABILISTE DU COMPORTEMENT DE GRANDS SYSTEMES PHYSIQUES which will be held on Friday, June 10, 2016, in Nantes. The conference will focus on statistical mechanics and the speakers will present some of their most recent contributions to various topics as Polymer models, Random walk in Random environment, Dimer Models, Random Graph. The conference is hosted by the Cité Internationale des Congrés as part of the Journées Scientifiques de l'Université de Nantes. Confirmed speakers : Frank den Hollander, Poquet Christophe, Benoît Laslier, Laurent Tournier, Paolo Milanesi A detailed program is available here: http://www.math.sciences.univ-nantes.fr/~torri/JS_NANTES_Proba.pdf The conference is free and open to all, but the registration is *mandatory* (we have only a limited number of places: 30). Please use the on-line form http://inscriptions.js.univ-nantes.fr/?id=CL09 For further informations http://www.math.sciences.univ-nantes.fr/~torri/JS_Nantes.html Nicolas Pétrélis, Niccolò Torri, Philippe Carmona

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de Finetti risk seminar - April 2016
by Emanuela Rosazza 18 Mar '16

18 Mar '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Curtis Lee Smith Idaho National Laboratory Title to be announced LOCATION: The seminar will be held on Wednesday, April 6, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Corso di Storia della Probabilità a Pavia
by Antonio Lijoi 17 Mar '16

17 Mar '16

Nell'ambito delle attivita' del Dottorato di Ricerca in Matematica (Universita' di Pavia - Universita' di Milano Bicocca - INdAM), il prof. Eugenio Regazzini terra' il corso ** History of Probability in the First Half of XX Century ** Le lezioni (30 ore complessive) si terranno presso il Dipartimento di Matematica "F. Casorati" dell'Universita' di Pavia, ogni giovedi' e venerdi' dalle 10:00 alle 13:00, a partire dal 14 aprile. Per ulteriori informazioni e' possibile contattare il docente via email: eugenio.regazzini(a)unipv.it ** Descrizione del corso ** The first half of the last century has been a formidable period for the development of probability and its applications. In point of fact, during its course a number of open problems found a definitive answer and, at the same time, sound bases towards new important achievements were established. The method adopted in the present course in order to illustrate the advance of probability consists in analyzing the most original and streamlined lines of reasoning to prove a certain number of theorems generally seen as determining the magnificence of modern probability. Since the aforesaid progress has been made possible even by the axiomatization of probability, the first part of the course will be devoted to this subject, drawing particular attention to the foundational work of A. N. Kolmogorov (1933) and B. de Finetti (1931). The second part will deal with distinguished versions of the strong law of large number, starting from E. Borel (1909) and F.P. Cantelli (1917), to get at the general formulation from the Soviet School (Kolmogorov, A. Khinchin, etc.). In the case of stochastic independence, their extensions to exchangeable random elements (de Finetti), and more general stationary sequences (ergodic theorem of von Neumann and Birkhoff) will be displayed and discussed. In this very same part, the role played by stable and infinitely divisible laws to solve the central limit problem (P. Lévy, Khinchin, W. Doeblin, B. Gnedenko) will be emphasized. The last part will be devoted to the birth of the theory of stochastic processes, starting from the works of Kolmogorov (1929) on Markov processes, de Finetti (1929 -1933) and Lévy (1934-1935) on random functions with independent increments, Lévy (1935-1937) and J. Doob (1940) on martingales. This last part will end with an outline to the methods devised in the fifties to study convergence in law of stochastic processes.

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Assistant position, TU Graz, Austria
by Fabio Zucca 12 Mar '16

12 Mar '16

Cari tutti, ricevo e volentieri inoltro, scusandomi in anticipo con chi l'avesse per caso già ricevuto. Fabio Zucca --------------------------------- Open position - Assistant Professor with PhD for 6 years Graz University of Technology Institute of Discrete Mathematics Working Group Structure Theory and Stochastics Starting date: October 1st 2016. Requirements: PhD or equivalent university degree in Mathematics or Technical Mathematics, awarded before the beginning of the engagement. Desired qualifications: scientific work in the fields of Stochastic Processes (random walks), Graph Theory, Geometric Group Theory, possibly combining those topics. Readiness to collaborate in research projects in these areas. Teaching duties of at least 4 hours per week per semester, in particular for Mathematics in the Engineering sciences, in German (!). Deadline for applications: May 31, 2016. For details regarding position and applications, see http://www.math.tu-graz.ac.at/~woess/position Graz, March 2016, Wolfgang Woess _______________________________________________

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Half day in stochastic processes and mathematical finance
by Tiziano Vargiolu 11 Mar '16

11 Mar '16

It is a pleasure to announce that on March, 14 in Room 2BC/30 of the Department of Mathematics at the University of Padova (via Trieste, 63) there will be two seminars and the discussion of a PhD thesis. The plan of the morning is as follows: 10am Prof. Carlo Sgarra (Politecnico di Milano): "American options valuation in stochastic volatility models with transaction costs" (joint with A. Cosso and D. Marazzina) 11am Prof Fausto Gozzi (LUISS Roma): "HJB equations for stochastic control problems with delay in the control: regularity and feedback controls" (joint with Federica Masiero) 12am Dr Matteo Basei will defense his PhD thesis titled "Topics in stochastic control and differential game theory, with application to mathematical finance" Here below the abstracts of the presentations. ABSTRACT SGARRA In the present paper we analyze the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall show that it can be formulated as a singular stochastic optimal control problem, proving the existence and uniqueness of the viscosity solution for the associated Hamilton-Jacobi-Bellman partial differential equation. Moreover, after performing a dimensionality reduction through a suitable choice of the Utility Function, we shall provide a numerical example illustrating how American options prices can be computed in the present modeling framework. ABSTRACT GOZZI Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the associated Hamilton-Jacobi-Bellman (HJB) equation. Indeed, even in the simplified setting (introduced first by Vinter and Kwong [44] for the deterministic case) the HJB equation is an infinite dimensional second order semilinear Partial Differential Equation (PDE) that does not satisfy the so-called "structure condition" which substantially means that "the noise enters the system with the control". The absence of such condition, together with the lack of smoothing properties which is a common feature of problems with delay, prevents the use of the known techniques (based on Backward Stochastic Differential Equations (BSDEs) or on the smoothing properties of the linear part) to prove the existence of regular solutions of this HJB equation and so no results on this direction have been proved till now. In this paper we provide a result on existence of regular solutions of such kind of HJB equations and we use it to solve completely the corresponding control problem finding optimal feedback controls also in the more difficult case of pointwise delay. The main tool used is a partial smoothing property that we prove for the transition semigroup associated to the uncontrolled problem. Such results hold for a specific class of equations and data which arises naturally in many applied problems. ABSTRACT BASEI: We consider three problems in stochastic control and differential game theory, arising from practical situations in mathematical finance and energy markets. First, we address the problem of optimally exercising swing contracts in energy markets. Our main result consists in characterizing the value function as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation. The case of contracts with penalties is straightforward. Conversely, the case of contracts with strict constraints gives rise to stochastic control problems where a non-standard integral constraint is present: we get the anticipated characterization by considering a suitable sequence of unconstrained problems. The approximation result is proved for a general class of problems with an integral constraint on the controls. Then, we consider a retailer who has to decide when and how to intervene and adjust the price of the energy he sells, in order to maximize his earnings. The intervention costs can be either fixed or depending on the market share. In the first case, we get a standard impulsive control problem and we characterize the value function and the optimal price policy. In the second case, classical theory cannot be applied, due to the singularities of the penalty function; we then outline an approximation argument and we finally consider stronger conditions on the controls to characterize the optimal policy. Finally, we focus on a general class of non-zero-sum stochastic differential games with impulse controls. After defining a rigorous framework for such problems, we prove a verification theorem: if a couple of functions is regular enough and satisfies a suitable system of quasi-variational inequalities, it coincides with the value functions of the problem and a characterization of the Nash equilibria is possible. We conclude by a detailed example: we investigate the existence of equilibria in the case where two countries, with different goals, can affect the exchange rate between the corresponding currencies. 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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Prof. Nils Hjort PhD short course on Confidence distributions
by Andrea Ongaro 10 Mar '16

10 Mar '16

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seminar announcement
by Marco Scarsini 10 Mar '16

10 Mar '16

SEMINAR IN DECISION SCIENCES DEPARTMENT OF ECONOMICS AND FINANCE March 15th from 14:30 to 15:30 in room 204 LUISS Viale Romania 32 00197 Roma (note the change of time and room) Title of the talk: Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach Speaker: Peter Tankov (Universite Paris Diderot -- Paris 7) Abstract We consider the problem of tracking a target whose dynamics is modeled by a continuous Ito semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the time-average control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided. Joint work with Jiatu Cai and Mathieu Resenbaum paper available at http://arxiv.org/abs/1510.04295 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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PhD positions in Probability at the University of Sussex, UK
by Enrico Scalas 08 Mar '16

08 Mar '16

Car* collegh*, al Sussex abbiamo due posizioni di dottorato per probabilist* piu' una serie di altre posizioni disponibili. Il link qui sotto dovrebbe condurre a una pagina dove tutte le posizioni sono descritte. http://www.sussex.ac.uk/study/pg/fees-and-scholarships/pgr2016/search?sent=… Vi prego di far circolare l'informazione tra gli studenti e le studentesse potenzialmente interessate. Cordiali saluti e a presto, Enrico Scalas

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de Finetti risk seminar - March 2016
by Emanuela Rosazza 08 Mar '16

08 Mar '16

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture TITLE: Set-valued portfolios and set-valued risks Ilya Molchanov University of Bern, Switzerland ABSTRACT: Using the concept of set-valued portfolios, it is possible to incorporate dependencies between the distribution of the multivariate gain and the exchange rules. The set-valued portfolio is considered acceptable if it possesses a selection (i.e. a random vector that alsmost surely belongs to it) with all individually acceptable components. The corresponding set-valued risk measure is said to be a selection risk measure. The talk surveys its main properties, discusses the primal and dual representation, gives examples, and shows how to approximate its values from below and from above using rather elementary arguments. Applications of selection risk measures to the practical risk assessment are also presented. A special attention is paid to applications of selection risk measures to risk assessment of financial groups. Joint work with I. Cascos (Madrid), A. Haier (Bern), M. Schmutz (Bern). LOCATION: The seminar will be held on Wednesday, March 16, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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1 posto di RTD di tipo a) del s.s.d. SECS-S/06 presso la Scuola Normale Superiore (Pisa)
by Fabrizio Lillo 08 Mar '16

08 Mar '16

La Scuola Normale Superiore ha bandito un posto di RTD di tipo a nel ssd SECS-S/06 Le informazioni, il bando e il modello della domanda si trovano al link http://www.sns.it/bando/ricercatore -tempo-determinato-secs-s06-metodi-matematici-dell%E2%80%99economia-e-delle-scienze-attuariali-e-finanziarie-0 Il termine di scadenza delle domande è il prossimo 31 marzo 2016. Fabrizio Lillo ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore Piazza dei Cavalieri 7 56126 Pisa ITALY New website: fabriziolillo.wordpress.com phone: +39 050509159

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Annuncio Seminario - Hashorva - Tor Vergata
by Valentina Cammarota 08 Mar '16

08 Mar '16

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Mercoledì 16 marzo ore 14:30 Aula Dal Passo Dipartimento di Matematica Università di Roma Tor Vergata Speaker: ENKELEJD HASHORVA, Université de Lausanne Title: Extremes of Gaussian random fields. Abstract: This talk is concerned with tail asymptotics of supremum of Gaussian random fields. Our findings extend the classical results for homogeneous Gaussian random fields and Gaussian random fields with unique maximum point of the variance. The applications that will be discussed include extremes of Shepp statistics, expansions for the tail probability of maximum loss and span of stationary Gaussian processes. Tutti gli interessati sono invitati a partecipare. . Valentina Cammarota Department of Mathematics Universita` degli Studi di Roma Tor Vergata http://www.mat.uniroma2.it/english.php https://sites.google.com/site/valentinacammarota/

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seminar March 8 -- Brunero Liseo
by Marco Scarsini 06 Mar '16

06 Mar '16

SEMINAR IN DECISION SCIENCES DEPARTMENT OF ECONOMICS AND FINANCE LUISS Viale Romania 32 00197 Roma Title of the talk: A general theory for Bayesian inference with linked and duplicated data Speaker: Brunero Liseo (Sapienza Università di Roma) on March 8th from 12:00 to 13:00 in room 207 Abstract Record linkage is a statistical method which aims at identifying whether two or more records refer to the same statistical entity or not. Duplications of the same entity within one single source or across different files may be interpreted as “clusters of records”, showing strong similarities across their fields. In this paper we frame the record linkage process into a formal Bayesian clustering model and we investigate the role of species sampling models as prior distributions for the clustering structure. In fact the different latent entities underlying one or more data sources can be treated as the sampled species and the observed records as noisy measurements of their features. We also discuss an important issue in the clustering approach to entity resolution, that is the need to bound the clusters sizes even for large data sets. The proposed statistical models will be used both in a classical record linkage scenario and in the more complex framework of multiple duplications on the same data source and will serve as supporting models for Bayesian regression analyses with linked data. Key words: Species Sampling, Latent structure, Hit and Miss Algorithm, Clustering. References 1. Tancredi, A. and Liseo, B. (2015) Regression Analysis with linked data: Problems and possible solutions. Statistica, 75,1:19–35. 2. Lahiri, P. and Larsen, M.D., (2005). Regression analysis with linked data. Journal of the American Statistical Association, 100, pp. 222–230. 3. Tancredi, A., Liseo, B. (2011) A Hierarchical Bayesian Approach to Record Linkage and Population Size Problems. The Annals of Applied Statistics, Vol. 5, No. 2B, 1553–1585. 4. R.C. Steorts, R. Hall & S. Fienberg. (2013). A Bayesian approach to graphical record linkage and de-duplication. Journal of the American Statistical Association, (In Press) preprint arXiv:1312.4645.

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ARPM Bootcamp 2016
by Elisa Appolloni 04 Mar '16

04 Mar '16

Registration for the ADVANCED RISK AND PORTFOLIO MANAGEMENT BOOTCAMP (15-21 August 2016 - New York University) is open! Topics include portfolio construction, factor modeling, liquidity and execution, estimation risk/data mining, risk modeling, optimization, and much more. The program is delivered as theory, live simulations, review sessions and exercises. Plus... - Gala dinner and other networking opportunities - Renowned guest speakers. Past speakers 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 - Internships - Access to the ARPM Lab, with code and theory - Certifications: 40 GARP CPD, 40 CFA Institute CE credits, academic credit, ARPM Certificate® - 2-day Python and MATLAB conferences Discounts are available for early registration (before May 1st) and group. Contact us at arpm(a)bootcamp.co for groups' rates and further information. Visit also our website www.arpm.co. Please help us spread the news by forwarding this message to your students and colleagues. Thank you Elisa Appolloni *ARPM <http://www.arpm.co/>** - Advanced Risk and Portfolio Management**®*

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workshop in Pisa on "Singular Phenomena and Singular Geometries"
by Marco Romito 04 Mar '16

04 Mar '16

Singular Phenomena and Singular Geometries ---------------------------------------------------- The purpose of this workshop is to investigate possible connections between Rough Paths theory and sub-Riemannian geometry, as theories dealing with non-smooth mathematical structures. It will bring together experts and young researchers from both sides, to share knowledge and confront new ideas, tools and problems. The workshop will consist in two mini-courses and several thematic seminars. The courses will introduce some general aspects of rough path theory and sub-elliptic geometry. The seminars will be more focused on recent advances in sub-Riemannian Geometry. Invited Speakers: I. Bailleul, D. Barilari, G. Citti, B. Franchi, M. Gubinelli, P. Hajlasz, C. Litterer , F. Montefalcone, R. Monti, A. Pinamonti, S. Riedel, F. Serra Cassano Date: Monday, Jun 20, 2016 -- Thursday, Jun 23, 2016 Place: Department of Mathematics, University of Pisa more information on the workshop: https://sites.google.com/site/spsgpisa2016/ the organizers, V. Magnani, M. Romito, D. Trevisan

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Fwd: ARPM Bootcamp 2016
by Francesco Cesarone 04 Mar '16

04 Mar '16

---------- Forwarded message ---------- From: Alberto Santangelo <alberto.santangelo(a)symmys.com> Date: 2016-03-03 13:49 GMT+01:00 Subject: ARPM Bootcamp 2016 To: Francesco Cesarone <francesco.cesarone(a)uniroma3.it> Cc: Zorica Ivanovic <zorica.ivanovic(a)arpm.co> Dear Francesco, Registration for the ARPM Bootcamp 2016 is open! Please help us spread the news by forwarding this message to your students and colleagues. Thank you! Best regards, Alberto *ARPM* <http://www.arpm.co/>* - Advanced Risk and Portfolio Management**®* *Advanced Risk and Portfolio Management Bootcamp* <http://www.arpm.co/bootcamp/> *6-day intensive quantitative course* *15-20 Aug 2016 - New York University* *Registration* <http://www.arpm.co/bootcamp/registration/> for the *ARPM Bootcamp* <http://www.arpm.co/bootcamp/> is open: *6 days, 9 hours/day *(+2 days conference). Topics include *portfolio construction*, *factor modeling*, *liquidity* and execution, *estimation risk*/data mining, *risk modeling*, optimization, and much more. The *program* <http://www.arpm.co/bootcamp/program/> is delivered as theory, live simulations, review sessions and exercises. Plus... • Gala dinner and other *networking* opportunities • Renowned *guest speakers*. Past speakers 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 • *Internships* • Access to the *ARPM Lab*, with code and theory • Certifications: *40 GARP* CPD, *40 CFA* Institute CE credits, academic credit, ARPM Certificate® • 2-day *Python* and *MATLAB* conferences *Program <http://www.arpm.co/bootcamp/program/>* | *Registration* <http://www.arpm.co/bootcamp/registration/> | *Video <https://www.youtube.com/watch?v=BUnrgjNxBWk> | Linkedin Forum <https://www.linkedin.com/groups/3825142> | 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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(Error correction) Deadline approaching: Workshop on Random Interacting Systems in Bath, UK
by Alexandre Stauffer 03 Mar '16

03 Mar '16

Sorry for the multiple postings. The deadline was wrong in the previous email. The registration deadline is 25th March. People at all stages of career are welcome to register. School and Workshop on Random Interacting Systems 19-24 June 2016, in Bath, U.K. 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

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