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LMU Workshop on Stochastic Vol and Multi-Curves
by Juan Miguel Montes 26 Feb '14

26 Feb '14

The Ludwig Maximilian University of Munich - Workgroup Financial Mathematics' "quantLab" invites practitioners in the areas of quantitative finance, insurance, financial modeling, risk management and derivatives-structuring, to attend a two - part workshop on the topics STOCHASTIC VOLATILITY and MULTI-CURVE MODELS to be held on 2 - 4 April, 2014 at the LMU Math Institute, Munich, Germany. The guest presenter for Part 1 of the workshop will be Dr. Jörg Kienitz (Head of Quantitative Analysis at Deutsche PostBank AG). Part 2 of the workshop will be conducted by Prof. Dr. Christian Fries (Model Development and Methodology at DZ Bank and Professor at LMU Math Institute) and Dr. Alessandro Gnoatto (Researcher at LMU Math Institute). Participants may chose from three packages: Full Package (Part 1 & 2), Part 1 only or Part 2 only. The detailed workshop agenda, registration fees, venue instructions and contact information for inquiries, are all found on the following webpage: http://www.fm.math.lmu.de/stochasticvolatility The organizers are looking forward to your participation.

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seminario claudio landim
by Faggionato, Alessandra 26 Feb '14

26 Feb '14

Buongiorno, Martedi' 4 marzo Claudio Landim terra' un seminario al Dipartimento di Matematica (Sapienza, Roma). sotto trovate i dettagli. cordiali saluti alessandra faggionato Martedi' 4 Marzo, Aula C (Dip. Matematica, Univ. Sapienza), ore 14:30 Speaker: C. Landim (IMPA Rio De Janeiro, CNRS Rouen) Title: Zero-temperature limit of the Kawasaki dynamics for the Ising lattice gas in a large two-dimensional torus Abstract: We consider the Kawasaki dynamics at inverse temperature $\beta$ for the Ising lattice gas on a two-dimensional square of length $2L+1$ with periodic boundary conditions. We assume that initially the particles form a square of length $n$, which may increase, as well as $L$, with $\beta$. We show that in a proper time scale $L^2\, \theta_\beta$ particles form almost always a square and that this square evolves as a Brownian motion when the temperature vanishes. -- Prof. Alessandra Faggionato Department of Mathematics University La Sapienza Piazzale A. Moro, 2 00186 Rome - Italy

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FW: QP circulation, and any others you know of ...
by Franco Fagnola 25 Feb '14

25 Feb '14

Buongiorno, prego far circolare i seguenti bandi dell'Universit? di Lancaster (UK). Grazie e cordiali saluti, Franco Fagnola ================== We have a Chair and Lectureship position in Probability in Lancaster. http://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A905 http://hr-jobs.lancs.ac.uk/Vacancy.aspx?ref=A906 The deadline for both is 23rd March.

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Colloquium Fabio Lucio Toninelli a Roma Tre
by pietro caputo 21 Feb '14

21 Feb '14

Mercoledi' 26 febbraio 2014 Ore 16:00, Aula F Dip. Matematica e Fisica Roma Tre EDIFICIO AULE LARGO SAN L. MURIALDO,1 Colloquium di Matematica Fabio Toninelli (Universita' di Lione) Random tilings, Glauber dynamics and macroscopic shapes I "piastrellamenti" (tiling) del piano sono un oggetto classico in meccanica statistica e combinatoria. Se le "piastrelle" sono a forma di losanga, si ha una corrispondenza esatta con le interfacce del modello di Ising 3-dimensionale a temperatura nulla. A ogni piastrellamento e' possibile associare una funzione di altezza (superficie discreta). E' ben noto [Cohn-Kenyon-Propp] che, se la taglia della regione U da piastrellare tende all'infinito, la funzione altezza associata a un piastrellamento scelto uniformemente tende verso una certa forma limite macroscopica che risolve una PDE ellittica non-lineare. Sull'insieme dei piastrellamenti si puo' definire una dinamica stocastica che corrisponde alla dinamica di Glauber a temperatura zero per il modello di Ising. Un problema classico e' quello di stimare il tempo (mixing time) che la dinamica richiede per raggiungere l'equilibrio (la misura uniforme). La congettura, basata sull'idea euristica che l'interfaccia evolve seguendo un'equazione di tipo "movimento per curvatura media", e' che il mixing time cresca essenzialmente come il quadrato del diametro della regione U. Il nostro risultato principale e' una prova di questa congettura, sotto l'ipotesi che la forma macroscopica non presenti singolarita'. Basato su lavori in collaborazione con P. Caputo, B. Laslier e F. Martinelli.

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Mercati Energetici e Metodi Quantitativi - edizione 2014
by Tiziano Vargiolu 21 Feb '14

21 Feb '14

Buongiorno, volevamo informarti che anche quest'anno si ripeter? il workshop "Mercati Energetici e Metodi Quantitativi: un Ponte tra Universit? e Aziende". Trovi tutte le informazioni sul sito web http://www.unponte2014.stat.unipd.it/ Sono aperte le submission per gli speaker (accademici e professionisti provenienti da aziende) che desiderino presentare un talk. Inoltre, 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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ABS14- APPLIED BAYESIAN NONPARAMETRICS
by raffaele argiento 20 Feb '14

20 Feb '14

Registration is now open for *ABS14*, the 2014 edition of the Applied Bayesian Statistics School, which has been running since 2004. The topic of this year is *APPLIED BAYESIAN NONPARAMETRICS*. The lecturers will be Michael JORDAN (Berkeley) and Francois CARON (Oxford). The school will be held at Villa del Grumello, Como, Italy, from June 16 till 20, 2014. The school webpage is www.mi.imati.cnr.it/conferences/abs14.html Please note that a very limited number of participants (35) will be admitted. There is a late registration fee after April, 1st. For information please contact abs14(a)mi.imati.cnr.it Best regards, Raffaele Argiento Executive director of ABS14 -- Dr Raffaele Argiento CNR IMATI -- Milano Tel. +39 02 23699.529 Web www.mi.imati.cnr.it/raffaele

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University of Kent-PhD Scholarship
by Fabrizio Leisen 20 Feb '14

20 Feb '14

Con preghiera di diffusione. Aggiungo che la borsa partirebbe da Settembre 2014. Cordiali Saluti, Fabrizio Leisen Postgraduate Scholarship Non-parametric priors for Bayesian inference *University* *of* *Kent* School of Mathematics, Statistics and Actuarial Science *Project:** Non-parametric priors for Bayesian Inference* *Supervisor:** Fabrizio Leisen* The use of Bayesian non-parametric (BNP) priors in applied statistical modelling has become increasingly popular in the last few years. From the seminal paper of Ferguson (1973, Annals of Statistics), the Dirichlet Process and its extensions have been increasingly used to address inferential problems in many fields. Examples range from variable selection in genetics to linguistics, psychology, human learning, image segmentation and applications to the neurosciences. The project aims to introduce and/or investigate new Bayesian non-parametric priors that can be used to describe a wide spectrum of phenomena. Keywords include: - Dirichlet and Pitman Yor Processes - Vectors of Dependent random probability measures - Non-exchangeable species sampling sequences *The* *School* *of* *Mathematics,* *Statistics* *and* *Actuarial* *Science* The School offers a lively research culture with a thriving group of around 250 taught postgraduates students and almost 100 postgraduate students, postdoctoral researchers and academic staff. Kent is among the best research-intensive universities in the UK. In the 2008 Research Assessment Exercise (RAE), the university was ranked 24th out of 159 institutions for its world-leading research, with six of our subject areas (including statistics) in the top tennationwide. Details of the research undertaken by the School can be found at: http://www.kent.ac.uk/smsas/postgraduate/phd-applications.html *The* *funding* This scholarship is partially funded by the FP7 Marie Curie Career Integration Grant "Flexible Bayesian non-parametric priors" held by Fabrizio Leisen. The scholarship is offered at the standard UK Research Councils' rate (currently£13,863) and will cover the tuition fees for a period of 3.5 years subject to satisfactory progress at each review period. *Entry* *Requirements* All candidates must have an excellent academic track record in Mathematics or Statistics or related disciplines and hold a good Honours degree in a relevant subject or equivalent. A Masters qualification such as an MSc or MMath orresearch experience would be advantageous. *To* *apply* To apply complete the online application form available by clicking the *'Apply'* button below or by visiting: http://www.kent.ac.uk/studying/postgrad/apply/index.html and select School research Scholarship under `How are you intendingto fund your studies?' and mention this research project in the research proposal. Closing date: 31st March 2014. -- Fabrizio Leisen Senior Lecturer in Statistics School of Mathematics, Statistics and Actuarial Sciences Cornwallis Building, University of Kent, Canterbury, CT2 7NF http://sites.google.com/site/fabrizioleisen/

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de Finetti Risk Seminar - febbraio 2014
by Emanuela Rosazza Gianin 20 Feb '14

20 Feb '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 February 26, 2014 at 18.00 with the Lecture Evaluation of long-dated investments under uncertain growth trend, volatility, and catastrophes CHRISTIAN GOLLIER Toulouse School of Economics LOCATION: The seminar will be held on Wedsnesday, February 26, at 18.00 at room 3-E4-SR03, Bocconi University, Via Roentgen 1, 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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Avviso di seminario :: Mortera@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 17 Feb '14

17 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 21 Febbraio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma JULIA MORTERA (Fac. di Economia, Università degli Studi di Roma3) terrà un seminario dal titolo ANALYSIS OF FORENSIC DNA MIXTURES 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 DNA is now routinely used in criminal investigations and court cases, although DNA samples taken at crime scenes are of varying quality and therefore present challenging problems for their interpretation. We present a statistical model for the quantitative peak information obtained from an electropherogram (EPG) of a forensic DNA sample and illustrate its potential use for the analysis of criminal cases. In contrast to most previously used methods, we directly model the peak height information and incorporates important artefacts associated with the production of the EPG. Our model has a number of unknown parameters, and we show that these can be estimated by the method of maximum likelihood in the presence of multiple unknown contributors, and their approximate standard errors calculated; the computations exploit a Bayesian network representation of the model. A case example from a UK trial, as reported in the literature, is used to illustrate the efficacy and use of the model, both in finding likelihood ratios to quantify the strength of evidence, and in the deconvolution of mixtures for the purpose of finding likely profiles of one or more unknown contributors to a DNA sample. Our model is readily extended to simultaneous analysis of more than one mixture as illustrated in a case example. We show that combination of evidence from several samples may give an evidential strength close to that of a single source trace and thus modelling of peak height information provides for a potentially very efficient mixture analysis. Joint work with Robert Cowell, Therese Graversen and Steffen Lauritzen

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Research fellowship at the Insitute of Economics, Scuola Sant'Anna Pisa
by Enrico Scalas 17 Feb '14

17 Feb '14

Car* collegh*, mi hanno segnalato questa posizione post-dottorale presso Economia al Sant'Anna: http://www.sssup.it/context_elenco.jsp?ID_LINK=12550&area=6&id_context=44264 Cercano una persona che ben conosca probabilita' e teoria dei processi stocastici e, eventualmente, e' gradita una formazione in finanza. Per ulteriori infomazioni si puo' scrivere al Prof. Giulio Bottazzi: g.bottazzi(a)sssup.it Per favore, fate circolare il link alle persone interessate che conoscete. Cordiali saluti, Enrico Scalas Professor of Statistics and Probability University of Sussex http://www.sussex.ac.uk/maths/people/peoplelists/person/330303

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1 posto di Maitre de Conferences e 1 di Professore in Probabilita' all'Universite' Lyon 1
by Fabio Toninelli 17 Feb '14

17 Feb '14

Gentili colleghi all'Universita' Lyon 1 e' aperto un concorso per un posto di Maitre de Conferences in probabilità e per un posto di Professore in Probabilita' (inizio: 1 settembre 2014). Entrambe le posizioni sono permanenti. Il profilo scientifico e' largo, http://math.univ-lyon1.fr/recrutements/profils_14/MCF_P_en.pdf e http://math.univ-lyon1.fr/recrutements/profils_14/PR_en.pdf. I temi di ricerca del gruppo di probabilità' di Lyon 1 sono descritti qui: http://math.univ-lyon1.fr/icj/?option=theme&th=5 I candidati interessati devono spedire elettronicamente il loro dossier ENTRO IL 12 MARZO 2014, tramite il sito https://galaxie.enseignementsup-recherche.gouv.fr/antares/can/index.jsp Qualche consiglio su come comporre il dossier di candidatura si trova qui: http://postes.smai.emath.fr/2014/OUTILS/conseils/index.php#it2 Attenzione: Il concorso e' aperto ai i candidati che hanno gia' passato la procedura di "Qualification" nazionale francese, oppure che hanno attualmente all'estero una posizione di livello equivalente a quelle di Maitre de Conferences o di Professore. Per ulteriori informazioni sullo svolgimento del concorso, i candidati interessati possono contattare o me (toninelli(a)math.univ-lyon1.fr) o Christophe Sabot (sabot(a)math.univ-lyon1.fr) Cordiali saluti Fabio Toninelli Institut Camille Jordan, Universite' Lyon 1 43 bd du 11 novembre 1918 69622 Villeurbanne Cedex, France Office 105, tel: +33 (0) 4 26 23 44 41

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Fwd: Saint-Flour 2014
by Marco Romito 16 Feb '14

16 Feb '14

SAINT-FLOUR 2014 - SECOND ANNOUNCEMENT Dear colleagues, Online registration is now open for the 44th Saint-Flour Probability summer school, which will be held on July 15-25. Please note the DEADLINE FOR REGISTRATION: APRIL 18 This year, the courses are: Martin HAIRER : Regularity structures Gregory MIERMONT : Aspects of random maps SPECIAL NOTICE The previously announced lecture by Sourav Chatterjee is postponed to 2015. Consequently, this year's school will feature only two courses, and its length is slightly reduced. The registration form as well as some useful information about the school can be found on the web pages: http://math.univ-bpclermont.fr/stflour/index.php (in French) http://math.univ-bpclermont.fr/stflour/stflour-en.php (in English) For registration, you will have to accept the security certificate in your browser. These pages also contain the advertisement poster of the school (in French or in English). It would be helpful for us if you could print it and post it in your department. Thank you. Please forward the above information to anyone who might be interested. Best regards, The organizing committee Christophe Bahadoran, Arnaud Guillin, Laurent Serlet stflour(a)math.univ-bpclermont.fr Laboratoire de Mathématiques CNRS UMR 6620 Université Blaise Pascal (Clermont-Ferrand 2) Complexe Universitaire des Cézeaux BP80026 F-63177 Aubière tel (+33) 4 73 40 70 50 fax (+33)4 73 40 54 50

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Seminario CHOPIN
by Matteo Ruggiero 14 Feb '14

14 Feb '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 21 Febbraio 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Nicolas CHOPIN (ENSAE, France) SEQUENTIAL QUASI MONTE CARLO Abstract: We develop a new class of algorithms, SQMC (Sequential Quasi Monte Carlo), as a variant of SMC (Sequential Monte Carlo) based on low-discrepancy points. The complexity of SQMC is O(N log N) where N is the number of simulations at each iteration, and its error rate is smaller than the Monte Carlo rate O(N^{-1/2}). The only requirement to implement SQMC is the ability to write the simulation of particle x_t^n given x_{t-1}^n as a deterministic function of x_{t-1}^n and uniform variates. We show that SQMC is amenable to the same extensions as standard SMC, such as forward smoothing, backward smoothing, unbiased likelihood evaluation, and so on. In particular, SQMC may replace SMC within a PMCMC (particle Markov chain Monte Carlo) algorithm. We establish several convergence results. We provide numerical evidence in several difficult scenarios than SQMC significantly outperforms SMC in terms of approximation error. Joint work with Mathieu Gerber. 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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[Announce] "Unlocking the value of big data", Special Issue on EJASA-DSS
by stefano iacus 13 Feb '14

13 Feb '14

Call for papers for the Special Issue on "Increasing Innovation Opportunities by Unlocking the Value of Big Data" to be published on the "Electronic Journal of Applied Statistical Analysis: Decisione 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 Review decisions sent to authors: 20th 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

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Young Researchers Meeting on BSDEs, Numerics and Finance
by Marco Fuhrman 13 Feb '14

13 Feb '14

Trasmetto a tutti gli interessati le informazioni rilevanti e il link internet di una conferenza sulle BSDEs (Backward Stochastic Differential Equations) destinata a giovani ricercatori, che si terra' a Bordeaux, 7-9 luglio 2014. Cordialmente, Marco Fuhrman https://indico.math.cnrs.fr/conferenceDisplay.py?confId=199 This international conference is a friendly meeting of young researchers working on: Backward Stochastic Differential Equations, and the related FBSDE, Reflected BSDE, etc... Efficient numerical computation in finance and insurance Robust control, risk management and portfolio optimisation in finance and insurance Nonlinear and Imprecise Probability Location: IMB, Université de Bordeaux, France. Dates and times: Monday 7th July 2014 (14:00) - Wednesday 9th July 2012. Who: Young researchers - broadly students and researchers within 10 years of PhD. Costs: There is no registration fees. For speakers: lunches, refreshments, accommodation at the university residence (7th, 8th, 9th July 2014) and the conference dinner are included. A part of travel costs would be also reimbursed, up to an amount that will be defined after. Non-speaker participants are welcome to apply but we may not be able to guarantee the full accommodation subsidy. Registration: directly on the website by 20 April 2014. Confirmation will be sent to all qualifying participants by the beginning of May. Format: 1/2 hour talks and informal conversations, with an explicitly accessible focus. Remark: If some parts of the website are written in french, you can choose the english version on the top-right corner of the website.

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Avviso di seminario :: Aryasova@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 12 Feb '14

12 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 14 Febbraio, ore 10am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma OLGA ARYASOVA (Inst. of Geophysics, National Academy of Sciences of Ukraine, Ukraine) terrà un seminario dal titolo A REPRESENTATION FOR THE DERIVATIVE WITH RESPECT TO THE INITIAL DATA OF THE SOLUTION OF AN SDE WITH NON-REGULAR DRIFT 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 --- Summary (* attached *)

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Avviso di seminario :: Porcu@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 10 Feb '14

10 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 13 Febbraio, ore 15am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma EMILIO PORCU (Dep. de Estadística, Universidad de Valparaíso, Chile) terrà un seminario dal titolo ADAPTIVE TAPERS FOR SPACE-TIME GEOSTATISTICS tutti gli interessati sono invitati a partecipare dando magari prima un'occhiata a... http://seismomathics.wordpress.com ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Giovanna Jona Lasinio - Pierpaolo Brutti - Fulvio De Santis --- Summary We propose a class of nonseparable space-time compactly supported correlation functions, termed here quasi-tapers, to mean that such correlations can be dynamically compactly supported over space or time. An important feature of the quasi-taper is given by a spatial (temporal) compact support being a decreasing function of the temporal lag (spatial distance), so that the spatial (temporal) compact support becomes smaller when the temporal (spatial) dependence becomes weaker. We propose general classes as well as some examples that generalize the Wendland tapers to the space-time setting. Then a non separable space-time taper with spatial and temporal compact support is obtained as tensor product of quasi-tapers. Our space-time taper includes all the known constructions as special cases and will be shown to have great exibility. Covariance tapering is then explored as an alternative to maximum likelihood when estimating the covariance model of a space-time Gaussian random field in the case of large datasets. The proposed quasi and space-time tapers allows to perform covariance tapering when dealing with data that are densely observed in time (space) but sparse in space (time) or densely observed both in time and space. The statistical and computational properties of the space-time covariance tapering is addressed under increasing domain asymptotics. A simulation study and two real data examples illustrate the statistical and computational performances of the covariance tapering with respect to the maximum likelihood method using the space-time tapers proposed.

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Seminario di Giovanni Puccetti presso Prometeia - Bologna
by Giacomo Scandolo 10 Feb '14

10 Feb '14

Il giorno Giovedì 13 Febbraio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Giovanni PUCCETTI (Università di Firenze) terrà un seminario su: RISK AGGREGATION AND MODEL UNCERTAINTY: SOME MESSAGES FROM THE METHODOLOGICAL FRONT Abstract. We review some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and 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?

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seminario Stefano Iacus Roma Tre
by Julia Mortera 10 Feb '14

10 Feb '14

Il 19 febbario alle ore 14:30 presso l'aula seminari (III piano) Dipartimento di Economia, Universit? Roma Tre, Via Silvio D'Amico 77 il Prof. Stefano Iacus Dipartimento di Economia, Management e Metodi Quantitativi Universit? degli Studi di Milano terr? il seminario: ***Statistics over Big Data: How to Analyze 80 Millions of Tweets*** Abstract: There are several ways to analyze data coming from digitized texts and there are even more ways to analysis big amount of these data. Analyzing the sentiment expressed on social networks is both about big data and digitized text. But sentiment analysis is not just text mining, i.e. usual data mining applied to text data, because what matters is to capture the meaning of sentences in a corpora of texts whose language evolves in time and space or according to the age, the background of the writers, etc. We will discuss the most recent techniques of sentiment analysis available in the literature along with some new ideas and present some applications to the analysis of 80 millions of italian tweets to happyness and economics.

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Seminar and Mini-course of Emmanuel Bacry at the Scuola Normale Superiore di Pisa
by Fabrizio Lillo 07 Feb '14

07 Feb '14

Emmanuel Bacry (CMAP, Ecole Polytechnique, France) will give a seminar at the Scuola Normale di Pisa on Thursday February 27 in Aula Bianchi at 1 pm The title and abstract are Hawkes process and applications Hawkes processes are point self-exciting point processes particularly well suited for applications. Introduced in the 70s, that have been used in very various domaines such as high-frequency financial time-series modeling or viral diffusion in social networks. After describing how they are defined and their main properties, we shall discuss some problems linked to parametric estimations (in high dimensions) as well as non parametric estimations. We will present several applications. Moreover he will give a mini-course on Modeling and analysis of high frequency financial time-series The agenda is attached below. Interested people are invited to participate. For more information, contact Fabrizio Lillo (fabrizio.lillo(a)sns.it) &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&& Tuesday February 25, Aula Fermi, 9.00-11.00 1- Introduction to different market and asset types - Which financial time-series for statistical analysis ? Thursday February 27, Aula Bianchi, 14.00-16.00 2- Orderbooks dynamics - Qualitative description - Some statistical elements of order books - Transaction costs - Price impact - Response function Wednesday March 5, Aula Bianchi, 14.00-16.00 3- Tick-by tick financial time-series - trading time versus physical time - ACD models - Microstructure noise Thursday March 6, Aula Bianchi, 14.00-16.00 4- Hawkes processes based tick-by-tick modeling - Microstructure noise modeling - Trading flow modeling - Response and Impact modeling ------------------------------------------------------------ Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159 web: https://sites.google.com/site/fabriziolillo9670/home

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I: postdoc position available
by Massimo Campanino 07 Feb '14

07 Feb '14

________________________________________ Da: Aernout van enter [avanenter(a)gmail.com] Inviato: giovedì 6 febbraio 2014 18.24 A: aldo(a)mat.ufmg.br; Vladas Sidoravicius; gentz(a)math.uni-bielefeld.de; gantert(a)ma.tum.de; maspm(a)bath.ac.uk; spohn(a)ma.tum.de; Massimo Campanino; Jacek Miekisz; Charles Newman; Gordon Slade Oggetto: Re: postdoc position available [https://mail.google.com/mail/u/0/images/cleardot.gif] Announcement: postdoc position Groningen A one - year postdoc position is available, funded by NWO, to work on the topic of ``hidden symmetries, new and dual models of interacting particle systems.'' The project has a targeted starting date of 1 september 2014. The postdoc will work at Rijksuniversiteit Groningen and will work with the main investigators investigators A.C.D. van Enter and F. Redig (Delft University). Besides he will have the opportunity to collaborate within an international network related to this and comparable projects, situated in Modena ( C. Giardina, G. Carinci) and Warwick ( S. Grosskinsky). More information and details about the project and the position can be obtained from F. Redig (http://dutiosb.twi.tudelft.nl/~redig<http://dutiosb.twi.tudelft.nl/%7Eredig>)and A.C.D. van Enter (http://www.math.rug.nl/dsmp/People/AernoutvanEnter) Interested candidates are asked to send a letter of motivation and CV to F. Redig (f.h.j.redig(a)tudelft.nl<mailto:f.h.j.redig@tudelft.nl>) and A.C.D. van Enter (avanenter(a)gmail.com<mailto:avanenter@gmail.com>) ___________________ Prof.dr A.C.D. van Enter University of Groningen Department of Mathematics P.O. Box 800 9700 AV Groningen The Netherlands Telephone: +31 50 3633939<tel:%2B31%2050%203633939> (secretary) +31 50 3634967<tel:%2B31%2050%203634967> (extension) +31 50 3633800<tel:%2B31%2050%203633800> (telefax) +31 50 5266329<tel:%2B31%2050%205266329> (home) Email: aenter(a)phys.rug.nl<mailto:aenter@phys.rug.nl> URL: http://www.math.rug.nl/~aente<http://www.math.rug.nl/%7Eaenter>

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Workshop MathStatNeuro 2-4 July Copenhagen
by Massimiliano Tamborrino 05 Feb '14

05 Feb '14

Dear all, Rune Berg, Susanne Ditlevsen and I organize a 3-days workshop in Copenhagen, 2nd-4th of July, "Mathematical Modeling and Statistical Analysis in Neuroscience", funded by the Dynamical Systems Interdisciplinary Network, University of Copenhagen, www.dsin.ku.dk. The idea is to bring together theoretical, experimental and computational researchers who are working on various topics in neuroscience. There is no conference fee and we hope to offer free lunch for all registered participants. Conference website homepage is: http://www.math.ku.dk/english/research/conferences/mathstatneuro2014 If you would like to attend, please register within the 15th May 2014 at: http://www.math.ku.dk/english/research/conferences/mathstatneuro2014/regist… We hope to welcome you in Copenhagen! Best wishes, Susanne, Rune and Massimiliano -- --------------------------------- Dr. Massimiliano Tamborrino Postdoctoral fellow Department of Mathematical Sciences University of Copenhagen email: mt(a)math.ku.dk URL: http://www.math.ku.dk/~mt/ Universitetsparken 5 DK-2100 Kobenhavn Ø, Denmark -----------------------------------------

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Seminario Cristina Di Girolami a Milano-Bicocca - cambio aula
by federica.masiero＠unimib.it 05 Feb '14

05 Feb '14

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seminari di O. Aryasova e E. Orsingher a Pisa
by Marco Romito 04 Feb '14

04 Feb '14

Il giorno 11 febbraio 2014, presso l'aula seminari del Dipartimento di Matematica dell'Università di Pisa, si terranno i seguenti seminari: 10:30 Olga Aryasova (Institute of Geophysics, National Academy of Sciences of Ukraine): A representation for the derivative with respect to the initial data of the solution of an SDE with non-regular drift 11:30 E. Orsingher (Roma Sapienza): Random flights Tutti gli interessati sono invitati a partecipare. m. _______________________________________________ abstract Aryasova We consider a multidimensional SDE with an identity diffusion matrix and a drift vector being a bounded measurable vector field. According to [Ver81] there exists a unique strong solution to such an equation. Recently the Sobolev differentiability of the solution with respect to the initial data was proved under rather weak assumptions on the drift (c.f. [Fed13,Moh12]). If the drift coefficient is smooth the derivative can be represent as a solution of an integral equation. For non-regular drift in dimension one such a representation was obtained using the local time of the initial process (see [Ary12,Att10]). It is well known that the solution does not have a local time at a point in multidimensional situation. We obtained the representation of the derivative using the theory of continuous additive functionals developed by Dynkin [Dyn63]. This method can be considered as a generalization of the local time approach to the multidimensional case. [Ary12] O. V. Aryasova and A. Yu. Pilipenko, On properties of a flow generated by an SDE with discontinuous drift, Electron. J. Probab. 17:no. 106, 1--20, 2012. [Att10] S. Attanasio, Stochastic flows of diffeomorphisms for one-dimensional {SDE} with discontinuous drift, Electron. Commun. Probab. 15:no. 20, 213--226, 2010. [Dyn63] E. B. Dynkin, Markov Processes, Fizmatlit, Moscow, 1963. [Translated from the Russian to the English by J. Fabius, V. Greenberg, A. Maitra, and G. Majone. Academic Press, New York; Springer, Berlin, 1965. vol. 1, xii + 365 pp.; vol. 2, viii + 274 pp.]. [Fed13] E. Fedrizzi and F. Flandoli, Hölder flow and differentiability for {SDE}s with nonregular drift, Stochastic Analysis and Applications, 31(4):708--736, 2013. [Moh12] S. E. A. Mohammed, T. Nilssen, and F. Proske, Sobolev differentiable stochastic flows of SDE's with measurable drift and applications, arXiv:1204.3867. [Ver81] A. Y. Veretennikov, On strong solutions and explicit formulas for solutions of stochastic integral equations, Math. USSR Sborn, 39(3):387--403, 1981. _______________________________________________ abstract Orsingher In this talk we present different types of random flights and examine their dynamics, probability laws and governing equations. We first consider the telegraph process (a random flight on the line), discuss its distribution, the connections with the telegraph equations, the first-passage time and the limiting case. We consider also the asymmetric telegraph process and its reduction to the symmetric one by means of relativistic transformations. Planar motions with a finite number of directions (in particular, four orthogonal directions) and an infinite number of directions, chosen at Poisson times with uniform law, are examined and several explicit distributions derived. A particular attention is devoted to the second model, where conditional and unconditional distributions are presented and the related equation of damped planar vibrations probabilistically derived. Random flights in R^d are subsequently considered and characteristic functions of the position of moving particles performing the random flights, obtained. The cases d = 2, d = 4, are investigated in detail. We present random flights in R^d with Dirichlet joint distribution for displacements, hyper-spherical uniform law for the orientation of steps and with a fractional Poisson number of changes of direction. Two types of fractional extensions of the above material are presented. The first one is obtained by considering Dzerbayshan-Caputo types of time- fractional derivatives. The second fractional extension is obtained by considering fractionalisation of Klein-Gordon equations and by applying the McBride approach to fractional powers of Bessel-type operators.

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Mini corso "Interest Rates Modelling", SNS Pisa
by Giacomo Bormetti 04 Feb '14

04 Feb '14

Il giorno venerdì 21 Febbraio presso la Scuola Normale Superiore, Andrea Pallavicini (Banca IMI, Imperial College) terrà un mini-corso dal titolo "Interest-Rates Modelling in Collateralized Markets with Multiple Yield Curves". Segue il programma: Aula Fermi (Palazzo della Carovana), 10:00 – 12:00 The Money Market: central bank and interbank market reference rates The Credit Crunch and the Raising of the Basis Aula Dini (Palazzo Castelletto), 14:00 – 16:00 Pricing in Collateralized Markets: discounting and forwarding curves The HJM Framework: single-curve and multiple-curve modeling Tutti gli interessati sono invitati a partecipare. Saluti, Giacomo

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