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Fwd: Senior Research Fellowship in Data Science at Oxford (fwd)
by Tiziano Vargiolu 14 May '14

14 May '14

Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu -------------------------------------------------------------------------- ---------- Forwarded message ---------- Date: Tue, 13 May 2014 18:40:22 +0200 From: runggal(a)math.unipd.it To: vargiolu(a)math.unipd.it Subject: Fwd: Senior Research Fellowship in Data Science at Oxford ----- Forwarded message from Xun.Zhou(a)maths.ox.ac.uk ----- Date: Tue, 13 May 2014 17:22:53 +0100 (BST) From: Xun Yu Zhou <Xun.Zhou(a)maths.ox.ac.uk> Subject: Senior Research Fellowship in Data Science at Oxford Dear all The Mathematical and Computational Finance Group at Oxford is recruiting a Senior Research Fellow in Data Science for the newly established Oxford-Nie Financial Big Data Lab. Attached please find the position announcement. Please feel free to forward it to anyone who might be interested. Many thanks indeed. Regards Xunyu Zhou -- Xunyu Zhou Nomura Professor of Mathematical Finance Director, Nomura Centre for Mathematical Finance Mathematical Institute University of Oxford Radcliffe Observatory Quarter Woodstock Road OX2 6GG Oxford, UK Email: zhouxy(a)maths.ox.ac.uk Tel.: +44 1865 280614 Fax: +44 1865 270715 http://people.maths.ox.ac.uk/~zhouxy/

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seminario di Marco Bianchetti presso Prometeia - Bologna (fwd)
by Tiziano Vargiolu 14 May '14

14 May '14

---------- Forwarded message ---------- Date: Wed, 14 May 2014 11:25:16 +0100 From: Giacomo Scandolo <giacomo.scandolo(a)univr.it> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: seminario di Marco Bianchetti presso Prometeia - Bologna Caro Tiziano, potresti diffondere questo avviso di seminario tramite la tua lista? Ti ringrazio. Ciao Giacomo ============================================ Il giorno Giovedi 22 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Marco BIANCHETTI (Head of Financial Modelling & Validation - Intesa San Paolo) terra un seminario dal titolo "Modern derivatives pricing with collateral and funding risk" Abstract * The interest rate market after the credit crunch * Modern derivatives modelling with multiple funding sources * Funding Value Adjustment (FVA)

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seminario di Marco Bianchetti presso Prometeia - Bologna
by Giacomo Scandolo 14 May '14

14 May '14

Il giorno Giovedì 22 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Marco BIANCHETTI (Head of Financial Modelling & Validation - Intesa San Paolo) terrà un seminario dal titolo "Modern derivatives pricing with collateral and funding risk" Abstract * The interest rate market after the credit crunch * Modern derivatives modelling with multiple funding sources * Funding Value Adjustment (FVA)

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Seminario di G. Giacomin a Milano-Bicocca (21.05.2014)
by Francesco Caravenna 13 May '14

13 May '14

Mercoledì 21 maggio 2014 alle ore 11:00, nell'aula 3014 del Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca (edificio U5, via Cozzi 55, Milano), Giambattista Giacomin (Université Paris Diderot) terrà un seminario dal titolo NOISE INDUCED RHYTHMIC PHENOMENA Trovate il sommario di seguito. Tutti gli interessati sono invitati a partecipare. Francesco Caravenna %%%%%%%%%%%%%%%%%% Sommario: Large families of noisy interacting units (cells, individuals, components in a circuit, ...) exhibiting synchronization often exhibit oscillatory behaviors too. This is a well established empirical observation that has attracted a remarkable amount of attention, notably in life sciences, because of the central role played by internally generated rhythmic behaviors. This modeling effort has produced a number of elementary models that seem to capture the essence, or at least some essential features, of this phenomenon, but the mathematical analysis turns out to be very challenging. The talk will focus on the mathematical results that can be established for a class of elementary models and this will be the mean to discuss open problems and to approach the intriguing issue of why noise appears to be a crucial ingredient. %%%%%%%%%%%%%%%%%% -- _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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Firenze, 21 Maggio: Seminario su Risk Aggregation and Model Uncertainty
by mariaelvira.mancino＠unifi.it 12 May '14

12 May '14

Il 21 Maggio alle ore 10.30 presso l'aula 003 dell'edificio D4 del Polo delle Scienze Sociali in Via delle Pandette a Firenze Giovanni Puccetti - Università degli Studi di Firenze - terrà un talk su Risk Aggregation and Model Uncertainty: some messages from the methodological front Abstract: We review and discuss some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and we discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement. Specific issues that will be handled: - How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position? Tutti gli interessati sono invitati a partecipare.

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6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ---------- Forwarded message ---------- Date: Mon, 12 May 2014 02:15:44 -0700 (PDT) From: Attilio Meucci <attilio.meucci(a)symmys.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: 6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci Dates: August 11-16, 2014. Location: New York University 40 CE units CFA Institute, 40 CPE units GARP The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises. Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more. Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve. See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk To register go to http://www.symmys.com/arpm-bootcamp/registration , or contact us at arpm.bootcamp(a)symmys.com

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[Dynstoch] Newsletter (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(again, apologies for cross-posting) ---------- Forwarded message ---------- Date: Sun, 11 May 2014 22:30:52 +0000 From: Dynstoch Newsletter <sci-math-dynstoch(a)list.ku.dk> To: "sci-math-dynstoch(a)list.ku.dk" <sci-math-dynstoch(a)list.ku.dk> Subject: [Dynstoch] Newsletter DYNSTOCH NEWSLETTER 12 April 2014 ************************************************ Workshop on Statistical Inference for L?vy Processes Dates: 22 Sep 2014 - 25 Sep 2014 Location: Lorentz Center, Leiden Website: http://tinyurl.com/ph86pbw Invited speakers: Denis Belomestny (Universit?t Duisburg-Essen) Lo?c Chaumont (Universit? Angers) Jos? Manuel Corcuera (Universitat de Barcelona) Valentine Genon-Catalot (Universit? Paris 5) Marc Hoffmann (Universit? Paris Dauphine) Jean Jacod (Universit? Paris 6 Pierre et Marie Curie) Cecilia Mancini (Universit? degli Studi di Firenze) Yuliya Mishura (Taras Shevchenko National University of Kyiv) Antonis Papapantoleon (Technische Universit?t Berlin) Philip Protter (Columbia University) Markus Rei? (Humboldt-Universit?t zu Berlin) Viktor Todorov (Northwestern University) Mathias Vetter (Philipps-Universit?t Marburg) There is no registration fee. For more information, particularities and registration, see the website. Scientific organisers: Shota Gugushvili (Leiden, The Netherlands), Peter Spreij (Amsterdam, The Netherlands), Aad van der Vaart (Leiden, The Netherlands), Harry van Zanten (Amsterdam, The Netherlands) --------------------------------------------------------------------------- Michael S?rensen, Professor and Associate Chair for Research Dept. of Mathematical Sciences E-mail: michael(a)math.ku.dk University of Copenhagen Tel.: +45 3533 0402 Universitetsparken 5 Fax: +45 3532 9555 DK-2100 Copenhagen ? Web-page: www.math.ku.dk/~michael Denmark Skype: michaelsor1 --------------------------------------------------------------------------- _______________________________________________ sci-math-dynstoch mailing list sci-math-dynstoch(a)list.ku.dk http://list.ku.dk/listinfo/sci-math-dynstoch

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Fwd: AMaMeF: FYI - Call for applications postdoc Université libre de Bruxelles (fwd)
by Tiziano Vargiolu 12 May '14

12 May '14

(apologies for cross-posting) ----- Forwarded message from giulian(a)math.uio.no ----- Date: Sun, 11 May 2014 20:40:01 +0200 From: Giulia Di Nunno <giulian(a)math.uio.no> Subject: AMaMeF: FYI - Call for applications postdoc Universit? libre de Bruxelles To: Giulia Di Nunno <giulian(a)math.uio.no> Cc: Giulia Di Nunno <giulian(a)math.uio.no> > Call for applications: > ARC Postdoctoral Research Fellowship in Mathematical Finance and Insurance > Department of Mathematics, Universit? libre de Bruxelles > Start Date: October 2014 . Duration: 2 years, non-renewable. > Application Deadline: June 15, 2014 > > The Universit? Libre de Bruxelles invites applications for a post-doctoral > fellowship. This postdoctoral position (without teaching load) will be for > two years and will start on the 1st of October 2014. It will be based in the > Actuarial Sciences Unit of the Department of Mathematics. > > The position is funded by the "Action de Recherche Concert?e" grant (ARC) on > "Interaction between Analysis, Probability and Actuarial Sciences" (IAPAS). > > Candidates for the ARC Postdoctoral Fellowship should hold a PhD in > mathematics, statistics, actuarial sciences or a closely related subject and > are expected to have proven research ability in mathematical sciences, as > well as a research interest in mathematical modelling in finance and > insurance. Candidates should have a demonstrated record of research > achievements, as evidenced by journal publications and conference > presentations. A profound knowledge of L?vy processes or Wishart processes > would be favourable. > > Candidates should have demonstrable excellent written and verbal > communication skills (in English), with the ability to give effective > presentations and contribute significantly to the research activities of the > Actuarial Sciences Unit and the Department of Mathematics of the ULB. > > Candidates should apply by email to Griselda.Deelstra(a)ulb.ac.be with a CV, a > list of publications and a research plan before 15 June 2014. > More information about the Department of Mathematics at the ULB can be found > at > http://www.ulb.ac.be/facs/sciences/math/index.html > and the Actuarial Sciences Unit at: > https://www.ulb.ac.be/rech/inventaire/unites/ULB454.html > > For further information contact Professor Griselda Deelstra at > Griselda.Deelstra(a)ulb.ac.be. > See also > http://homepages.ulb.ac.be/~grdeelst/Call_for_applications_postdoc_ULB.pdf > ----- End forwarded message -----

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PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion
by Enrico Scalas 10 May '14

10 May '14

Car* collegh*, vi invio questo annuncio per un dottorato a Bilbao con preghiera di diffusione a eventuali persone interessate. Cordiali saluti, Enrico Scalas ________________________________________ From: Gianni Pagnini [gpagnini(a)bcamath.org] Sent: 10 May 2014 10:14 To: Enrico Scalas Cc: Gianni Pagnini BCAM Subject: PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion Dear Prof. E. Scalas, I send you the announcement of a PhD position at BCAM in Bilbao, Basque Country - Spain, with the request to inform about this anyone that may be interested. Sincerely Yours, Gianni Pagnini --------------- PhD Position at BCAM-Bilbao on Stochastic Processes for Anomalous Diffusion A PhD position is available at BCAM-Bilbao<http://www.bcamath.org/en/> (Basque Country - Spain) to develop a research project on stochastic processes for anomalous diffusion within the Statistical Physics Research Line<http://www.bcamath.org/en/research/lines/SP>. The PhD project is described in the attached document. Application deadline will be June 2, 2014. More details on the PhD position as well as the on-line application (Statistical Physics) are available at: http://www.bcamath.org/en/research/job/phd-student-positions Further information can be requested directly to Gianni Pagnini: gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> -- Gianni Pagnini Ikerbasque Research Fellow BCAM - Basque Center for Applied Mathematics Alameda de Mazarredo, 14 E-48009 Bilbao, Basque Country - Spain Tel. +34 946 567 842 gpagnini(a)bcamath.org<mailto:gpagnini@bcamath.org> | www.bcamath.org/gpagnini <http://www.bcamath.org/gpagnini> ( matematika mugaz bestalde )

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Cancellazione mini-corso Bulla@DSS
by Pierpaolo Brutti 10 May '14

10 May '14

Scusandomi ulteriormente per il profluvio di mail riguardanti questo mini-corso, comunico che il corso in questione è stato cancellato per sopraggiunti problemi di salute dello speaker. Buon w.e. --P

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Mini-corso Bulla@DSS :: *iscrizione* & errata corrige
by Pierpaolo Brutti 09 May '14

09 May '14

Scusandomi per il mail-bombing, faccio notare che nella precedente email l'orario della seconda lezione era sbagliato & mancava il link al modulo di iscrizione (...tutto gratis! ma i posti son solo 30...) Pardon... --Pierpaolo ----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 12 Maggio, ore 15:00-17:00 Martedì, 13 Maggio, ore 15:00-17:00 ----------------------------------------------------------------------------- Aula XII (piano terra, palazzina Tuminelli) Dipartimento di Scienze Statistiche Sapienza Università di Roma JAN BULLA (Université de Caén) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo A GENTLE INTRODUCTION TO HIDDEN MARKOV MODELS Il corso è gratuito ma, dato il numero limitato di posti disponibili in aula, tutti gli interessati sono invitati a **prenotarsi** compilando il seguente form on line: http://goo.gl/a9FCjI Entro Domenica 11/5 verrà inviata conferma dell'effettiva disponibilità del posto richiesto all’indirizzo email fornito. Come sempre “first come, first served”, con possibile piccolo bias in favore di studenti di dottorato. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti

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avviso di seminario
by Marco Fuhrman 08 May '14

08 May '14

Il giorno martedi' 20 maggio 2014, alle ore 12:00, il professor Jean Jacod Universite' Pierre et Marie Curie, Paris terra' un seminario dal titolo Is a discretely observed semimartingale of Ito type? presso il Dipartimento di Matematica del Politecnico di Milano (aula seminari "Fausto Saleri", sesto piano). Tutti gli interessati sono cordialmente invitati. Marco Fuhrman Abstract. In high-frequency statistics, and among various hypotheses, the fact that the underlying observed process is an Ito semimartingale is always assumed. However, for financial data for example, prices should be semimartingales (because of the "fundamental asset pricing theorem"), but there is no reason why it should be an Ito semimartingale. So it is important to derive tests for checking whether this assumption is enforced, or not. The problem cannot be solved in full generality, but we will see that under some restrictive structural assumptions, plus the fact that the process is continuous, some tests can be constructed. This is joint work with Yacine Ait-Sahalia.

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Workshop In August at GSSI
by davide gabrielli 08 May '14

08 May '14

Blowup for the equations of Fluid Dynamics and Renormalization Group methods August 18-29, 2014 @GSSI - LAquila The aim of the workshop is to discuss and present to young researchers and PhD students problems connected with singularities of the equations of fluid mechanics, in particular of the NS equations, and their possible application as models of physical phenomena. The School & Workshop will be held at GSSI from August 18 to 29, 2014. Preliminary list of confirmed speakers Susan Friedlander (UCLA) Uriel Frisch (CNRS, Nice) Giovanni Jona-Lasinio (Università di Roma La Sapienza) Konstantin Khanin (Toronto University ), Dong Li (University of British Columbia), Mario Pulvirenti(Università di Roma La Sapienza) Alexander Shnirelman (Concordia University, Montreal), Yakov Sinai (Princeton University) Victor Yakhot (Boston University) Organizing and Scientific Committee Carlo Boldrighini Anna De Masi Errico Presutti Yakov G. Sinai more inftormations at http://www.gssi.infn.it/index.php/en/seminars-and-events-2014/960-blowup-fo…

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Workshop on "Advanced statistical and numerical methods for the analysis of high dimensional functional data" - FIRB SNAPLE closing workshop
by Laura M. Sangalli 08 May '14

08 May '14

------------------------------------------------------------------------ Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering FIRB SNAPLE closing workshop Politecnico di Milano, 15-16 May 2014 ------------------------------------------------------------------------ http://www.mate.polimi.it/snaple2014/ Registration deadline: ***/Tomorrow/, the 9th of May *** There is no registration fee. Registration is nevertheless necessary for organizational reasons. ------------------------------------------------------------------------ This is the third and closing workshop of the starting grant project FIRB Futuro in Ricerca "Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering", funded by MIUR Ministero dell'Istruzione dell'Università e della Ricerca, December 2010 - July 2014: http://mox.polimi.it/users/sangalli/firbSNAPLE.html Soon renamed SNAPLE: Statistical and Numerical methods for the Analysis of Problems in Life sciences and Engineering. SNAPLE aims at providing a substantial contribution to the development of innovative methods for the analysis of high-dimensional functional data, interfacing advanced statistical and numerical techniques. The workshop features talks about some of the achieved results and ongoing investigations of FIRB SNAPLE project, as well as various talks from internationally renowned scientists, with the aim discussing and exchanging ideas on new research perspectives. Invited speakers include: John Aston, Cambridge Marc Genton, KAUST Tilmann Gneiting, Heidelberg Institute for Theoretical Studies (HITS) and Karlsruhe Institute of Techology (KIT) Alberto Guadagnini, Politecnico di Milano Hans-Georg Muller, Universty of California - Davis Fabio Nobile, École Polytechnique Fédérale de Lausanne Davide Pigoli, Cambridge Jim Ramsay, McGill University. Registration to the workshop is free, but attendees are kindly requested to register at conference website: http://www.mate.polimi.it/snaple2014/ Best regards, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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Avviso di mini-corso :: Bulla@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 08 May '14

08 May '14

----------------------------------------------------------------------------- A v v i s o d i M i n i - C o r s o ----------------------------------------------------------------------------- Lunedì, 12 Maggio, ore 15:00-17:00 Martedì, 13 Maggio, ore 13:00-17:00 ----------------------------------------------------------------------------- Aula XII (piano terra, palazzina Tuminelli) Dipartimento di Scienze Statistiche Sapienza Università di Roma JAN BULLA (Université de Caén) terrà un mini-corso rivolto principalmente (ma non solo) agli studenti di dottorato dal titolo A GENTLE INTRODUCTION TO HIDDEN MARKOV MODELS Tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Questo corso fa parte delle attività promosse nell’ambito del FIRB Futuro in Ricerca 2012: “Modelli mistura e a variabili latenti per l'inferenza causale e l'analisi di dati socio-economici”. Maggiori informazioni sui seminari e mini-corsi presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Syllabus Introduction Fundamentals Independent mixture distributions Markov chains Hidden Markov Models The basic hidden Markov model Marginal distributions and moments of a hidden Markov model The likelihood of a hidden Markov model Parameter Estimation Forward and backward probabilities The EM-algorithm Direct maximization of the likelihood Parameter restrictions Numerical underflow An efficient algorithm Standard errors of the parameter estimates Forecasting and Decoding Conditional distributions Forecast distributions Decoding Local decoding Global decoding State prediction

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SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 07 May '14

07 May '14

A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA jointly organize the Summer School in Economics and Finance - Canazei 2014 Alba di Canazei, Trento - Italy July 14 - 18 ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS Prof. Michael Waterson, University of Warwick, Department of Economics*,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ Prof. Luigi Grossi, University of Verona, Department of Economics,http://www.dse.univr.it/?ent=persona&id=3862&lang=en Dr. Fany Nan, University of Verona, Department of Economics. Application: submission deadline: May 12** If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address:basso@unive.it Web page:http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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seminario di Z. Brzezniak a Pisa
by Marco Romito 07 May '14

07 May '14

Il giorno 13 maggio 2014, alle ore 9:30, presso la sala seminari del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: Z. Brezniak (University of York): Invariant measures for stochastic Navier-Stokes equations in unbounded domains via bw-Feller property Abstract: In this talk I will describe a general result on the existence of invariant measure for Markov processes having the bw-Feller property and will show how this can be applied to stochastic Navier-Stokes equations in unbounded domains. This talk is based on joint works with M. Ondrejat and Ela Motyl. The results presented are in some sense generalisations of related results for stochastic nonlinear beam and wave equations (where a Pritchard-Zabczyk trick playes an essential role) obtained in a joint woth with M. Ondrejat and J. Seidler. Tutti gli interessati sono invitati a partecipare. m.

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seminario Ruodu Wang in Bicocca
by fabio.bellini 07 May '14

07 May '14

Il giorno martedì 13 maggio alle ore 15.00 presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi della Università di Milano Bicocca, al IV piano dell'edificio U7, il dott. Ruodu Wang della Università di Waterloo (Canada) terrà un seminario su: Admissible distributions of risk aggregation Abstract Modeling inter-dependence between individual risks often faces statistical as well as probabilistic challenges, in which dependence uncertainty naturally arises. In this talk, we consider problems of risk aggregation with dependence uncertainty. The core question of interest is to characterize admissible distributions of risk aggregation, where marginal distributions of individual risks are assumed known but the joint dependence structure is unknown. In the first part of the talk, we will summarize finite dimensional results based on the notion of joint mixability, and discuss their relevance to optimization problems in risk management. In the second part of the talk, we will study asymptotic problems of admissible risk aggregation with identical margins. The results are concise and, in the meanwhile, surprising. We hope to deliver the following message: with the marginal distribution known and dependence structure unknown, we know essentially nothing about the asymptotic shape of the sum of random variables. Tutti gli interessati sono invitati a partecipare. Fabio Bellini

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 07 May '14

07 May '14

13th INTERNATIONAL CONFERENCE C R E D I T 2014 *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector *Venice, Italy 25 - 26 September 2014 *GRETA Associati *(Venice, Italy), *Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt* (Frankfurt, Germany) and *Intesa Sanpaolo *(Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 25 - 26, 2014. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the *Department of Economics of the University Ca? Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank*, is the *thirteenth* of a series dedicated to various aspects of credit risk. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * *Banking regulation* (Banking union, Design of supervisory institutions and processes, Regulatory instruments) * * Credit Risk and Stress testing (*Counterparty risk, Credit and Liquidity, Stressed credit risk measures, Feedback effects or second round effects, Firm wide stress testing, Multivariate extreme events, Tail dependence) * * New development in the banking markets* (Banking business models, Shadow banking, Response to regulatory changes) * *Financial markets regulation* (CCP, Transaction taxes, Decentralized trades and Systemic risk) * *Risk disclosure: homogeneity and comparison of risk measures (*Data integration and validation, Risks integration, Effectiveness of Pillar 3 disclosure) The Scientific Committee for the Conference consists of: *Jan Krahnen*, Goethe University,**Programme Chair *Monica Billio*, Ca? Foscari University of Venice *Steven Ongena*, University of Zurich *Stephen Schaefer*, London Business School *Kenneth Singleton*, Stanford University The final program will include both submitted and invited papers. Acceptances received from invited speakers include *Franklin Allen* (University of Pennsylvania & Imperial College London), *Ignazio Angeloni* (ECB), *Thierry Foucault* (HEC Paris). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. CALL FOR PAPERS Those wishing to present a paper at the Conference should submit by *May 31, 2014 *to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by *June 30, 2014*. The final version of accepted papers must be received by August 31, 2014. Please send papers: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm>). Registration fees are: Early registrationLate registration (within August 24th)(from August 25th on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT500 Euro + VAT PhD Students*: 80 Euro + VAT130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 25, 2014, for which there is an extra charge of 80.00 Euro for each partecipant (conference attendees as well as accompanying persons). IMPORTANT DATES May 31, 2014: Papers submission deadline June 30, 2014: Paper acceptance notification August 18, 2014: Deadline for early registration August 31, 2014: Deadline for sending final version of accepted papers For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm> * Please accept our apologies for any crossed e-mails. ** If you do not want to receive more information from this e-mailing list, please reply to this message with Subject "Cancel from Mailing List". T -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 06 May '14

06 May '14

A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA jointly organize the Summer School in Economics and Finance - Canazei 2014 Alba di Canazei, Trento - Italy July 14 - 18 ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS Prof. Michael Waterson, University of Warwick, Department of Economics*,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ Prof. Luigi Grossi, University of Verona, Department of Economics,http://www.dse.univr.it/?ent=persona&id=3862&lang=en Dr. Fany Nan, University of Verona, Department of Economics. Application: submission deadline: May 12** If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address:basso@unive.it Web page:http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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Fwd: PhD call
by Irene Crimaldi 06 May '14

06 May '14

*2014/15 PhD program at IMT Institute for Advanced Studies Lucca* Deadline for applications – July 14th 2014, 6 pm Italian time To apply: http://phd.imtlucca.it Applications are now being accepted for the 2014/15 PhD program at the IMT Institute for Advanced Studies Lucca (www.imtlucca.it) Highly motivated candidates are invited to apply for fully-funded positions within a doctoral program that integrates scientific competences of economics, engineering, computer science, physics, applied mathematics, statistics, history and sciences of cultural heritage. The three year program is articulated in curricula. The 8 curricula currently offered are field-specific, although in many instances they share a common scientific background. Candidates can apply for one (or more) of the following curricula:  Economics (ECON)  Management Science (MS)  Complex Networks (CN)  Computational Mechanics (CM)  Control Systems (SYS)  Computer Science (CS)  Image Analysis (IA)  Analysis and Management of Cultural Heritage (AMCH) Courses are led by world-renowned researchers and provide students with the necessary theoretical skills and advanced tools for rigorously tackling a multitude of analysis, design and management problems within the broad framework of systems analysis. In fact, IMT's outgoing PhDs will be able to use the skills they obtained during their studies to recognize and resolve complex problems to choose the most appropriate method or instrument to utilize when affronting these problems, even in disciplines outside of their primary field of research. All students are based in the newly restored San Francesco complex, a fully integrated campus in the historical center of the beautiful Tuscan city of Lucca. The campus includes residential facilities, including an on-site canteen, study and living rooms, and outdoor recreational spaces, all serving to add a cultural and social dimension to the professional experience of the doctoral program. Eligible students will also receive a research scholarship which amounts to approximately €13,600/year. The PhD program at IMT attracts students from around the world, providing a truly international environment. English is the official language of the Institute. To further enhance the internationality of the program, all students have the opportunity to spend anywhere from 2-9 months abroad at a research institute or university, with the possibility of receiving additional financing through the Erasmus+ program. To find out more about the institute, the requirements for admission and how to apply, please see http://phd.imtlucca.it. *The deadline for applications is July 14th 2014, 6 pm Italian time.* Find IMT on Facebook, Twitter, LinkedIn and YouTube for the latest news. Irene Crimaldi IMT Institute for Advanced Studies Lucca

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Clay Conference on Integrability and Universality in Probability
by Francesco Caravenna 06 May '14

06 May '14

Ricevo e inoltro. > Da: Lorenzo Zambotti <lorenzo.zambotti(a)upmc.fr> > > ---------- Forwarded message ---------- > From: Ivan Corwin <ivan.corwin(a)gmail.com> > Date: Sat, May 3, 2014 at 12:05 AM > Subject: Clay Conference on Integrability and Universality in Probability > To: Ivan Zachary Corwin <ivan.corwin(a)gmail.com>, Martin Hairer <M.Hairer(a)warwick.ac.uk> > > > Dear Colleagues, > > Please distribute this to any colleagues or seminar lists you believe would be interested. > > This is the announcement of the workshop "Advances in Probability: Integrability, Universality and Beyond" which will be held in Oxford UK from Sunday, September 28, 2014 to Thursday, October 2, 2014 as part of the Clay Research Conference. More information can be found at the conference website (http://www.claymath.org/events/advances-probability-integrability-universal…) > The workshop will focus on the following topics: > > Random interface growth, particle systems, stochastic PDEs, and the Kardar-Parisi-Zhang equation and universality class > Random matrix theory > Two-dimensional equilibrium statistical mechanics such as the Ising model, percolation, quantum Liouville gravity, and its relation to the Schramm Loewner evolution > Logarithmically correlated processes such as Gaussian free field, and branching diffusion processes > Speakers: Gerard Ben Arous (NYU), Itai Benjamini (Weizmann), Nathanael Berestycki (Cambridge), Alexei Borodin (MIT), Amir Dembo (Stanford), Christina Goldschmidt (Oxford), Geoffrey Grimmett (Cambridge), Alice Guionnet (MIT), Grégory Miermont (ENS Lyon), Jason Miller (MIT), Ashkan Nikeghbali (Zurich), Neil O'Connell (Warwick), Yuval Peres (Microsoft), Jeremy Quastel (Toronto), Fabio Toninelli (Lyon), Craig Tracy (UC Davis), Vincent Vargas (Paris), Ofer Zeitouni (Weizmann, NYU). > > Registration is free but required. To register, please email Naomi Kraker, providing the name of your institution and stating which workshop you wish to attend. Students please also provide a letter of reference from your supervisor. > > A limited number of accommodation rooms is available for PhD students and early career researchers. Please email Naomi Kraker for more information. > > Best Regards, > > Ivan Corwin and Martin Harier > > > > -- > Lorenzo Zambotti > Postal Address: > Universite' Paris 6, LPMA - Boite courrier 188 > 4, place Jussieu - 75252 Paris cedex 05, France > > Bureau n. 22, 2eme etage, tours 16/26, Jussieu > E-mail: lorenzo.zambotti(a)upmc.fr > URL: http://www.proba.jussieu.fr/~zambotti/ _________________________________________ Francesco Caravenna Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy http://www.matapp.unimib.it/~fcaraven/ _________________________________________

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STUDENTSHIP: PhD studentships, University of Padova, Italy
by Patrizia Piacentini 06 May '14

06 May '14

For the academic year 2014/2015 the University of Padova, Italy, offers 15 research fellowships for foreign students to attend Doctoral/International Courses - Deadline: 9 June 2014 - The call for application is available at the following address: http://www.unipd.it/en/node/142 The announcement concerns a limited number of fully funded grants for foreign (non-Italian) graduate students to be awarded on the basis of qualifications only and requiring no entry examination. The grants include all University and Department fees, full board at the University accommodation and provide an additional personal scholarship of 13.638,47 € per year for a total of 3 years. Doctoral courses will start on November 1st, 2014 and will end on October 31st, 2017. Application is to be made following carefully the instructions in the announcement. The PhD School in Statistics ( http://www.stat.unipd.it/fare-ricerca/dottorato-di-ricerca ) highly encourages foreign students to apply for admission. All lectures are given in English. Interested applicants are invited to contact the Course Coordinator (dottorato(a)stat.unipd.it) for any advice. Some summary information about grants and admission procedures for foreign students can be found at http://www.stat.unipd.it/fare-ricerca/ammissione. Prof. Monica Chiogna Coordinator Phd Course in Statistics University of Padova Italy

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SUMMER SCHOOL IN ECONOMICS AND FINANCE - CANAZEI 2014
by Antonella Basso 06 May '14

06 May '14

*A.M.A.S.E.S. and DEPARTMENT of ECONOMICS of the UNIVERSITY of VERONA * ** *jointly organize the* *Summer School in Economics and Finance - Canazei 2014* *Alba di Canazei, Trento - Italy* ** *July 14 - 18* ** *ECONOMIC AND QUANTITATIVE ANALYSIS OF ENERGY MARKETS* *Prof. Michael Waterson, University of Warwick, Department of Economics,*http://www2.warwick.ac.uk/fac/soc/economics/staff/academic/waterson/ *Prof. Luigi Grossi, University of Verona, Department of Economics,*http://www.dse.univr.it/?ent=persona&id=3862&lang=en *Dr. Fany Nan, University of Verona, Department of Economics.* *Application: submission deadline: May 12* If your application is accepted, you will receive a confirmation e-mail by May 16. If accepted, you have to pay the fee before May 26. The school will be activated with a minimum of 15 paying participants. It is recommended to arrive at Alba di Canazei by Sunday, July 13th, given that the activities begin at 9 am on Monday 14 ** Further details are available at: http://dse.univr.it/safe/index.php?option=com_content&task=view&id=87&Itemi… -- Antonella Basso Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/nqcontent.cfm?a_id=415&persona=000893 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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Application for the PhD in Economics at the Ca' Foscari University of Venice
by Marco Corazza 05 May '14

05 May '14

Dear All, it is possible to apply for the PhD in Economics at the Ca' Foscari University of Venice (30th cycle, a.y. 2014/15). Deadline: May 29th, 2014. All information at: http://www.unive.it/nqcontent.cfm?a_id=173236. Please, give the maximum diffusion. Best regards, Marco Corazza -- Marco Corazza Department of Economics Ca' Foscari University of Venice San Giobbe, Cannaregio 873 30121 Venezia, Italy Mobile: (+39) 366 602-9134 Phone: (+39) 041 234-6921 Fax: (+39) 041 234-7444 E-mail: corazza(a)unive.it -- <<Wall Street traders now joke that "January effect" is more likely occur on the previous Thanksgiving.>> Malkiel B.G., "The efficient market hypothesis and its critics", Journal of Economics Perspectives, 17(1), 59-82 [page 64] -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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Minicorso Prof. Albeverio - Dipartimento di Informatica - UniVr [12-14 Maggio]
by Luca di persio 03 May '14

03 May '14

Il Prof. Sergio Albeverio [ Dept. Appl. Mathematics, University of Bonn, HCM, BiBoS, IZKS ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 12 al 16 Maggio 2014 e terrà un minicorso dal titolo ” *Weak solutions, martingale problem, Feynman-Kac theorem and applications* “ articolato in due lezioni che si terranno presso il Dipartimento stesso nei giorni di - Lunedì 12 Maggio [ Aula D, 14:30-17:30 ] - Mercoledì 14 Maggio [ Aula D , 14:30-16:30 - Aula B , 16:30-17:30 ] Per informazioni contattare: luca.dipersio(a)univr.it __ 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 - Italy Tel : +39 0461 281686

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seminario di A. Debussche a Pisa
by Marco Romito 03 May '14

03 May '14

Il giorno 7 maggio 2014, alle ore 11:00, presso l'aula riunioni del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: A. Debussche (ENS Rennes): "Invariant measures for stochastic conservation laws" Tutti gli interessati sono invitati a partecipare. m.

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[Fwd: [gdre-conedp] Fwd: post-doc] (fwd)
by Tiziano Vargiolu 02 May '14

02 May '14

Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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Fwd: 10 PhD positions in Math at GSSI L'Aquila Italy
by c.costantini＠unich.it 29 Apr '14

29 Apr '14

Ricevo e volentieri inoltro. Cristina Costantini ----- Messaggio inoltrato da pierangelo.marcati(a)gssi.infn.it ----- Data: Tue, 29 Apr 2014 11:37:19 +0200 Da: Pierangelo Marcati <pierangelo.marcati(a)gssi.infn.it> Oggetto: 10 PhD positions in Math at GSSI L'Aquila Italy *PLEASE DIFFUSE BETWEEN INTERESTED PEOPLE* *WE APOLOGIZE FOR MULTIPLE E-MAILS* *10 *fellowships at GSSI L'AQUILA Italy, for the PhD program of Mathematics in Natural, Social and Life Sciences *( in collaboration with SISSA International School for Advanced Studies, Trieste)* Core Topics: Stochastic Analysis, PDEs, Mathematical Modelling, Numerics *Online applications * http://www.gssi.infn.it/phd/ Deadline June 22, 2014 *Download the* *call for applications* at http://www.gssi.infn.it/phd/docs/call_english_14-15.pdf *S*cholarships GSSI awards scholarships for* 3 years. * The yearly amount of the scholarship is of EURO 16.159,91 gross Facilities and benefits All PhD students *will receive free* accommodation on GSSI facilities, tuition fees waived, free luncheon vouchers *For further informations *please contact info(a)gssi.infn.it * Pierangelo Marcati * Mathematics & Computer Science Division, Chair GranSasso Science Institute, INFN - L'Aquila - Italy http://www.gssi.infn.it http://www.gssi-aq.eu Professor at Department of Information Engineering, Computer Science and Mathematics University of L'Aquila - Italy Skype name: p.marcati http://univaq.it/~marcati ++39(086)243-3143 ++39(086)243-3180 ----- Fine messaggio inoltrato. -----

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Deadline for Workshop MathStatNeuro 2-4 July Copenhagen is approaching!
by Massimiliano ... 29 Apr '14

29 Apr '14

Dear all, please be aware of the approaching deadline (15th May) to register at the 3-days workshop in Copenhagen, 2nd-4th of July, "Mathematical Modeling and Statistical Analysis in Neuroscience", organised by Rune Berg, Susanne Ditlevsen and me and funded by the Dynamical Systems Interdisciplinary Network, University of Copenhagen, www.dsin.ku.dk. The workshop will bring together theoretical, experimental and computational researchers who are working on various topics in neuroscience. A (partial) list of confirmed speakers is now available on the conference website homepage:http://www.math.ku.dk/english/research/conferences/mathstatneuro2014There is no conference fee and we hope to offer free lunch for all registered participants. If you would like to attend, please register within the 15th May at:http://www.math.ku.dk/english/research/conferences/mathstatneuro2014/registration We hope to welcome you in Copenhagen!Best wishes, Susanne, Rune and Massimiliano -- --------------------------------- Dr. Massimiliano Tamborrino Postdoctoral fellow Department of Mathematical Sciences University of Copenhagen email: mt(a)math.ku.dk URL: http://www.math.ku.dk/~mt/ Universitetsparken 5 DK-2100 Kobenhavn Ø, Denmark -----------------------------------------

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remind: call for associate professor, deadline May, 4, 2014
by Fausto Gozzi 29 Apr '14

29 Apr '14

Avviso: Al sito http://didattica.economiaefinanza.luiss.it/avviso/2014/04/16/call-interest-… è pubblicata una <http://didattica.economiaefinanza.luiss.it/avviso/2014/04/16/call-interest-…>Call for Interest: Associate Professor in Economics (SECS-P/01) Associate Professor in Mathematical Finance (SECS-S/06) LUISS Guido Carli, Rome Department of Economics and Finance Position Title Associate Professor in Economics Associate Professor in Mathematical Finance Deadline: 04/05/2014 Type of position: Full time - Tenured The Department of Economics and Finance at LUISS Guido Carli (Rome) is seeking to fill tenured positions at Associate Professor level in Economics and Mathematical finance. Teaching needs are at all levels: Undergraduate, Masters and Ph.D, in English (and possibly Italian). Candidates will hold a Ph.D. from a recognized Research University, an established teaching experience and an appropriate record of publications in respected and highly ranked international journals. Candidates will also have either an associate professor status in a University or have recently obtained the appropriate national qualification (ASN) of the Italian University System. CVs may be sent only via email to: Giorgio Di Giorgio, Dean, Economics and Finance, <mailto:def@luiss.it>def(a)luiss.it Application Deadline for expressing interest: 04/05/2014 --- Questa e-mail è priva di virus e malware perché è attiva la protezione avast! Antivirus. http://www.avast.com

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Seminario di Probabilità - Università di Padova
by Paolo Dai Pra 28 Apr '14

28 Apr '14

Ho il piacere di invitarvi al seguente seminario, che si terrà lunedì 5 Maggio, alle ore 14:30, nell'aula 2BC30 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Jacopo Corbetta AFFILIATION: Università di Milano - Bicocca TITLE: SMILE ASYMPTOTICS IN A MULTISCALING STOCHASTIC VOLATILITY MODEL ABSTRACT: We consider a stochastic volatility model which captures some relevant stylized facts of financial series, including the so-called multiscaling of moments. We obtain sharp large deviations estimates for the price, based on a large deviations principle for suitable functionals of a point process, which is of independent interest. This yields explicit asymptotic formulas for the price of European options, and for the related implied volatility, both in the small maturity and large strike regimes. In particular, we show that implied volatility for out-of-the-money options explodes as the maturity vanishes (even though the price has continuous paths), with an explicit limiting shape. (Joint work with F. Caravena) Paolo Dai Pra Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Posto di ricercatore a TD presso IMATI CNR
by Antonio Pievatolo 26 Apr '14

26 Apr '14

Invio nuovamente la seguente comunicazione come promemoria. Si segnala il seguente bando di concorso per un posto di ricercatore a tempo determinato, presso l'IMATI CNR, sede di Milano (scadenza 28 aprile 2014; invio domande solo tramite PEC personale) LINK http://www.mi.imati.cnr.it/iami/BANDO_IMATI_002_2014_MI.pdf TEMA DI RICERCA Modellizzazione statistica, programmazione di esperimenti e analisi statistica dei dati, con applicazione a processi di frantumazione e separazione per il riciclo di prodotti elettronici COMPETENZE Competenze di inferenza statistica, anche per processi stocastici, e conoscenze di programmazione statistica degli esperimenti simulati (si veda ad esempio Santner, Williams, Notz "The design and analysis of computer experiments", Springer, 2003); eventuale esperienza di ottimizzazione di processi. REQUISITI RICHIESTI - Diploma di Laurea Magistrale in Scienze Statistiche (LM-82), Matematica (LM-40), Ingegneria Matematica/Modellistica Matematico-Fisica per lIngegneria (LM-44), o diploma di Laurea conseguito secondo la normativa in vigore anteriormente alla riforma di cui al D.M. 509/99 ovvero diploma di Laurea Specialistica, equiparati ai sensi del Decreto Interministeriale 9 luglio 2009, pubblicato nella Gazzetta Ufficiale del 7 ottobre 2009 n. 233. - Titolo di Dottore di Ricerca in Scienze Statistiche, Matematica, Metodi Matematici per lIngegneria o in tematiche affini, O ANCHE aver svolto per un triennio attività di ricerca in settori inerenti alle competenze succitate DATA E ORA DEL COLLOQUIO 12/05/2014 alle ore 14:00 presso la sede dellIstituto di Matematica Applicata e Tecnologie Informatiche E. Magenes - CNR Uos - Milano, Via Bassini 15 - 20133 Milano. TRATTAMENTO ECONOMICO Trattamento economico iniziale del vigente CCNL del Comparto del personale delle Istituzioni e degli Enti di Ricerca e Sperimentazione, corrispondente a quello previsto per il personale del CNR con profilo di Ricercatore, III livello. Antonio Pievatolo

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Workshop on Diversification and Risk - Venice, 16 May 2014
by Monica Billio 25 Apr '14

25 Apr '14

DIVERSIFICATION AND RISK At the heart of the asset management industry, diversification and risk management will be taken up by the presentation of four recent academic papers on this theme and discussed during the panel session that will follow. This event is organized by the QMI/QuantValley Research Project and the International Center for Economics and Finance (ICEF) of the Ca' Foscari University of Venice, with the support of Euronext and CFA Society Italy. It will take place: Ca' Foscari University of Venice, Auditorium Santa Margherita, Campo Santa Margherita, Dorsoduro 3689, Venezia Friday 16 May, from 1.45pm to 7.30pm. CFA Society Italy has determined that this program qualifies for 3,5 CE credit hours under the guidelines of the CFA Institute Continuing Education Program. The workshop is free of charge to attend. The program is available at http://www.qminitiative.org/seminars.html, and free registration is available at the same site. -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mail billio(a)unive.it http://venus.unive.it/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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seminario di M. Erbar a Pisa
by Marco Romito 24 Apr '14

24 Apr '14

Il giorno 28 aprile 2014, alle ore 14:30, presso la sala seminari del Dipartimento di Matematica dell'Università di Pisa, si terrà il seguente seminario: M. Erbar (Bonn Universitaet): Gradient flows of the entropy for jump processes In the last decade optimal transport has proven very successful in the study of diffusion processes and the associated PDEs.The aim of this talk is to present a link between the theory of jump processes and non-local operators and techniques from optimal transport. We introduce a new transport distance between probability measures that is built from a Levy jump kernel via a non-local variant of the Benamou-Brenier formula. We study various properties of this distance. As the main result we identify the semigroup generated by the associated non-local operator as the gradient flow of the relative entropy w.r.t. the new distance. This applies e.g. to the fractional heat equation and provides a non-local analogue of the celebrated result by Jordan--Kinderlehrer--Otto. Tutti gli interessati sono invitati a partecipare. m.

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Minicorso Prof. Albeverio presso DipInf UniVr
by Luca di persio 24 Apr '14

24 Apr '14

Il Prof. Sergio Albeverio [ Dept. Appl. Mathematics, University of Bonn, HCM, BiBoS, IZKS ] sarà ospite del Dipartimento di Informatica dell’Università di Verona [ Strada le Grazie, 15 - Vr ] nei giorni dal 28 al 30 Aprile 2014 e terrà un minicorso dal titolo ” *Girsanov and Feynman-Kac theorems with applications to SDEs* “ articolato in due lezioni che si terranno presso il Dipartimento stesso nei giorni di - Lunedì 28 Aprile [ Aula D - 14:30 - 16:30 ] - Mercoledì 30 Aprile [ Aula D - 14:30 16:30 ] Per informazioni rivolgersi a luca.dipersio(a)univr.it __ 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 - Italy Tel : +39 0461 281686

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Workshop on Diversification and Risk - Venice, May 16
by Monica Billio 23 Apr '14

23 Apr '14

[] *DIVERSIFICATION AND RISK *At the heart of the asset management industry, diversification and risk management will be taken up by the presentation of four recent academic papers on this theme and discussed during the panel session that will follow. This event is organized by the QMI/QuantValley Research Project and the International Center for Economics and Finance (ICEF) of the Ca' Foscari University of Venice, with the support of Euronext and CFA Society Italy. It will take place: Ca' Foscari University of Venice, Auditorium Santa Margherita, Campo Santa Margherita, Dorsoduro 3689, Venezia Friday 16 May, from 1.45pm to 7.30pm. CFA Society Italy has determined that this program qualifies for *3,5 CE credit hours *under the guidelines of the *CFA Institute Continuing Education Program*. The workshop is free of charge to attend. The program is available at http://www.qminitiative.org/seminars.html <http://www.qminitiative.org/seminars.html>, and free registration is available at the same site. [] -- "Nota automatica aggiunta dal sistema di posta. Destina Il 5 per mille per sostenere i giovani ricercatori di Ca' Foscari. E' un buon investimento per il futuro di tutti. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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Deadline approaching, Workshop on Random Interacting Systems in Bath, UK
by Alexandre Stauffer 23 Apr '14

23 Apr '14

This is a brief reminder that the registration deadline is approaching quickly. People at all stages of career are welcome to register. We have reserved accommodation on campus for a number of participants, which needs to be confirmed right after the registration deadline. Please forward this reminder to your interested colleagues and friends. School and Workshop on Random Interacting Systems 23-27 June 2014, in Bath, U.K. Registration is open until 30th April at http://people.bath.ac.uk/ados20/workshop14/ MINI-COURSES ============ Hugo Duminil-Copin (Universite de Geneve) Geometric representations of low-dimensional spin systems Christophe Garban (ENS Lyon) Lectures around Liouville quantum gravity and multiplicative chaos theory INVITED SPEAKERS ================ Kenneth Alexander (University of Southern California) Gerard Ben-Arous* (Courant Institute of Mathematical Sciences) Nathanael Berestycki* (University of Cambridge) Ivan Corwin* (MIT) David Croydon (University of Warwick) Nadine Guillotin-Plantard (Universite Lyon 1) Ori Gurel-Gurevich* (Hebrew University of Jerusalem) Frank den Hollander (Universiteit Leiden) Neil O'Connell (University of Warwick) Ron Peled (Tel Aviv University) Alejandro Ramirez (Pontificia Universidad Catolica de Chile) Perla Sousi (University of Cambridge) Rongfeng Sun (National University of Singapore) Pierre Tarres (University of Oxford) Augusto Teixeira (IMPA) Yvan Velenik (Universite de Geneve) * = to be confirmed. The workshop will focus on recent developments on random interacting systems, including (but not restricted to) interacting and self-interacting particle systems, random walks and other stochastic processes in random environments, random and evolving graphs, the Gaussian free field, random interlacements, random polymers, percolation and spin systems. There will be slots for a small number of contributed talks (with preference to Ph.D. students and post-docs). If you are interested, send title and abstract during registration at http://people.bath.ac.uk/ados20/workshop14/ We look forward to seeing you in Bath. Vladas Sidoravicius and Alexandre Stauffer

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Bando Professore Associato Tor Vergata
by Domenico Marinucci 23 Apr '14

23 Apr '14

Bando Professore Associato Dipartimento di Matematica, Università di Roma Tor Vergata Avviso pubblicato sulla G.U. n. 32 del 22.04.2014 Pubblicato su sito d’Ateneo il 23/04/2014 Scadenza 22.05.2014 Settore concorsuale: 01/A3 – Analisi matematica, probabilità e statistica matematica, Macrosettore 01/A – Matematica Possono partecipare alla procedura comparativa coloro che nel triennio precedente alla data di scadenza del bando, non abbiano prestato servizio, o non siano stati titolari di assegni di ricerca, ovvero non siano stati iscritti a corsi universitari presso l’Università degli Studi di Roma “Tor Vergata” ed in possesso di uno dei seguenti requisiti: 1) gli studiosi che abbiano conseguito l'abilitazione scientifica nazionale per uno dei settori concorsuali ricompresi nel macrosettore di Matematica 2) gli studiosi che abbiano conseguito l’idoneità ai sensi della legge n. 210/1998 e s.m. per la seconda fascia in uno dei settori concorsuali ricompresi nel macrosettore di Matematica, limitatamente al periodo di durata della stessa; 3) i professori di seconda fascia già in servizio presso altri Atenei inquadrati in uno dei settori concorsuali ricompresi nel macrosettore di Matematica 4) gli studiosi stabilmente impegnati all’estero in attività di ricerca o insegnamento a livello universitario in posizioni di livello pari a quello oggetto del bando Per maggiori informazioni e dettagli sulle modalità di presentazione della domanda, si consulti il bando completo sul sito http://concorsi.uniroma2.it/php/viewbando.php?id=1649 @@@@@@@@@@@@@@@@@@@ Domenico Marinucci Dipartimento di Matematica Università di Roma Tor Vergata http://www.mat.uniroma2.it/~marinucc/ @@@@@@@@@@@@@@@@@@@

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Mercati Energetici e Metodi Quantitativi - edizione 2014
by Tiziano Vargiolu 22 Apr '14

22 Apr '14

(chiedendo scusa in anticipo per eventuali ripetizioni) Buongiorno, volevamo ricordare che VENERDI' 25 APRILE e' la scadenza per l'iscrizione con pagamento di quota ridotta a tutte le iniziative "Mercati Energetici e Metodi Quantitativi: un Ponte tra Universita' e Aziende", in particolare: - tutorials: http://events.math.unipd.it/memq2014/ - workshop: http://www.unponte2014.stat.unipd.it/ Su quest'ultimo sito, in particolare su http://www.unponte2014.stat.unipd.it/programma.htm si possono anche trovare gli interventi in programma per il workshop. In attesa di rincontrarci a Padova, porgiamo i nostri piu' Cordiali Saluti, gli Organizzatori Giorgia Callegaro Enrico Edoli Francesco Lisi Tiziano Vargiolu

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Fwd: PhD, PD and TT-positions in The Netharlands
by Francesco Caravenna 19 Apr '14

19 Apr '14

Ricevo e inoltro. > Da: "Hollander, W.T.F. den" <denholla(a)math.leidenuniv.nl> > Oggetto: PhD, PD and TT-positions in The Netharlands > Data: 19 aprile 2014 19:14:09 GMT+02:00 > > Dear colleague, > > > > Please distribute the announcement below to interested > > junior researchers. > > > > Thanks, > > Frank den Hollander > > > > %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% > > > > PhD, PD and TT-POSITIONS IN THE NETHERLANDS > > > > Transportation, traffic, communication and energy networks form the backbone of our modern society. To deal with the uncertainty, variation, unpredictability, size and complexity inherent in these networks, we need to develop radically new ways of thinking. The ultimate goal is to build self-organizing and intelligent networks. > > > NETWORKS is a 10-year programme funded by the Dutch Ministry of Education, Culture and Science through the Netherlands Organisation for Scientific Research. > > > NETWORKS is hosted by four research institutions: > > University of Amsterdam (UvA) > Eindhoven University of Technology (TU/e) > Leiden University (UL) > Center for Mathematics and Computer Science (CWI) > > The programme will start in the Summer of 2014 and will cover a broad range of topics dealing with stochastic and algorithmic aspects of networks. The aim of the programme is to address the pressing challenges posed by large-scale networks with the help of stochastics and algorithmics. The focus is on modelling, understanding, controlling and optimizing networks that are complex and highly volatile. > > Networks is looking for: > > - 14 PhD students > > - 7 Postdocs > > - 7 Tenure-tracks assistant professors > > > > See > > > > www.thenetworkcenter.nl > > > > for more information.

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Fwd: seminario
by Gustavo Posta 11 Apr '14

11 Apr '14

Begin forwarded message: > From: Alessandra Faggionato <faggiona(a)gmail.com> > Subject: seminario > Date: 11 aprile 2014 11:44:22 GMT+02:00 > > > Speaker: J. Sohier > > Aula: B (Dipartimento di Matematica, Univ. La Sapienza) > Giorno: Martedi' 15 Aprile > Ora: 14:00 > > Titolo: A comparison between different cycle decompositions for Metropolis dynamics > > Abstract: In the last decades the problem of metastability has been attacked on rigorous grounds via many different approaches and techniques which are briefly reviewed in this paper. It is then useful to understand connections between different point of views. In view of this we consider irreducible, aperiodic and reversible Markov chains with exponentially small transition probabilities in the framework of Metropolis dynamics. We compare two different cycle decompositions and prove their equivalence. >

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Concorso per posto di ricercatore TD presso CNR IMATI Milano
by Antonio Pievatolo 11 Apr '14

11 Apr '14

Si segnala il seguente bando di concorso per un posto di ricercatore a tempo determinato, presso l'IMATI CNR, sede di Milano (scadenza 28 aprile 2014; invio domande solo tramite PEC personale) LINK http://www.mi.imati.cnr.it/iami/BANDO_IMATI_002_2014_MI.pdf TEMA DI RICERCA Modellizzazione statistica, programmazione di esperimenti e analisi statistica dei dati, con applicazione a processi di frantumazione e separazione per il riciclo di prodotti elettronici COMPETENZE Competenze di inferenza statistica, anche per processi stocastici, e conoscenze di programmazione statistica degli esperimenti simulati (si veda ad esempio Santner, Williams, Notz "The design and analysis of computer experiments", Springer, 2003); eventuale esperienza di ottimizzazione di processi. REQUISITI RICHIESTI - Diploma di Laurea Magistrale in Scienze Statistiche (LM-82), Matematica (LM-40), Ingegneria Matematica/Modellistica Matematico-Fisica per l’Ingegneria (LM-44), o diploma di Laurea conseguito secondo la normativa in vigore anteriormente alla riforma di cui al D.M. 509/99 ovvero diploma di Laurea Specialistica, equiparati ai sensi del Decreto Interministeriale 9 luglio 2009, pubblicato nella Gazzetta Ufficiale del 7 ottobre 2009 n. 233. - Titolo di Dottore di Ricerca in Scienze Statistiche, Matematica, Metodi Matematici per l’Ingegneria o in tematiche affini, O ANCHE aver svolto per un triennio attività di ricerca in settori inerenti alle competenze succitate DATA E ORA DEL COLLOQUIO 12/05/2014 alle ore 14:00 presso la sede dell’Istituto di Matematica Applicata e Tecnologie Informatiche “E. Magenes” - CNR Uos - Milano, Via Bassini 15 - 20133 Milano. TRATTAMENTO ECONOMICO Trattamento economico iniziale del vigente CCNL del Comparto del personale delle Istituzioni e degli Enti di Ricerca e Sperimentazione, corrispondente a quello previsto per il personale del CNR con profilo di Ricercatore, III livello. -- Dr Antonio (Marco) Pievatolo CNR IMATI Tel. +39 02 23699.521 (direct: 520) Web www.mi.imati.cnr.it/marco

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Cambio data, seminario di F. Delarue
by Marco Romito 10 Apr '14

10 Apr '14

Scrivo per informare gli interessati che il secondo seminario di F. Delarue, presso la sala riunioni del Dipartimento di Matematica dell'Università di Pisa, si terrà lunedi 14, invece di mercoledi 16 come precedentemente annunciato. 14 aprile, ore 9:30 F. Delarue (Université Nice Sophia-Antipolis): Mean field games II m.

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Assegno di Ricerca Mat/06 [ Università di Verona ]
by Luca di persio 10 Apr '14

10 Apr '14

E' indetta la selezione per titoli e colloquio per la formulazione di una graduatoria per il conferimento di n. 1 assegno di ricerca presso il Dipartimento di Computer Science dell' Università di Verona, nel settore scientifico-disciplinare: MAT/O6 PROBABILITÀ E STATISTICA MATEMATICA per l'attuazione del seguente programma di ricerca: "Equazioni differenziali stocastiche con salti in Finanza Matematica: applicazioni al prezzaggio, copertura e problemi collegati alle misure di rischio". Il bando è disponibile al seguente indirizzo: http://www.univr.it/documenti/Albo/allegatialbo/allegatialbo062129.pdf con *scadenza 30 Aprile 2014* Referente del programma di ricerca: Luca Di Persio email: luca.dipersio(a)univr.it __ 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 - Italy Tel : +39 0461 281686

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Workshop conclusivo progetto FIRB Futuro in Ricerca SNAPLE
by Laura M. Sangalli 09 Apr '14

09 Apr '14

------------------------------------------------------------------------ Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering FIRB SNAPLE closing workshop Politecnico di Milano May 15-16, 2014 ------------------------------------------------------------------------ http://www.mate.polimi.it/snaple2014/ ------------------------------------------------------------------------ This is the third and closing workshop of the starting grant project FIRB Futuro in Ricerca "Advanced statistical and numerical methods for the analysis of high dimensional functional data in life sciences and engineering", funded by MIUR Ministero dell'Istruzione dell'Università e della Ricerca, December 2010 - July 2014: http://mox.polimi.it/users/sangalli/firbSNAPLE.html Soon renamed SNAPLE: Statistical and Numerical methods for the Analysis of Problems in Life sciences and Engineering. SNAPLE aims at providing a substantial contribution to the development of innovative methods for the analysis of high-dimensional functional data, interfacing advanced statistical and numerical techniques. The workshop features talks about some of the achieved results and ongoing investigations of FIRB SNAPLE project, as well as various talks from internationally renowned scientists, with the aim discussing and exchanging ideas on new research perspectives. Invited speakers include: John Aston, Cambridge Marc Genton, KAUST Tilmann Gneiting, Heidelberg Institute for Theoretical Studies (HITS) and Karlsruhe Institute of Techology (KIT) Alberto Guadagnini, Politecnico di Milano Hans-Georg Muller, Universty of California - Davis Fabio Nobile, École Polytechnique Fédérale de Lausanne Davide Pigoli, Cambridge Jim Ramsay, McGill University. Registration to the workshop is free, but attendees are kindly requested to register at conference website: http://www.mate.polimi.it/snaple2014/ Best regards, Laura Sangalli -- Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it url: http://mox.polimi.it/~sangalli

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CALL FOR PAPERS: 15th OxMetrics User Conference, Cass Business School, 4-5 September 2014 (fwd)
by Tiziano Vargiolu 08 Apr '14

08 Apr '14

---------- Forwarded message ---------- Date: Tue, 8 Apr 2014 10:13:09 +0000 From: "Urga, Giovanni" <G.Urga(a)city.ac.uk> Subject: CALL FOR PAPERS: 15th OxMetrics User Conference, Cass Business School, 4-5 September 2014 Dear Tiziano Could you please circulate the Call for Papers below. Regards Giovanni @@@@@@@@@@@@@@@@@@@@@@@ Dear Colleagues I am pleased to report that the web page of the Conference is live and running. See http://www.cass.city.ac.uk/news-and-events/conferences/15th-oxmetrics-user- conference The pdf file of the Call for Papers is at http://www.cass.city.ac.uk/__data/assets/pdf_file/0005/217283/15thOxMetrics UserConference_Call_for_Papers.pdf . Please feel free to publicise the event throughout your own mailing lists. Regards Giovanni **************************************************************** Please use both addresses: giovanni.urga(a)unibg.it and g.urga(a)city.ac.uk **************************************************************** Giovanni Urga Professor of Finance and Econometrics Faculty of Finance Cass Business School 106 Bunhill Row London EC1Y 8TZ (U.K.) Tel.+/44/(0)20/70408698 Fax.+/44/(0)20/70408881 http://www.cass.city.ac.uk/faculty/g.urga Director, Centre for Econometric Analysis (CEA@Cass) http://www.cass.city.ac.uk/cea/index.html

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Fwd: Applications open for the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford
by Tiziano Vargiolu 08 Apr '14

08 Apr '14

----- Forwarded message from jan.obloj(a)maths.ox.ac.uk ----- Date: Mon, 7 Apr 2014 20:03:33 +0000 From: Jan Obloj <jan.obloj(a)maths.ox.ac.uk> Subject: Applications open for the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford To: Jan Obloj <jan.obloj(a)maths.ox.ac.uk> Dear All, we are pleased to announce that the applications from PhD students and early career researchers to participate in the 7th European Summer School in Financial Mathematics, 1-5 September 2014 in Oxford are now open! A limited number of fully funded places (incl. accommodation and travel grants), as well as further places with subsidised accommodation, are available. The application procedure is outlined here: http://www2.maths.ox.ac.uk/euroschoolmathfi14/application.html. and the deadline for sending complete applications is 4th of May 2014. This year, there will be two main courses running Monday-Thursday: 1) Rene Carmona (Princeton University) 'Stochastic Differential Games and Financial Applications? 2) Xuedong He (Columbia University) & Xunyu Zhou (University of Oxford) 'Quantile Approach to Behavioural Portfolio Selection and Asset Pricing.' On Friday (5th of September) there will be a dedicated 'New Challenges, New Methodologies Day?. It will include talks by Rama Cont (Imperial College London), Vladimir Piterbarg (Barclays) and Mathieu Rosenbaum (UPMC). We would appreciate if you could share this announcement with your colleagues and students who might be interested. Best regards, The local organising committee Ben Hambly, Martin Klimmek, Terry Lyons, Jan Obloj, Xunyu Zhou _________________________ Jan Obloj Associate Professor of Mathematical Finance Mathematical Institute, St John's College and Oxford-Man Institute of Quantitative Finance University of Oxford MI, ROQ, Woodstock Road Oxford OX2 6GG, UK +44 1865270124 ----- End forwarded message -----

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"Unlocking the value of big data", Special Issue on EJASA-DSS, Extended Deadline
by stefano iacus 07 Apr '14

07 Apr '14

Call for papers for the Special Issue on (extended deadline) "Increasing Innovation Opportunities by Unlocking the Value of Big Data" to be published on the "Electronic Journal of Applied Statistical Analysis: Decision Support Systems and Services Evalutation" ### Guest Editors: Valentina Ndou,Faculty of Innovation for Engineering, University of Salento (ITA) Mirjeta Beqiri, Gonzaga University, Spokane, WA, (USA) Stefano M. Iacus, Department of Economics, Management and Quantitative Methods, University of Milan (ITA) ### Overview: The advent of new communication technologies and especially the exponential growth of social media web 2.0, from blogs, Facebook and Twitter to LinkedIn and YouTube, has created vast opportunities for firms and managers to get closer to customers, to gain a wealth of information about their behaviors and preferences, as well as to identify new market trends and new opportunities to remain competitive. It is known that firms today operate in the era of Big Data Revolution, overwhelmed with data that are available via web to almost everyone. The content and information that customers create in web 2.0 platforms constitute a valuable asset for firms to directly tap into the customer’s preferences and needs, as the most valuable source for attaining direct and reliable market information. ### Aim: Based on these recent trends, this special issue invites research articles and papers that put forth different approaches, statistical models, and decision making systems able to analyze the available data for gaining insights and creating new knowledge that leads to innovation and creativity. ### Topics: This special issue seeks original contribution on the following topics: 1. Techniques, tools, approaches, and methodologies used for analyzing data and information 2. Statistical Analysis for big data 3. Data and knowledge modelling techniques 4. Stimulating innovation and improving performance through statistical data analysis 5. Value of data for new business models, products, and services 6. Data management as a driver of performance and competitiveness 7. Value co-creation through data and information exchange 8. Transforming the value of data using real time analytics 9. Business optimization techniques through data analysis 10. Decision making process in the big data era 11. Role of statistical models in unlocking the value of web data 12. Real time analytics 13. Privacy, security, and intellectual property issues in the era of big data. ### Submission guidelines: Original research papers will be considered. ### Important Dates: Abstract submission: 20th March, 2014 (extended to 15th April, 2014) Review decisions sent to authors: 30th April 2014 Full paper submission: 30th July, 2014 ### Further Information: For further information, please contact: ejasa(a)unisalento.it or visit http://siba-ese.unisalento.it/index.php/ejasa_dss/announcement/view/21 Stefano ps: Com'on statisticians! Where are you? We are the "data scientist" after all! ----------------------------------- Stefano M. Iacus Department of Economics, Management and Quantitative Methods University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 Twitter: @iacus http://scholar.google.com/citations?user=JBs9tJ4AAAAJ&hl=en Have a look at the new Master Degree in Economics & Finance http://www.mef.unimi.it Twitter: @mefunimi Facebook: http://www.facebook.com/mefunimi Email and further informations at: mef(a)unimi.it ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html

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Seminario Zorana Grbac a Padova
by Tiziano Vargiolu 07 Apr '14

07 Apr '14

ANNUNCIO DI SEMINARIO La Prof. Zorana GRBAC dell'Universit? di Parigi-Diderot (VII) terra' il seguente seminario lunedi' 14 aprile alle ore 15.30 in Aula 1BC45 del Dipartimento di Matematica, via Trieste 63, Padova. TITLE: Post-crisis interest rate models driven by Levy processes ABSTRACT: The recent credit crisis and the European sovereign debt crisis have impacted all financial markets and influenced the way derivatives are priced and hedged. In this talk we focus in particular on interest rate derivative models. When considering these models, two major changes with respect to the pre-crisis models should be taken into account. Firstly, a variety of spreads have developed between the rates that had been essentially the same before the crises. This is known as the multiple-curve phenomenon. Secondly, the crises have highlighted the native form of credit risk, namely the counterparty risk, as well as the funding issues. To meet these new modeling requirements, we develop a multiple-curve model, set in the HJM framework and driven by a Levy process. The use of Levy drivers allows an optimal balance between the flexibility needed to calibrate the model jointly to cap and swaption multiple-curve prices on one side, and the low number of Markov factors allowing the computation of counterparty risk and funding adjustments (CVA) on the other side. The pricing formulas in this framework are presented and possible Levy specifications discussed. We proceed with the calibration of the model and finally use the calibrated model as an underlying model for CVA computations. We conclude with a short and illustrative numerical example considering a basis swap. This is joint work with S. Cr?pey, N. Ngor and D. Skovmand ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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