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Job Openings in Research Positions (Female) at ISM, Japan
by Ilia Negri 21 Nov '14

21 Nov '14

Volentieri giro questa informazione di una posizione per ricercatrice (donna) presso l'ISM a Tachikawa, Tokyo. The institute of Statistical Mathematics (ISM), Tachikawa, Tokyo (Japan) has an open position for Assistant Professor in Statistics (female) Deadline for Application : Must be submitted by December 12, 2014 More informations are available here: http://www.ism.ac.jp/jobs/index_e.html or here: http://www.ism.ac.jp/jobs/index_e/1111.pdf Ilia Negri http://www.unibg.it/pers/?ilia.negri

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Seminario MICHAEL HINZ -- UniTo
by Federico Polito 20 Nov '14

20 Nov '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Venerdì 28 Novembre 2014 alle ore 14:00 in Aula S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. MICHAEL HINZ (Department of Mathematics, Bielefeld University) terrà un seminario dal titolo CALCULUS, STOCHASTIC PROCESSES AND GEOMETRY WITHOUT SMOOTHNESS Abstract: The talk deals with analysis and stochastic processes on fully singular spaces (i.e. singular at every or almost every point). In the first part we give a brief introduction to the subject which was started in the late eighties and early nineties by Goldstein, Kusuoka, Barlow, Bass, Kigami and others and is now referred to as 'Analysis on fractals'. Markov processes and their energy functionals (Dirichlet forms) play a key role. In the second part we explain some interrelations between stochastic analysis and items of differential geometry, point out some recent results and applications. Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Fwd: PhD position available at TU Delft
by Gustavo Posta 20 Nov '14

20 Nov '14

Begin forwarded message: > From: "Faggionato, Alessandra" <faggiona(a)mat.uniroma1.it> > Subject: PhD position available at TU Delft > Date: 20 novembre 2014 10:22:52 GMT+01:00 > > %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% > PhD position available at TU Delft > > The PhD position is available in the Applied Probability group of Prof. Dr.= > Frank Redig at Technical University Delft. Under the supervision of Dr. W= > ioletta Ruszel and Prof. Frank Redig the PhD candidate has the opportunity = > to choose between the following challenging projects: > > - Gibbs- non Gibbs transitions on random graphs > > - Probabilistic cellular automata on trees > > - Synchronization on a network > > For more details please go to: > http://dutiosb.twi.tudelft.nl/~ruszel/misc.html > There is also the possibility to discuss possible other projects in consult= > ation with Dr. Ruszel and Prof. Redig. > You will report on your results through papers in high-ranking probability = > journals and through presentations at international conferences. > You will also have some minor teaching duties, mainly as an assistant for r= > elevant Bachelor and/or Master degree courses. > Women are especially encouraged to apply. > > Requirements > > You have an MSc in mathematics or physics, with a proven interest and track= > record in probability theory. > Conditions of employment > You will be appointed for a period of four years. Your performance will be = > evaluated after 18 months. If the evaluation is positive, the contract will= > be extended by 2.5 years; > You will be classified as a PhD Candidate (promovendus) in the Dutch univer= > sity job-ranking system (UFO). The gross starting salary amounts to 2,062 E= > uros per month based on full-time employment, and will increase to 2,638 Eu= > ros in the fourth year; > > Organisation > > TU Delft has over 13,000 students and 5,000 staff, all of whom are driven b= > y a fascination for science, design and engineering. Our university is not = > only the oldest but also the largest university of technology in the Nether= > lands. As such, we are constantly in search of new talent from home and abr= > oad to help us ensure that our research and education remains of the very h= > ighest standard. > Delft University of Technology works at providing new ground-breaking insig= > hts and solutions to urgent societal problems around the world. Thanks to i= > ts top faculty members and unique, large-scale technological research facil= > ities, this university offers world-level multidisciplinary research and ed= > ucation. > The campus contains a large number of state-of the art facilities such as t= > he sports and cultural centers. > > Contact > > The deadline fo rthe application is 31 st of December 2014. Please send a l= > etter of motivation, a list of taken courses with grades, a copy of your ma= > ster thesis and at least two references to W.M.Ruszel(a)tudelft.nl. > For more information and applications please contact W.M.Ruszel(a)tudelft.nl = > or F.H.J.Redig(a)tudelft.nl.

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Fwd: [World] Doctoral position in Combinatorics, Vienna
by Gustavo Posta 20 Nov '14

20 Nov '14

Begin forwarded message: > From: Ilse Fischer <ilse.fischer(a)univie.ac.at> > Subject: [World] Doctoral position in Combinatorics, Vienna > Date: 20 novembre 2014 09:15:54 GMT+01:00 > To: world(a)alea-research.eu > > Doctoral position in Combinatorics > University of Vienna, Austria > > A doctoral position in Combinatorics at the University of Vienna is available. The position is within the framework of a START project funded by the Austrian Science Foundation FWF and deals with recent topics in enumerative and algebraic combinatorics as wells as statistical physics. > > Successful candidates will join the combinatorics group > http://www.mat.univie.ac.at/~kratt/comb.html > > The position comes with substantial travel funding and is available from January 1, 2015 (negotiable). There is no obligation to teach. > > Applications, including CV, letter of motivation, a PDF file of the master/diploma thesis and the name of one reference with her/his email-address, should be sent to > > Ilse Fischer > ilse.fischer at univie.ac.at > http://www.mat.univie.ac.at/~ifischer/ > > and will be considered until the position is filled. > > For further informations do not hesitate to contact Ilse Fischer. > _______________________________________________ > World mailing list > World(a)alea-research.eu > http://alea-research.eu/cgi-bin/mailman/listinfo/world

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Last call JMVA-SI on Statistics in HD spaces
by Aldo Goia 20 Nov '14

20 Nov '14

Dear Colleagues, This is the last call for inviting you to submit works to the Special Issue of the journal JMVA devoted to High and Infinite Dimensional Statistics. Recall that the last deadline for sending papers is fixed to December 31, 2014. We remember that this issue is devoted to contributions in the various fields involving High Dimensional Statistics including in particular (but not only) Functional Data Analysis, Nonparametric Statistics, Variable Selection, Model Choice ... You can find all the details on the JMVA web site: http://www.journals.elsevier.com/journal-of-multivariate-analysis/call-for-… and you can submit your paper on line at http://ees.elsevier.com/jmva/ (please indicate at the first stage of submission, when filling "Type of article", that it is for this SI). Recall also that, after submission, the papers will be regularly reviewed according to the usual standards of the journal JMVA. Thank you for your interest in Functional and High Dimensional Statistics, and please apologize for cross-posting if any. With our best wishes, Aldo Goia and Philippe Vieu Guest Editors of JMVA S.I. on Statistics in HD Spaces -- Aldo Goia Dipartimento di Studi per l'Economia e l'Impresa Università del Piemonte Orientale "A. Avogadro" Via Perrone, 18 - 28100 Novara Tel. +39 0321 375319 - Fax. +39 0321 375305

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Avviso di seminario :: Mukhopadhyay@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 19 Nov '14

19 Nov '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 27 Novembre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma NITIS MUKHOPADHYAY (Department of Statistics, University of Connecticut-Storrs) terrà un seminario dal titolo WALKING A THIN LINE BETWEEN TEACHING AND RESEARCH CAN BE EXCITING tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- ABSTRACT A two-way live connection involving give-and-take between teaching and research makes me feel very excited as a teacher every day at the real prospect of becoming more effective in a classroom. I may add that some of my recent research on statistical inference and related topics has tended to originate largely from teaching. In turn, such research energizes my role as a teacher. In this presentation, I will highlight a number of such interesting problems along with their often unassuming origins. In doing so, I will touch upon Student’s t-distributions, multivariate normality, as well as sufficiency, ancillarity, and Basu’s example.

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seminario di Maurizia Rossi a Pavia
by Carbone Raffaella 18 Nov '14

18 Nov '14

Cari colleghi, vi annuncio che giovedì 27 novembre, alle ore 14:30 precise, nell'aula Beltrami del Dipartimento di Matematica dell'Universita' di Pavia, la Dott. Maurizia ROSSI (Università di Roma Tor Vergata) terra' un seminario dal titolo *"Quantitative Central Limit Theorems for Nonlinear Functionals of RandomEigenfunctions on $\mathbb S^d$, $d\ge 2$".* Distinti saluti, Raffaella Carbone ----------------- *ABSTRACT* *We investigate Stein-Malliavin approximations for nonlinear functionals of geometric interest for random eigenfunctions on the unit d-dimensional sphere Sd, d ≥ 2. All our results are established in the high energy limit, i.e. as the corresponding eigenvalues diverge. In particular, we prove a quantitative Central Limit Theorem for the ex- cursion volume of Gaussian eigenfunctions; this goal is achieved by means of several results of independent interest, concerning the asymptotic analysis for the variance of moments of Gaussian eigenfunctions, the rates of convergence in various probability metrics for Hermite subordinated processes, and quantitative Central Limit Theo- rems for arbitrary polynomials of finite order or general, square-integrable, nonlinear transforms. Some related issues were already considered in the literature for the 2- dimensional case S2; our results are new or improve the existing bounds even in this special circumstances. Proofs are based on the asymptotic analysis of moments of all order for Gegenbauer polynomials, and make extensive use of the recent literature on so-called fourth-moment theorems by Nourdin and Peccati. This talk is based on the paper Stein-Malliavin Approximations for Nonlinear Func- tionals of Random Eigenfunctions on Sd, joint work with Domenico Marinucci.----------------* Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Algebraic Statistics 2015 - Genova - June 8-11, 2015
by Fabio Rapallo 17 Nov '14

17 Nov '14

******************************** WORKSHOP ANNOUNCEMENT ******************************** ALGEBRAIC STATISTICS 2015 June 8-11, 2015 Department of Mathematics, University of Genova Invited speakers: • Elvira Di Nardo (Universita' degli Studi della Basilicata, Department of Mathematics, Computer Science and Economics) • Thomas Kahle (University of Magdeburg, Fakultät für Mathematik) • Sonja Petrovic (Illinois Institute of Technology. Department of Applied Mathematics) • Jim Q. Smith (The University of Warwick, Department of Statistics) • Bernd Sturmfels (U.C. Berkeley, Department of Mathematics) The deadline for submission of abstracts of talks and posters is December 31, 2014. Further information are available from http://www.dima.unige.it/~rogantin/AS2015/ or by email from the Organising Committee at infoAS2015(a)dima.unige.it The meeting is sponsored by Department of Mathematics, Genova, and by Dipartimento di Scienze e Innovazione Tecnologica, Università del Piemonte Orientale and has the patronage of Bernoulli Society and De Castro Statistics Initiative, Collegio Carlo Alberto, Moncalieri. Best regards, Fabio Rapallo -- Fabio Rapallo Dipartimento DISIT Universita' del Piemonte Orientale

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Seminario CATTANI (RGS & Matematica Applicata)
by Giacomo Aletti 17 Nov '14

17 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 24 Novembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Multispecies models for large neural network description" Anna CATTANI, Center for Neuroscience and Cognitive Systems (CNCS), IIT, Rovereto Joint work with Claudio Canuto Abstract: Today modeling large neural network is a topic more relevant than ever. In particular, the set up of computer simulations describing complex networks with a huge number of nodes is a formidable challenge. The intrinsic difficulties concerning the prohibitive computational costs may be handled to some extent by exploiting what we call "multispecies" models. From a mathematical perspective this issue consists in formalizing the PDE-based continuum models which describe the high-density populations inside the network and studying interactions between them and the ODE-based discrete models for each neuron belonging to the low-density populations. In particular, we exploit such an approach to describe the Golgi-Granular cell loop network in the Cerebellum. Each single cell is described by means of the FitzHugh-Nagumo model and both electrical and chemical (excitatory and inhibitory) synapses are taken into account. Several simulations describing interesting phenomena as synchronization and travelling waves have been done. Biological aspects have also been examined in order to provide our work with scientific completeness. References [1] A.Cattani, FitzHugh-Nagumo equations with generalized diffusive coupling, Mathematical Bio- sciences and Engineering, 11 203-215, 2014. [2] C.Canuto and A.Cattani, The derivation of continuum limits of neuronal networks with gap- junction couplings, Network and Heterogeneous Media, 9, 111-133, 2014. [3] A.Cattani, "Multispecies" models to describe large neuronal networks, Ph.D. thesis, 2014. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.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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Seminario MICHAEL HINZ
by Federico Polito 16 Nov '14

16 Nov '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Venerdì 28 Novembre 2014 alle ore 14:30 in Aula S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. MICHAEL HINZ (Department of Mathematics, Bielefeld University) terrà un seminario dal titolo CALCULUS, STOCHASTIC PROCESSES AND GEOMETRY WITHOUT SMOOTHNESS Abstract: The talk deals with analysis and stochastic processes on fully singular spaces (i.e. singular at every or almost every point). In the first part we give a brief introduction to the subject which was started in the late eighties and early nineties by Goldstein, Kusuoka, Barlow, Bass, Kigami and others and is now referred to as 'Analysis on fractals'. Markov processes and their energy functionals (Dirichlet forms) play a key role. In the second part we explain some interrelations between stochastic analysis and items of differential geometry, point out some recent results and applications. Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Bicocca Winter School on SINGULAR STOCHASTIC PDEs
by Francesco Caravenna 14 Nov '14

14 Nov '14

RECENT BREAKTHROUGHS IN SINGULAR STOCHASTIC PDEs Bicocca Winter School (2-6 February 2015) The aim of this school is to present some recent breakthroughs in the theory of non-linear stochastic PDEs, that allow to give a rigorous meaning to some important singular equations for which classical methods fail, due to the irregularity of the noise. Examples include the Kardar-Parisi-Zhang (KPZ) equation in 1d, the equation of stochastic quantization in 3d, the parabolic Anderson model in 2d. The school is mainly targeted at PhD students and young researchers. There will be two mini-courses by Massimiliano Gubinelli (Université Paris Dauphine) and Lorenzo Zambotti (Université Pierre et Marie Curie), presenting different approaches but discussing analogous examples. The venue of the school is the Department of Mathematics and Applications of the University of Milano-Bicocca. For more information and for the registration, see the page: http://www.matapp.unimib.it/~fcaraven/spdes2015/ The Organizing Committee Francesco Caravenna, Federica Masiero, Gianmario Tessitore

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Seminario Giovanni Jona Lasinio a Roma Tre 18 Novembre
by Pietro Caputo 14 Nov '14

14 Nov '14

Giovanni Jona-Lasinio Universita' La Sapienza Titolo: Macroscopic fluctuation theory: an introduction and some applications Martedi' 18 Novembre 2014 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Abstract: The macroscopic fluctuation theory, proposed in collaboration with L. Bertini. A. De Sole, D. Gabrielli and C. Landim to study diffusive systems out of equilibrium, developed over the last decade into a powerful tool to solve concrete problems. After discussing the basic ideas I will illustrate some applications among which the existence of phase transitions in the behaviour of fluctuations. Of special interest are the fluctuations of the current in stationary states. New variational principles appear in the thermodynamics of non-equilibrium stationary states.

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Assegno di ricerca - Università Ca' Foscari di Venezia
by Carlo Gaetan 13 Nov '14

13 Nov '14

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Lucian Maticiuc - seminar at Computer Science Department Verona [ 20/11/14 ]
by Luca di persio 13 Nov '14

13 Nov '14

This is to inform you about the seminar that will be given by Lucian Maticiuic [Department of Mathematics "Gheorghe Asachi" Technical University] next 20/11, in Verona - Department of Computer Science. Details: http://www.di.univr.it/?ent=seminario&id=3220&lang=en Abstract We will present a self contained introduction to path dependent partial differential equation in stochastic framework, also considering memory effects and aiming at exploiting related results in financial frameworks characterized by various forms of delay. The talk will be divided in two parts of 45 minutes each. Best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - ItalyTel : +39 0461 281686

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de Finetti risk seminar - november 2014
by Emanuela Rosazza 12 Nov '14

12 Nov '14

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lectures at 16:30: Conditional systemic risk measures Thilo Meyer-Brandis (LMU Munich) ABSTRACT The financial crisis has demonstrated that systemic risk due to the interconnectedness of financial-market participants - such as financial institutions, insurers, governments and, even, regulators themselves - can dramatically amplify the consequences of isolated shocks to financial systems and pose a serious threat to prosperity and social stability.The traditional approach to risk control in financial mathematics is to apply risk measures to single institutions. However, this strategy fails to capture systemic risk because it treats institutions as if they were in isolation, and recent literature in financial mathematics has started to develop various approaches to rectify this deficiency. In this presentation we will axiomatically introduce and characterize risk-consistent conditional systemic risk measures. This class of conditional systemic risk measures is defined on multidimensional risks and consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies are based on the axiomatic characterization in [Chen et al., 2013] of a similar class of systemic risk measures in a finite state and unconditional framework. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Moreover, we allow for very general aggregation rules, a less restrictive axiomatic setting, and thus a more flexible structure which covers many prominent examples of systemic risk measures from the literature and used in practice. Further, we will see how this type of systemic risk measures naturally arises when considering families of consistent conditional systemic risk measures and discuss some examples. at 18:00: Mathematical models for the formation of financial bubbles Francesca Biagini (LMU Munich) ABSTRACT The notion of an asset price bubble has two ingredients. One is the observed market price of a given financial asset, the other is the asset's intrinsic value, and the bubble is defined as the difference between the two. The intrinsic value, also called the fundamental value of the asset, is usually defined as the expected sum of future discounted dividends. In the first part of the talk we study a flow in the space of equivalent martingale measures and focus on the corresponding shifting perception of the fundamental value of a given asset in an incomplete financial marketmodel. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale which then turns into a supermartingale before it falls back to its initial value zero. In the second part of the talk we examine the impact of overconfidence on bubbles formation in the framework of reduced-form models for credit risk. We assume that the wealth associated to a defaultable asset may be strongly affected by the trading activity of overconfident investors, who believe the asset to be safe and provoke an alteration of its estimated value. Since the value process changes under this influence, the underlying pricing measure has also to readapt determining a switch in the space of the equivalent martingale measures. In this way we provide a constructive approach to explain bubbles formation as well as motivate a dynamics in the space of equivalent martingale measures at micro-economic level. LOCATION: The seminar will be held on Wednesday, November 19, starting from 16.30, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: 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. Simone Cerreia-Voglio (Univ. Bocconi) 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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Avviso di seminario :: Fattorini@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 12 Nov '14

12 Nov '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 20 Novembre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma LORENZO FATTORINI (Dipartimento di Economia e Statistica Università degli Studi di Siena) terrà un seminario dal titolo INDAGINI FORESTALI: TEORIA E APPLICAZIONI tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Sintesi In una prima parte metodologica, le stime di superfici e di totali vengono trattate come integrazioni Monte Carlo. Vengono poi dati risultati per campioni finiti e risultati asintotici sulle proprietà degli stimatori risultanti. In una seconda parte applicativa, vengono considerati gli aspetti pratici delle stime di superfici forestali e delle biomasse al loro interno ottenute tramite indagini campionarie note come inventari forestali.

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seminario di Alessandro Gnoatto presso Prometeia - Bologna
by Giacomo Scandolo 12 Nov '14

12 Nov '14

Il giorno Martedì 18 Novembre 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Alessandro Gnoatto (Ludwig-Maximilians Universität München) terrà un seminario dal titolo "Interest rate modelling after the financial crisis" Abstract In the first part of the talk we proceed to review the main changes in the interbank interest rate market after the financial crisis. We present the most relevant empirical evidences: divergence between different interbank rates, failure of the standard FRA replication argument, emergence of basis swap spreads. Secondly, we quickly review the valuation of contingent claims under collateralization, which constitutes the market practice for interest rate products in the post-crisis world and forms the basis for multiple curve valuation. In the second part of the talk we propose a general framework for modelling multiple yield curves. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage and, in addition, we show how to construct models such that multiplicative spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is an affine process, we obtain a flexible and tractable Markovian structure. Finally, we show that the proposed framework allows to unify and extend several recent approaches to multiple yield curve modelling. The talk is based on joint works with C. Cuchiero, and C. Fontana.

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[ccfz] Postdoctoral fellowship at Imperial College London
by Tiziano Vargiolu 10 Nov '14

10 Nov '14

----- Forwarded message from r.cont(a)imperial.ac.uk ----- Date: Mon, 10 Nov 2014 09:57:20 +0000 From: "Cont, Rama" <r.cont(a)imperial.ac.uk> Reply-To: "Cont, Rama" <r.cont(a)imperial.ac.uk> Subject: [ccfz] Postdoctoral fellowship at Imperial College London To: "ccfz(a)lists.math.ethz.ch" <ccfz(a)lists.math.ethz.ch> The Department of Mathematics, Imperial College London is recruiting 3 Chapman postdoctoral fellows in Mathematics, starting 1 October 2015 for a duration of 2 years. The Mathematical Finance Section http://www3.imperial.ac.uk/mathfin will support a candidate with research interests focused on MATHEMATICAL FINANCE, STOCHASTIC ANALYSIS OR APPLIED PROBABILITY. The full announcement is below. The deadline for applications is NOVEMBER 27, 2014. --------------------------- DEPARTMENT OF MATHEMATICS, IMPERIAL COLLEGE LONDON CALL FOR APPLICATIONS FOR 3 CHAPMAN FELLOWSHIPS IN MATHEMATICS SALARY RANGE: ?33,410 - ?42,380 PER ANNUM Fixed Term: 24 months, commencing 1 October 2015 Applications are invited for three Chapman Fellowships in Mathematics, tenable for two years, starting 1 October 2015. These posts provide an excellent opportunity for those seeking to pursue an academic career in mathematics. Candidates for a Chapman Fellowship are expected to have proven research ability in mathematics. Candidates will demonstrate the potential for strong leadership qualities in the subject, as illustrated, for example, through showing initiative on research projects. As well as holding a good honours degree and a PhD (or equivalent) in mathematics or a closely related subject, candidates will also be expected to demonstrate exceptional ability in their chosen research areas. They will have an outstanding research record commensurate with their level of experience, as demonstrated, for example, through an outstanding thesis, publications and conference presentations, etc. Candidates will be able to contribute significantly to the research environment of the Department of Mathematics, and have a proven track record of successful research interaction. In addition to pursuing research, Fellows will be expected to undertake a limited range of teaching duties in the Department of Mathematics. The ability to teach mathematics at undergraduate and postgraduate level is essential, as demonstrated by excellent written and verbal communication skills with the ability to give effective presentations. Further particulars, together with information about Imperial College London, the Department of Mathematics can be found at http://www.ma.imperial.ac.uk/[1]. The preferred method of application is online via our website http://www.imperial.ac.uk/employment (please select ?Job Search? then enter the job title or vacancy reference number into ?Keywords? ? vacancy ref: NS2014200AM ). Please complete and upload an application form stating which area you are applying to, (Applied Mathematics, Pure Mathematics, Mathematical Finance, Statistics), also providing a CV, list of publications and Research Plan. If you are unable to apply online or have any queries about the application process please contact Ms Claudia Cannon, Academic Support Administrator (c.cannon(a)imperial.ac.uk) quoting the reference number NS2014200AM to request an application form. CLOSING DATE: 27 NOVEMBER 2014 Interviews for the posts will be held January 2015 FOR FURTHER INFORMATION: https://www4.ad.ic.ac.uk/OA_HTML/OA.jsp?page=/oracle/apps/irc/candidateSelf….. >> Links: ------ [1] http://www.ma.imperial.ac.uk/ ----- End forwarded message -----

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Seminario MULAS (RGS & Matematica Applicata)
by Giacomo Aletti 10 Nov '14

10 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 17 Novembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Spike count and spike time coding of flashed images in macaque primary visual cortex" Marcello MULAS, Neuroscientific System Theory, Technische Universität München, Germany Abstract: http://goo.gl/VCJ3dt Short intro to the talk How the brain represents stimuli is still a matter of debate. It is unclear how important is the precise time of spikes in order to encode information. This study suggests that taking into account the interaction between neurons might undermine conclusions based on estimates of average information in single neurons. Keywords V1, neural coding, information time course, synergy, redundancy, information theory ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.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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10th BNP conference - Abstracts submission
by Antonio Lijoi 09 Nov '14

09 Nov '14

The 10th conference on Bayesian Nonparametrics (BNP10) will be held in June 22-26, 2015 in Raleigh, NC. BNP10 will feature four special invited lectures, eight invited sessions, contributed talks and poster sessions. A proposal for a contributed talk or poster can be made through the conference website http://www.stat.duke.edu/bnp10/ and should consist of a title and an abstract. Slots for contributed talks are limited. Deadline for submission of a contributed talk is December 1, 2014, and decisions about acceptance are expected by January 15, 2015. Deadline for poster submission is May 1, 2015. Best, BNP10 Organizing Committee (10thbnpmeeting(a)gmail.com) ----- Antonio Lijoi University of Pavia via San Felice 5, 27100 Pavia, Italy http://economia.unipv.it/alijoi

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Fwd: Announcement Master Class in probability and planar statistical physics in Geneva
by Fabio Martinelli 07 Nov '14

07 Nov '14

Dear colleague, The university of Geneva is organizing a special Master program in probability and mathematical physics in collaboration with the ETH during the year 2015/2016. The aim of the program is to provide a small number of outstanding students with master-level courses in probability together with more advanced courses in the field of planar statistical physics. The program is aimed at Master students. Advanced undergraduates and beginning PhD students are also welcome. The participants will enroll in a one-year master program at the university of Geneva starting in September 2015. A number of fellowships covering accommodation and local expenses are available. *Additional information is available on the webpage of the program: http://nccr-swissmap.ch/master-class-2015 <http://www.nccr-swismap.ch/master-class-2015>* We would be very grateful if you would mention this program to potential candidates and encourage them to apply. For full consideration, apply using the web form (available on http://nccr-swissmap.ch/master-class-2015 <http://www.nccr-swismap.ch/master-class-2015>) before the 17th of January 2015. We also attached the poster of the program. If you need more information, please do not hesitate to contact me. Best regards Stanislav Smirnov, Wendelin Werner and Hugo Duminil-Copin Additional information: *Preliminary list of lecturers:* I. Benjamini D. Chelkak D. Cimasoni H. Duminil-Copin C. Hongler J. Miller S. Smirnov Y. Velenik W. Werner *Preliminary list of lectures:* *First semester courses:* Introduction to statistical physics Brownian Motion and stochastic calculus Martingales and Markov processes On various aspects of the dimer and planar Ising models *Second semester courses:* Conformal invariance of lattice models Schramm-Loewner Evolution and GFF Random planar maps Geometric representations of lattice models *A number of mini-courses including:* Coarse geometry and random processes Probability on groups Large deviations -- ----------------------------------------------------------------- Hugo Duminil-Copin Professor Email: hugo.duminil(a)unige.ch <Hugo.duminil(a)unige.ch> Université de Genève Phone: +41-22-3791169 Section de Mathématiques Fax: +41-22-3791176 2-4, rue du Lièvre; CP 64 www: http://www.unige.ch/~duminil 1211 Genève 4 SWITZERLAND -- Fabio Martinelli Department of Mathematics and Physics Roma Tre University Lg. San Murialdo 1, 00146 Roma Italy tel +39 06 57338039 fax +39 06 57338039

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Seminario a Roma Tre il 05-11-2014
by Pietro Caputo 05 Nov '14

05 Nov '14

Benoit Laslier (Cambridge) Titolo: Stochastic dynamics of discrete interfaces and dimer models. Mercoledi' 05 Novembre 2014 ORE 15:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Largo San L. Murialdo,1 Abstract We will study some effective models, called dimer models, for the interface between two coexisting thermodynamical phases in three dimension. We will show in a relatively general context that the time needed for the system to reach equilibrium is of order L^(2+o(1)), where L is the typical length scale of the system. The exponent 2 is optimal. More precisely, for surfaces attached to a curve drawn in some plane, we will control the mixing time for lozenge tilings and domino tilings (and a few other related models). For surfaces attached to a general curve, we will only work with lozenges and use a weaker notion of "macroscopic" convergence.

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Seminario BESKOS
by Matteo Ruggiero 31 Oct '14

31 Oct '14

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi' 7 Novembre 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Alexandros BESKOS (University College London) SMC SAMPLERS FOR APPLICATIONS IN HIGH DIMENSIONS Abstract: Sequential Monte Carlo (SMC) methods are nowadays routinely applied in a variety of complex applications: hidden Markov models, dynamical systems, target tracking, control problems, just to name a few. Whereas SMC methods have been greatly refined in the last decades and are now much better understood, they are still known to suffer from the curse of dimensionality: algorithms can sometimes break down exponentially fast with the dimension of the state space. As a consequence, practitioners in high-dimensional Data Assimilation applications in atmospheric sciences, oceanography and elsewhere will typically use 3D-Var or Kalman-filter-type approximations that will provide biased estimates in the presence of non-linear model dynamics. The talk will concentrate on a class of SMC algorithms and will look at ways to reduce the cost of the algorithms as a function of the dimension of the state space. Explicit asymptotic results will clarify the effect of the dimension at the properties of the algorithm and could provide a platform for algorithmic optimisation in high dimensions. Applications will be shown in the context of Data Assimilation, in a problem where the objective is to target the posterior distribution of the initial condition of the Navier-Stokes equation given a Gaussian prior and noisy observations at different instances and locations of the spatial field. The dimension of the signal is in theory infinite-dimensional - in practice 64x64 or more depending on the resolution – thus posing great challenges for the development and efficiency of SMC methods. 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 http://sites.carloalberto.org/ruggiero

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seminario Carlo Acerbi in Bicocca
by fabio.bellini 31 Oct '14

31 Oct '14

Il giorno lunedì 3 novembre alle ore 17, presso la Sala del Consiglio della Scuola di Economia e Statistica della Università di Milano Bicocca, al IV piano dell'edificio U7, il dott. Carlo Acerbi, Executive Director a MSCI, presenterà un seminario su: Supply-Demand Symmetry Abstract How does the order book look like in a market where there's perfect balance between supply and demand? The question is less obvious than it sounds, and still awaits formalization. The problem admits a clear formalization based on analogies with change of numeraire techniques. We characterize and classify symmetrical models. Supply-Demand symmetry turns out to be something different from just bid-ask parity of the market cost functions, and the two concepts are shown to coincide only in very liquid regimes. Tutti gli interessati sono invitati a partecipare. Fabio Bellini

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CfP: ISIPTA '15, 20-24 July 2015, Pescara, Italy
by Serena Doria 30 Oct '14

30 Oct '14

*ISIPTA '15 CALL FOR PAPERS* 9th International Symposium on Imprecise Probability: Theories and Applications 20-24 July 2015 Pescara, Italy Website with up-to-date information on all aspects of the conference: http://www.sipta.org/isipta15 Scientific program contact: isipta15(a)easychair.org Local organization contact: isipta15(a)unich.it *Important Dates* 30 Jan - Paper abstracts & preliminary papers due 13 Feb - Review-ready papers due 31 Mar - Conference hotel pre-reservation deadline 08 Apr - Paper notification 17 Apr - Poster-only abstracts due 06 May - Poster-only notification 29 May - Early-bird registration deadline (?350 full; ?200 student) *Scope & Symposium Format* ISIPTA is the primary international forum to present and discuss new results related to imprecise probability. We welcome both theoretical and applied original contributions. In this edition, we especially welcome papers connecting imprecise probabilities with related research in fields such as economics, philosophy, sociology, and engineering. There will be no parallel sessions. Each paper that is accepted is presented both (i) in a plenary session, meant for a short introduction and a sketch of the context and relevance; and (ii) in a poster session, where ample time is given for in-depth explanation and discussion. The poster-only track provides a second, free format presentation option. It is also open for preliminary results, challenges, etc. *New: non-proceedings papers* To adapt to different publication cultures in different fields, we introduce a new option: the non-proceeding papers. Authors may request that their contribution is not published in the proceedings in case this precludes later publication of an expanded journal version. The PC will decide on a case-by-case basis. If accepted, a one-page abstract will be published in the proceedings, and the paper must be freely available on-line (e.g., as a working paper). *Already Confirmed Invited Speakers* Massimo Marinacci, AXA-Bocconi Chair in Risk Department of Decision Sciences, Bocconi University, Milan, Italy Itzhak Gilboa, Professor of Economics and Decision Sciences Eitan Berglas School of Economics, Tel-Aviv University, Israel & HEC, Paris, France *Special Issue* After the conference, a special issue with a selection of the accepted papers will be published in an expanded version in the International Journal of Approximate Reasoning. *Steering Committee* T. Augustin (LMU München, Germany) + PC Board G. de Cooman (Ghent University, Belgium) S. Doria (University G. d'Annunzio, Italy) + Local Organization E. Miranda (University of Oviedo, Spain) + PC Board E. Quaeghebeur (CWI, Amsterdam, Netherlands) + PC Board T. Seidenfeld (Carnegie Mellon University, USA) We look forward to your contribution and to seeing you in Pescara!

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