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LUISS Math Seminar
by Sara 12 Sep '22

12 Sep '22

Dear colleagues, we are glad to announce the following seminar, within the list of LUISS Math Seminars for this Academic Year. On 29th September - in Room 407, at 12:30, LUISS University, viale Romania 32, Roma, Prof Soren Christensen, Kiel University, will talk about: *Nonparametric approaches to data-driven stochastic control* Abstract: One of the fundamental assumptions in stochastic control of continuous-time processes is that the dynamics of the underlying process are known. This is, however, usually obviously not fulfilled in practice. On the other hand, a rich theory for nonparametric estimation of the characteristics of continuous-time processes has been developed over the last decades. In this talk, we discuss how to bring together these two areas for developing purely data-driven strategies for stochastic control, which we explore for ergodic impulse and singular control problems. We compare the results with those of deep-Q learning algorithms. -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli https://www.luiss.it/ Address: Viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Fwd: Lectureships in Probability or Actuarial/Financial Mathematics
by Faggionato, Alessandra 10 Sep '22

10 Sep '22

Buongiorno ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Amanda Turner <A.Turner5(a)leeds.ac.uk> Date: Fri, 9 Sept 2022 at 17:00 Subject: Lectureships in Probability or Actuarial/Financial Mathematics To: Amanda Turner <A.Turner5(a)leeds.ac.uk> Dear All (with apologies for cross-posting) The University of Leeds is currently advertising two Lectureships in Probability or Actuarial/Financial Mathematics, with an application deadline of 25th September. For details see https://jobs.leeds.ac.uk/Vacancy.aspx?ref=EPSMA1069. Please share this opportunity with anyone who might be interested. Amanda -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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REMIND: MLDYN2022 - Scuola Normale Superiore, Nov 9-10 2022, Call for papers
by Giulia Livieri 09 Sep '22

09 Sep '22

Dear colleagues, We are pleased to announce the *2nd Edition of the** School* in *"Machine Learning of Dynamic Processes and Time Series Analysis” * that will be held at Scuola Normale Superiore in Pisa (Italy) on *November 9-10, 2022*. The School aims to present recent mathematical and data-driven approaches to Machine Learning for time series. In particular, this year, the School will focus on the mathematical and computational aspects of *Signatures, Reinforcement Learning, GAN, and Continual Learning*. The School includes four mini-courses held by as many keynote speakers and a limited number of contributed talks. *Keynote speakers*: 1. *Davide Bacciu <http://pages.di.unipi.it/bacciu/>*, University of Pisa 2. *Xin Guo <https://xinguo.ieor.berkeley.edu/>*, UC Berkeley 3. *Sebastian Jaimungal <https://sebastian.statistics.utoronto.ca/>*, University of Toronto 4. *Terry Lyons <https://www.maths.ox.ac.uk/people/terry.lyons>*, Oxford Man Institute of Quantitative Finance Detailed information on the School and instructions for registration can be found at: https://mldyn2022.wordpress.com (The number of participants in presence is limited to *40* - preference will be given to PhD students and young researchers) The call for abstract/paper submission to be selected for a contributed talk is now open at the following easy-chair link: https://easychair.org/conferences/?conf=mldyn2022 Both registration and submission deadlines are *September 15, 2022.* To contact the Organizer Committee, please send an email to: mldyn2022(a)gmail.com The organisers, Fabrizio Lillo Giulia Livieri Stefano Marmi Piero Mazzarisi

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Seminario Prof. Domenico Marinucci
by Enrica Pirozzi 08 Sep '22

08 Sep '22

AVVISO di SEMINARIO Title: The Geometry of Time-Dependent Spherical Random Fields Prof. Domenico Marinucci Università di Roma Tor Vergata Abstract: The investigation of the behaviour for geometric functionals of random fields on manifolds has drawn recently considerable attention. In this talk, we consider fluctuations over time for the excursion area and the length of level curves of time-dependent Gaussian spherical random fields. We focus on both long and short memory assumptions; in the former case, we show that the fluctuations are dominated by a single component, corresponding to a second-order chaos evaluated on a subset of the multipole components for the random field. We prove the existence of cancellation points where the variance is asymptotically of smaller order; these points may not include the nodal case u=0, in marked contrast with recent results on the high-frequency behaviour of nodal lines for random eigenfunctions with no temporal dependence. In the short memory case, we show that all chaoses contribute in the limit, no cancellation occurs and a Central Limit Theorem can be established by Fourth-Moment Theorems and a Breuer-Major argument. The talk is based on joint works with Maurizia Rossi and Anna Vidotto. Il seminario si terrà il giorno 13 Settembre 2022 ore 12:00 nella Aula E terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Link al seminario su Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… *** -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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Seminario Prof. Luisa Beghin
by Enrica Pirozzi 08 Sep '22

08 Sep '22

AVVISO di SEMINARIO Title: Non-gaussian processes linked to H-functions Prof.ssa Luisa Beghin Università di Roma La Sapienza Abstract. In the context of non-Gaussian analysis, Schneider [1] introduced grey noise measures, built upon Mittag-Leffler functions; analogously, grey Brownian motion and its generalizations were constructed (see, for example, [2], [3], [4], [5]). In [6], we construct and study a new non-Gaussian measure, by means of the incomplete-gamma function (exploiting its complete monotonicity).The related generalized processes, in the infinite dimensional setting, are also defined and, through the use of the Riemann-Liouville fractional operators, the (possibly tempered) Gamma-grey Brownian motion is consequently introduced. All the above mentioned processes allow modeling anomalous diffusions, mimicking the procedures of classical stochastic calculus. Finally, we present the extensions of the previous results obtained by means of the Fox H-functions, which generalize both the Mittag-Leffler and the incomplete-gamma functions (under appropriate assumptions). (This is a joint work with L. Cristofaro) [1] W.R. Schneider, Grey noise, in Ideas and Methods in Mathematical Analysis, Stochastics and Applications, vol. I, S. Albeverio, J.E. Fenstad, H. Holden, T. Lindstrom, eds., Cambridge University Press, Cambridge, 1990, 261-282. [2] A. Mura, G. Pagnini, Characterizations and simulations of a class of stochastic processes to model anomalous diffusion, Journal of Physics A: Math. Theor., 41, 2008, 285003, 22 p. [3] W. Bock, S. Desmettre, J.L. da Silva, Integral representation of generalized grey Brownian motion, Stochastics, 92 (4), 2020, 552-565. [4] J.L. da Silva, M. Erraoui, Generalized grey Brownian motion local time: existence and weak approximation, Stochastics, 87 (2), 2015, 347-361. [5] J.L. da Silva, M. Erraoui, Singularity of generalized grey Brownian motion and time-changed Brownian motion, AIP Conference Proceedings, vol. 2286, (1), 2020, article id.020002. [6] L. Beghin, L. Cristofaro, J. Gajda, Non-gaussian measures in infinite dimensional spaces: the gamma-grey noise, 2022, arXiv 2207.13609, submitted. Il seminario si terrà il giorno 13 Settembre 2022 ore 11:00 nella Aula E terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli. Link al seminario su Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOG… *** -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

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avviso di seminario: Mathematical AI for molecular data analysis
by Alessandra Micheletti 08 Sep '22

08 Sep '22

Con preghiera di diffusione *Annuncio di seminario* Il giorno 26 Settembre 2022 ore 15.00 nella Sala di Rappresentanza del Dipartimento di Matematica, Università degli Studi di Milano Via Saldini 50, Milano il* Dr. Kelin Xia,* *Nanyang Technological University, Singapore* terrà il seguente seminario *Mathematical AI for molecular data analysis* *Abstract:* Artificial intelligence (AI) based molecular data analysis has begun to gain momentum due to the great advancement in experimental data, computational power and learning models. However, a major issue that remains for all AI-based learning models is the efficient molecular representations and featurization. Here we propose advanced mathematics-based molecular representations and featurization (or feature engineering). Molecular structures and their interactions are represented as various simplicial complexes (Rips complex, Neighborhood complex, Dowker complex, and Hom-complex), hypergraphs, and Tor-algebra-based models. Molecular descriptors are systematically generated from various persistent invariants, including persistent homology, persistent Ricci curvature, persistent spectral, and persistent Tor-algebra. These features are combined with machine learning and deep learning models, including random forest, CNN, RNN, Transformer, BERT, and others. They have demonstrated great advantage over traditional models in drug design and material informatics. *Short Bio:* Dr. Kelin Xia obtained his Ph.D. degree from the Chinese Academy of Sciences in Jan 2013. He was a visiting scholar in the department of Mathematics, Michigan State University from Dec 2009-Dec 2012. From Jan 2013 to May 2016, he worked as a visiting assistant professor at Michigan State University. He joined Nanyang Technological University at Jun 2016. His research focused on Mathematical AI for molecular sciences. He has published >60 papers and has been PI and Co-PI for 15 grants (>3.0M SGD). Tutti gli interessati sono invitati a partecipare. Per informazioni contattare alessandra.micheletti(a)unimi.it -- ------------------------------------ Alessandra Micheletti Associate Professor - Probability and Mathematical Statistics ECMI <https://ecmiindmath.org/> Vice President Dept. of Environmental Science and Policy - ESP Università degli Studi di Milano via Saldini 50, 20133 Milano, Italy phone: +39-02503-16130 fax: +39-02503-16090 https://alessandramichelettiwebpage.wordpress.com/

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Seminario di Rongfeng Sun a Milano-Bicocca (9 set 2022)
by Francesco Caravenna 07 Sep '22

07 Sep '22

Ho il piacere di annunciare il seminario di Rongfeng Sun (National University of Singapore): "A new correlation inequality for Ising models with external fields" che si terrà venerdì 9 settembre 2022 alle ore 14:00 in aula U5-3014 (Dipartimento di Matematica e Applicazioni, Università di Milano-Bicocca). Trovate l'abstract di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%% Abstract. We study ferromagnetic Ising models on finite graphs with an inhomogeneous external field. We show that the influence of boundary conditions on any given spin is maximised when the external field is identically 0. One corollary is that spin-spin correlation is maximised when the external field vanishes. In particular, the random field Ising model on Z^d, d ≥ 3, exhibits exponential decay of correlations in the entire high temperature regime of the pure Ising model. Another corollary is that the pure Ising model on Z^d, d ≥ 3, satisfies the conjectured strong spatial mixing property in the entire high temperature regime. Based on joint work with Jian Ding and Jian Song. %%%%%%%%%%%%%%%% -- _________________________________________ 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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workshop Matematica per l'Intelligenza Artificiale e il Machine Learning: Giovani ricercatori
by Ernesto De Vito 05 Sep '22

05 Sep '22

Carissime e carissimi, vi segnalo che il 24 e 25 novembre 2022 presso Aula Magna Lingotto del Politecnico di Torino si svolgerà il workshop Matematica per l'Intelligenza Artificiale e il Machine Learning: Giovani ricercatori organizzato in collaborazione tra il Dipartimento di Scienze Matematiche "G. L. Lagrange" - Politecnico di Torino, Progetto MIUR Dipartimenti di Eccellenza 2018 - 2022 ed il Gruppo UMI "Matematica per l'Intelligenza Artificiale ed il Machine Learning". Il workshop è finalizzato alla presentazione dei recenti sviluppi della ricerca italiana legati alla mutua interazione tra matematica, intelligenza artificiale e Machine Learning ed è rivolto ai giovani ricercatori, anche non iscritti al gruppo UMI "Matematica per l'Intelligenza Artificiale ed il Machine Learning". È auspicata la presenza anche di ricercatori senior, ma le presentazioni orali saranno riservate ai giovani. La registrazione è obbligatoria per tutti i partecipanti compilando il modulo https://www.polito.it/survey3/index.php/831212?lang=en Chi volesse sottoporre un contributo ha tempo fino al 16 ottobre 2022. Maggiori informazioni sono disponibili sul sito dell'evento https://areeweb.polito.it/disma-excellence/events_2022/GiornateUMI/index.ht…. Vi chiedo gentilmente di diffondere l'iniziativa a tutti i giovani interessati. Mi scuso con coloro che hanno già ricevuto l'annuncio. Grazie. Un caro saluto. Ernesto De Vito

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Seminar of Elvezio Ronchetti postponed
by Enea Bongiorno 05 Sep '22

05 Sep '22

Dear All, we regret to inform you that the seminar of Prof. Elvezio Ronchetti, originally scheduled for the 8th of September, will not go ahead as planned, and will be postponed to a later date still to be announced. Best regards, Enea Bongiorno -- Enea Bongiorno,PhD Associate Professor of Statistics Università degli Studi del Piemonte Orientale Via Perrone 18, 28100, Novara, Italia Phone: +390321375317 enea.bongiorno(a)uniupo.it upobook.uniupo.it/enea.bongiorno

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Fwd: Lecturer in probability at the University of Bath
by Elisabetta Candellero 05 Sep '22

05 Sep '22

Ricevo ed inoltro. Elisabetta ---------- Forwarded message --------- From: Matt Roberts <mattiroberts(a)gmail.com> Date: Mon, Sep 5, 2022 at 10:43 AM Subject: Lecturer in probability at the University of Bath To: <APPLIEDPROB(a)jiscmail.ac.uk> Dear colleagues, The Probability Laboratory at Bath (Prob-L@B) is advertising for a Lecturer (Assistant Professor) position in probability: https://www.bath.ac.uk/jobs/Vacancy.aspx?ref=CC9730 The application deadline is 25 September. Please circulate widely, and feel free to get in touch if you have any questions. Best wishes, Matt ######################################################################## To unsubscribe from the APPLIEDPROB list, click the following link: https://www.jiscmail.ac.uk/cgi-bin/WA-JISC.exe?SUBED1=APPLIEDPROB&A=1 This message was issued to members of www.jiscmail.ac.uk/APPLIEDPROB, a mailing list hosted by www.jiscmail.ac.uk, terms & conditions are available at https://www.jiscmail.ac.uk/policyandsecurity/

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Assegno di ricerca presso l'Istituto per le Applicazioni del Calcolo (CNR)
by Maurizio Ceseri 02 Sep '22

02 Sep '22

Buongiorno, segnalo la seguente opportunità presso l’Istituto per le Applicazioni del Calcolo, nell’ambito delle attività di ricerca e trasferimento tecnologico del progetto Sportello Matematico per l'Innovazione e le Imprese. È indetta una selezione pubblica, per titoli e colloquio, per il conferimento di n. 1 assegno di ricerca annuale, tipologia A) “Assegni professionalizzanti”, bandito dall’Istituto per le Applicazioni del Calcolo “Mauro Picone” del CNR sulla tematica: "Modelli e sistemi di ottimizzazione matematica per la pianificazione degli investimenti" Requisiti: Diploma di Laurea Specialistica/Magistrale in una delle seguenti discipline: Matematica, Fisica, Statistica, Scienze dell’Informazione, Ingegneria, Economia Scadenza invio domande: 16/09/2022 Data colloquio: 20/09/2022 Al seguente link è disponibile il bando con tutte le informazioni: http://bandi.urp.cnr.it/doc-assegni/documentazione/12902_DOC_IT.pdf Grazie Cordiali Saluti Maurizio Ceseri Sportello Matematico per l'Innovazione e le Imprese Istituto per le Applicazioni del Calcolo (IAC-CNR) via dei Taurini 19, 00185 Roma (Italy) Tel: (+39) 0649937369 Website: sportellomatematico.it

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Workshop Interacting particle systems and applications, Trento Sep 5-7
by Mario Maurelli 02 Sep '22

02 Sep '22

Dear colleagues, We are happy to announce the workshop "*Interacting particle systems and applications*" which will take place at the *University of Trento* on* September 5th to 7th, 2022*. The workshop aims at discussing recent developments in the theory of interacting systems, with emphasis on fostering collaborations and discussions among junior researchers. At the following webpage (which will be kept up-to-date) https://sites.google.com/view/ipsa2022 you can find useful information on the workshop, including list of speakers, venue and (when available) schedule and abstracts of the talks. Participation is free but *registration is mandatory. We kindly ask you to register no later than June 30th*. The workshop is planned as a hybrid event (in-person and online); to register for in person participation, click on "register" button (in the home webpage of the workshop); to register for online participation, send an email to ipsa[dot]maths[at]unitn[dot]it . We are looking forward to meeting you in Trento. All the best, The organizing committee Michele Coghi, Mario Maurelli, Carlo Orrieri, Giovanni Zanco

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Seminar by Elvezio Ronchetti (University of Geneva) in Novara
by Enea Bongiorno 31 Aug '22

31 Aug '22

Dear colleagues, We are glad to invite you to the seminar that will take place on the 8th of September, at 16.00: - in presence: room 101 of the campus Perrone, via Perrone, 18, Novara Università del Piemonte Orientale, Dipartimento di Studi per l’Economia e l’Impresa. - on-line at the link: https://meet.google.com/xaz-bwct-dqo *An Introduction to Saddlepoint Approximations* *Prof. Elvezio Ronchetti* Research Center for Statistics and Geneva School of Economics and Management University of Geneva, Switzerland Elvezio.Ronchetti(a)unige.ch www.unige.ch/gsem/en/research/faculty/honorary-professors/elvezio-ronchetti/ *Abstract:* Classical inference in statistics is typically carried out by means of standard (first-order) asymptotic theory. However, the asymptotic distribution of estimators and test statistics can provide a poor approximation of tail areas especially when the sample size is moderate to small. This can lead to inaccurate p-values and confidence intervals. Several techniques, both parametric and nonparametric, have been devised to improve first-order asymptotic approximations, including e.g. Edgeworth expansions, Bartlett's corrections, and bootstrap methods. Here we focus on saddlepoint techniques, introduced into statistics by H. Daniels, and more generally on small sample asymptotic techniques, an expression coined by F. Hampel to express the spirit of these methods. Indeed they provide very accurate approximations of tail probabilities down to small sample sizes and /or out in the tails. Moreover, these approximations exhibit a relative error of order 1/n, an improvement with respect to other available approximations obtained by means of Edgeworth expansions and similar techniques. We will review the basic ideas, show the link with other nonparametric methods such as empirical likelihood, and outline some connections to information theory and optimal transportation. Best wishes, Enea Bongiorno -- Enea Bongiorno,PhD Associate Professor of Statistics Università degli Studi del Piemonte Orientale Via Perrone 18, 28100, Novara, Italia Phone: +390321375317 enea.bongiorno(a)uniupo.it upobook.uniupo.it/enea.bongiorno

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Fw: University of Vienna
by Gianluca Finocchio 31 Aug '22

31 Aug '22

Cari tutti, il gruppo di ricerca Statistical Methods (https://sme.univie.ac.at/) dell'Università di Vienna offre un dottorato in Statistica sotto la supervisione di Tatyana Krivobokova. Vi sarei grato se poteste condividere il bando (allegato) con gli studenti interessati. Cordialmente,Gianluca Finocchio -------- Original Message -------- | Subject: | University of Vienna | | Date: | 30.08.2022 16:50 | | From: | Tatyana Krivobokova <tatyana.krivobokova(a)univie.ac.at> | | To: | Gianluca Finocchio <gianluca.finocchio(a)univie.ac.at> | https://univis.univie.ac.at/ausschreibungstellensuche/flow/bew_ausschreibun… | Deutsch | not authenticated | | The University of Vienna (20 faculties and centres, 184 fields of study, approx. 10.400 members of staff, about 90.000 students) seeks to fill the position as soon as possible of a University Assistant (prae doc) at the Department of Statistics and Operations Research Reference number: 13459 The positions are meant to support young scientists through their Ph.D. research. The announcement is made for four years, whereby the employment relationship is initially limited to 1.5 years and is automatically extended to a total of four years, unless the employer submits a declaration of non-renewal after a maximum of 12 months. The successful applicants will enter the department's Ph.D. program and are expected to work on one of the following topics: change points detection in Gaussian processes with non-zero mean, Bayesian approaches to dimension reduction techniques or classification of dependent data. Duration of employment: 4 year/s Extent of Employment: 30 hours/week Job grading in accordance with collective bargaining agreement: §48 VwGr. B1 Grundstufe (praedoc) with relevant work experience determining the assignment to a particular salary grade. Job Description: Participation in research, teaching: - Participation in research projects / research studies - publications / academic articles / presentations - We expect the successful candidate to sign a doctoral thesis agreement within 12-18 months - Participation in teaching and independent teaching of courses as defined by the collective agreement Profile: A Master's or comparable degree in statistics, mathematics, or a closely related discipline (completed or pending completion); a solid background in mathematical statistics and probability theory; and a promising potential for original research. . Research fields: | Main research field | Special research fields | Importance | | Mathematics | Mathematical statistics | MUST | Languages: | Language | Language level | Importance | | English | Very good knowledge | MUST | Applications including a letter of motivation (German or English) should be submitted via the Job Center to the University of Vienna (http://jobcenter.univie.ac.at) no later than 26.09.2022, mentioning reference number 13459. For further information please contact Sobotka-Tompits, Sabine +43-1-4277-38631, Krivobokova, Tatyana +43-1-4277-38632. The University pursues a non-discriminatory employment policy and values equal opportunities, as well as diversity (http://diversity.univie.ac.at/). The University lays special emphasis on increasing the number of women in senior and in academic positions. Given equal qualifications, preference will be given to female applicants. Human Resources and Gender Equality of the University of Vienna Reference number: 13459 E-Mail: jobcenter(a)univie.ac.at Privacy Policy of the University of Vienna | | | external apply | | internal apply | | topUniversity of Vienna | jobcenter(a)univie.ac.at

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postdoc position
by Marco Scarsini 30 Aug '22

30 Aug '22

Postdoc position (two years) at Luiss University on the topic Learning in strategic and stochastic environments This project lies at the interface of mathematical game theory, algorithmic game theory, machine learning, optimization, and high-dimensional probability. Despite its theoretical nature, it will be motivated by applications in operations management, supply chain, algorithmic mechanism design, online matching markets, computational social choice, queueing, networks, etc. Deadline: September 30, 2022 - 2 p.m. - Central European Summer Time (CEST), UTC +2 Details available at https://economiaefinanza.luiss.it/en/research/post-doc-fellowship/research-… ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss University Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Avviso di seminario - Elisa Alòs
by Lucia Caramellino 29 Aug '22

29 Aug '22

AVVISO DI SEMINARIO Venerdì 2 settembre 2022, alle ore 14:00, nell'aula Dal Passo del Dipartimento di Matematica dell'Università di Roma Tor Vergata si terrà il seguente seminario (in presenza e online): On the skew and curvature of implied and local volatilities Elisa Alòs, Universitat Pompeu Fabra (Barcelona) Abstract. In this talk, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent $\frac{1}{H+3/2}$ rule (where $H$ denotes the Hurst parameter of the volatility process) for rough volatilitites (see Bourgey, De Marco, Friz, and Pigato (2022)), that states that the short-time skew slope of the at-the-money implied volatility is $\frac{1}{H+3/2}$ the corresponding slope for local volatilities. Moreover, we see that the at-the-money short-end curvature of the implied volatility can be written in terms of the short-end skew and curvature of the local volatility and viceversa, and that this relationship depends on $H$. MSTeams link: https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… <https://teams.microsoft.com/l/meetup-join/19:rfsL73KX-fw86y1YnXq2nk5VnZFwPU…>

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Avviso di seminario
by Barbara Martinucci 29 Aug '22

29 Aug '22

UNIVERSITA' DI SALERNO DIPARTIMENTO DI MATEMATICA AVVISO DI SEMINARIO Giovedì 1 settembre 2022, alle ore 12:00, nella sala del consiglio del Dipartimento di Matematica, edificio F2, si terrà il seguente seminario in presenza e online (su Teams): *Analyzing the loss of protection in an SVIS stochastic model with infection reintroduction, when vaccines are partially effective* Prof.ssa *Maria Jesus Lopez-Herrero* Department of Statistics and Data Science, Faculty of Statistical Studies, Complutense University of Madrid, Madrid, Spain ABSTRACT This talk deals with a stochastic Susceptible-Infected-Vaccinated-Susceptible (*SIVS*) model with infection reintroduction, where the propagation of a contagious disease was modeled in terms of a continuous time Markov chain. A communicable disease spreads in a homogeneous moderately-sized community of constant size in which individuals are identical in terms of social mixing and disease contact or recovery characteristics. Health policies depend on a vaccine coverage that guarantees herd immunity levels in the population. Hence, for community protection, a certain number of individuals were vaccinated against the contagious disease before the outbreak starts. Vaccine failures occur when an organism develops a disease despite of being vaccinated against it. After vaccination, a proportion of healthy individuals unsuccessfully tries to increase antibody levels and, consequently these individuals are not immune to the vaccine preventable disease. When an infectious process is in progress, the initial vaccine coverage drops down and herd immunity will be lost. Our objective is to introduce a threshold for vaccination level and study random characteristics depending on this threshold and also on the vaccination eligible group that could advise health authorities when to launch a new vaccination program to recover the initial immunity level. link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_ZWUxYmVmYmQtOWVmMC00… Gli interessati sono cordialmente invitati a partecipare.

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Workshop in Milan
by Giuseppina Guatteri 29 Aug '22

29 Aug '22

Con piacere annunciamo il "Two-day workshop on deterministic and stochastic control" che si terrà presso il campus Leonardo nelle giornate 6/7 settembre 2022. Alla seguente pagina web potete trovare le informazioni che via via verranno aggiornate, oltre che il form di Registrazione (scadenza 20 agosto). Sito web: https://sites.google.com/view/controlpolimi22 Un caro saluto, Giulia Cavagnari, Fulvia Confortola, Giuseppina Guatteri ed Elsa Maria Marchini It is our pleasure to announce the "Two-day workshop on deterministic and stochastic control" that will be held at campus Leonardo on 6/7 September 2022. At the following web-page you can find all the information which will be kept updated, along with the Registration form (deadline 20 August). Web-site: https://sites.google.com/view/controlpolimi22 Best regards, Giulia Cavagnari, Fulvia Confortola, Giuseppina Guatteri ed Elsa Maria Marchini Giuseppina Guatteri Dipartimento di Matematica Politecnico di Milano Via Bonardi, 9 20133 Milano tel.: +390223994556 fax.:+390223994513 email: giuseppina.guatteri(a)polimi.it "Happiness can be found even in the darkest of times, if one only remembers to turn on the light" A. Dumbledore

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LTI@UniTO Call For Fellowships - Deadline September 10
by Luca Regis 27 Aug '22

27 Aug '22

Dear**Colleagues, I am happy to share this Call for Visiting Fellowships by LTI@UniTO, with deadline September 10th. For further information, please visit: https://www.carloalberto.org/jobs-fellowships/ltiunito-research-fellowships/ I hope you can help me spread the information widely. Best regards, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti *-------------------------------------------------------------------------------------------------------------------------------------- * *Call For Visiting Fellowships LTI@UniTO Research Fellowships* Long-Term Investors@UniTo (LTI@UniTO, https://www.carloalberto.org/lti) is pleased to announce the availability of up to 5 Research Fellowships for the year 2023. LTI@UniTO is a think tank established as a joint initiative of the Università di Torino and of the major Italian market players in long term financing. Through the Fellowship program, LTI@UniTO aims to foster research in long-term investing and to assess its features, perspectives, contribution to growth and stability. The think tank supports independent research and informs the debate between long-term investors and policymakers. Fellowships are awarded to either junior or senior scholars to spend a two month visiting period at Collegio Carlo Alberto (Torino, Italy) working on a research program relevant to long-term investors. The fellowship amount is 16000 euros for senior scholars and 6000 euros for junior scholars. APPLICATION PROCEDURE: Candidates must send their application (CV + research program, approximately 2 pages) to lti(a)carloalberto.org before midnight, ECT, September 10th, 2022. Please enter “LTI CALL FOR FELLOWS” in the email subject. For further information, please contact lti(a)carloalberto.org SENIOR FELLOWSHIPS: - Applicants must have a publication history in top Finance/Econ academic journals. - Receivers of the fellowships will conduct their own research for a period of two months at UNITO/Collegio Carlo Alberto (CCA). - The research program should be related to one of the themes in the Strategic List below and must be included in the Application. A final working paper is required, a seminar at UNITO/CCA is compulsory. Another seminar/workshop, targeted to our sponsors, may be requested. - Total remuneration (for the entire period – gross and including all expenses): € 16000. - There are up to three positions available. - A joint Junior Fellowship can be assigned, if required by the Senior Applicant in his proposal (name of the proposed junior applicant can be included too). - Research Assistantship, if needed, may be requested once the fellowship is awarded. JUNIOR FELLOWSHIPS: - Candidates are Ph.D. Students or young scholars with a PhD in Finance, Economics or a related field. - Receivers of the fellowships will conduct research under the supervision of a Senior Fellow or a UNITO/CCA’s Finance faculty for a period of two months at CCA/UNITO. - The research program should be related to one of the themes in the Strategic List below and must be included in the Application. A final working paper is required, a seminar at UNITO/CCA is compulsory. - Total remuneration (for the entire period –gross and including all expenses): € 6000. - There are up to two positions available. STRATEGIC LIST: - Interaction between financial markets and the real economy: start-up funding, impact investments, infrastructure, SME financing; - Role of LTIs in traditional financial markets (systemic risk, stability, pro or countercyclicality, liquidity, impact on prices), as well as on private markets; risk and return of private markets (private equity, private debt, private placements); - Asset Management or ALM of LTIs, including past experiences, models, benchmarking, constraints on expenditures and liabilities; - Innovative Asset Classes and LTIs; - Mandates, delegation and effectiveness of monitoring (short term accountability versus long-term strategies); optimal contracts in delegated portfolio management: benchmarking and bonus/target incentive schemes; - The collective costs of short-horizon investment and their control (regulatory constraints); - Fintech and LTIs: opportunities and risks; - Benefits and costs of financial regulation and macro prudential policies that matter to LTIs; - The impact of crises on LTIs and the role of LTIs in market crashes and recovery; - Real estate and real estate funds: risk, return and their role in the ALM of LTIs; - LTIs, sustainable finance and Green Financing; the role of LTIs in the transition toward a greener economy; greenwashing and challenges of implementing ESG strategies. - Responsible investing: screening or engagement; exit or voice; - Digitalisation, artificial intelligence, new technologies and their impact on LTIs’ business and financial practices; - Emerging risks: health risks, cyber risks, catastrophic risks, business interruption and their impact on LTIs.

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PhD course in Padova by C. Cuchiero and S. Svaluto-Ferro (signatures)!
by Giorgia Callegaro 26 Aug '22

26 Aug '22

Dear all, It is a pleasure to invite you to follow, in presence, in Torre Archimede (Department of Mathematics, Padova) or online, via Zoom, the PhD course lectures given by Profs Christa Cuchiero and Sara Svaluto-Ferro in September 2022. They will give a PhD course entitled : "*Signatures in finance: life, death, and miracles*", starting the 5th September 2022. Each lecture will last 90 minutes. More details can be found here: *https://www.math.unipd.it/~dottmath/corsi2022/CuchieroSvaluto-fuori%20catalogo.pdf <https://www.math.unipd.it/~dottmath/corsi2022/CuchieroSvaluto-fuori%20catal…>* and here: *https://dottorato.math.unipd.it/calendar/202209 <https://dottorato.math.unipd.it/calendar/202209>* Please send me an email in case you're interested in receiving the Zoom link. Lectures will not be recorded. Have a nice weekend, Giorgia Callegaro -- Giorgia Callegaro Associate Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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August 22: Deadline for Financial support for "Random processes in the brain: From experimental data to Math and back"
by Massimiliano Tamborrino 20 Aug '22

20 Aug '22

Dear all, I hope you are having a great summer. I am writing you to share some information (including an incoming deadline on August 22 for financial support!) with respect to the 6th Weeks Thematic Program "Random processes in the brain: From experimental data to Math and back<https://rpbihp.numec.prp.usp.br/index.php/Pathways_to_the_2023_IHP_thematic…>" which will be held at the Institut Henri Poincaré (IHP) Paris from the 27th February to the 7th April 2023. The program will include two workshops: * March 6-10, 2023: Structural learning by the brain (IHP, Paris)<https://indico.math.cnrs.fr/event/7794/> * March 27-31, 2023: Networks of spiking neurons (IHP, Paris)<https://indico.math.cnrs.fr/event/7793/> There will also be two Doctoral series of 5 lectures in the weeks preceeding the two workshops 1. Stochastic modeling of structural learning by the brain using electrophysiological and behavioral data. Five lessons course, February 27-March 3 2. 3. Systems of spiking neurons described by point processes with memory of variable length. Five lessons course, March 20-24 There will also be several Topical Days during the thematic program, but the precise schedule has not yet been fixed. In the meantime, we are organising a seminar series leading to the thematic program. You could find more information about the past and incoming seminars here https://rpbihp.numec.prp.usp.br/index.php/Pathways_to_the_2023_IHP_thematic… It is important to register in the IHP website before August 22 if you need financial support to attend the thematic program https://indico.math.cnrs.fr/event/7792/ Funding could be requested for attending the whole 6 weeks programmes as well as part of it (e.g. one of the weeks for the Workshops). Please feel free to get in touch if you have any additional questions. Best wishes, Massimiliano ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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Ph.D. position - Bielefeld University
by Nendel, Max 19 Aug '22

19 Aug '22

Bielefeld University's Collaborative Research Center (CRC) 1283 “Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications” has an open Ph.D. position in its project C7. The research in the project C7 focuses on the mathematical analysis of model uncertainty in economics and finance. A particular interest is given to the development of new solution concepts for classes of Hamilton-Jacobi-Bellman equations appearing in the context of optimal decision problems under uncertainty. On the other hand, the project aims to investigate connections to statistics and numerics as well as applications in actuarial science. The successful candidate is expected to have a scientific university degree in Mathematics, Mathematical Economics, Mathematical Finance or a related field and to have good knowledge in at least one of the following topics: (stochastic) optimal control, functional analysis and partial differential equations, topological aspects of measure theory, stochastic analysis. Starting date: at earliest convenience Application deadline: 15.09.2022 Salary level: part time 75% in the remuneration level 13 TV-L Contract: fixed-term limited until 30.06.2022 with possibilities for an extension thereafter Contact: Asst. Prof. Dr. Max Nendel, max.nendel(a)uni-bielefeld.de<mailto:max.nendel@uni-bielefeld.de> For further information see: https://uni-bielefeld.hr4you.org/job/view/1728/research-position?page_lang=…

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Fwd: Postdoc in Manchester
by Faggionato, Alessandra 17 Aug '22

17 Aug '22

Buongiorno, ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Sebastian Andres <sebastian.andres(a)manchester.ac.uk> Date: Wed, 17 Aug 2022 at 10:58 Subject: Postdoc in Manchester To: Faggionato, Alessandra <faggiona(a)mat.uniroma1.it> *Research Associate in Probability, Department of Mathematics, University of Manchester* Full job description: https://www.jobs.manchester.ac.uk/displayjob.aspx?jobid=23127 Applications are invited for a 24 month Postdoctoral Research Associate position, to start in March 2023, or at the earliest possible time thereafter. We are looking for academics of outstanding ability, who are seeking a friendly, supportive and collegial environment in which to develop as world-class researchers, and who will contribute to the continued development of the Probability & Statistics Group, Department of Mathematics, in the School of Natural Sciences. The post holder will work with Dr Sebastian Andres on his EPSRC Grant 'Homogenization of random walks: degenerate environments and long-range jumps'. In this project we aim to study random walks in random environment with long-range jumps and the associated partial differential differential equations involving non-local discrete operators describing the transition probabilities or heat kernels of such random walks. Priority will be given to applicants with expertise in probability, PDE analysis and other related fields. The successful candidate will have completed (or nearly completed) a PhD or equivalent in probability theory or a related area prior to their appointment, and will have demonstrated a capacity to produce world-class research. Further, you will be expected to work independently and in collaboration, engage with new ideas, and contribute new insights. The position comes with some travel funding and carries no teaching duties. *Applications should include:* - a motivation letter, - a CV including a list of publications, - contact details of at least two referees, - the academic transcripts for all university degrees. Please see the link above for further information. The closing date for applications is 30th September 2022. For further enquiries contact Dr Sebastian Andres: sebastian.andres(a)manchester.ac.uk -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Fwd: Research Fellow position in Applied Mathematics and Statistics at Birmingham
by Alejandra Avalos Pacheco 14 Aug '22

14 Aug '22

fyi ---------- Forwarded message --------- From: Panayiota Touloupou <p.touloupou(a)bham.ac.uk> Date: Fri, 12 Aug 2022 at 18:01 Subject: Research Fellow position in Applied Mathematics and Statistics at Birmingham To: Panayiota Touloupou <p.touloupou(a)bham.ac.uk> Cc: Joaquin Prada <j.prada(a)surrey.ac.uk> Dear colleagues, I hope you are well. I am writing to let you know that we are currently advertising a Research Fellow position in Applied Mathematics and Statistics to work with Dr Panayiota Touloupou (University of Birmingham) and Dr Joaquin M. Prada (University of Surrey) on the Task Force For Global Health funded project "Efficient post-elimination surveillance strategies for Neglected Tropical Diseases (NTDs)”. All the relevant information can be found at: *https://bham.taleo.net/careersection/external/jobdetail.ftl?job=220001HF <https://bham.taleo.net/careersection/external/jobdetail.ftl?job=220001HF>* Could you please circulate and passing this on to anyone who you think might be interested? Please note the closing date for applications is *25th August 2022*. Many thanks, Panayiota

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Ph.D. position in Statistics at TU Eindhoven (Netherlands)
by Elisa Perrone 09 Aug '22

09 Aug '22

Dear Colleagues, The Department of Mathematics and Computer Science of TU Eindhoven (NL) has a vacancy for a Ph.D. position in Statistics. We are looking for a motivated candidate with a solid theoretical background in Probability/Statistics to join our group and conduct theoretical research in the area of dependence modeling and copulas under my supervision. Application deadline: September 11, 2022. Job description: https://jobs.tue.nl/en/vacancy/phd-in-statistics-950429.html <https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fjobs.tue.…> I would appreciate it if you could forward this email to any potential candidate. Thanks and best wishes, Elisa --- Elisa Perrone, Ph.D. Assistant Professor Department of Mathematics and Computer Science Eindhoven University of Technology elisaperrone.info <http://elisaperrone.info/>

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