- Random - Mailing list — Dipartimento di Matematica, UniPI

Cancellazione
by Maurizio Barbato 10 Dec '14

10 Dec '14

Salve vorrei che il mio indirizzo email fosse cancellato dalla mailing list. Grazie, Maurizio Barbato Inviato da iPhone

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Seminario Orsingher
by Giovanni Luca Torrisi 10 Dec '14

10 Dec '14

*Venerdi' 19 Dicembre 2014*, *ore 11:30* Consiglio Nazionale delle Ricerche, Istituto per le Applicazioni del Calcolo "Mauro Picone", Via dei Taurini 19, 00185 Roma Aula Riunioni (secondo piano) *ENZO ORSINGHER* (Universita' di Roma "Sapienza") terra' un seminario dal titolo *Estensioni frazionarie del processo di Poisson* ABSTRACT: In questo seminario si presentano tre diverse estensioni frazionarie del processo di Poisson. La prima è la versione frazionaria rispetto al tempo dove si parte dalla equazione governante le probabilità di stato nelle quali appare la derivata frazionaria rispetto al tempo nella versione di Dzerbayshan-Caputo. Si ottengono le leggi di probabilità esplicite e una relazione con il processo di Poisson classico sotto forma di cambiamento del tempo. Si analizza anche la struttura del processo di Poisson frazionario come processo di rinnovo con intertempi con distribuzione di Mittag-Leffler. Una estensione del processo di Poisson chiamata Poisson frazionario nello spazio è analizzata e viene mostrato che si tratta di un processo ad incrementi indipendenti (a differenza della versione frazionaria rispetto al tempo), se ne ricava la distribuzione in diverse forme e si studiano le rispettive proprietà. Una terza versione del processo di Poisson come mistura di processi di Poisson omogenei è costruita e vengono discusse le sue applicazioni ai voli aleatori. Infine una classe più ampia di processi di Poisson a tempo riscalato e ad incrementi indipendenti è presentata assieme a specifiche forme legate a diverse scelte della misura di Lévy. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Giovanni Luca Torrisi.

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Seminario di Giorgia Callegaro presso Prometeia - Bologna
by giacomo.scandolo＠unifi.it 09 Dec '14

09 Dec '14

Il giorno Martedì 16 Dicembre 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Giorgia CALLEGARO (Università di Padova) terrà un seminario dal titolo "Pricing and Calibration in Local Volatility Models Via Fast Quantization" Abstract In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the recursive marginal quantization methodology to the pricing of vanilla and barrier options. A successful calibration of the Quadratic Normal Volatility model is performed in order to show the potentiality of the method in a concrete example, while a numerical exercise on barrier options shows that quantization overcomes Monte-Carlo methods.

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Seminario di G. Puccetti a Milano
by giovanni.puccetti＠unifi.it 09 Dec '14

09 Dec '14

Giovedì 11 Dicembre alle 12:30 presso l'aula seminari dell'ex Dipartimento di Studi del Lavoro, via Conservatorio 7, primo piano, a Milano, Giovanni Puccetti (Università degli Studi di Firenze) terrà un seminario dal titolo Extremal negative dependence concepts Tutti gli interessati sono invitati a partecipare. Abstract: While the concept of extremal positive dependence is agreed upon for random vectors of arbitrary dimension, various notions of extremal negative dependence arise when more than two random variables are involved. We will review popular existing concepts of extremal negative dependence given in the literature and introduce a novel notion, which in a general sense includes the existing ones as particular cases. Although much of the literature on dependence is actually focused on positive dependence, we will show that negative dependence plays an equally important role in the solution of many optimization problems. This talk is based on a joint work with Ruodu Wang, University of Waterloo.

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StaTalk on Biostatistics - first announcement
by Francesca Ieva 09 Dec '14

09 Dec '14

*** apologize for cross posting *** Dear all, we would like to announce the first /StaTalk/ promoted by the young section of Italian Statistical Society (y-SIS), to be held in Milan, on April 24th, 2015. *STATALK ON BIOSTATISTICS* (https://sites.google.com/site/youngsocietaitalianastatistica/events/statalk…) Department of Mathematics "F. Enriques", Università degli Studi di Milano, via Saldini 50, Milano (Italy) All the information, including the tentative program and the sign-up link for the conference, can be found on the conference website. Statalks are a series of one-day workshop aimed at early career statisticians, i.e., master degree students, people carrying out a PhD, post-docs and young researchers. StaTalks are a fantastic opportunity to share knowledge on advanced topics of statistics in a relaxed and friendly atmosphere. The hosting research group will propose tutorials, seminars and interactive round tables on the main fields of research and application it is concerned. Participants can contribute bringing their own experience through presentations, ideas, poster and material to be shared in the debate. A StaTalk will be held every 6 months in a different city in Italy. StaTalks on Bayesian Nonparametrics and on Computational Tool for Statistical Modelling are already planned in Turin (autumn 2015) and Rome (spring 2016), respectively. Registrations to the first StaTalk are now open. *No conference fees are due, but registration is mandatory*, using the form available on the website. For further information or any doubt and question, please visit the website _https://sites.google.com/site/youngsocietaitalianastatistica/home_ and do not hesitate to contact the y-SIS officers at the e-mail: youngsis.2013(a)gmail.com <mailto:youngsis.2013@gmail.com>. On behalf of y-SIS officers Francesca Ieva -- ----- Francesca Ieva Department of Mathematics, Università degli Studi di Milano Via Saldini 50, 20133 Milano, Italy url: https://sites.google.com/site/mypagefi/ mailto: francesca.ieva(a)unimi.it -----

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Fwd: CRM-PISA -- Announcement for 3 two-year Junior Visiting Positions -- DEADLINE 19th December 2014 (fwd)
by Tiziano Vargiolu 09 Dec '14

09 Dec '14

---------- Forwarded message ---------- Date: Fri, 05 Dec 2014 13:49:59 +0100 From: Davide Vittone <vittone(a)math.unipd.it> To: users(a)math.unipd.it Subject: Fwd: CRM-PISA -- Announcement for 3 two-year Junior Visiting Positions -- DEADLINE 19th December 2014 ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Fwd: Saint-Flour 2015
by Marco Romito 06 Dec '14

06 Dec '14

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Fwd: CRM-PISA -- Announcement for 3 two-year Junior Visiting Positions -- DEADLINE 19th December 2014
by Marco Romito 05 Dec '14

05 Dec '14

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FINAL PROGRAM - Dependence in Risk Measurement and Risk Management
by giovanni.puccetti＠unifi.it 05 Dec '14

05 Dec '14

Workshop "Dependence in Risk Measurement and Risk Management" Firenze, December 18-19, 2014. https://sites.google.com/site/dependencerisk/ FREE (MANDATORY) REGISTRATION WITH MATERIALS for 20 more participants! SPEAKERS INLCUDE FABIO BELLINI (Milano Bicocca) CAROLE BERNARD (University of Waterloo) ELENA DI BERNARDINO (CNAM Paris) JEAN JACOD (Paris VI) FABRIZIO LILLO (SNS Pisa) MARK PODOLSKIJ (Aarhus University) PIETRO RIGO (Università di Pavia) FABIO SPIZZICHINO (Sapienza Università di Roma) STEVEN VANDUFFEL (Vrije University Brussels)

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seminario il 19 Dicembre al CNR-IMATI
by Antonella Bodini 04 Dec '14

04 Dec '14

Venerdi 19 dicembre, alle ore 11, presso la sede di Milano dell'IMATI Via Bassini 15, nella Sala Pentagonale al secondo piano, *Ting Wang* (Department of Mathematics and Statistics, University of Otago, New Zealand) presentera' un seminario dal titolo Modelling of seismic activity using Markov-modulated Hawkes process and its extensions. Abstract: Earthquakes are processes in which the internal workings are only observed indirectly, although the final effects are all too observable! Hidden Markov models (HMMs, a general statistical framework for modelling partially observed systems) are an intuitively attractive idea for analysing seismicity. I will introduce the Markov-modulated Hawkes process that we developed for investigating long-term patterns in seismicity rate. The catalogue of the Landers earthquake sequence, which included multiple mainshocks, was used as a case study. I will show how this model captures the cyclic parent-generating-offspring feature of the temporal behaviour of earthquakes. I will also discuss our current work on extending this temporal model by including spatial variation of the seismic activity and the earthquake magnitude. Our aim is to categorize spatiotemporal seismic hazards holistically, using the entire earthquake record in a selected region to identify patterns correlated with subsequent large earthquakes, rather than the traditional way of hunting for individual foreshocks. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Antonella. -- Dott. Antonella Bodini CNR-Istituto di Matematica Applicata e Tecnologie Informatiche Via Bassini 15, 20133 Milano (Italy) tel +39 02 23699524 fax +39 02 23699538 http://www.mi.imati.cnr.it/~anto/

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Seminari al Collegio Carlo Alberto
by Matteo Ruggiero 02 Dec '14

02 Dec '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Nei giorni 10 e 11 Dicembre 2014, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terranno i seguenti seminari: 10 Dicembre, h 11.00 James SCOTT (University of Texas at Austin) FALSE DISCOVERY RATE SMOOTHING — 10 Dicembre, h 12.00 Taeryon CHOI (Korea University) GENERALIZED PARTIALLY ADDITIVE BAYESIAN SPECTRAL ANALYSIS REGRESSION MODELS — 11 Dicembre, h 11.00 Jaeyong LEE (Seoul National University) DEPENDENT SPECIES SAMPLING MODELS — 11 Dicembre, h 12.00 Luis Enrique NIETO-BARAJAS (ITAM, México) SPATIAL GAMMA PROCESSES IN DISEASE MAPPING Tutti gli interessati sono invitati a partecipare. I seminari sono organizzati 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 and Collegio Carlo Alberto http://sites.carloalberto.org/ruggiero

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Avviso di seminario :: Colubi@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 02 Dec '14

02 Dec '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Mercoledì 10 Dicembre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma ANA COLUBI (Università di Oviedo) terrà un seminario dal titolo ON THE TRIMMED MEAN IN HILBERT SPACES: APPLICATIONS TO FUZZY AND FUNCTIONAL DATA 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 --- ABSTRACT Numerous experimental studies involve semi-quantitative expert information, or measured in a non-precise way, which can be modeled with interval (fluctuations, grouped data, etc.) or fuzzy (ratings, opinions, perceptions etc.) data. A general framework to analyze these kinds of inexact data with statistical tools developed for Hilbertian random variables will be presented. Robust estimation in Hilbert spaces is specially relevant for its applications in the treatment of contaminated functional data. Specifically, the trimmed mean was already defined and analyzed under ideal conditions. However its estimation has not been efficiently implemented. An algorithm to compute the sample trimmed mean in Hilbert spaces is presented and its robust properties are briefly discussed. To show the performance of the algorithm some case studies concerning functional and fuzzy data will be presented.

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seminario GALERNE
by Elena Villa 01 Dec '14

01 Dec '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. ******************************************* A v v i s o d i S e m i n a r i o ******************************************* *Giovedì 18 Dicembre*,*ore 11:00* Aula Dottorato, Dipartimento di Matematica, Universita' degli Studi di Milano via C. Saldini 50, Milano *BRUNO GALERNE* (MAP5, Université Paris Descartes) terrà un seminario dal titolo *Random Fields of Bounded Variation and Computation of their Variation Intensity* ABSTRACT: The purpose of this talk is to define and characterize random fields of bounded variation, that is random fields with sample paths in the space of functions of bounded variation, and to study their mean total variation. We will mainly focus on the mean variation of random fields with stationary increments. We will show that this mean variation is proportional to the Lebesgue measure, and an expression of the constant of proportionality, called the variation intensity, will be established. This expression shows in particular that the variation intensity only depends on the family of two-dimensional distributions of the stationary increment random field. When restricting to random sets, the obtained results give generalizations of well-known formulas from stochastic geometry and mathematical morphology. The interest of these general results will be illustrated by computing the variation intensities of several classical stationary random field and random set models, namely Gaussian random fields and excursion sets, Poisson shot noises, Boolean models, dead leaves models, and random tessellations. Tutti gli interessati sono invitati a partecipare. Saluti Elena Villa -- ******************************************* Elena Villa Dipartimento di Matematica, Universita' degli Studi di Milano via C.Saldini 50, 20133 Milano, Italy Phone: +39 0250316132 - Fax: +39 0250316090 Web-page: http://users.mat.unimi.it/~villa

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de Finetti risk seminar - december 2014
by Emanuela Rosazza 01 Dec '14

01 Dec '14

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture ADVERSARIAL RISK ANALYSIS: CONCEPTS, METHODS AND APPLICATIONS David Rios Insua ICMAT-CSIC LOCATION: The seminar will be held on Wednesday, December 3, at 18.00 at room 3-E4-SR03, Bocconi University, Via Rontgen 1, 3rd floor, 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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Seminario VALENTINA CAMMAROTA
by Federico Polito 28 Nov '14

28 Nov '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Lunedì 15 Dicembre 2014 alle ore 11:00 in Aula S, presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, La Dott.ssa VALENTINA CAMMAROTA (Department of Mathematics, Università degli Studi di Roma "Tor Vergata") terrà un seminario dal titolo ON THE DISTRIBUTION OF THE CRITICAL VALUES OF RANDOM SPHERICAL HARMONICS Abstract: We study the limiting distribution of critical points and extrema of random spherical harmonics, in the high energy limit. In particular, we first derive the density functions of extrema and saddles; we then provide analytic expressions for the variances and we show that the empirical measures in the high-energy limits converge weakly to their expected values. Our arguments require a careful investigation of the validity of the Kac-Rice formula in nonstandard circumstances, entailing degeneracies of covariance matrices for first and second derivatives of the processes being analysed. Joint paper with Domenico Marinucci (Università degli studi di Roma "Tor Vergata") and Igor Wigman (King's College, London) Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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LMS-CMI Research school at Loughborough, April 13-17, 2015 (fwd)
by Michele Gianfelice 27 Nov '14

27 Nov '14

---------- Forwarded message ---------- Date: Thu, 27 Nov 2014 16:46:03 +0000 From: Wael Bahsoun <W.Bahsoun(a)lboro.ac.uk> To: Wael Bahsoun <W.Bahsoun(a)lboro.ac.uk> Subject: LMS-CMI Research school at Loughborough, April 13-17, 2015 ????????????????????????????????????????????????????????????????Dear Colleagues, I would like to point to your attention that there will be a LMS-CMI school for research students at Loughborough University from 13-17 April. Title: Statistical Properties of Dynamical Systems Lecturers are: C. Liverani (Rome), I. Melbourne (Warwick) and M. Demers (Fairfield, USA). More information is a availableat http://www.claymath.org/events/statistical-pr operties-dynamical-systems Please encourage research students to register via the above website. The deadline to register is 30 January 2015. Financial support to cover meals and accommodation is available, and in some cases, where other sources are not available, to cover travel for non-UK students. I would also appreciate it if you also post the attached poster in your department. Best regards, Wael

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Position in Pisa (fwd)
by Tiziano Vargiolu 27 Nov '14

27 Nov '14

---------- Forwarded message ---------- Date: Thu, 27 Nov 2014 14:38:52 +0100 (CET) From: Giovanna Carnovale <carnoval(a)math.unipd.it> To: users(a)math.unipd.it =========================================================================== POSTDOC POSITION AT CENTRO DI GIORGI - PISA This is a 2 year position. Gross compensation, inclusive of all taxes: ? 65.000 (for 2 years) The "Centro De Giorgi" is in front of Scuola Normale Superiore and 500 meters from the Department of mathematics. http://www.sns.it/en/servizi/job/assegnidiricerca/assegno559/ ==============================================================================

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Wednesday 3.12.14 14.30h ASSESSING RISKS: ISSUES AND SOLUTIONS - R. Zitikis University of Western Ontario
by Francesca Greselin 27 Nov '14

27 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Francesca Greselin ----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Wednesday December, 3 2014, at 2.30 p.m Department of Statistics and Quantitative Methods Aula Consiglio della Scuola di Economia e Statistica, 4rth floor, Room n°4064, building U7 ----------------------------------------------------------------------------- RICARDAS ZITIKIS, PhD, (Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Canada) will give the following talk: ASSESSING RISKS: ISSUES AND SOLUTIONS Abstract Just like measuring economic inequality, assessing risk and its impact on decision making could be a daunting task. More often than not, we misestimate risk, and do so unwittingly. I will illustrate such issues and share thoughts that have guided my current research. http://www.stats.uwo.ca/faculty/zitikis/main.htm <http://www.stats.uwo.ca/faculty/zitikis/main.htm> -----------------------------------------------------------------------------

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seminario di Tiziano Vargiolu presso Prometeia - Bologna
by Giacomo Scandolo 25 Nov '14

25 Nov '14

Il giorno Martedì 2 Dicembre 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Tiziano VARGIOLU (Università di Padova) terrà un seminario dal titolo "Utility indifference pricing and hedging for structured contracts in energy markets" Abstract In this paper we focus on pricing of structured products in energy markets using utility indifference pricing approach. In particular, we compute the buyer's price of such derivatives for an agent investing in the forward market, whose preferences are described by an exponential utility function. Such a price is characterized in terms of continuous viscosity solutions of suitable non-linear PDEs. This provides an effective way to compute both an optimal exercise strategy for the structured product and a portfolio strategy to partially hedge the financial position. In the complete market case, the financial hedge turns out to be perfect and the PDE reduces to particular cases already treated in the literature. Moreover, in a model with two assets and constant correlation, we obtain a representation of the price as the value function of an auxiliary simpler optimization problem under a risk neutral probability, that can be viewed as a perturbation of the minimal entropy martingale measure. Finally, numerical results are provided.

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Seminario Ely MERZBACH (Fractional Poisson Process)
by Giacomo Aletti 25 Nov '14

25 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito del Seminario di Matematica Applicata, il giorno giovedì 4 Dicembre 2014, alle ore 16.00, nell'Aula 4 (piano terra) del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "The Fractional Poisson process and extensions" Ely MERZBACH Bar Ilan University (joint work with O. Busani and N. Leonenko) Abstract: We present different definitions and asymptotic properties of the Fractional Poisson Process. We define Continuous Time Random Walks Limits. Using inverse stable subordinators and Mittag-Leffler functions, we present a new definition of a fractional Poisson process parametrized by points of the Euclidean plane. Some properties are given and, in particular, we prove a long-range dependence property. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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Seminario VIDYASHANKAR
by Andrea Ghiglietti 24 Nov '14

24 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati,scusandomi per invii multipli.Cordialmente,Andrea Ghiglietti--------------Annuncio il seguente seminario:il giorno giovedì 4 Dicembre 2014, alle ore 14.30, nell'Aula 4 del Dipartimento di Matematica dell'Università degli Studi di Milano, Via C. Saldini, 50, Milano,"Finite Sample Post-Model Selection Inference"Anand N. Vidyashankar,Department of Statistics, Volgeneau School of Engineering, George Mason University.Abstract:In several instances of statistical practice it is common, when using parametric or semi-parametric models, that a preliminary test of a subset of parameters is made and based on the results of the pretest an appropriate model is chosen. However, when evaluating the resulting inferential procedure the variability induced by the model-selection needs to be taken into account. In this presentation, we describe two distinct approaches to data analyses in these contexts. We evaluate both these approaches, using recently developed concentration inequalities, in nite samples as opposed to the traditional large sample investigations. We also describe new central limit theorems facilitating comparisons between the methods. Keywords: Finite Sample Inference, Model Selection Variability, Asymptotic inference, Data-splitting, Large deviations, Concentration Inequalities.

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Seminario CHARAWI (RGS & Matematica Applicata)
by Giacomo Aletti 24 Nov '14

24 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 1 Dicembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Ionic mechanism underlying cardiac pacemaking: Insights from a mathematical model" Lara CHARAWI Dipartimento Matematica, Università di PAVIA Abstract: The ionic mechanisms at the basis of the spontaneous pacemaker activity of sinoatrial node (SAN) cells is a matter of intense debate [1], in particular the role of the hyperpolarization-activated current, known as the "funny" current If [2]. Computational models of the electrical activity of SAN cells have been proposed to gain a deeper understanding of the phenomenon, however they fail in reproducing experimental effects of If modifications. We present a novel mathematical model of rabbit SAN action potential [3], developed by updating the description of membrane currents and intracellular mechanisms on the basis of experimental acquisitions, in an attempt to reproduce pacemaker activity and its physiological and pharmacological modulation. Our model describes satisfactorily experimental data on pacemaking regulation due to neural modulation, If block and inhibition of the intracellular calcium handling. Simulation results suggest that a detailed description of the intracellular calcium fluxes is fully compatible with the observation that If is a major component of pacemaking and rate modulation. Keywords Cardiac modelling, cardiac pacemaking, sinoatrial node, funny current, autonomic rate modulation. References [1] Lakatta, E. G., and DiFrancesco, D. (2009). What keeps us ticking: a funny current, a calcium clock, or both?. J. mol. cell. cardiol., 47(2), 157-170. [2] Brown, H. F., DiFrancesco, D., and Noble, S. J. (1979). How does adrenaline accelerate the heart? Nature, 280, 235-236. [3] Severi, S., Fantini, M., Charawi, L. A., and DiFrancesco, D. (2012). An updated computational model of rabbit sinoatrial action potential to investigate the mechanisms of heart rate modulation. J. physiol., 590(18), 4483-4499. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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Seminario Prof. Mascia (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 21 Nov '14

21 Nov '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 28 Novembre, ore 10 ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma PROF. CORRADO MASCIA (Dipartimento di Matematica "G. Castelnuovo", Sapienza Università di Roma) terrà un seminario dal titolo: *Parabolic behavior of hyperbolic systems describing velocity-jump processes* *Abstract:* *The talk concerns with the large-time behavior of a class of* *hyperbolic systems of partial differential equations and its relation* *with corresponding (reduced) parabolic equations. The basic prototypeis the Goldstein-Kac model for correlated random walks, interpreted asa variation of the classical heat equation.Areas of interest of the topic will be presented, together with aselection of known rigorous mathematical results available in theliterature. Additionally, the asymptotic description of ageneralization of the Goldstein-Kac model to an arbitrary number ofspeeds in several dimensions (based on an application of a variant ofthe Kirchoff’s matrix tree Theorem from graph theory) will bepresented in details.* Tutti gli interessati sono invitati a partecipare. Saluti Alessandro De Gregorio

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seminario TOM HURD
by Matteo Burzoni 21 Nov '14

21 Nov '14

Avviso di seminario. Università degli studi di Milano. --------------------------------------------------------------------------------------------- Venerdì 28 Novembre 2014 alle ore 14.00 presso l’Aula di Rappresentanza del Dipartimento di Matematica, Via Saldini, 50, Milano -------------------------------------------------------------------------------------------- Tom Hurd Mc Master University terrà un seminario dal titolo: Percolation and Financial Cascades Abstract: Exact results in percolation theory on random graphs rely on a property known as the ``tree ansatz'', which is known to be asymptotically true on the family of configuration graphs. The question arises whether percolation ideas are relevant l for understanding systemic risk in financial networks. In this talk, I will review models of financial contagion, such as the Eisenberg-Noe model and its alternatives. Along the way, I will propose definitions for ``random financial network'' (RFN) and ``locally treelike independence'' (LTI), and explore these definitions' mathematical consequences. In the end, comparison of analytical approximations to Monte Carlo computations in some realistic network cascade examples shows that there are indeed situations where the LTI approximation is "surprisingly" accurate.

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Job Openings in Research Positions (Female) at ISM, Japan
by Ilia Negri 21 Nov '14

21 Nov '14

Volentieri giro questa informazione di una posizione per ricercatrice (donna) presso l'ISM a Tachikawa, Tokyo. The institute of Statistical Mathematics (ISM), Tachikawa, Tokyo (Japan) has an open position for Assistant Professor in Statistics (female) Deadline for Application : Must be submitted by December 12, 2014 More informations are available here: http://www.ism.ac.jp/jobs/index_e.html or here: http://www.ism.ac.jp/jobs/index_e/1111.pdf Ilia Negri http://www.unibg.it/pers/?ilia.negri

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Seminario MICHAEL HINZ -- UniTo
by Federico Polito 20 Nov '14

20 Nov '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Venerdì 28 Novembre 2014 alle ore 14:00 in Aula S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. MICHAEL HINZ (Department of Mathematics, Bielefeld University) terrà un seminario dal titolo CALCULUS, STOCHASTIC PROCESSES AND GEOMETRY WITHOUT SMOOTHNESS Abstract: The talk deals with analysis and stochastic processes on fully singular spaces (i.e. singular at every or almost every point). In the first part we give a brief introduction to the subject which was started in the late eighties and early nineties by Goldstein, Kusuoka, Barlow, Bass, Kigami and others and is now referred to as 'Analysis on fractals'. Markov processes and their energy functionals (Dirichlet forms) play a key role. In the second part we explain some interrelations between stochastic analysis and items of differential geometry, point out some recent results and applications. Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Fwd: PhD position available at TU Delft
by Gustavo Posta 20 Nov '14

20 Nov '14

Begin forwarded message: > From: "Faggionato, Alessandra" <faggiona(a)mat.uniroma1.it> > Subject: PhD position available at TU Delft > Date: 20 novembre 2014 10:22:52 GMT+01:00 > > %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% > PhD position available at TU Delft > > The PhD position is available in the Applied Probability group of Prof. Dr.= > Frank Redig at Technical University Delft. Under the supervision of Dr. W= > ioletta Ruszel and Prof. Frank Redig the PhD candidate has the opportunity = > to choose between the following challenging projects: > > - Gibbs- non Gibbs transitions on random graphs > > - Probabilistic cellular automata on trees > > - Synchronization on a network > > For more details please go to: > http://dutiosb.twi.tudelft.nl/~ruszel/misc.html > There is also the possibility to discuss possible other projects in consult= > ation with Dr. Ruszel and Prof. Redig. > You will report on your results through papers in high-ranking probability = > journals and through presentations at international conferences. > You will also have some minor teaching duties, mainly as an assistant for r= > elevant Bachelor and/or Master degree courses. > Women are especially encouraged to apply. > > Requirements > > You have an MSc in mathematics or physics, with a proven interest and track= > record in probability theory. > Conditions of employment > You will be appointed for a period of four years. Your performance will be = > evaluated after 18 months. If the evaluation is positive, the contract will= > be extended by 2.5 years; > You will be classified as a PhD Candidate (promovendus) in the Dutch univer= > sity job-ranking system (UFO). The gross starting salary amounts to 2,062 E= > uros per month based on full-time employment, and will increase to 2,638 Eu= > ros in the fourth year; > > Organisation > > TU Delft has over 13,000 students and 5,000 staff, all of whom are driven b= > y a fascination for science, design and engineering. Our university is not = > only the oldest but also the largest university of technology in the Nether= > lands. As such, we are constantly in search of new talent from home and abr= > oad to help us ensure that our research and education remains of the very h= > ighest standard. > Delft University of Technology works at providing new ground-breaking insig= > hts and solutions to urgent societal problems around the world. Thanks to i= > ts top faculty members and unique, large-scale technological research facil= > ities, this university offers world-level multidisciplinary research and ed= > ucation. > The campus contains a large number of state-of the art facilities such as t= > he sports and cultural centers. > > Contact > > The deadline fo rthe application is 31 st of December 2014. Please send a l= > etter of motivation, a list of taken courses with grades, a copy of your ma= > ster thesis and at least two references to W.M.Ruszel(a)tudelft.nl. > For more information and applications please contact W.M.Ruszel(a)tudelft.nl = > or F.H.J.Redig(a)tudelft.nl.

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Fwd: [World] Doctoral position in Combinatorics, Vienna
by Gustavo Posta 20 Nov '14

20 Nov '14

Begin forwarded message: > From: Ilse Fischer <ilse.fischer(a)univie.ac.at> > Subject: [World] Doctoral position in Combinatorics, Vienna > Date: 20 novembre 2014 09:15:54 GMT+01:00 > To: world(a)alea-research.eu > > Doctoral position in Combinatorics > University of Vienna, Austria > > A doctoral position in Combinatorics at the University of Vienna is available. The position is within the framework of a START project funded by the Austrian Science Foundation FWF and deals with recent topics in enumerative and algebraic combinatorics as wells as statistical physics. > > Successful candidates will join the combinatorics group > http://www.mat.univie.ac.at/~kratt/comb.html > > The position comes with substantial travel funding and is available from January 1, 2015 (negotiable). There is no obligation to teach. > > Applications, including CV, letter of motivation, a PDF file of the master/diploma thesis and the name of one reference with her/his email-address, should be sent to > > Ilse Fischer > ilse.fischer at univie.ac.at > http://www.mat.univie.ac.at/~ifischer/ > > and will be considered until the position is filled. > > For further informations do not hesitate to contact Ilse Fischer. > _______________________________________________ > World mailing list > World(a)alea-research.eu > http://alea-research.eu/cgi-bin/mailman/listinfo/world

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Last call JMVA-SI on Statistics in HD spaces
by Aldo Goia 20 Nov '14

20 Nov '14

Dear Colleagues, This is the last call for inviting you to submit works to the Special Issue of the journal JMVA devoted to High and Infinite Dimensional Statistics. Recall that the last deadline for sending papers is fixed to December 31, 2014. We remember that this issue is devoted to contributions in the various fields involving High Dimensional Statistics including in particular (but not only) Functional Data Analysis, Nonparametric Statistics, Variable Selection, Model Choice ... You can find all the details on the JMVA web site: http://www.journals.elsevier.com/journal-of-multivariate-analysis/call-for-… and you can submit your paper on line at http://ees.elsevier.com/jmva/ (please indicate at the first stage of submission, when filling "Type of article", that it is for this SI). Recall also that, after submission, the papers will be regularly reviewed according to the usual standards of the journal JMVA. Thank you for your interest in Functional and High Dimensional Statistics, and please apologize for cross-posting if any. With our best wishes, Aldo Goia and Philippe Vieu Guest Editors of JMVA S.I. on Statistics in HD Spaces -- Aldo Goia Dipartimento di Studi per l'Economia e l'Impresa Università del Piemonte Orientale "A. Avogadro" Via Perrone, 18 - 28100 Novara Tel. +39 0321 375319 - Fax. +39 0321 375305

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Avviso di seminario :: Mukhopadhyay@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 19 Nov '14

19 Nov '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 27 Novembre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma NITIS MUKHOPADHYAY (Department of Statistics, University of Connecticut-Storrs) terrà un seminario dal titolo WALKING A THIN LINE BETWEEN TEACHING AND RESEARCH CAN BE EXCITING 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 --- ABSTRACT A two-way live connection involving give-and-take between teaching and research makes me feel very excited as a teacher every day at the real prospect of becoming more effective in a classroom. I may add that some of my recent research on statistical inference and related topics has tended to originate largely from teaching. In turn, such research energizes my role as a teacher. In this presentation, I will highlight a number of such interesting problems along with their often unassuming origins. In doing so, I will touch upon Student’s t-distributions, multivariate normality, as well as sufficiency, ancillarity, and Basu’s example.

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seminario di Maurizia Rossi a Pavia
by Carbone Raffaella 18 Nov '14

18 Nov '14

Cari colleghi, vi annuncio che giovedì 27 novembre, alle ore 14:30 precise, nell'aula Beltrami del Dipartimento di Matematica dell'Universita' di Pavia, la Dott. Maurizia ROSSI (Università di Roma Tor Vergata) terra' un seminario dal titolo *"Quantitative Central Limit Theorems for Nonlinear Functionals of RandomEigenfunctions on $\mathbb S^d$, $d\ge 2$".* Distinti saluti, Raffaella Carbone ----------------- *ABSTRACT* *We investigate Stein-Malliavin approximations for nonlinear functionals of geometric interest for random eigenfunctions on the unit d-dimensional sphere Sd, d ≥ 2. All our results are established in the high energy limit, i.e. as the corresponding eigenvalues diverge. In particular, we prove a quantitative Central Limit Theorem for the ex- cursion volume of Gaussian eigenfunctions; this goal is achieved by means of several results of independent interest, concerning the asymptotic analysis for the variance of moments of Gaussian eigenfunctions, the rates of convergence in various probability metrics for Hermite subordinated processes, and quantitative Central Limit Theo- rems for arbitrary polynomials of finite order or general, square-integrable, nonlinear transforms. Some related issues were already considered in the literature for the 2- dimensional case S2; our results are new or improve the existing bounds even in this special circumstances. Proofs are based on the asymptotic analysis of moments of all order for Gegenbauer polynomials, and make extensive use of the recent literature on so-called fourth-moment theorems by Nourdin and Peccati. This talk is based on the paper Stein-Malliavin Approximations for Nonlinear Func- tionals of Random Eigenfunctions on Sd, joint work with Domenico Marinucci.----------------* Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Algebraic Statistics 2015 - Genova - June 8-11, 2015
by Fabio Rapallo 17 Nov '14

17 Nov '14

******************************** WORKSHOP ANNOUNCEMENT ******************************** ALGEBRAIC STATISTICS 2015 June 8-11, 2015 Department of Mathematics, University of Genova Invited speakers: • Elvira Di Nardo (Universita' degli Studi della Basilicata, Department of Mathematics, Computer Science and Economics) • Thomas Kahle (University of Magdeburg, Fakultät für Mathematik) • Sonja Petrovic (Illinois Institute of Technology. Department of Applied Mathematics) • Jim Q. Smith (The University of Warwick, Department of Statistics) • Bernd Sturmfels (U.C. Berkeley, Department of Mathematics) The deadline for submission of abstracts of talks and posters is December 31, 2014. Further information are available from http://www.dima.unige.it/~rogantin/AS2015/ or by email from the Organising Committee at infoAS2015(a)dima.unige.it The meeting is sponsored by Department of Mathematics, Genova, and by Dipartimento di Scienze e Innovazione Tecnologica, Università del Piemonte Orientale and has the patronage of Bernoulli Society and De Castro Statistics Initiative, Collegio Carlo Alberto, Moncalieri. Best regards, Fabio Rapallo -- Fabio Rapallo Dipartimento DISIT Universita' del Piemonte Orientale

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Seminario CATTANI (RGS & Matematica Applicata)
by Giacomo Aletti 17 Nov '14

17 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 24 Novembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Multispecies models for large neural network description" Anna CATTANI, Center for Neuroscience and Cognitive Systems (CNCS), IIT, Rovereto Joint work with Claudio Canuto Abstract: Today modeling large neural network is a topic more relevant than ever. In particular, the set up of computer simulations describing complex networks with a huge number of nodes is a formidable challenge. The intrinsic difficulties concerning the prohibitive computational costs may be handled to some extent by exploiting what we call "multispecies" models. From a mathematical perspective this issue consists in formalizing the PDE-based continuum models which describe the high-density populations inside the network and studying interactions between them and the ODE-based discrete models for each neuron belonging to the low-density populations. In particular, we exploit such an approach to describe the Golgi-Granular cell loop network in the Cerebellum. Each single cell is described by means of the FitzHugh-Nagumo model and both electrical and chemical (excitatory and inhibitory) synapses are taken into account. Several simulations describing interesting phenomena as synchronization and travelling waves have been done. Biological aspects have also been examined in order to provide our work with scientific completeness. References [1] A.Cattani, FitzHugh-Nagumo equations with generalized diffusive coupling, Mathematical Bio- sciences and Engineering, 11 203-215, 2014. [2] C.Canuto and A.Cattani, The derivation of continuum limits of neuronal networks with gap- junction couplings, Network and Heterogeneous Media, 9, 111-133, 2014. [3] A.Cattani, "Multispecies" models to describe large neuronal networks, Ph.D. thesis, 2014. ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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Seminario MICHAEL HINZ
by Federico Polito 16 Nov '14

16 Nov '14

****************************************************** SEMINARI DI PROBABILITA' E STATISTICA DIPARTIMENTO DI MATEMATICA G. PEANO UNIVERSITA' DEGLI STUDI DI TORINO ****************************************************** Venerdì 28 Novembre 2014 alle ore 14:30 in Aula S presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Dott. MICHAEL HINZ (Department of Mathematics, Bielefeld University) terrà un seminario dal titolo CALCULUS, STOCHASTIC PROCESSES AND GEOMETRY WITHOUT SMOOTHNESS Abstract: The talk deals with analysis and stochastic processes on fully singular spaces (i.e. singular at every or almost every point). In the first part we give a brief introduction to the subject which was started in the late eighties and early nineties by Goldstein, Kusuoka, Barlow, Bass, Kigami and others and is now referred to as 'Analysis on fractals'. Markov processes and their energy functionals (Dirichlet forms) play a key role. In the second part we explain some interrelations between stochastic analysis and items of differential geometry, point out some recent results and applications. Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702937 Web: www.federicopolito.it

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Bicocca Winter School on SINGULAR STOCHASTIC PDEs
by Francesco Caravenna 14 Nov '14

14 Nov '14

RECENT BREAKTHROUGHS IN SINGULAR STOCHASTIC PDEs Bicocca Winter School (2-6 February 2015) The aim of this school is to present some recent breakthroughs in the theory of non-linear stochastic PDEs, that allow to give a rigorous meaning to some important singular equations for which classical methods fail, due to the irregularity of the noise. Examples include the Kardar-Parisi-Zhang (KPZ) equation in 1d, the equation of stochastic quantization in 3d, the parabolic Anderson model in 2d. The school is mainly targeted at PhD students and young researchers. There will be two mini-courses by Massimiliano Gubinelli (Université Paris Dauphine) and Lorenzo Zambotti (Université Pierre et Marie Curie), presenting different approaches but discussing analogous examples. The venue of the school is the Department of Mathematics and Applications of the University of Milano-Bicocca. For more information and for the registration, see the page: http://www.matapp.unimib.it/~fcaraven/spdes2015/ The Organizing Committee Francesco Caravenna, Federica Masiero, Gianmario Tessitore

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Seminario Giovanni Jona Lasinio a Roma Tre 18 Novembre
by Pietro Caputo 14 Nov '14

14 Nov '14

Giovanni Jona-Lasinio Universita' La Sapienza Titolo: Macroscopic fluctuation theory: an introduction and some applications Martedi' 18 Novembre 2014 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Abstract: The macroscopic fluctuation theory, proposed in collaboration with L. Bertini. A. De Sole, D. Gabrielli and C. Landim to study diffusive systems out of equilibrium, developed over the last decade into a powerful tool to solve concrete problems. After discussing the basic ideas I will illustrate some applications among which the existence of phase transitions in the behaviour of fluctuations. Of special interest are the fluctuations of the current in stationary states. New variational principles appear in the thermodynamics of non-equilibrium stationary states.

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Assegno di ricerca - Università Ca' Foscari di Venezia
by Carlo Gaetan 13 Nov '14

13 Nov '14

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Lucian Maticiuc - seminar at Computer Science Department Verona [ 20/11/14 ]
by Luca di persio 13 Nov '14

13 Nov '14

This is to inform you about the seminar that will be given by Lucian Maticiuic [Department of Mathematics "Gheorghe Asachi" Technical University] next 20/11, in Verona - Department of Computer Science. Details: http://www.di.univr.it/?ent=seminario&id=3220&lang=en Abstract We will present a self contained introduction to path dependent partial differential equation in stochastic framework, also considering memory effects and aiming at exploiting related results in financial frameworks characterized by various forms of delay. The talk will be divided in two parts of 45 minutes each. Best, LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - ItalyTel : +39 0461 281686

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de Finetti risk seminar - november 2014
by Emanuela Rosazza 12 Nov '14

12 Nov '14

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lectures at 16:30: Conditional systemic risk measures Thilo Meyer-Brandis (LMU Munich) ABSTRACT The financial crisis has demonstrated that systemic risk due to the interconnectedness of financial-market participants - such as financial institutions, insurers, governments and, even, regulators themselves - can dramatically amplify the consequences of isolated shocks to financial systems and pose a serious threat to prosperity and social stability.The traditional approach to risk control in financial mathematics is to apply risk measures to single institutions. However, this strategy fails to capture systemic risk because it treats institutions as if they were in isolation, and recent literature in financial mathematics has started to develop various approaches to rectify this deficiency. In this presentation we will axiomatically introduce and characterize risk-consistent conditional systemic risk measures. This class of conditional systemic risk measures is defined on multidimensional risks and consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies are based on the axiomatic characterization in [Chen et al., 2013] of a similar class of systemic risk measures in a finite state and unconditional framework. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Moreover, we allow for very general aggregation rules, a less restrictive axiomatic setting, and thus a more flexible structure which covers many prominent examples of systemic risk measures from the literature and used in practice. Further, we will see how this type of systemic risk measures naturally arises when considering families of consistent conditional systemic risk measures and discuss some examples. at 18:00: Mathematical models for the formation of financial bubbles Francesca Biagini (LMU Munich) ABSTRACT The notion of an asset price bubble has two ingredients. One is the observed market price of a given financial asset, the other is the asset's intrinsic value, and the bubble is defined as the difference between the two. The intrinsic value, also called the fundamental value of the asset, is usually defined as the expected sum of future discounted dividends. In the first part of the talk we study a flow in the space of equivalent martingale measures and focus on the corresponding shifting perception of the fundamental value of a given asset in an incomplete financial marketmodel. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale which then turns into a supermartingale before it falls back to its initial value zero. In the second part of the talk we examine the impact of overconfidence on bubbles formation in the framework of reduced-form models for credit risk. We assume that the wealth associated to a defaultable asset may be strongly affected by the trading activity of overconfident investors, who believe the asset to be safe and provoke an alteration of its estimated value. Since the value process changes under this influence, the underlying pricing measure has also to readapt determining a switch in the space of the equivalent martingale measures. In this way we provide a constructive approach to explain bubbles formation as well as motivate a dynamics in the space of equivalent martingale measures at micro-economic level. LOCATION: The seminar will be held on Wednesday, November 19, starting from 16.30, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi 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 :: Fattorini@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 12 Nov '14

12 Nov '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 20 Novembre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma LORENZO FATTORINI (Dipartimento di Economia e Statistica Università degli Studi di Siena) terrà un seminario dal titolo INDAGINI FORESTALI: TEORIA E APPLICAZIONI 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 --- Sintesi In una prima parte metodologica, le stime di superfici e di totali vengono trattate come integrazioni Monte Carlo. Vengono poi dati risultati per campioni finiti e risultati asintotici sulle proprietà degli stimatori risultanti. In una seconda parte applicativa, vengono considerati gli aspetti pratici delle stime di superfici forestali e delle biomasse al loro interno ottenute tramite indagini campionarie note come inventari forestali.

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seminario di Alessandro Gnoatto presso Prometeia - Bologna
by Giacomo Scandolo 12 Nov '14

12 Nov '14

Il giorno Martedì 18 Novembre 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Alessandro Gnoatto (Ludwig-Maximilians Universität München) terrà un seminario dal titolo "Interest rate modelling after the financial crisis" Abstract In the first part of the talk we proceed to review the main changes in the interbank interest rate market after the financial crisis. We present the most relevant empirical evidences: divergence between different interbank rates, failure of the standard FRA replication argument, emergence of basis swap spreads. Secondly, we quickly review the valuation of contingent claims under collateralization, which constitutes the market practice for interest rate products in the post-crisis world and forms the basis for multiple curve valuation. In the second part of the talk we propose a general framework for modelling multiple yield curves. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage and, in addition, we show how to construct models such that multiplicative spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is an affine process, we obtain a flexible and tractable Markovian structure. Finally, we show that the proposed framework allows to unify and extend several recent approaches to multiple yield curve modelling. The talk is based on joint works with C. Cuchiero, and C. Fontana.

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[ccfz] Postdoctoral fellowship at Imperial College London
by Tiziano Vargiolu 10 Nov '14

10 Nov '14

----- Forwarded message from r.cont(a)imperial.ac.uk ----- Date: Mon, 10 Nov 2014 09:57:20 +0000 From: "Cont, Rama" <r.cont(a)imperial.ac.uk> Reply-To: "Cont, Rama" <r.cont(a)imperial.ac.uk> Subject: [ccfz] Postdoctoral fellowship at Imperial College London To: "ccfz(a)lists.math.ethz.ch" <ccfz(a)lists.math.ethz.ch> The Department of Mathematics, Imperial College London is recruiting 3 Chapman postdoctoral fellows in Mathematics, starting 1 October 2015 for a duration of 2 years. The Mathematical Finance Section http://www3.imperial.ac.uk/mathfin will support a candidate with research interests focused on MATHEMATICAL FINANCE, STOCHASTIC ANALYSIS OR APPLIED PROBABILITY. The full announcement is below. The deadline for applications is NOVEMBER 27, 2014. --------------------------- DEPARTMENT OF MATHEMATICS, IMPERIAL COLLEGE LONDON CALL FOR APPLICATIONS FOR 3 CHAPMAN FELLOWSHIPS IN MATHEMATICS SALARY RANGE: ?33,410 - ?42,380 PER ANNUM Fixed Term: 24 months, commencing 1 October 2015 Applications are invited for three Chapman Fellowships in Mathematics, tenable for two years, starting 1 October 2015. These posts provide an excellent opportunity for those seeking to pursue an academic career in mathematics. Candidates for a Chapman Fellowship are expected to have proven research ability in mathematics. Candidates will demonstrate the potential for strong leadership qualities in the subject, as illustrated, for example, through showing initiative on research projects. As well as holding a good honours degree and a PhD (or equivalent) in mathematics or a closely related subject, candidates will also be expected to demonstrate exceptional ability in their chosen research areas. They will have an outstanding research record commensurate with their level of experience, as demonstrated, for example, through an outstanding thesis, publications and conference presentations, etc. Candidates will be able to contribute significantly to the research environment of the Department of Mathematics, and have a proven track record of successful research interaction. In addition to pursuing research, Fellows will be expected to undertake a limited range of teaching duties in the Department of Mathematics. The ability to teach mathematics at undergraduate and postgraduate level is essential, as demonstrated by excellent written and verbal communication skills with the ability to give effective presentations. Further particulars, together with information about Imperial College London, the Department of Mathematics can be found at http://www.ma.imperial.ac.uk/[1]. The preferred method of application is online via our website http://www.imperial.ac.uk/employment (please select ?Job Search? then enter the job title or vacancy reference number into ?Keywords? ? vacancy ref: NS2014200AM ). Please complete and upload an application form stating which area you are applying to, (Applied Mathematics, Pure Mathematics, Mathematical Finance, Statistics), also providing a CV, list of publications and Research Plan. If you are unable to apply online or have any queries about the application process please contact Ms Claudia Cannon, Academic Support Administrator (c.cannon(a)imperial.ac.uk) quoting the reference number NS2014200AM to request an application form. CLOSING DATE: 27 NOVEMBER 2014 Interviews for the posts will be held January 2015 FOR FURTHER INFORMATION: https://www4.ad.ic.ac.uk/OA_HTML/OA.jsp?page=/oracle/apps/irc/candidateSelf….. >> Links: ------ [1] http://www.ma.imperial.ac.uk/ ----- End forwarded message -----

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Seminario MULAS (RGS & Matematica Applicata)
by Giacomo Aletti 10 Nov '14

10 Nov '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 17 Novembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, "Spike count and spike time coding of flashed images in macaque primary visual cortex" Marcello MULAS, Neuroscientific System Theory, Technische Universität München, Germany Abstract: http://goo.gl/VCJ3dt Short intro to the talk How the brain represents stimuli is still a matter of debate. It is unclear how important is the precise time of spikes in order to encode information. This study suggests that taking into account the interaction between neurons might undermine conclusions based on estimates of average information in single neurons. Keywords V1, neural coding, information time course, synergy, redundancy, information theory ================= Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying up to date mathematical modeling and data analysis approaches to the study of biological systems. The RGS take place at the Math. Department in Milan (via Saldini). Initiatives and updates are published on the website: http://rgs.mat.unimi.it/. -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.matematica.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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10th BNP conference - Abstracts submission
by Antonio Lijoi 09 Nov '14

09 Nov '14

The 10th conference on Bayesian Nonparametrics (BNP10) will be held in June 22-26, 2015 in Raleigh, NC. BNP10 will feature four special invited lectures, eight invited sessions, contributed talks and poster sessions. A proposal for a contributed talk or poster can be made through the conference website http://www.stat.duke.edu/bnp10/ and should consist of a title and an abstract. Slots for contributed talks are limited. Deadline for submission of a contributed talk is December 1, 2014, and decisions about acceptance are expected by January 15, 2015. Deadline for poster submission is May 1, 2015. Best, BNP10 Organizing Committee (10thbnpmeeting(a)gmail.com) ----- Antonio Lijoi University of Pavia via San Felice 5, 27100 Pavia, Italy http://economia.unipv.it/alijoi

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Fwd: Announcement Master Class in probability and planar statistical physics in Geneva
by Fabio Martinelli 07 Nov '14

07 Nov '14

Dear colleague, The university of Geneva is organizing a special Master program in probability and mathematical physics in collaboration with the ETH during the year 2015/2016. The aim of the program is to provide a small number of outstanding students with master-level courses in probability together with more advanced courses in the field of planar statistical physics. The program is aimed at Master students. Advanced undergraduates and beginning PhD students are also welcome. The participants will enroll in a one-year master program at the university of Geneva starting in September 2015. A number of fellowships covering accommodation and local expenses are available. *Additional information is available on the webpage of the program: http://nccr-swissmap.ch/master-class-2015 <http://www.nccr-swismap.ch/master-class-2015>* We would be very grateful if you would mention this program to potential candidates and encourage them to apply. For full consideration, apply using the web form (available on http://nccr-swissmap.ch/master-class-2015 <http://www.nccr-swismap.ch/master-class-2015>) before the 17th of January 2015. We also attached the poster of the program. If you need more information, please do not hesitate to contact me. Best regards Stanislav Smirnov, Wendelin Werner and Hugo Duminil-Copin Additional information: *Preliminary list of lecturers:* I. Benjamini D. Chelkak D. Cimasoni H. Duminil-Copin C. Hongler J. Miller S. Smirnov Y. Velenik W. Werner *Preliminary list of lectures:* *First semester courses:* Introduction to statistical physics Brownian Motion and stochastic calculus Martingales and Markov processes On various aspects of the dimer and planar Ising models *Second semester courses:* Conformal invariance of lattice models Schramm-Loewner Evolution and GFF Random planar maps Geometric representations of lattice models *A number of mini-courses including:* Coarse geometry and random processes Probability on groups Large deviations -- ----------------------------------------------------------------- Hugo Duminil-Copin Professor Email: hugo.duminil(a)unige.ch <Hugo.duminil(a)unige.ch> Université de Genève Phone: +41-22-3791169 Section de Mathématiques Fax: +41-22-3791176 2-4, rue du Lièvre; CP 64 www: http://www.unige.ch/~duminil 1211 Genève 4 SWITZERLAND -- Fabio Martinelli Department of Mathematics and Physics Roma Tre University Lg. San Murialdo 1, 00146 Roma Italy tel +39 06 57338039 fax +39 06 57338039

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Seminario a Roma Tre il 05-11-2014
by Pietro Caputo 05 Nov '14

05 Nov '14

Benoit Laslier (Cambridge) Titolo: Stochastic dynamics of discrete interfaces and dimer models. Mercoledi' 05 Novembre 2014 ORE 15:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Largo San L. Murialdo,1 Abstract We will study some effective models, called dimer models, for the interface between two coexisting thermodynamical phases in three dimension. We will show in a relatively general context that the time needed for the system to reach equilibrium is of order L^(2+o(1)), where L is the typical length scale of the system. The exponent 2 is optimal. More precisely, for surfaces attached to a curve drawn in some plane, we will control the mixing time for lozenge tilings and domino tilings (and a few other related models). For surfaces attached to a general curve, we will only work with lozenges and use a weaker notion of "macroscopic" convergence.

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Seminario BESKOS
by Matteo Ruggiero 31 Oct '14

31 Oct '14

******************************************************************* STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ******************************************************************* Venerdi' 7 Novembre 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Alexandros BESKOS (University College London) SMC SAMPLERS FOR APPLICATIONS IN HIGH DIMENSIONS Abstract: Sequential Monte Carlo (SMC) methods are nowadays routinely applied in a variety of complex applications: hidden Markov models, dynamical systems, target tracking, control problems, just to name a few. Whereas SMC methods have been greatly refined in the last decades and are now much better understood, they are still known to suffer from the curse of dimensionality: algorithms can sometimes break down exponentially fast with the dimension of the state space. As a consequence, practitioners in high-dimensional Data Assimilation applications in atmospheric sciences, oceanography and elsewhere will typically use 3D-Var or Kalman-filter-type approximations that will provide biased estimates in the presence of non-linear model dynamics. The talk will concentrate on a class of SMC algorithms and will look at ways to reduce the cost of the algorithms as a function of the dimension of the state space. Explicit asymptotic results will clarify the effect of the dimension at the properties of the algorithm and could provide a platform for algorithmic optimisation in high dimensions. Applications will be shown in the context of Data Assimilation, in a problem where the objective is to target the posterior distribution of the initial condition of the Navier-Stokes equation given a Gaussian prior and noisy observations at different instances and locations of the spatial field. The dimension of the signal is in theory infinite-dimensional - in practice 64x64 or more depending on the resolution – thus posing great challenges for the development and efficiency of SMC methods. 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 and Collegio Carlo Alberto http://sites.carloalberto.org/ruggiero

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seminario Carlo Acerbi in Bicocca
by fabio.bellini 31 Oct '14

31 Oct '14

Il giorno lunedì 3 novembre alle ore 17, presso la Sala del Consiglio della Scuola di Economia e Statistica della Università di Milano Bicocca, al IV piano dell'edificio U7, il dott. Carlo Acerbi, Executive Director a MSCI, presenterà un seminario su: Supply-Demand Symmetry Abstract How does the order book look like in a market where there's perfect balance between supply and demand? The question is less obvious than it sounds, and still awaits formalization. The problem admits a clear formalization based on analogies with change of numeraire techniques. We characterize and classify symmetrical models. Supply-Demand symmetry turns out to be something different from just bid-ask parity of the market cost functions, and the two concepts are shown to coincide only in very liquid regimes. Tutti gli interessati sono invitati a partecipare. Fabio Bellini

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CfP: ISIPTA '15, 20-24 July 2015, Pescara, Italy
by Serena Doria 30 Oct '14

30 Oct '14

*ISIPTA '15 CALL FOR PAPERS* 9th International Symposium on Imprecise Probability: Theories and Applications 20-24 July 2015 Pescara, Italy Website with up-to-date information on all aspects of the conference: http://www.sipta.org/isipta15 Scientific program contact: isipta15(a)easychair.org Local organization contact: isipta15(a)unich.it *Important Dates* 30 Jan - Paper abstracts & preliminary papers due 13 Feb - Review-ready papers due 31 Mar - Conference hotel pre-reservation deadline 08 Apr - Paper notification 17 Apr - Poster-only abstracts due 06 May - Poster-only notification 29 May - Early-bird registration deadline (?350 full; ?200 student) *Scope & Symposium Format* ISIPTA is the primary international forum to present and discuss new results related to imprecise probability. We welcome both theoretical and applied original contributions. In this edition, we especially welcome papers connecting imprecise probabilities with related research in fields such as economics, philosophy, sociology, and engineering. There will be no parallel sessions. Each paper that is accepted is presented both (i) in a plenary session, meant for a short introduction and a sketch of the context and relevance; and (ii) in a poster session, where ample time is given for in-depth explanation and discussion. The poster-only track provides a second, free format presentation option. It is also open for preliminary results, challenges, etc. *New: non-proceedings papers* To adapt to different publication cultures in different fields, we introduce a new option: the non-proceeding papers. Authors may request that their contribution is not published in the proceedings in case this precludes later publication of an expanded journal version. The PC will decide on a case-by-case basis. If accepted, a one-page abstract will be published in the proceedings, and the paper must be freely available on-line (e.g., as a working paper). *Already Confirmed Invited Speakers* Massimo Marinacci, AXA-Bocconi Chair in Risk Department of Decision Sciences, Bocconi University, Milan, Italy Itzhak Gilboa, Professor of Economics and Decision Sciences Eitan Berglas School of Economics, Tel-Aviv University, Israel & HEC, Paris, France *Special Issue* After the conference, a special issue with a selection of the accepted papers will be published in an expanded version in the International Journal of Approximate Reasoning. *Steering Committee* T. Augustin (LMU München, Germany) + PC Board G. de Cooman (Ghent University, Belgium) S. Doria (University G. d'Annunzio, Italy) + Local Organization E. Miranda (University of Oviedo, Spain) + PC Board E. Quaeghebeur (CWI, Amsterdam, Netherlands) + PC Board T. Seidenfeld (Carnegie Mellon University, USA) We look forward to your contribution and to seeing you in Pescara!

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Seminario Fabio Caccioli il 4 Novembre alla Scuola Normale Superiore di Pisa
by Fabrizio Lillo 29 Oct '14

29 Oct '14

Martedì 4 novembre 2014 ore 13.00 *Scuola Normale Superiore* Pisa Aula Bianchi (Scienze) *Fabio Caccioli* *University College London* Terrà un seminario dal titolo: *“**Instabilities in portfolio optimization and regularization**”* *Abstract:* *We consider the problem of portfolio selection in presence of market impact, and we show that including a term which accounts for finite liquidity in portfolio optimization naturally mitigates the instabilities that arise in the estimation of coherent risk measures. This is because taking into account the impact of trading in the market is mathematically equivalent to introducing a regularization on the risk measure. We show that the impact function determines which regularizer is to be used, and we characterize the typical behavior of the optimal portfolio in the limit of large portfolio sizes for the case of Expected Shortfall*. Per informazioni scrivere a fabrizio.lillo(a)sns.it -- ---------------------------------------- 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

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