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Workshop conclusivo progetto FIRB Futuro in Ricerca SNAPLE
by Laura M. Sangalli 09 Apr '14

09 Apr '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 May 15-16, 2014 ------------------------------------------------------------------------ http://www.mate.polimi.it/snaple2014/ ------------------------------------------------------------------------ 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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CALL FOR PAPERS: 15th OxMetrics User Conference, Cass Business School, 4-5 September 2014 (fwd)
by Tiziano Vargiolu 08 Apr '14

08 Apr '14

---------- Forwarded message ---------- Date: Tue, 8 Apr 2014 10:13:09 +0000 From: "Urga, Giovanni" <G.Urga(a)city.ac.uk> Subject: CALL FOR PAPERS: 15th OxMetrics User Conference, Cass Business School, 4-5 September 2014 Dear Tiziano Could you please circulate the Call for Papers below. Regards Giovanni @@@@@@@@@@@@@@@@@@@@@@@ Dear Colleagues I am pleased to report that the web page of the Conference is live and running. See http://www.cass.city.ac.uk/news-and-events/conferences/15th-oxmetrics-user- conference The pdf file of the Call for Papers is at http://www.cass.city.ac.uk/__data/assets/pdf_file/0005/217283/15thOxMetrics UserConference_Call_for_Papers.pdf . Please feel free to publicise the event throughout your own mailing lists. Regards Giovanni **************************************************************** Please use both addresses: giovanni.urga(a)unibg.it and g.urga(a)city.ac.uk **************************************************************** Giovanni Urga Professor of Finance and Econometrics Faculty of Finance Cass Business School 106 Bunhill Row London EC1Y 8TZ (U.K.) Tel.+/44/(0)20/70408698 Fax.+/44/(0)20/70408881 http://www.cass.city.ac.uk/faculty/g.urga Director, Centre for Econometric Analysis (CEA@Cass) http://www.cass.city.ac.uk/cea/index.html

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Fwd: Applications open for the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford
by Tiziano Vargiolu 08 Apr '14

08 Apr '14

----- Forwarded message from jan.obloj(a)maths.ox.ac.uk ----- Date: Mon, 7 Apr 2014 20:03:33 +0000 From: Jan Obloj <jan.obloj(a)maths.ox.ac.uk> Subject: Applications open for the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford To: Jan Obloj <jan.obloj(a)maths.ox.ac.uk> Dear All, we are pleased to announce that the applications from PhD students and early career researchers to participate in the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford are now open! A limited number of fully funded places (incl. accommodation and travel grants), as well as further places with subsidised accommodation, are available. The application procedure is outlined here: http://www2.maths.ox.ac.uk/euroschoolmathfi14/application.html. and the deadline for sending complete applications is 4th of May 2014. This year, there will be two main courses running Monday-Thursday: 1) Rene Carmona (Princeton University) 'Stochastic Differential Games and Financial Applications? 2) Xuedong He (Columbia University) & Xunyu Zhou (University of Oxford) 'Quantile Approach to Behavioural Portfolio Selection and Asset Pricing.' On Friday (5th of September) there will be a dedicated 'New Challenges, New Methodologies Day?. It will include talks by Rama Cont (Imperial College London), Vladimir Piterbarg (Barclays) and Mathieu Rosenbaum (UPMC). We would appreciate if you could share this announcement with your colleagues and students who might be interested. Best regards, The local organising committee Ben Hambly, Martin Klimmek, Terry Lyons, Jan Obloj, Xunyu Zhou _________________________ Jan Obloj Associate Professor of Mathematical Finance Mathematical Institute, St John's College and Oxford-Man Institute of Quantitative Finance University of Oxford MI, ROQ, Woodstock Road Oxford OX2 6GG, UK +44 1865270124 ----- End forwarded message -----

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"Unlocking the value of big data", Special Issue on EJASA-DSS, Extended Deadline
by stefano iacus 07 Apr '14

07 Apr '14

Call for papers for the Special Issue on (extended deadline) "Increasing Innovation Opportunities by Unlocking the Value of Big Data" to be published on the "Electronic Journal of Applied Statistical Analysis: Decision Support Systems and Services Evalutation" ### Guest Editors: Valentina Ndou,Faculty of Innovation for Engineering, University of Salento (ITA) Mirjeta Beqiri, Gonzaga University, Spokane, WA, (USA) Stefano M. Iacus, Department of Economics, Management and Quantitative Methods, University of Milan (ITA) ### Overview: The advent of new communication technologies and especially the exponential growth of social media web 2.0, from blogs, Facebook and Twitter to LinkedIn and YouTube, has created vast opportunities for firms and managers to get closer to customers, to gain a wealth of information about their behaviors and preferences, as well as to identify new market trends and new opportunities to remain competitive. It is known that firms today operate in the era of Big Data Revolution, overwhelmed with data that are available via web to almost everyone. The content and information that customers create in web 2.0 platforms constitute a valuable asset for firms to directly tap into the customer’s preferences and needs, as the most valuable source for attaining direct and reliable market information. ### Aim: Based on these recent trends, this special issue invites research articles and papers that put forth different approaches, statistical models, and decision making systems able to analyze the available data for gaining insights and creating new knowledge that leads to innovation and creativity. ### Topics: This special issue seeks original contribution on the following topics: 1. Techniques, tools, approaches, and methodologies used for analyzing data and information 2. Statistical Analysis for big data 3. Data and knowledge modelling techniques 4. Stimulating innovation and improving performance through statistical data analysis 5. Value of data for new business models, products, and services 6. Data management as a driver of performance and competitiveness 7. Value co-creation through data and information exchange 8. Transforming the value of data using real time analytics 9. Business optimization techniques through data analysis 10. Decision making process in the big data era 11. Role of statistical models in unlocking the value of web data 12. Real time analytics 13. Privacy, security, and intellectual property issues in the era of big data. ### Submission guidelines: Original research papers will be considered. ### Important Dates: Abstract submission: 20th March, 2014 (extended to 15th April, 2014) Review decisions sent to authors: 30th April 2014 Full paper submission: 30th July, 2014 ### Further Information: For further information, please contact: ejasa(a)unisalento.it or visit http://siba-ese.unisalento.it/index.php/ejasa_dss/announcement/view/21 Stefano ps: Com'on statisticians! Where are you? We are the "data scientist" after all! ----------------------------------- Stefano M. Iacus Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en Have a look at the new Master Degree in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further informations at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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Seminario Zorana Grbac a Padova
by Tiziano Vargiolu 07 Apr '14

07 Apr '14

ANNUNCIO DI SEMINARIO La Prof. Zorana GRBAC dell'Universit? di Parigi-Diderot (VII) terra' il seguente seminario lunedi' 14 aprile alle ore 15.30 in Aula 1BC45 del Dipartimento di Matematica, via Trieste 63, Padova. TITLE: Post-crisis interest rate models driven by Levy processes ABSTRACT: The recent credit crisis and the European sovereign debt crisis have impacted all financial markets and influenced the way derivatives are priced and hedged. In this talk we focus in particular on interest rate derivative models. When considering these models, two major changes with respect to the pre-crisis models should be taken into account. Firstly, a variety of spreads have developed between the rates that had been essentially the same before the crises. This is known as the multiple-curve phenomenon. Secondly, the crises have highlighted the native form of credit risk, namely the counterparty risk, as well as the funding issues. To meet these new modeling requirements, we develop a multiple-curve model, set in the HJM framework and driven by a Levy process. The use of Levy drivers allows an optimal balance between the flexibility needed to calibrate the model jointly to cap and swaption multiple-curve prices on one side, and the low number of Markov factors allowing the computation of counterparty risk and funding adjustments (CVA) on the other side. The pricing formulas in this framework are presented and possible Levy specifications discussed. We proceed with the calibration of the model and finally use the calibrated model as an underlying model for CVA computations. We conclude with a short and illustrative numerical example considering a basis swap. This is joint work with S. Cr?pey, N. Ngor and D. Skovmand ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Seminario di F. Delarue a Pisa
by Marco Romito 07 Apr '14

07 Apr '14

Nei giorni 9 aprile e 16 aprile 2014, presso la sala riunioni del Dipartimento di Matematica dell'Università di Pisa, si terranno i seguenti seminari: 9 aprile, ore 11 F. Delarue (Université Nice Sophia-Antipolis): Mean field games I 16 aprile, ore 11 F. Delarue (Université Nice Sophia-Antipolis): Mean field games I Tutti gli interessati sono invitati a partecipare m.

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Energy Finance 2014 conference call for abstracts
by Tiziano Vargiolu 03 Apr '14

03 Apr '14

EF14 conference call for abstracts announcement, apologies for cross-posting. ____________________________________________________________________________ Energy Finance 2014 (EF14), Sept. 24 - 26, Erice, Italy ____________________________________________________________________________ It is a pleasure to announce that a call for abstracts for EF14 is currently open, starting from April 1 and closing on July 15. Abstracts, in the form of about 1 page (max 2 pages) pdf files, can be sent via email to the address: submissions(a)energyfinance2014.org Some more information about the required abstract format can be found in the EF14 conference website energyfinance2014.org. ____________________________________________________________________________ On the website, you will also find new information about conference fees. For more information about the conference, submissions excluded, please contact: info(a)energyfinance2014.org Please remember that it won't be possible to accommodate more than about 100 participants. ____________________________________________________________________________ Regards, Carlo Lucheroni, for the EF14 Organizing Committee. -- Carlo Lucheroni Scuola di Scienze e Tecnologie Universita' di Camerino via Madonna delle Carceri 9 62032 Camerino (MC) Italy Office phone: 39-0737402552

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de Finetti risk seminar - aprile 2014
by Emanuela Rosazza Gianin 02 Apr '14

02 Apr '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on April 9, 2014 at 18.00 with the Lecture Equilibrium in risk sharing games COSTANTINOS KARDARAS London School of Economics Abstract: We study equilibrium sharing of investment risk among agents whose random endowments constitute private information. Given the sharing rules that optimally allocate the submitted endowments, we propose a Nash game where agents' strategic choices consist of the endowments to be submitted for sharing. It is proved that the best response problem admits a unique solution (which we call "best endowment response") and differs from the agent's true risk exposure. Then, we proceed in showing that the Nash equilibrium risk sharing admits a finite dimensional characterisation, and that it exists and is unique in the case of two agents. Analysis shows that the game benefits the agents close to risk neutrality, since their expected utilities are higher at the Nash risk sharing equilibrium than the optimal risk-sharing one. (Joint work with Michail Anthropelos.) LOCATION: The seminar will be held on Wedsnesday, April 9, at 18.00 at Sala di rappresentanza, Department of Mathematics, Milano University, Via 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 Metodi Quantitativi per le Scienze Economiche ed Aziendali 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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Jean- Marc Azaïs - Tor Vergata - 7 aprile
by Valentina Cammarota 02 Apr '14

02 Apr '14

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Lunedì 7 aprile ore 14 Aula D'Antoni 1101 Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Jean-Marc Azaïs IMT, Universite de Toulouse, France Title: The tail of the maxima of Gaussian fields on non locally convex sets. Abstract: The Euler Characteristic method or the Rice method give a full expansion of the tail of the maximum of stationary Gaussian fields defined on some regular sets. A key hypothesis is local convexity that means roughly that, by a smooth change of parameterization, the parameter set can be transform in a convex set. In our talk we will present an alternative method that works for general parameter set as fractals sets and permits to obtain a full expansion in dimensions 2 for a large class. Our result will be illustrated by examples that are all new. Tutti gli interessati sono invitati a partecipare. ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

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Fwd: Summer school and workshop on random interacting systems, Bath UK
by Cristian Giardina 31 Mar '14

31 Mar '14

---------- Forwarded message ---------- From: Alexandre Stauffer <a.stauffer(a)bath.ac.uk> Date: Mon, Mar 31, 2014 at 6:49 PM Subject: Summer school and workshop on random interacting systems, Bath UK To: cristian.giardina(a)unimore.it Cc: a.stauffer(a)bath.ac.uk Dear Cristian, Could you please forward this announcement to your interested colleagues and friends? (apologies for multiple posting) School and Workshop on Random Interacting Systems 23-27 June 2014, in Bath, U.K. Registration is open until 30th April at http://people.bath.ac.uk/ados20/workshop14/ MINI-COURSES ============ Hugo Duminil-Copin (Universite de Geneve) Geometric representations of low-dimensional spin systems Christophe Garban (ENS Lyon) Lectures around Liouville quantum gravity and multiplicative chaos theory INVITED SPEAKERS ================ Kenneth Alexander* (University of Southern California) Gerard Ben-Arous* (Courant Institute of Mathematical Sciences) Nathanael Berestycki* (University of Cambridge) Ivan Corwin* (MIT) David Croydon (University of Warwick) Nadine Guillotin-Plantard (Universite Lyon 1) Ori Gurel-Gurevich* (Hebrew University of Jerusalem) Frank den Hollander (Universiteit Leiden) Neil O'Connell (University of Warwick) Ron Peled (Tel Aviv University) Alejandro Ramirez (Pontificia Universidad Católica de Chile) Perla Sousi (University of Cambridge) Rongfeng Sun (National University of Singapore) Pierre Tarres (University of Oxford) Augusto Teixeira (IMPA) Yvan Velenik (Université de Genève) * = to be confirmed. The workshop will focus on recent developments on random interacting systems, including (but not restricted to) interacting and self-interacting particle systems, random walks and other stochastic processes in random environments, random and evolving graphs, the Gaussian free field, random interlacements, random polymers, percolation and spin systems. There will be slots for a small number of contributed talks (with preference to Ph.D. students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/workshop14/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

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Processi stocastici su grafi - venerdi 4 aprile
by Marco Isopi 31 Mar '14

31 Mar '14

PROCESSI STOCASTICI SU GRAFI Una giornata dedicata al confronto tra studiosi che lavorano in campi diversi. Venerdi 4 aprile - Dipartimento di Matematica- Aula di Consiglio 10-30-11.15 Fabio Fagnani: Apprendimento distribuito in giochi potenziali su rati grandi. caffè 11.30-12 Alessandro Epasto: Ordinamento per similarità in grafi bipartiti grandi. 12.12.30 Elena Agliari: Assorbimento e collisioni su strutture ramificate. 12.30-13 Emanuele Natale: Dinamiche maggioritarie e sistemi distribuiti sincroni. 13-14 Discussione, problemi aperti (con spuntino durante la discussione) 14-14.30 Andrea Gabrielli: Ricostruzione di reti economico-finanziarie da informazioni parziali nello schema dei "modelli di fitness". 14.30-15 Flavio Chierichetti: Votare con informazione incompleta e molte scelte. http://www1.mat.uniroma1.it/~isopi/processi_su_grafi.html

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Avviso di mini-corso :: C.V.D.@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 31 Mar '14

31 Mar '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Venerdì 04 Aprile, ore 10:00-13:00 ----------------------------------------------------------------------------- Aula VI (quarto piano) Dipartimento di Scienze Statistiche Sapienza Università di Roma C.LAUDIO DURASTANTI V.ALENTINA CAMMAROTA D.OMENICO MARINUCCI (Dip. di Matematica, Università degli Studi di Roma Tor Vergata) terranno un mini-corso dal titolo STEIN-MALLIAVIN APPROXIMATIONS IN STATISTICS & PROBABILITY 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 - Fulvio De Santis --- P R O G R A M Part I: The Geometry of Needlets Excursion Sets Domenico Marinucci In this talk, we shall be concerned with geometric functionals and excursion probabilities for some nonlinear transforms evaluated on wavelet/needlet components of spherical random fields. For such fields, we consider smoothed polynomial transforms, such as those arising from local estimates of angular power spectra and bispectra; we focus on the geometry of their excursion sets, and we study their asymptotic behaviour, in the high-frequency sense. Our main technical tools are recent results on Malliavin calculus and Total Variation bounds for Gaussian subordinated fields by Nourdin and Peccati, and the Gaussian Kinematic Formula by Adler and Taylor, which we shall review briefly in the talk. We put particular emphasis on the analysis of Euler-Poincaré characteristics, which can be exploited to derive extremely accurate estimates for excursion probabilities. The present analysis is motivated by the statistical investigation of asymmetries and anisotropies in Cosmic Microwave Background radiation (CMB) data. Based on joint work with Sreekar Vadlamani Part II: Stein-Malliavin Approximations for Needlets Polyspectra Valentina Cammarota We provide quantitative Central Limit Theorems, in the high frequency limit, for nonlinear transforms of spherical wavelets/needlets random fields, which are of immediate interest for spherical data analysis. In particular, we focus on so-called needlets polyspectra, which are popular tools for nonGaussianity analysis in the cosmological community, and on the area of excursion sets. Our results are based on Stein-Maliavin approximations for nonlinear transforms of Gaussian fields, and on an explicit derivation on the high-frequency limit of the fields' variances, which may have some independent interest. Based on joint work with Domenico Marinucci Part III: Normal Approximations for Linear and U-Statistics on Spherical Poisson Fields Claudio Durastanti We review a recent stream of research on Normal approximations for linear and U-statistics of wavelets/needlets coefficients evaluated on a homogeneous spherical Poisson fi...eld. We show how exploting results from Peccati and Zheng (2011), based on Malliavin calculus and Stein''s methods, it is possible to assess the rate of convergence to Gaussianity for a triangular array of statistics with growing dimensions. These results can be exploited in a number of statistical applications, such as spherical density estimations, searching for point sources, estimation of variance and the spherical two-sample problem. Based on joint work with Solesne Bourguin, Domenico Marinucci and Giovanni Peccati.

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A Workshop to Celebrate the Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction, University of Cambridge, UK (30 April 2014)
by Julia Mortera 30 Mar '14

30 Mar '14

Dear Colleague, Many thanks to those who have already registered and who have emailed us their unavailability for the workshop. *** Gentle reminder please *** *Workshop:* The Statistical Contributions of A. Philip Dawid: Causal Inference, Graphical Models and Prediction *Venue:*** Centre for Mathematical Sciences, University of Cambridge, UK *Date:* 30th April 2014 *Dinner Date:* 29 April 2014 *Registration deadline:* 15 April 2014 * Registration and ***more information*: * https://sites.google.com/site/workshopdawid2014/ *Dinner only option:* If you wish to join us only for dinner, please let us know by emailing Hui Guo at hg283(a)cam.ac.uk by 15 April. You will be able to make payments for the dinner in the restaurant on the day. *Confirmed speakers:* Carlo Berzuini (University of Manchester) Simon Byrne (UCL) Panayiota Constantinou (University of Bristol) Vanessa Didelez (University of Bristol) Sara Geneletti (LSE) Peter Grünwald (CWI and Leiden University) Hui Guo* *(University of Cambridge) Steffen Lauritzen (University of Oxford) Monica Musio(University of Cagliari) Julia Mortera (Umiversity of Rome) David Spiegelhalter (University of Cambridge) Volodya Vovk (Royal Holloway University of London) Thanks for Your attention. We would be very happy if you could attend the meeting. Kind Regards, Luisa Bernardinelli Carlo Berzuini Panayiota Constantinou Vanessa Didelez Hui Guo Nuala Sheehan -- Prof.ssa Julia Mortera Dipartimento di Economia Università Roma Tre Via Silvio D'Amico 77 00145 Roma Tel: +39 06 57335732 Fax: +39 06 57335771 http://dipeco.uniroma3.it/docenti.asp?id=123# --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Seminario di Guido Montorsi (Roma - 11 aprile)
by Marco Isopi 29 Mar '14

29 Mar '14

Seminari MoMA www.mat.uniroma1.it/ricerca/seminari/moma Venerdi’ 11 aprile, ore 12-14, aula Consiglio Guido Montorsi Analog Digital Belief Propagation and its application to channel decoders Sunto As required by information theory, channel codes with long code words are necessary building blocks in a transmission system to achieve reliable communications with minimal power and maximal throughputs over noisy physical channels. Nowadays capacity-achieving large random binary codes are actually adopted in most telecommunication standards. The breakthrough that allowed their practical use has been to substitute the optimal maximum likelihood decoding techniques at the receiver with suboptimal iterative techniques based on “belief” propagation. Belief propagation is a powerful inference technique working on graphs used in many different applications. Graph nodes are associated to factors or constraints of the model while graph edges are associated to random variables. Belief propagation algorithm proceeds by iteratively updating messages associated to the random variables, according to the constraints imposed by nodes. In the framework of channel decoding the graph nodes represent the deterministic, usually linear, code constraints. They are either associated to a (binary) parity check sum, or to a repetition of the variable. Belief propagation is initialized with a set of messages obtained from the noisy channel observations of the transmitted bits and proceeds iteratively, updating the messages according to the code constraints until convergence is reached. Most practically used codes are linear and binary codes, so that messages propagated in the graph are binary messages usually represented with a single scalar (the Log-Likelihood Ratio). In order to increase the throughput of communication systems, the use of non binary codes is an attractive solution as each symbol can carry more information bits. Non binary codes can be constructed over groups, rings, or fields and there is a vast literature on the design of capacity achieving non binary codes. The extension of the application of belief propagation to the non binary codes however poses several complexity problems as both message representation and message updating at check node grows at least linearly with the cardinality of the non binary alphabet and consequently exponentially with the increase of required throughput. In this talk I will start by recalling the fundamental ideas and terminology beyond binary channel coding constructions and corresponding iterative decoding with belief propagation and other iterative techniques. I will then extend the concepts to non binary codes and summarize the main algorithms and complexity problems related with them. I will then introduce a new algorithm, named Analog Digital Belief Propagation (ADBP) which solves the complexity problems of belief propagation for non binary codes. I will discuss the main properties of the algorithm, its possible extensions and code design problems related to the adoption of this algorithm.

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Seminario Lucian Maticiuc [ Dipartimento Informatica UniVr ]
by Luca di persio 28 Mar '14

28 Mar '14

Il giorno Mercoledì 9 Aprile, alle ore 17 [ rinfresco ore 16:45 ] presso il Dipartimento di Informatica Università degli studi di Verona , strada le Grazie 15, Verona Lucian Maticiuc "G. Asachi" Technical University, Romania terrà un seminario dal titolo Stochastic Differential Delay Systems and Optimal Control Problems *Abstract* We show the existence and the uniqueness of the solution for some multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type). Afterwards we consider optimal control problems where the state X is a solution of a controlled delay stochastic system as above. We establish the dynamic programming principle for the value function and finally we prove that the value function is a viscosity solution for a suitable Hamilton- Jacobi-Bellman type equation. __ 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 - Italy Tel : +39 0461 281686

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seminario di Daniele Marazzina presso Prometeia - Bologna
by Giacomo Scandolo 28 Mar '14

28 Mar '14

Il giorno Giovedì 3 Aprile 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Daniele MARAZZINA (Politecnico di Milano) terrà un seminario dal titolo "Fast pricing of discretely monitored exotic options by a numerical Wiener-Hopf procedure" Abstract We present a fast and accurate pricing techniques based on the Spitzer identity and the Wiener-Hopf factorization. We apply it to barrier and lookback options when the monitoring is discrete and the underlying evolves according to an exponential Lévy process. The numerical implementation exploits the fast Fourier transform and the Euler summation. The computational cost is independent of the number of monitoring dates; the error decays exponentially with the number of grid points.

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Seminario Lucian Maticiuc [ UniTn ]
by Luca di persio 28 Mar '14

28 Mar '14

*Giovedì 3 aprile **ore 10.00* *------------------------------ * *Aula Seminari - Dipartimento di Matematica* *------------------------------ * *"Backward S**tochastic Variational Inequalities with* *Time Delayed Generators"* *Lucian Maticiuc* *(**"Gheorghe Asachi" Technical University and "Alexandru Ioan Cuza" University, Iasi, Romania)* *ABSTRACT*: We show the existence and the uniqueness of the solution for the following multivalued backward stochastic differential equation withtime-delayed generators: Where is the subdifferential operator of a proper convex lower semicontinuous function *Referente*: *Luca Di Persio* -- __ 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 - Italy Tel : +39 0461 281686

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Seminario ROUSSEAU
by Matteo Ruggiero 28 Mar '14

28 Mar '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 4 Aprile 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Judith ROUSSEAU (Université Paris Dauphine) BEHAVIOUR OF THE POSTERIOR DISTRIBUTION IN HMM MODELS WHEN THE NUMBER OF STATES IS MISSPECIFIED Abstract: In this paper we study the asymptotic behaviour of the posterior distribution for parametric HMM models with finite number of components. We concentrate in particular on the case where the number of states of the hidden Markov chain in the model is larger than the true number of states. In such cases the parameter is not identifiable. We study the impact of the prior on the transition matrix on the asymptotic behaviour of the posterior distribution. In particular that if some independent Dirichlet priors are considered on each row of the transition matrix we can identify different types of behaviour of the asymptotic posterior distribution depending on the choice of the parameter of the Dirichlet distributions. A link is made with static mixture models and some numerical study is conducted to illustrate the results and investigate the behaviour of the posterior in cases where no theoretical results are provided. 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 & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

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seminario di Pablo Ferrari a Roma Tre
by pietro caputo 28 Mar '14

28 Mar '14

Martedi 1 Aprile, alle ore 14:30 in aula 311 del Dipartimento di Matematica e Fisica dell'Universita' di Roma Tre, il Prof. Pablo Ferrari (Buenos Aires) terra' un seminario su: "Yaglom limits via Holley inequality" Abstract: We consider Markov chains on a countable partially ordered state space with an absorbing state. Assume that the absorbed chain has a quasi stationary distribution. We give sufficient conditions on the transition probabilities to guarantee that the law of the chain at time n conditioned to non absorption is monotone non decreasing in n. As a consequence the Yaglom limit (the limit of the conditioned chain starting from a minimal state, as n goes to infinity) converges to a quasi stationary distribution; the limit is minimal for the stochastic order of measues. The approach uses a dynamics on the space of trajectories and Holley inequality. Joint work with Leonardo Rolla.

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Mercati Energetici e Metodi Quantitativi - edizione 2014
by Tiziano Vargiolu 25 Mar '14

25 Mar '14

(chiedendo scusa in anticipo per eventuali ripetizioni) Buongiorno, volevamo ricordare che la scadenza per presentare contributi al workshop "Mercati Energetici e Metodi Quantitativi: un Ponte tra Universit? e Aziende" e' MARTEDI' 1. APRILE. Tutte le informazioni sul sito web http://www.unponte2014.stat.unipd.it/ dove si possono anche trovare gli interventi gia' accettati: http://www.unponte2014.stat.unipd.it/programma.htm Inoltre ricordiamo che quest'anno abbiamo deciso di estendere l'iniziativa organizzando, nei due giorni precedenti la conferenza, quattro tutorial sui seguenti argomenti: - Introduzione ai mercati dell'energia e del gas - Rischio di credito e di controparte nei mercati energetici - Strumenti di analisi e di previsione per i mercati energetici. - Tecniche di gestione di portafoglio e di ottimizzazione: i contratti strutturati nei mercati dell'energia. Tutte le informazioni sui tutorial si trovano alla pagina http://events.math.unipd.it/memq2014/ In attesa di rincontrarci a Padova, porgiamo i nostri pi? Cordiali Saluti, gli Organizzatori Giorgia Callegaro Enrico Edoli Francesco Lisi Tiziano Vargiolu

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Avviso di seminario :: Liseo@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 25 Mar '14

25 Mar '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 28 Marzo, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma BRUNERO LISEO (Dip. di metodi e modelli per il territorio, l'economia e la finanza, Sapienza Università di Roma) terrà un seminario dal titolo APPROXIMATE BAYESIAN INFERENCE FOR COPULA MODELS 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 - Fulvio De Santis --- Summary Si propone un metodo per la stima di un funzionale di interesse relativo ad un modello multivariato. Il metodo è basato su una rappresentazione in termini di copula e sfrutta alcuni recenti sviluppi delle tecniche computazionali bayesiane approssimate che utilizzano metodi di verosimiglianza empririca. Il termine "approximate" nel titolo è dovuto a due fattori: i) il processo di elicitazione è limitato al solo funzionale di interesse e alle distribuzioni marginali. ii) Non si utilizza la "vera" funzione di verosimiglianza, bensì una sua approssimazione empirica (Owen, 2010).

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call for associate professor
by Fausto Gozzi 24 Mar '14

24 Mar '14

LUISS Guido Carli, Rome Department of Economics and Finance Position Title Associate Professor in Microeconomics Associate Professor in Macroeconomics Associate Professor in Mathematical Finance (Call for Interest) Data di pubblicazione 20/03/2014 Type of position: Full time - Tenured Discipline Economics / Math finance description: The Department of Economics and Finance at LUISS Guido Carli (Rome) is seeking to fill tenured positions at Associate Professor level in Microeconomics, Macroeconomics and Mathematical finance. Teaching needs are at all levels: Undergraduate, Masters and Ph.D, in English (and possibly Italian). Candidates will hold a Ph.D. from a recognized Research University, an established teaching experience and an appropriate record of publications in respected and highly ranked international journals. Candidates will also have either an associate professor status in a University or have recently obtained the appropriate national qualification (ASN) of the Italian University System (SECS P01 SECS S06). CVs may be sent only via email to: Giorgio Di Giorgio, Dean, Economics and Finance, def(a)luiss.it Application Deadline for expressing interest: 15/04/2014 Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi(a)luiss.it webpage: http://docenti.luiss.it/gozzi/ old addresses: Fausto Gozzi Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facolta' di Economia Universita' di Roma La Sapienza via del Castro Laurenziano 9 00161 Roma Italy tel 06/49766275 (office) FAX 06/49766765 and also Fausto Gozzi Dipartimento di Matematica Universita' di Pisa via Filippo Buonarroti n. 2 56127 Pisa Italy tel 050/2213270 FAX 050/2213224 e-mail: GOZZI(a)DM.UNIPI.IT --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Post-doc position in Tor Vergata
by Domenico Marinucci 24 Mar '14

24 Mar '14

APOLOGIES FOR CROSS-POSTING ONE POST-DOCTORAL POSITION IN ROME – TOR VERGATA Applications are invited for a postdoctoral position at the Department of Mathematics- University of Rome Tor Vergata. TITLE PASCAL: PROBABILISTIC AND STATISTICAL TECHNIQUES FOR COSMOLOGICAL APPLICATIONS – Fourth Level QUALIFICATIONS AND ASSESSMENT GROUNDS FOR APPOINTMENT The candidates should have completed, or should be expecting to complete soon, a PhD in Mathematics, Statistics, Physics or related fields. JOB DESCRIPTION The postdoctoral positions are part of the ERC project PASCAL, (Principal Investigator: Domenico Marinucci, http://www.mat.uniroma2.it/~marinucc/) The successful applicant is expected to work on the themes of the project which include, but are not restricted to: Random fields on the sphere, spectral representations, characterizations of isotropy and Gaussianity, geometry of Gaussian fields, angular power spectra and polyspectra, spherical wavelets/needlets, statistical estimation for spin random fields, Poisson processes and adaptive estimation of density functions on the sphere, with applications and motivations from the analysis of Cosmic Microwave Background radiation data, Cosmic Rays, Weak Gravitational Lensing experiments. SALARY Salary is fixed at 34,000 euros per year (e.g., 2580 Euros net per month approximately), plus pension benefits. Financial support will be available for travels. The position is for two years. HOW TO APPLY Candidates must apply by email to the address: Pascal_4th_level_2014(a)applications.uniroma2.it specifying in the subject “PASCAL - fourth level grant” and including the following: a) a contact email address; b) curriculum vitae; c) date and title of their undergraduate or Master’s degree; d) date and title of their PhD degree (or expected completion date); e) a list of relevant publications; f) any other document deemed useful for the present selection procedure. The candidate should ask for at least two recommendation letters to be sent directly to the same email address as for the application. The subject of the email messages should indicate the applicant’s name. For the purposes of the completion of the admission application the only languages permitted are Italian and English. The application and all the other documents must be received by April 30, 2014. INFORMATION For further information please contact Domenico Marinucci at marinucc(a)mat.uniroma2.it @@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata http://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@

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PhD positions in Oslo (fwd)
by Tiziano Vargiolu 21 Mar '14

21 Mar '14

---------- Forwarded message ---------- Date: Fri, 21 Mar 2014 12:54:29 +0100 From: Giulia Di Nunno <giulian(a)math.uio.no> To: Emanuela Rosazza Gianin <emanuela.rosazza1(a)unimib.it>, vargiolu(a)math.unipd.it Cc: Giulia Di Nunno <giulian(a)math.uio.no> Subject: PhD positions in Oslo Dear Tiziano and Emanuela, could you please spread information among your contacts on two PhD grants that are opened at the department of Mathematics at the University of Oslo. One open to all Mathematical Sciences: pure and applied (including probability, statistics, mathematical finance) http://uio.easycruit.com/vacancy/1149345/64285?iso=no The other restricted to stochastic analysis, probability, statistics, mathematical finance. http://uio.easycruit.com/vacancy/1149365/64285?iso=no Candidates interested in those areas should then apply to both. Other openings in mathematics and (bio)statistics are available at: http://www.mn.uio.no/math/english/ Also the contracts are of 3 years, but if the candidate has some knowledge of one of the scandinavian languages, then the contract is extended to 4 years with teaching duties (25%) included. All this is detailed in the calls. Thank you for your help and best wishes Giulia ************************ Giulia Di Nunno Professor Centre of Mathematics for Application Department of Mathematics University of Oslo

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Fwd: bandon 2-2014 Cat. B tip. I
by Gustavo Posta 21 Mar '14

21 Mar '14

Begin forwarded message: > From: Linda De Riggi <linda.deriggi(a)uniroma1.it> > Subject: bandon 2-2014 Cat. B tip. I > Date: 21 marzo 2014 10:57:49 GMT+01:00 > > Vi informo che è stato pubblicato sul sito web del Dipartimento il > seguente bando per assegno di ricerca: > > > n.2/2014 per il conferimento di n. 1 assegno di ricerca annuale di > categoria B tip. I > > http://www.mat.uniroma1.it/dipartimento/bandi/assegni-e-contratti-di-ricerca > > SSD: MAT/05, MAT/06 > > > scadenza: 30 aprile 2014 > > > responsabile scientifico: A. Pisante > > > ******************************************* > Dr.ssa Linda De Riggi > > Segreteria Amministrativa > Dipartimento di Matematica "G. Castelnuovo" > Universita' degli Studi di Roma "La Sapienza" > Piazzale Aldo Moro, 5 > 00185 Roma > Tel.e fax: 0649913271 > e-mail: linda.deriggi(a)uniroma1.it

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