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Econometrics half-day workshop - Ca' Foscari University of Venice - 29 October 2025
by Roberto CASARIN 23 Oct '25

23 Oct '25

Dear Colleagues We are glad to announce the half-day workshop on "*Advances in Macroeconometrics*". The event will present ongoing research in econometric methods for time series analysis and their applications to macro-finance. The workshop will feature: Keynote Lectures: *Andrew Harvey*, University of Cambridge - A New Approach to Regime Switching *Fabio Canova*, BI Norwegian Business School - Low Frequency Movements and SVAR Analysis Presentations: *Dario Palumbo*, Ca' Foscari University of Venice - A Simple Parsimonious Framework for Extracting and Modelling the Term Structure of Interest Rates *Qing Wang*, Ca' Foscari University of Venice - Bayesian Tensor Regression with Stochastic Volatility *Antonio Peruzzi*, Ca' Foscari University of Venice - Multiple Equilibria and the Phillips Curve: Do Agents Always Under-react? *Wednesday, October 29 at 9.20-13.15 in Meeting Room 1,by the Department of Economics, San Giobbe Campus, Ca' Foscari University of Venice* It will also be possible to attend via Zoom: https://unive.zoom.us/j/81351424918?pwd=gWVcQbrSRtqrAAcYUR7SoEVx31hcaH.1 More information is available here: https://www.unive.it/data/agenda/1/104525 All interested participants are warmly invited to attend. Roberto Casarin (and on behalf of the Scientific Committee and the Organizing Committee) -- Roberto Casarin, PhD Professor of Econometrics Ca' Foscari University of Venice San Giobbe 873/b - 30121 Venezia, Italy http://sites.google.com/view/robertocasarin/ https://www.unive.it/vera <https://www.unive.it/isba2024> https://www.unive.it/isba2024

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Workshop announcement: "From discrete systems to SPDEs" on March 30-April 1, 2026 at TU Wien, Austria
by Prof. Fabio Toninelli 23 Oct '25

23 Oct '25

Dear colleagues, we would like to draw you attention to the upcoming workshop "From discrete systems to SPDEs", taking place March 30th - April 1st, 2026 at TU Wien in the beautiful city center of Vienna. The aim of the workshop is to bring together experts as well as young researchers in the field of Stochastic Partial Differential Equations and their discrete approximations, including interacting particle systems. Confirmed speakers include: * Lubomir Baňas (Bielefeld) * Charles-Edouard Bréhier (Pau) * Yvain Bruned (Nancy) * Giuseppe Cannizzaro (Warwick) * Clément Erignoux (Lyon) * Patricia Gonçalves (Lisbon) * Erika Hausenblas (Leoben) * Yueh-Sheng Hsu (Vienna) * Ruojun Huang (Pisa) * Vitalii Konarovskyi (Hamburg) * Helena Kremp (Berlin) * Cyril Labbé (Paris) * Quentin Moulard (Vienna) * Nicolas Perkowski (Berlin) * Rhys Steele (Leipzig) Registration for the workshop is open through the form on our conference webpage https://sites.google.com/view/viennaspdes2026/home Registration is possible until February 28, 2026 but, to help us with organization (coffee breaks, etc), we encourage you to register as soon as possible. Limited travel funding for PhD students and PostDocs is available (apply via email to viennaspdes2026(a)tuwien.ac.at until November 30, 2025 with a CV and a cover letter). Please feel free to circulate this announcement among colleagues and students. We look forward to seeing some of you in Vienna soon. The organizers Máté Gerencsér and Fabio Toninelli -- Prof. Fabio Toninelli Technical University of Vienna Institut für Stochastik und Wirtschaftsmathematik Wiedner Hauptstrasse 8-10, 1040 Wien, Austria https://sites.google.com/view/fabio-toninelli/home Office: 6th floor, green area. tel: +43-1-58801-10570

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Seminario on-line PRISMA lunedì 3 novembre 2025 - L. Benigni & G. Cipolloni
by Sonia Mazzucchi 23 Oct '25

23 Oct '25

Seminari on-line del gruppo UMI - PRISMA (http://www.umi-prisma.polito.it/) I seminari PRISMA hanno un formato di "colloquium" per creare un'occasione di scambio e discussione con tutta la comunità dei probabilisti e statistici italiani. Ogni giornata comprende due relatori che tengono due seminari di 30 minuti strettamente connessi, per presentare alla comunità una prospettiva sul proprio ambito di ricerca. Dallo scorso anno le registrazioni dei seminari vengono pubblicate sul canale YouTube dell'UMI: https://youtube.com/playlist?list=PLmySpc-jrtAMq84VH71evyqPc1hl6eEQb Il prossimo appuntamento è per *lunedì 3 novembre* 2025. I relatori saranno *Lucas Benigni *(Università di Montreal) e *Giorgio Cipolloni* (Università di Roma 2 Tor Vergata) che parleranno di: *The mystery of universality in Random Matrix Theory*. con il seguente orario: 16:00 Primo seminario 16:30 Pausa e discussione 16:45 Secondo seminario 17:15 Conclusione e discussione Trovate di seguito il riassunto. I seminari verranno trasmessi via Zoom al seguente link: https://unitn.zoom.us/j/88089787189 ID riunione: 880 8978 7189 Codice d’accesso: 144017 Vi aspettiamo numerosi! Alberto Chiarini e Sonia Mazzucchi %%%%%%%%%%%%%%%%%%%%%%%%%%%% RELATORI: Lucas Benigni (Università di Montreal) e Giorgio Cipolloni (Università di Roma 2 Tor Vergata) TITOLO: The mystery of universality in Random Matrix Theory. RIASSUNTO: Over the past fifteen years, our understanding of universality in random matrix theory has undergone a remarkable transformation. For many models of large random matrices, it is now known that both eigenvalue statistics and eigenvector structures exhibit universal behavior that depends only on the symmetry class and not on the fine details of the matrix entries. This universality lies at the heart of deep conjectures in mathematical physics—connecting topics as diverse as quantum chaos, number theory, and high-dimensional statistics—and has become one of the major success stories of modern probability theory. In this two-part colloquium, we will survey these advances with a focus on Wigner matrices, Hermitian or symmetric random matrices with i.i.d. entries up to the symmetry constraint. The first part will discuss universality of eigenvalues, from local spectral laws to modern proofs of universality of local statistics. The second part will turn to eigenvectors, highlighting recent progress on delocalization, quantum ergodicity, and eigenvector statistics.

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Cancelled - QFinLab Seminar - Riccardo Brignone (Università di Pavia) - 23/10/2025, 14:30 @ Department of Mathematics, Politecnico di Milano
by Alessandro Calvia 22 Oct '25

22 Oct '25

Dear colleagues, unfortunately, the QFinLab seminar at Politecnico di Milano (see the original announcement below), scheduled for tomorrow, 23 October, is cancelled. Best regards, Alessandro Calvia *** Dear colleagues, you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Thursday, 23 October 2025, 14.30-15.30 Seminar room, third floor, building 14, Via Bonardi 9, Milano<https://www.google.com/maps/search/Via+Bonardi+9,+Milano?entry=gmail&source…> (Leonardo Campus) Riccardo Brignone (Università di Pavia) Title: Pricing path-dependent options under stochastic volatility models with full error control. Abstract: In this paper, we propose a unified methodology for pricing general path-dependent derivatives (e.g., Asian and Barrier options) that is based on the Monte Carlo-Conditional Fourier-cosine method and works for a broad class of stochastic volatility models. The main benefit of the proposed approach over existing literature consists in a simple and effective control of the error. A practitioner simply needs to provide the pricing algorithm with two parameters: i) a probability, q; ii) an error tolerance epsilon. Then, our proposed algorithm provides a price approximation that differs by no more than epsilon from the true unknown option price with probability at least equal to q. We provide an explicit link between the variance of the Monte Carlo simulation estimator of the option price, the error tolerance, and the number of simulations. In this way, the pricing methodology becomes extremely efficient when combined with effective variance reduction techniques that drastically reduce the number of simulations (and, consequently, the computing time) required to obtain an arbitrarily accurate price estimate. Joint work with Gero Junike. Attendance is also possible online (Microsoft Teams), clicking here<https://teams.microsoft.com/l/meetup-join/19%3ameeting_NmZjNzAwNmYtM2I4OC00…> All news can be found on the QFinLab webpage<https://www.qfinlab.polimi.it/seminars-and-meetings/>. The organizers: Michele Azzone and Alessandro Calvia. ***

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Fabio Martinelli - Tè di Matematica a Roma Tre 29 ottobre 2025
by Pietro Caputo 22 Oct '25

22 Oct '25

Nell'ambito dei Tè di Matematica, per celebrare il pensionamento di Elisabetta Scoppola, mercoledì *29 ottobre* alle *ore 16:00*, Fabio Martinelli terrà un seminario dal titolo *"An Introduction to the Mathematical Theory of Anderson Localization"*. Abstract: In 1958, the physicist P. W. Anderson published the paper "Absence of Diffusion in Certain Random Lattices," which contributed to winning him the Nobel Prize in 1977 for the discovery of the phenomenon now known as "Anderson localization." In the simplest case, Anderson localization states that a Schroedinger operator with a random potential on, e.g., a d-dimensional lattice has a pure-point spectrum with exponentially localized eigenstates if the randomness of the potential is sufficiently strong. In his Nobel lecture Anderson said "...*Localization was a different matter: very few believed it at the time, and even fewer saw its importance; among those who failed to fully understand it at first was certainly its author. It has yet to receive adequate mathematical treatment, and one has to resort to the indignity of numerical simulations to settle even the simplest questions about it." *Proving Anderson localization was one of the great problems in mathematical physics in the early 1980s, and E. Scoppola greatly contributed to its solution in the hard case d > 1. On the occasion of her retirement, I will provide a brief overview of the Anderson model and eigenfunction localization, as well as some of the more recent developments. If time allows, I will also try to describe how the basic multiscale analysis underlying the proof of Anderson localization can be applied to other, quite different, contexts. Il seminario si svolgerà in presenza presso il Dipartimento di Matematica e Fisica dell'Università di Roma Tre, Lungotevere Dante 476, *aula M1*.

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Seminario di Lauri Viitasaari
by Enrica Pirozzi 22 Oct '25

22 Oct '25

Il giorno 23 Ottobre 2025 alle ore 12:30 in Aula G del Dipartimento di Matematica e Fisica dell'Università della Campania Luigi Vanvitelli, in Viale Lincoln 5 in Caserta, Il Prof. Lauri Viitasaari Professor in Statistics, Mathematics, and Data Science, at Aalto University, School of Business, Finland, terrà il seminario: Title: On data-driven forecasting of financial time series based on SDEs with memory Abstract: In this talk we discuss some approaches for non-linear data driven modeling and forecasting of long memory time series that particularly appear in the context of financial applications. Our approach is based on SDEs that, with general coefficient functions, provides a rich and flexible model class. On top of theoretical results, we illustrate the applicability of our approach with simulation study. Our approach is based on an interplay between analysis, probability, statistics, and machine learning. This talk is based on a joint work with Mahdi Dehshiri and Kerlyns Martinez. -- Per coloro che volessero collegarsi da remoto ecco di seguito il link: Seminario di Lauri Viitasaari | Partecipazione alla riunione | Microsoft Teams<https://teams.microsoft.com/meet/3361054135421?p=CKL5LMOMgOzI7Ey69B> Cari saluti Enrica Pirozzi

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Seminario Padova - Simone Baldassarri
by alekos.cecchin＠unipd.it 20 Oct '25

20 Oct '25

Buongiorno a tutti, Vorremmo segnalarvi che venerdì prossimo (3 Ottobre) in aula 2AB40 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di: Simone Baldassarri (Gran Sasso Science Institute (GSSI)) <https://sites.google.com/view/simonebaldassarri> https://sites.google.com/view/simonebaldassarri Title: How opinions evolve on dense dynamic random graphs Date: October 3, 2025, at 14:30, 2AB40 Abstract: Describing the evolution of dynamic networks together with dynamic processes running on them constitutes a major challenge in network science. Despite considerable efforts in past years, and notable progress on an intuitive and approximative level, our mathematical understanding of such systems is still in its infancy. The focus of this talk will be two-opinion voter models on dense dynamic random graphs. The goal is to understand and describe the occurrence of consensus versus polarisation over long periods of time. The former means that all vertices have the same opinion, the latter means that the vertices split into two communities with different opinions and few disagreeing edges. We consider three models for the joint dynamics of opinions and graphs: one with one-way feedback and two with two-way feedback. Key results cover functional laws of large numbers for the densities of the two opinions, functional laws of large numbers for the dynamic random graphs in the space of graphons, and a characterisation of the limiting densities in terms of Beta-distributions. This talk is based on a joint work with P. Braunsteins, F. den Hollander and Michel Mandjes. Vi aspettiamo numerosi! Alberto Chiarini e Alekos Cecchin Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/

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An Autumn Day in Probability and Statistical Physics - Florence, 21 November 2025
by Elia Bisi 20 Oct '25

20 Oct '25

Dear colleagues, We are happy to announce the sixteenth event in the series “Days in Probability and Statistical Physics”: AN AUTUMN DAY IN PROBABILITY AND STATISTICAL PHYSICS Friday 21 November 2025 University of Florence, Department of Mathematics and Computer Science, Viale Morgagni 67/a, Florence Speakers: Béatrice de Tilière (CEREMADE, University Paris-Dauphine PSL) will speak on: The dimer model, an introduction. The dimer model on minimal graphs, the elliptic case and beyond. Alexandre Gaudillière (CNRS, Aix-Marseille Université) will speak on: Kirchhoff forests and applications. Each speaker will give a 45’ introductory lecture tailored for non-experts, followed by a 45’ more advanced seminar talk. Registration is free but mandatory for organization purposes. Please fill out this form by November 16. Please feel free to share the announcement with those who may be interested, particularly young researchers. We look forward to seeing many of you. The organisers Luca Avena, Luisa Andreis, Gianmarco Bet and Elia Bisi *************** More information, including the abstracts, can be found at this link. The poster of the event can be viewed here. PROGRAM 10:30-11:00 Welcome coffee 11:00-11:45 Introductory lecture: Béatrice de Tilière 11:45-12:15 Break 12:15-13:00 Seminar talk: Béatrice de Tilière 13:00-14:30 Lunch 14:30-15:15 Introductory lecture: Alexandre Gaudillière 15:15-15:45 Break 15:45-16:30 Seminar talk: Alexandre Gaudillière ————————— Elia Bisi Assistant Professor (RTT) University of Florence Department of Mathematics & Computer Science Personal homepage Florence Probability group

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QFinLab Seminar - Riccardo Brignone (Università di Pavia) - 23/10/2025, 14:30 @ Department of Mathematics, Politecnico di Milano
by Alessandro Calvia 16 Oct '25

16 Oct '25

Dear colleagues, you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Thursday, 23 October 2025, 14.30-15.30 Seminar room, third floor, building 14, Via Bonardi 9, Milano<https://www.google.com/maps/search/Via+Bonardi+9,+Milano?entry=gmail&source…> (Leonardo Campus) Riccardo Brignone (Università di Pavia) Title: Pricing path-dependent options under stochastic volatility models with full error control. Abstract: In this paper, we propose a unified methodology for pricing general path-dependent derivatives (e.g., Asian and Barrier options) that is based on the Monte Carlo-Conditional Fourier-cosine method and works for a broad class of stochastic volatility models. The main benefit of the proposed approach over existing literature consists in a simple and effective control of the error. A practitioner simply needs to provide the pricing algorithm with two parameters: i) a probability, q; ii) an error tolerance epsilon. Then, our proposed algorithm provides a price approximation that differs by no more than epsilon from the true unknown option price with probability at least equal to q. We provide an explicit link between the variance of the Monte Carlo simulation estimator of the option price, the error tolerance, and the number of simulations. In this way, the pricing methodology becomes extremely efficient when combined with effective variance reduction techniques that drastically reduce the number of simulations (and, consequently, the computing time) required to obtain an arbitrarily accurate price estimate. Joint work with Gero Junike. Attendance is also possible online (Microsoft Teams), clicking here<https://teams.microsoft.com/l/meetup-join/19%3ameeting_NmZjNzAwNmYtM2I4OC00…> All news can be found on the QFinLab webpage<https://www.qfinlab.polimi.it/seminars-and-meetings/>. The organizers: Michele Azzone and Alessandro Calvia.

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I: Avviso - Seminario di Probabilità il 21/10/2025
by Mario Morellini 16 Oct '25

16 Oct '25

Buonasera, ho il piacere di segnalare il seguente seminario. Mario Morellini. ________________________________ Da: Eventi Matematica Fisica <eventimatfis(a)uniroma3.it> Inviato: martedì 14 ottobre 2025 10:43 Oggetto: Avviso - Seminario di Probabilità il 21/10/2025 Martedì 21 ottobre alle ore 16:00, Maike de Jongh (University of Twente), terrà il seminario di Probabilità dal titolo "Controlling the zero-temperature Ising model using Markov decision theory". Abstract: The behavior of the Ising model under external control mechanisms is of interest in a wide variety of applications, including biological systems, social dynamics, and information processing. In this talk, we investigate control strategies for a zero-temperature two-dimensional Ising model on a finite square lattice evolving under Metropolis dynamics. Specifically, we consider a situation in which an external controller aims to drive the system from a configuration with a small droplet of +-spins towards the all-plus configuration by flipping spins at specific sites at predetermined moments in time. In order to analyze this control problem, we formulate it as a Markov decision process (MDP), a well-established framework for sequential decision-making problems under uncertainty. To find an optimal policy in this MDP, we construct a simplified model by means of a reduction of the configuration space to the local minima of the Hamiltonian. Leveraging the convenient form of this simplified model, we uncover the structure of the optimal policy by solving the Bellman equations in a recursive manner. Finally, we present simulation results illustrating the performance of this optimal policy in the original control problem at low temperatures. Il seminario si svolgerà in presenza presso il Dipartimento di Matematica e Fisica. Via della Vasca Navale, 84 - Aula F

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