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Fwd: Seminario 22 Maggio 2014, Buffoni
by Sara Pasquali 16 May '14

16 May '14

Buongiorno. mi permetto di inoltrarvi un annuncio di seminario organizzato dal CNR-ISMAR di Santa Teresa (Pozzuolo di Lerici - La Spezia). Saluti Sara Pasquali -------- Messaggio originale -------- Buongiorno, vi informo che giovedì 22 Maggio 2014 alle ore 10.30 il Dr. Giuseppe Buffoni, ex ENEA La Spezia, attualmente associato CNR - IMATI di Milano, terrà un seminario, presso la sala conferenze di Santa Teresa (Pozzuolo di Lerici - La Spezia), dal titolo "decomposizione di un campo vettoriale piano in componenti irrotazionale (campo gradiente) e rotazionale (campo a divergenza nulla)". Il seminario verterà sui seguenti argomenti principali: - il problema, dominio finito e infinito - dominio finito: uno sguardo alla letteratura - formulazione di un B.v.p.: proprieta', esistenza di soluzioni, spettro - approssimazione numerica: proprieta' del problema discreto - metodi numerici: SVD, minimo di un funzionale di Tichonov, gradienti coniugati - risultati di una decomposizione - situazioni che influenzano la decomposizione:zeri del campo, dimensioni del dominio, livello di stocasticita' del campo - osservazioni conclusive La locandina e' in allegato in formato PDF, mentre il calendario aggiornato dei seminari e' disponibile alla pagina http://seminari.sp.ismar.cnr.it Buona giornata, Marco Bianucci _______________________________________________ Marco Bianucci Istituto di Scienze Marine, ISMAR - CNR Forte Santa Teresa Pozzuolo di Lerici 19032 Lerici, La Spezia(IT) Ph. +39 0187 978302 Fax.+39 0187 978585 mailto:marco.bianucci@cnr.it --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com -- ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Sara Pasquali CNR-IMATI Via Bassini, 15 I-20133 MILANO - ITALY =========== Tel. +39 02 23699525 Fax. +39 02 23699538 e-mail: sara(a)mi.imati.cnr.it ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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Fwd: Postdoctoral positions in Buenos Aires - Argentina
by Francesco Caravenna 16 May '14

16 May '14

Ricevo e inoltro. Da: Leonardo Rolla <leorolla(a)dm.uba.ar> Oggetto: Postdoctoral positions in Buenos Aires - Argentina Data: 16 maggio 2014 06:36:00 GMT+02:00 A: "Leonardo T. Rolla" <leorolla(a)dm.uba.ar> Dear colleagues, I would much appreciate if you could help me broadcast the announcement below. Sorry in advance for any duplicates. Best regards, Leonardo T Rolla Universidad de Buenos Aires ---------- Forwarded message ---------- Date: Wed, 14 May 2014 21:57:41 -0300 (ART) From: Probability Buenos Aires <probab(a)dm.uba.ar> To: Probability Buenos Aires <probab(a)dm.uba.ar> Subject: Postdoctoral positions in Buenos Aires - Argentina Applications are invited for post-doctoral positions in Probability and related areas. Please feel free to forward this message to other colleagues and potential candidates. The dealine is May 30. The positions last two years and have a monthly stipend of 8682 pesos, to start in April 2015. Applicants should be write to probab(a)dm.uba.ar attaching: - CV - Motivation letter - Short research statement Two short recommendation letters should be sent directly to the same address before June 02. Information on the group activities and projects can be found at http://mate.dm.uba.ar/~probab/ Our best regards, Buenos Aires Probability Group

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avviso seminario Christian Brownlees
by Lea Petrella 15 May '14

15 May '14

Christian Brownlees Department of Economics and Business, Universita' Pompeu Fabra terra' un seminario dal titolo: Nets: Network Estimation for Time Series il giorno 20 maggio 2014 alle ore 14.30 presso l'aula Fanfani, quinto piano del Dipartimento MEMOTEF, Facolta' di Economia, Sapienza Universita' di Roma, Viale del Castro Laurenziano 9. Tutti gli interessati sono invitati a partecipare Segue abstract in calce Lea Petrella Abstract: This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non--zero long run partial correlations. We then introduce a two step LASSO procedure, called NETS, to estimate high--dimensional sparse Long Run Partial Correlation networks. This approach is based on a VAR approximation of the process and allows to decompose the long run linkages into the contribution of the dynamic and contemporaneous dependence relations of the system. The large sample properties of the estimator are analysed and we establish conditions for consistent selection and estimation of the non-zero long run partial correlations. The methodology is illustrated with an application to a panel of U.S. bluechips -- **************************************************** Prof. Lea Petrella Memotef Department Sapienza University of Rome http://geostasto.eco.uniroma1.it/utenti/petrella *****************************************************

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Avviso di seminari :: (Steorts + Shalizi)@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 15 May '14

15 May '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i ----------------------------------------------------------------------------- Martedì 20 Maggio, ore 14:30 ----------------------------------------------------------------------------- Sala 34 (quarto piano) Dipartimento di Scienze Statistiche, Sapienza REBECCA STEORTS (Dep. of Statistics, Carnegie Mellon University, Pittsburgh) terrà un seminario dal titolo (abstract allegato) WILL THE REAL STEVE FIENBERG PLEASE STAND UP: A BAYESIAN APPROACH TO GRAPHICAL RECORD LINKAGE ----------------------------------------------------------------------------- Giovedì 22 Maggio, ore 14:30 ----------------------------------------------------------------------------- Sala 34 (quarto piano) Dipartimento di Scienze Statistiche, Sapienza COSMA SHALIZI (Dep. of Statistics, Carnegie Mellon University, Pittsburgh) terrà un seminario dal titolo DYNAMICS OF BAYESIAN UPDATING WITH DEPENDENT DATA AND MISSPECIFIED MODELS ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis

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Summer School in Green Energy Management: Milan, July 21 - August 1
by Tiziano Vargiolu 14 May '14

14 May '14

(apologies for cross-postings) 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 -------------------------------------------------------------------------- -------- Messaggio originale -------- Oggetto: Data: Wed, 14 May 2014 16:32:26 +0200 Mittente: Silvana Stefani <silvana.stefani(a)unimib.it> A: 'Antonella Basso' <basso(a)unive.it> CC: <silvana.stefani(a)unimib.it> Cara Antonella, chiedo la diffusione di questa iniziativa: GEM - Green Energy Management - Summer School Un caro saluto Silvana _______________________________________________ Random mailing list Random(a)mail.dm.unipi.it https://mail.dm.unipi.it/listinfo/random -- Antonella Basso Dipartimento di Economia Universita Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns." -- Antonella Basso Dipartimento di Economia Universita Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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Fwd: Senior Research Fellowship in Data Science at Oxford (fwd)
by Tiziano Vargiolu 14 May '14

14 May '14

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 -------------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Tue, 13 May 2014 18:40:22 +0200 From: runggal(a)math.unipd.it To: vargiolu(a)math.unipd.it Subject: Fwd: Senior Research Fellowship in Data Science at Oxford ----- Forwarded message from Xun.Zhou(a)maths.ox.ac.uk ----- Date: Tue, 13 May 2014 17:22:53 +0100 (BST) From: Xun Yu Zhou <Xun.Zhou(a)maths.ox.ac.uk> Subject: Senior Research Fellowship in Data Science at Oxford Dear all The Mathematical and Computational Finance Group at Oxford is recruiting a Senior Research Fellow in Data Science for the newly established Oxford-Nie Financial Big Data Lab. Attached please find the position announcement. Please feel free to forward it to anyone who might be interested. Many thanks indeed. Regards Xunyu Zhou -- Xunyu Zhou Nomura Professor of Mathematical Finance Director, Nomura Centre for Mathematical Finance Mathematical Institute University of Oxford Radcliffe Observatory Quarter Woodstock Road OX2 6GG Oxford, UK Email: zhouxy(a)maths.ox.ac.uk Tel.: +44 1865 280614 Fax: +44 1865 270715 http://people.maths.ox.ac.uk/~zhouxy/

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seminario di Marco Bianchetti presso Prometeia - Bologna (fwd)
by Tiziano Vargiolu 14 May '14

14 May '14

---------- Forwarded message ---------- Date: Wed, 14 May 2014 11:25:16 +0100 From: Giacomo Scandolo <giacomo.scandolo(a)univr.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: seminario di Marco Bianchetti presso Prometeia - Bologna Caro Tiziano, potresti diffondere questo avviso di seminario tramite la tua lista? Ti ringrazio. Ciao Giacomo ============================================ Il giorno Giovedi 22 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Marco BIANCHETTI (Head of Financial Modelling & Validation - Intesa San Paolo) terra un seminario dal titolo "Modern derivatives pricing with collateral and funding risk" Abstract * The interest rate market after the credit crunch * Modern derivatives modelling with multiple funding sources * Funding Value Adjustment (FVA)

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seminario di Marco Bianchetti presso Prometeia - Bologna
by Giacomo Scandolo 14 May '14

14 May '14

Il giorno Giovedì 22 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Marco BIANCHETTI (Head of Financial Modelling & Validation - Intesa San Paolo) terrà un seminario dal titolo "Modern derivatives pricing with collateral and funding risk" Abstract * The interest rate market after the credit crunch * Modern derivatives modelling with multiple funding sources * Funding Value Adjustment (FVA)

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Seminario di G. Giacomin a Milano-Bicocca (21.05.2014)
by Francesco Caravenna 13 May '14

13 May '14

Mercoledì 21 maggio 2014 alle ore 11:00, nell'aula 3014 del Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca (edificio U5, via Cozzi 55, Milano), Giambattista Giacomin (Université Paris Diderot) terrà un seminario dal titolo NOISE INDUCED RHYTHMIC PHENOMENA Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%% Sommario: Large families of noisy interacting units (cells, individuals, components in a circuit, ...) exhibiting synchronization often exhibit oscillatory behaviors too. This is a well established empirical observation that has attracted a remarkable amount of attention, notably in life sciences, because of the central role played by internally generated rhythmic behaviors. This modeling effort has produced a number of elementary models that seem to capture the essence, or at least some essential features, of this phenomenon, but the mathematical analysis turns out to be very challenging. The talk will focus on the mathematical results that can be established for a class of elementary models and this will be the mean to discuss open problems and to approach the intriguing issue of why noise appears to be a crucial ingredient. %%%%%%%%%%%%%%%%%% -- _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Firenze, 21 Maggio: Seminario su Risk Aggregation and Model Uncertainty
by mariaelvira.mancino＠unifi.it 12 May '14

12 May '14

Il 21 Maggio alle ore 10.30 presso l'aula 003 dell'edificio D4 del Polo delle Scienze Sociali in Via delle Pandette a Firenze Giovanni Puccetti - Università degli Studi di Firenze - terrà un talk su Risk Aggregation and Model Uncertainty: some messages from the methodological front Abstract: We review and discuss some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and we discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement. Specific issues that will be handled: - How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position? Tutti gli interessati sono invitati a partecipare.

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6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ---------- Forwarded message ---------- Date: Mon, 12 May 2014 02:15:44 -0700 (PDT) From: Attilio Meucci <attilio.meucci(a)symmys.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: 6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci Dates: August 11-16, 2014. Location: New York University 40 CE units CFA Institute, 40 CPE units GARP The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises. Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more. Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve. See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk To register go to http://www.symmys.com/arpm-bootcamp/registration , or contact us at arpm.bootcamp(a)symmys.com

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[Dynstoch] Newsletter (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(again, apologies for cross-posting) ---------- Forwarded message ---------- Date: Sun, 11 May 2014 22:30:52 +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 12 April 2014 ************************************************ Workshop on Statistical Inference for L?vy Processes Dates: 22 Sep 2014 - 25 Sep 2014 Location: Lorentz Center, Leiden Website: http://tinyurl.com/ph86pbw Invited speakers: Denis Belomestny (Universit?t Duisburg-Essen) Lo?c Chaumont (Universit? Angers) Jos? Manuel Corcuera (Universitat de Barcelona) Valentine Genon-Catalot (Universit? Paris 5) Marc Hoffmann (Universit? Paris Dauphine) Jean Jacod (Universit? Paris 6 Pierre et Marie Curie) Cecilia Mancini (Universit? degli Studi di Firenze) Yuliya Mishura (Taras Shevchenko National University of Kyiv) Antonis Papapantoleon (Technische Universit?t Berlin) Philip Protter (Columbia University) Markus Rei? (Humboldt-Universit?t zu Berlin) Viktor Todorov (Northwestern University) Mathias Vetter (Philipps-Universit?t Marburg) There is no registration fee. For more information, particularities and registration, see the website. Scientific organisers: Shota Gugushvili (Leiden, The Netherlands), Peter Spreij (Amsterdam, The Netherlands), Aad van der Vaart (Leiden, The Netherlands), Harry van Zanten (Amsterdam, The Netherlands) --------------------------------------------------------------------------- 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 --------------------------------------------------------------------------- _______________________________________________ sci-math-dynstoch mailing list sci-math-dynstoch(a)list.ku.dk http://list.ku.dk/listinfo/sci-math-dynstoch

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Fwd: AMaMeF: FYI - Call for applications postdoc Université libre de Bruxelles (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ----- Forwarded message from giulian(a)math.uio.no ----- Date: Sun, 11 May 2014 20:40:01 +0200 From: Giulia Di Nunno <giulian(a)math.uio.no> Subject: AMaMeF: FYI - Call for applications postdoc Universit? libre de Bruxelles To: Giulia Di Nunno <giulian(a)math.uio.no> Cc: Giulia Di Nunno <giulian(a)math.uio.no> > Call for applications: > ARC Postdoctoral Research Fellowship in Mathematical Finance and Insurance > Department of Mathematics, Universit? libre de Bruxelles > Start Date: October 2014 . Duration: 2 years, non-renewable. > Application Deadline: June 15, 2014 > > The Universit? Libre de Bruxelles invites applications for a post-doctoral > fellowship. This postdoctoral position (without teaching load) will be for > two years and will start on the 1st of October 2014. It will be based in the > Actuarial Sciences Unit of the Department of Mathematics. > > The position is funded by the "Action de Recherche Concert?e" grant (ARC) on > "Interaction between Analysis, Probability and Actuarial Sciences" (IAPAS). > > Candidates for the ARC Postdoctoral Fellowship should hold a PhD in > mathematics, statistics, actuarial sciences or a closely related subject and > are expected to have proven research ability in mathematical sciences, as > well as a research interest in mathematical modelling in finance and > insurance. Candidates should have a demonstrated record of research > achievements, as evidenced by journal publications and conference > presentations. A profound knowledge of L?vy processes or Wishart processes > would be favourable. > > Candidates should have demonstrable excellent written and verbal > communication skills (in English), with the ability to give effective > presentations and contribute significantly to the research activities of the > Actuarial Sciences Unit and the Department of Mathematics of the ULB. > > Candidates should apply by email to Griselda.Deelstra(a)ulb.ac.be with a CV, a > list of publications and a research plan before 15 June 2014. > More information about the Department of Mathematics at the ULB can be found > at > http://www.ulb.ac.be/facs/sciences/math/index.html > and the Actuarial Sciences Unit at: > https://www.ulb.ac.be/rech/inventaire/unites/ULB454.html > > For further information contact Professor Griselda Deelstra at > Griselda.Deelstra(a)ulb.ac.be. > See also > http://homepages.ulb.ac.be/~grdeelst/Call_for_applications_postdoc_ULB.pdf > ----- End forwarded message -----

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PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion
by Enrico Scalas 10 May '14

10 May '14

Car* collegh*, vi invio questo annuncio per un dottorato a Bilbao con preghiera di diffusione a eventuali persone interessate. Cordiali saluti, Enrico Scalas ________________________________________ From: Gianni Pagnini [gpagnini(a)bcamath.org] Sent: 10 May 2014 10:14 To: Enrico Scalas Cc: Gianni Pagnini BCAM Subject: PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion Dear Prof. E. Scalas, I send you the announcement of a PhD position at BCAM in Bilbao, Basque Country - Spain, with the request to inform about this anyone that may be interested. Sincerely Yours, Gianni Pagnini --------------- PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion A PhD position is available at BCAM-Bilbao<http://www.bcamath.org/en/> (Basque Country - Spain) to develop a research project on stochastic processes for anomalous diffusion within the Statistical Physics Research Line<http://www.bcamath.org/en/research/lines/SP>. The PhD project is described in the attached document. Application deadline will be June 2, 2014. More details on the PhD position as well as the on-line application (Statistical Physics) are available at: http://www.bcamath.org/en/research/job/phd-student-positions Further information can be requested directly to Gianni Pagnini: gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> | www.bcamath.org/gpagnini <http://www.bcamath.org/gpagnini> ( matematika mugaz bestalde )

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Cancellazione mini-corso Bulla@DSS
by Pierpaolo Brutti 10 May '14

10 May '14

Scusandomi ulteriormente per il profluvio di mail riguardanti questo mini-corso, comunico che il corso in questione è stato cancellato per sopraggiunti problemi di salute dello speaker. Buon w.e. --P

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Mini-corso Bulla@DSS :: *iscrizione* & errata corrige
by Pierpaolo Brutti 09 May '14

09 May '14

Scusandomi per il mail-bombing, faccio notare che nella precedente email l'orario della seconda lezione era sbagliato & mancava il link al modulo di iscrizione (...tutto gratis! ma i posti son solo 30...) Pardon... --Pierpaolo ----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 12 Maggio, ore 15:00-17:00 Martedì, 13 Maggio, ore 15:00-17:00 ----------------------------------------------------------------------------- Aula XII (piano terra, palazzina Tuminelli) Dipartimento di Scienze Statistiche Sapienza Università di Roma JAN BULLA (Université de Caén) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo A GENTLE INTRODUCTION TO HIDDEN MARKOV MODELS Il corso è gratuito ma, dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form on line: http://goo.gl/a9FCjI Entro Domenica 11/5 verrà inviata conferma dell'effettiva disponibilità del posto richiesto all’indirizzo email fornito. Come sempre “first come, first served”, con possibile piccolo bias in favore di studenti di dottorato. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti

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avviso di seminario
by Marco Fuhrman 08 May '14

08 May '14

Il giorno martedi' 20 maggio 2014, alle ore 12:00, il professor Jean Jacod Universite' Pierre et Marie Curie, Paris terra' un seminario dal titolo Is a discretely observed semimartingale of Ito type? presso il Dipartimento di Matematica del Politecnico di Milano (aula seminari "Fausto Saleri", sesto piano). Tutti gli interessati sono cordialmente invitati. Marco Fuhrman Abstract. In high-frequency statistics, and among various hypotheses, the fact that the underlying observed process is an Ito semimartingale is always assumed. However, for financial data for example, prices should be semimartingales (because of the "fundamental asset pricing theorem"), but there is no reason why it should be an Ito semimartingale. So it is important to derive tests for checking whether this assumption is enforced, or not. The problem cannot be solved in full generality, but we will see that under some restrictive structural assumptions, plus the fact that the process is continuous, some tests can be constructed. This is joint work with Yacine Ait-Sahalia.

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Workshop In August at GSSI
by davide gabrielli 08 May '14

08 May '14

Blowup for the equations of Fluid Dynamics and Renormalization Group methods August 18-29, 2014 @GSSI - LAquila The aim of the workshop is to discuss and present to young researchers and PhD students problems connected with singularities of the equations of fluid mechanics, in particular of the NS equations, and their possible application as models of physical phenomena. The School & Workshop will be held at GSSI from August 18 to 29, 2014. Preliminary list of confirmed speakers Susan Friedlander (UCLA) Uriel Frisch (CNRS, Nice) Giovanni Jona-Lasinio (Università di Roma La Sapienza) Konstantin Khanin (Toronto University ), Dong Li (University of British Columbia), Mario Pulvirenti(Università di Roma La Sapienza) Alexander Shnirelman (Concordia University, Montreal), Yakov Sinai (Princeton University) Victor Yakhot (Boston University) Organizing and Scientific Committee Carlo Boldrighini Anna De Masi Errico Presutti Yakov G. Sinai more inftormations at http://www.gssi.infn.it/index.php/en/seminars-and-events-2014/960-blowup-fo…

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Workshop on "Advanced statistical and numerical methods for the analysis of high dimensional functional data" - FIRB SNAPLE closing workshop
by Laura M. Sangalli 08 May '14

08 May '14

------------------------------------------------------------------------ Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering FIRB SNAPLE closing workshop Politecnico di Milano, 15-16 May 2014 ------------------------------------------------------------------------ http://www.mate.polimi.it/snaple2014/ Registration deadline: ***/Tomorrow/, the 9th of May *** There is no registration fee. Registration is nevertheless necessary for organizational reasons. ------------------------------------------------------------------------ This is the third and closing workshop of the starting grant project FIRB Futuro in Ricerca "Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering", funded by MIUR Ministero dell'Istruzione dell'Università e della Ricerca, December 2010 - July 2014: http://mox.polimi.it/users/sangalli/firbSNAPLE.html Soon renamed SNAPLE: Statistical and Numerical methods for the Analysis of Problems in Life sciences and Engineering. SNAPLE aims at providing a substantial contribution to the development of innovative methods for the analysis of high-dimensional functional data, interfacing advanced statistical and numerical techniques. The workshop features talks about some of the achieved results and ongoing investigations of FIRB SNAPLE project, as well as various talks from internationally renowned scientists, with the aim discussing and exchanging ideas on new research perspectives. Invited speakers include: John Aston, Cambridge Marc Genton, KAUST Tilmann Gneiting, Heidelberg Institute for Theoretical Studies (HITS) and Karlsruhe Institute of Techology (KIT) Alberto Guadagnini, Politecnico di Milano Hans-Georg Muller, Universty of California - Davis Fabio Nobile, École Polytechnique Fédérale de Lausanne Davide Pigoli, Cambridge Jim Ramsay, McGill University. Registration to the workshop is free, but attendees are kindly requested to register at conference website: http://www.mate.polimi.it/snaple2014/ Best regards, 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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Avviso di mini-corso :: Bulla@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 08 May '14

08 May '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 12 Maggio, ore 15:00-17:00 Martedì, 13 Maggio, ore 13:00-17:00 ----------------------------------------------------------------------------- Aula XII (piano terra, palazzina Tuminelli) Dipartimento di Scienze Statistiche Sapienza Università di Roma JAN BULLA (Université de Caén) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo A GENTLE INTRODUCTION TO HIDDEN MARKOV MODELS Tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Questo corso fa parte delle attività promosse nell’ambito del FIRB Futuro in Ricerca 2012: “Modelli mistura e a variabili latenti per l'inferenza causale e l'analisi di dati socio-economici”. Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Syllabus Introduction Fundamentals Independent mixture distributions Markov chains Hidden Markov Models The basic hidden Markov model Marginal distributions and moments of a hidden Markov model The likelihood of a hidden Markov model Parameter Estimation Forward and backward probabilities The EM-algorithm Direct maximization of the likelihood Parameter restrictions Numerical underflow An efficient algorithm Standard errors of the parameter estimates Forecasting and Decoding Conditional distributions Forecast distributions Decoding Local decoding Global decoding State prediction

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SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 07 May '14

07 May '14

A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA jointly organize the Summer School in Economics and Finance - Canazei 2014 Alba di Canazei, Trento - Italy July 14 - 18 ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS Prof. Michael Waterson, University of Warwick, Department of Economics*,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ Prof. Luigi Grossi, University of Verona, Department of Economics,http://www.dse.univr.it/?ent=persona&id=3862&lang=en Dr. Fany Nan, University of Verona, Department of Economics. Application: submission deadline: May 12** If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address:basso@unive.it Web page:http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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seminario di Z. Brzezniak a Pisa
by Marco Romito 07 May '14

07 May '14

Il giorno 13 maggio 2014, alle ore 9:30, presso la sala seminari del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: Z. Brezniak (University of York): Invariant measures for stochastic Navier-Stokes equations in unbounded domains via bw-Feller property Abstract: In this talk I will describe a general result on the existence of invariant measure for Markov processes having the bw-Feller property and will show how this can be applied to stochastic Navier-Stokes equations in unbounded domains. This talk is based on joint works with M. Ondrejat and Ela Motyl. The results presented are in some sense generalisations of related results for stochastic nonlinear beam and wave equations (where a Pritchard-Zabczyk trick playes an essential role) obtained in a joint woth with M. Ondrejat and J. Seidler. Tutti gli interessati sono invitati a partecipare. m.

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seminario Ruodu Wang in Bicocca
by fabio.bellini 07 May '14

07 May '14

Il giorno martedì 13 maggio alle ore 15.00 presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano Bicocca, al IV piano dell'edificio U7, il dott. Ruodu Wang della Università di Waterloo (Canada) terrà un seminario su: Admissible distributions of risk aggregation Abstract Modeling inter-dependence between individual risks often faces statistical as well as probabilistic challenges, in which dependence uncertainty naturally arises. In this talk, we consider problems of risk aggregation with dependence uncertainty. The core question of interest is to characterize admissible distributions of risk aggregation, where marginal distributions of individual risks are assumed known but the joint dependence structure is unknown. In the first part of the talk, we will summarize finite dimensional results based on the notion of joint mixability, and discuss their relevance to optimization problems in risk management. In the second part of the talk, we will study asymptotic problems of admissible risk aggregation with identical margins. The results are concise and, in the meanwhile, surprising. We hope to deliver the following message: with the marginal distribution known and dependence structure unknown, we know essentially nothing about the asymptotic shape of the sum of random variables. Tutti gli interessati sono invitati a partecipare. Fabio Bellini

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 07 May '14

07 May '14

13th INTERNATIONAL CONFERENCE C R E D I T 2014 *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector *Venice, Italy 25 - 26 September 2014 *GRETA Associati *(Venice, Italy), *Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt* (Frankfurt, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 25 - 26, 2014. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca? Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *thirteenth* of a series dedicated to various aspects of credit risk. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * *Banking regulation* (Banking union, Design of supervisory institutions and processes, Regulatory instruments) * * Credit Risk and Stress testing (*Counterparty risk, Credit and Liquidity, Stressed credit risk measures, Feedback effects or second round effects, Firm wide stress testing, Multivariate extreme events, Tail dependence) * * New development in the banking markets* (Banking business models, Shadow banking, Response to regulatory changes) * *Financial markets regulation* (CCP, Transaction taxes, Decentralized trades and Systemic risk) * *Risk disclosure: homogeneity and comparison of risk measures (*Data integration and validation, Risks integration, Effectiveness of Pillar 3 disclosure) The Scientific Committee for the Conference consists of: *Jan Krahnen*, Goethe University,**Programme Chair *Monica Billio*, Ca? Foscari University of Venice *Steven Ongena*, University of Zurich *Stephen Schaefer*, London Business School *Kenneth Singleton*, Stanford University The final program will include both submitted and invited papers. Acceptances received from invited speakers include *Franklin Allen* (University of Pennsylvania & Imperial College London), *Ignazio Angeloni* (ECB), *Thierry Foucault* (HEC Paris). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *May 31, 2014 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 30, 2014*. The final version of accepted papers must be received by August 31, 2014. Please send papers: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm>). Registration fees are: Early registrationLate registration (within August 24th)(from August 25th on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT500 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 25, 2014, for which there is an extra charge of 80.00 Euro for each partecipant (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2014: Papers submission deadline June 30, 2014: Paper acceptance notification August 18, 2014: Deadline for early registration August 31, 2014: Deadline for sending final version of accepted papers For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm> * Please accept our apologies for any crossed e-mails. ** If you do not want to receive more information from this e-mailing list, please reply to this message with Subject "Cancel from Mailing List". T -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 06 May '14

06 May '14

A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA jointly organize the Summer School in Economics and Finance - Canazei 2014 Alba di Canazei, Trento - Italy July 14 - 18 ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS Prof. Michael Waterson, University of Warwick, Department of Economics*,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ Prof. Luigi Grossi, University of Verona, Department of Economics,http://www.dse.univr.it/?ent=persona&id=3862&lang=en Dr. Fany Nan, University of Verona, Department of Economics. Application: submission deadline: May 12** If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address:basso@unive.it Web page:http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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