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Fifth edition of the StaTalk series (workshops on statistical topics)
by Euloge C. Kenne Pagui 12 Oct '17

12 Oct '17

Dear all, we are pleased to announce that the fifth edition of the StaTalk series will be held at the Department of Statistical Sciences of the University of Padua, on November, 17, 2017. StaTalks are one-day workshops on statistical topics during which the hosting group introduces and overviews the main research interests of their members. Aimed at Master’s and PhD students, as well as at post-docs and young researchers, StaTalks are intended to be informal gatherings which allow for a more proficient interaction between presenters and participants. They typically feature some introductory tutorials on the main workshop theme and a few seminars that overview more advanced research topics, still kept at an expository level. StaTalks are thus a great opportunity to become acquainted with the workshop main topic, as well as to share and update one's knowledge on the interface of Statistical research in an easy and informal atmosphere. The topic of this fifth edition will cover many areas of research currently undergoing at the Department of Statistical Sciences of the University of Padua ranging from methodological statistics to demography. Registrations, as in the past StaTalk events, is free of charge but mandatory. Additional information, can be found at the workshop page statalk.stat.unipd.it Best regards, The Organising Committee --------------------------------------------------------- Department of Statistical Sciences, University of Padova. Via Cesare Battisti, 241 - 35121 Padova ---------------------------------------------------------

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Lezioni inaugurali - MSc FIRM - Firenze (mar 17/10)
by Giacomo Scandolo 11 Oct '17

11 Oct '17

Inaugural Lectures MSc in Finance and Risk Management (Università di Firenze) Academic Year 2017/2018 17 October 2017 Aula 0.05, D15 building, Polo di Novoli PROGRAM 9.30 Institutional greetings 9.45 Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" 10.45 Coffee-break 11.15 Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" 12.30 Dimitri LORENZANI (European Commission, Directorate General for Economic and Financial Affairs) "The European Commission's 2017 Country Report: analytical insights" More information http://www.frm.unifi.it/ Abstracts Elisa LUCIANO (University of Torino) " Geographical diversification of life-insurance companies: evidence and diversification rationale" Large life insurance companies are internationally diversified. The cost-effectiveness or business-cycle smoothing of international diversification is not always at work. How can the empirical evidence be rationalized, then? We show that diversification gains from international expansion can reduce risk margins and Solvency requirements due to longevity risk. Gains are more pronounced in a low-interest rates regime. To show that result, we build parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in different populations. We define a diversification index and measure diversification gains in capital requirements according to the current regulation. We present a calibrated example, based on annuity portfolios of UK and Italian males. The results of our application show that diversification gains, evaluated as the reduction in the portfolio risk margin following the international expansion, may be non-negligible. Tai-Ho WANG (Baruch College, City University of New York) "Implied volatility and its related financial instruments: modeling and pricing" Abstract: Implied volatility modeling has been a mainstream research in academia and industry almost since the trading of options was introduced to the financial world. In this talk, we review stylized facts of implied volatility in equity market, followed by an introduction to the commonly used models that captures partly the stylized facts. The models include local volatility model, stochastic volatility model, local-stochastic volatility, and the fractional volatility model. The last in the list has been regaining great attentions these days. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. We conclude the talk by the pricing of financial instruments that are directly or indirectly related to implied volatilities. Dimitri Lorenzani (European Commission, Directorate General for Economic and Financial Affairs) " The European Commission's 2017 Country Report: analytical insights" Abstract: In the 2017 Country Report, the European Commission assessed Italy's economy in the light of the economic priorities established through the 2017 Annual Growth Survey: (i) boosting investment; (ii) pursuing structural reforms; and (iii) ensuring responsible fiscal policies. The presentation aims to provide insights into some of the analytical work underpinning the European Commission's findings. The Country Report indicates that, despite some important reforms in recent years, significant structural weaknesses in diverse policy areas continue to undermine Italy's productivity growth, slowing the correction of Italy's excessive macroeconomic imbalances. In particular, the high public debt remains a major source of vulnerability for the Italian economy given the low potential growth and a still fragile fiscal position. Moreover, the competitiveness gap of the Italian economy vis-à-vis the rest of the euro area persists also due to the insufficient innovation capacity of Italian firms. The legacies of the long-lasting crisis also weigh on Italy's growth prospects since sizeable non-performing loans hamper banks' ability to support investment, while long-term and youth unemployment remain high.

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Seminario Tai-Ho Wang 19 ottobre 2017 presso Università Cattolica sede di Milano
by Marina DI GIACINTO 11 Oct '17

11 Oct '17

Seminario di Tai-Ho Wang (Department of Mathematics - Baruch College - The City University of New York) Giovedi' 19 ottobre 2017 - ore 14:30 - aula 200 Università Cattolica del Sacro Cuore, Milano, Dipartimento di Discipline matematiche, Finanza matematica ed Econometria Via Necchi, 9 - Milano TITLE: Modeling of implied volatility and its recent progress ABSTRACT: Modeling of implied volatility has been active ever since the introduction of trading of option. In this talk, starting from the minimal and complete local volatility model, we discuss the development of more sophisticated models that aim to capture stylized facts observed in the market. In addition to local volatility models, the models include stochastic volatility model, exponential Levy models, and the recently revived fractional models. We also elaborate which of the styles facts are, and which aren't, captured by these models. Numerical pricing of vanilla options and calibration of implied volatilities under these models will be briefly discussed. Tutti gli interessati sono invitati a partecipare.

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2 postdoc positions in Geometric Methods for Deep and Reinforcement Learning at RIST
by Luigi Malagò 09 Oct '17

09 Oct '17

=========================================================== *Subject*: 2 postdoc positions in Machine Learning (1 year, renewable up to 3 years) *Institution*: RIST - Romanian Institute of Science and Technology, Cluj-Napoca *Keywords*: Deep Learning, Reinforcement Learning, Stochastic Optimization, Optimization over Manifolds, Information Geometry, Riemannian Geometry *Application deadline*: 20 October 2017 (applicants are encouraged to apply earlier) *Salary*: around 2190 euro net *Official announcement*: http://rist.ro/en/details/news/postdoc- positions-in-deep-learning-and-machine-learning.html =========================================================== Dear colleagues, the Romanian Institute of Science and Technology (RIST) has an opening for 2 postdoc positions, in the context of the DeepRiemann project “Riemannian Optimization Methods for Deep Learning”, funded by European structural funds through the Competitiveness Operational Program (POC 2014-2020). The appointments will be for 1 year, with possible extensions up to 3 years. The DeepRiemann project aims at the design and analysis of novel training algorithms for Neural Networks in Deep Learning, by applying notions of Riemannian optimization and differential geometry. The task of the training a Neural Network is studied by employing tools from Optimization over Manifolds and Information Geometry, by casting the learning process to an optimization problem defined over a statistical manifold, i.e., a set of probability distributions. The project is highly interdisciplinary, with competences spanning from Machine Learning to Optimization, Deep Learning, Statistics, and Differential Geometry. The objectives of the project are multiple and include both theoretical and applied research, together with industrial activities oriented to transfer knowledge, from the institute to a startup or spin-off of the research group. The positions will be part of the new Machine Learning and Optimization group http://luigimalago.it/group.html, which performs research at the intersection of Machine Learning, Stochastic Optimization, Deep Learning, and Optimization over Manifolds, from the unifying perspective of Information Geometry. The group is one of two newly-formed groups in Machine Learning at RIST, where about 20 new postdoctoral research associates and research software developers will be hired by 2018. The official job announcement can be seen here: http://rist.ro/en/details/news/postdoc-positions-in- deep-learning-and-machine-learning.html Informal inquiries can be sent to Dr. Luigi Malagò <malago(a)rist.ro>, principal investigator of the DeepRiemann project. Application deadline: 20 October 2017 (applicants are encouraged to apply earlier) best regards, Luigi Malagò

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Fwd: Summer School in Probability and Mathematical Physics at IST Austria
by pietro caputo 09 Oct '17

09 Oct '17

---------- Forwarded message ---------- From: Jan Maas <jan.maas(a)ist.ac.at> Date: Mon, Oct 9, 2017 at 10:46 AM Subject: Summer School in Probability and Mathematical Physics at IST Austria To: pmp-2018(a)ist.ac.at Dear colleagues, IST Austria organizes a Summer School in Probability and Mathematical Physics which takes place on June 4-8, 2018. The school consists of three lecture series by eminent mathematicians: Hugo Duminil-Copin (IHES): Sharp threshold phenomena via randomized algorithms Martin Hairer (Imperial College London): A BPHZ theorem for stochastic PDEs Jason Miller (University of Cambridge): The Gaussian free field and Liouville quantum gravity The event is aimed at a broad audience of researchers, particularly focusing on PhD students and postdocs. It takes place at the campus of IST Austria, a young international institute dedicated to basic research and graduate education in the natural and mathematical sciences. The institute is located in Klosterneuburg on the outskirts of Vienna. Limited support is available for partially covering the costs of travel and/or accommodation for qualified (PhD) students and postdocs. More information and a registration form can be found at http://ist.ac.at/pmp2018/ We would be grateful if you could bring this information to the attention of researchers who may be interested to attend. Best regards, Laszlo Erdos, Jan Maas, Robert Seiringer

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seminar at LUISS
by Marco Scarsini 09 Oct '17

09 Oct '17

Thursday October 12 from 12:00 to 13:00, room 207 Department of Economics and Finance LUISS viale Romania 32 00197 Roma. Speaker: Fabio Martinelli Title: Bootstrap percolation and interacting particle systems with kinetic constraints Abstract: Recent years have seen a great deal of progress in understanding the behavior of bootstrap percolation models, a particular class of monotone cellular automata. In the two-dimensional lattice, there is now a quite satisfactory understanding of their evolution starting from a random initial condition, with a strikingly beautiful universality picture for their critical behavior (length and time scales). Much less is known for their non-monotone stochastic counterpart, namely kinetically constrained models (KCM). In KCMs the state of each vertex which could be infected by the bootstrap percolation rules is resampled (independently among the vertices) at rate one by tossing a p-coin. In particular, the infection can also heal, hence the non-monotonicity. Besides their connection with bootstrap percolation, KCMs have a strong interest in their own: as p ↓ 0 they display some of the most striking features of the liquid/glass transition, a major and still largely open problem in condensed matter physics. In this talk, after an introductory first part, I shall discuss (i) some recent conjectures relating the universality behavior of critical KCMs to their bootstrap percolation counterpart and (ii) some very recent progress towards proving the above conjectures. Joint project with C. Toninelli (Univ. Paris VII) and R. Morris (IMPA, Rio de Janeiro) ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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PhD Course on Hawkes Processes and Applications in Finance
by Carlo Sgarra 07 Oct '17

07 Oct '17

In my previous message announcing a PhD Course at Politecnico di Milano on "Hawkes Processes and Applications in Finance" a systematic misprint on the dates of the lectures appeared. The lectures will take place in JANUARY 2018, not January 2017 (as appearing in the previous message); the other informations concerning classrooms, days and times were correct. I apologize for the misprint. Kind Regards, Carlo Sgarra

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Seminario KAKAMU
by Matteo Ruggiero 06 Oct '17

06 Oct '17

************************************************************************ STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ************************************************************************ Venerdi 13 Ottobre 2017, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario: ------------------------------------------------ Kazuhiko KAKAMU (Kobe University) HOW DOES MONETARY POLICY AFFECT INCOME INEQUALITY IN JAPAN? EVIDENCE FROM GROUPED DATA We examine the effects of monetary policy on income inequality in Japan using a novel econometric approach that jointly estimates the Gini coefficient based on micro-level grouped data of households and the dynamics of macroeconomic quantities. Our results indicate different effects on income inequality depending on the monetary policy measure under consideration: A traditional rate increase decreases income inequality, whereas a reduction of asset purchases leads to more inequality. Movements of inflation expectations and equity prices might account for theses differences. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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PhD Course on Hawkes Processes and Aplications in Finance
by Carlo Sgarra 06 Oct '17

06 Oct '17

The Mathematics Department of Politecnico di Milano will offer a PhD course on the subject "Hawkes Processes and Applications in Finance". The course will be given by Carlo Sgarra. The calendar and the subjects of the lectures will be the following: January 8, 2017 9:30-12:30 Motivation for introducing Hawkes processes in financial models, the self-exciting features of jumps and the clustering property. January 8, 2017 14:30-16:30 Introduction to point processes: their basic properties. January 9, 2017 9:30-12:30 Definition and basic properties of Hawkes processes. January 9, 2017 14:30-16:30 The microstructure foundation of Hawkes processes. January 10, 2017 9:30-12:30 Multivariate Hawkes processes. January 10, 2017 14:30-16:30 Simulation of Hawkes processes. The time change technique. January 15, 2017 9:30-12:30 The Statistics of Hawkes processes: parametric estimation. The Maximum Likelihood Estimator for Hawkes Processes. January 15, 2017 14:30-16:30 Hawkes processes and pricing. January 16, 2017 9:30-12:30 Hawkes processes and the branching property. Branching processes in continuous time and their relation with Hawkes. January 16, 2017 14:30-16:30 Hawkes processes and power market. January 17, 2017 9:30-12:30 Hawkes processes and rough volatility models: an introduction to rough volatility models. January 17, 2017 14:30-16:30 Optimal control problems in Hawkes framework: a few examples from the literature. Some slides will be available at the end of the course. The lectures will take place in the classroom inside the Department of Mathematics located at the third floor of the building called "La Nave". Best Regards, Carlo Sgarra

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Fwd: 4th Barcelona Summer School on Stochastic Analysis
by Marco Romito 06 Oct '17

06 Oct '17

-------- Forwarded Message -------- Subject: 4th Barcelona Summer School on Stochastic Analysis Date: Thu, 5 Oct 2017 15:43:29 +0200 From: Bústia CRM Difusions <crmdifusions(a)crm.cat> Dear colleague, We are pleased to announce the upcoming *4th Barcelona Summer School on Stochastic Analysis*, which will be held at the Centre de Recerca Matemàtica in Bellaterra (Barcelona) from *July 9 to July 13, 2018*. The school is intended for PhD students and young researchers mainly in stochastic analysis. The courses will be the following: * /Some stochastic models in eco-evolution/, by *Sylvie Méléard*(École Polytechnique, France) * /Topology of zero sets of smooth random Gaussian functions, by**/*Mikhail Sodin*(Tel Aviv University, Israel) We invite you to visit the homepage of the school http://www.crm.cat/en/Activities/Curs_2017-2018/Pages/4th-BCN-Summer-School… to keep posted with the progress of and news about the organization. Sincerely Yours, The Organizing Committee: Xavier Bardina (Universitat Autònoma de Barcelona) Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) Marta Sanz-Solé (Universitat de Barcelona) Josep Vives (Universitat de Barcelona) *CRM_LOGO_P* Centre de Recerca Matemàtica Campus de Bellaterra, Edifici C 08193 Bellaterra (Barcelona) Tel.: + 34 93 581 10 81 Fax: + 34 93 581 22 02 *www.crm.cat <http://www.crm.cat/>*** *@CRMatematica <https://twitter.com/CRMatematica>*

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