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by Faggionato, Alessandra 26 May '19

26 May '19

Buongiorno, ricevo da Amine Asselah e con piacere inoltro. Saluti Alessandra ----------------------------------------------------------------- *1-year Postdoctoral position in Probability in Paris* We offer a 1-year postdoctoral position in Probability Theory beginning in the fall of 2019, and funded by the ANR grant SWiWS (from the french governement). All candidates with a background in Probability or Mathematical Physics, and interested in working on the mathematical aspects of polymer folding, interacting random walks and related topics, are encouraged to apply. The position is officially attached with Paris-Est, and collaboration is expected with members of the SWiWS project (see below). *Eligibility criteria:* Holding a PhD in Mathematics. *Deadlines:* 1st of July 2019 *Members of SWiWS project*: Amine Asselah, Quentin Berger, Francis Comets, Yueyun Hu, Julien Poisat, Bruno Schapira, Perla Sousi. *Contract details:* Funding will also be available to participate in scientific events related to the project. Research stays in Marseille and Cambridge are possible. Applications should be sent by email and include: a CV, a list of publications, a description of research project as well as 2 letters of recommendation. *Contact :* amine.asselah(a)u-pec.fr -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Fwd: bando assegno di ricerca dal titolo " Ricerca Matematica"
by Stefano Bonaccorsi 24 May '19

24 May '19

Segnalo questa opportunità per un assegno presso il nostro dipartimento ---------- Messaggio inoltrato --------- Buonasera, vi comunico che è stato pubblicato il bando relativo all'assegno di ricerca dal titolo " Ricerca Matematica" . Lo potete trovare al seguente link: https://www.unitn.it/ateneo/bando/58101/dipartimento-di-matematica-avviso-d… Buon fine settimana. Lucia -- Lucia Osele Responsabile Staff Dipartimento di Matematica Via Sommarive, 14 <https://maps.google.com/?q=Via%0D%0ASommarive,+14+38123%0D%0ATrento&entry=g…> 38123 Trento <https://maps.google.com/?q=Via%0D%0ASommarive,+14+38123%0D%0ATrento&entry=g…> Tel. 0461 281508

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Three lectures on Algorithmic Game Theory
by Marco Scarsini 23 May '19

23 May '19

Professor Georgios Piliouras (Singapore University of Technology and Design) will give the following three lectures on "Frontiers in Algorithmic Game Theory" LUISS Viale Romania 32 00197 Roma Room 303 Monday May 27th, 2019, h16:00-17:30 Blockchain and Cryptocurrencies Cryptocurrencies have shown to be reliable payment platforms and gathered immense interest in recent years. At their core, though, cryptocurrencies are simply decentralized ledgers: a network of participants who agree upon protocol rules that describe how the ledger can be update and maintain consensus among all participants. Even if no individual participant in the network can be trusted, a combination of cryptography and game-theoretic incentives ensures that the network as a whole is reliable and can be trusted. The aim of the tutorial is to provide an introduction to cryptocurrencies, outlining their structure and design with a focus on the game theoretic elements. Tuesday May 28th, 2019, h11:00-12:30 Markets as Pendulums: The Physics of Learning in Games We review a recent thread of papers that explores connections between adaptive learning dynamics in games and ideas in classical mechanics: E.g. When can we prove that learning behavior in a game is periodic? Is there a notion of energy that is being preserved? What are the laws of motion for markets? We will bring together notions from physics such as Poincaré recurrence, Hamiltonians and energy conservation with standard game theoretic notions of Nash and coarse correlated equilibria. No background in physics is expected and the talk will be self-contained. Wednesday May 29th, 2019, h11:00-12:30 Onset of Chaos in Traffic Routing (and Beyond) We study both theoretically and experimentally a standard theoretical benchmark of game theory, non-atomic routing games. Several learning dynamics are classically known to equilibrate in this setting due to its connection to convex optimization. Nevertheless, as we will show if we keep upping the total demand in these systems, then they go through phase transitions and become formally chaotic. We provide both theoretical and experimental evidence about the robustness of this phenomenon. A new vocabulary emerges to describe this behavior, such as formal definitions of chaos. We will examine this new terminology and give several examples to make these notions more intuitive. Finally, we will also uncover new regularities in these chaotic systems. What type of order is hidden within chaos? ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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REMINDER - International Conference in Venice - CALL FOR PAPERS
by Monica Billio 22 May '19

22 May '19

CREDIT2019 <http://www.greta.it/credit/credit2019/credit2019.htm> *GRETA Associati* (Venice, Italy), *European DataWarehouse* (Frankfurt am Main, Germany), *Intesa Sanpaolo* (Milan, Italy) and *S&P Global Market Intelligence* (London, UK) are co-sponsors of a Conference to be held in Venice on September 26-27, 2019. The objective of the Conference is to bring together academics, practitioners and Ph.D. 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 financial and atmospheric events 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*, *AIAF - Associazione Italiana per l'Analisi Finanziaria* (Milan, Italy) and the *Joint Research Center, European Commission* (Ispra, Italy), is the *eighteenth *of a series dedicated to various aspects of credit risk. //The adoption of the Paris Agreement on climate change and the UN 2030 Agenda for Sustainable Development marks a historical international commitment to the objective of a more sustainable economy and society. How to mobilise the necessary financing for green and sustainable investments is thus a primary need. // //Meanwhile, Regulators are discussing about a green-supporting or a brown-penalising factor since they want to make sure financial institutions are prepared. It is to find the way to support sustainable investments but it is primarily a discussion about credit risk.// //The banking and insurance industries and more in general the financial sector has to develop new asset management strategies and to adjust their credit allocation practices to cope with these new challenges and take advantage of the new opportunities. All these changes call for a substantial amount of research to improve the knowledge of the mechanisms at play and to design adapted policy tools. ////////// The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Analysis of climate change effects on companies’ creditworthiness, in terms of risk exposure and possible loss of business continuity; understanding on how to integrate the environmental risk and opportunities of banks’ or insurers’ counterparties in the credit process * Development of metrics for climate-related financial risks and investments opportunities; definition of an EU environmental and climate change (ECC) risk categorising system by economic sectors/sub-sectors for ECC screening to provide a sound and reliable basis for setting high-level policies for credit protection and allocation * Analysis of the climate change impact on the insurance sector and on the development of non-life and reinsurance products for the corporate and retail segments Analysis of climate-aligned developments in the financial markets (e.g. green bonds) and opportunities for financial institutions in fostering the low-carbon transition * Transmission channels of climate-related shocks from the real economy to financial institutions’ portfolios and amplification mechanisms of climate-related shocks through credit chains * Assessment of the potential impact of green financial policies, including climate-aligned monetary policies and macroprudential regulation * Big data and artificial intelligence to assess and manage the corporate exposures to climate change factors. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Robert Engle *(New York University, Stern Business School), *Andreas Hoepner* (University College Dublin), *Irene Monasterolo* (Wirtschaftsuniversität Wien, Vienna) and *Til Schuermann *(Oliver Wyman, New York). The Conference will also feature a panel discussion on researchers', practitioners' and policy makers’ views of the major outstanding problems. Sponsors** *GRETA* <http://www.greta.it/> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> S&P Global Market Intelligence <https://www.spglobal.com/marketintelligence/en/> Auspices** ** <http://www.abi.it/Pagine/default.aspx> *Ca' Foscari - Economics Department* <http://www.unive.it/pag/16892> *ABI* <http://www.abi.it/Pagine/default.aspx> AIAF <https://www.aiaf.it/> *JCR - European Commission <https://ec.europa.eu/jrc/en> * ** <https://ec.europa.eu/jrc/en> ** <http://www.abi.it/Pagine/default.aspx> * * The first panel session is already confirmed and it will involve: _Moderator:_ *Francesca Campolongo* (Joint Research Center, European Commission - TBC) *Sergio Nicoletti Altimari* (Director General Macroprudential Policy and Financial Stability at the European Central Bank) *Mattia Romani *(Managing Director for Economics, Policy and Governance at the European Bank for Reconstruction and Development) *Nancy Saich* (Managerial Adviser on Climate and Environment at the European Investment Bank) *Manuela Zweimueller* (Head of Policy Department at the European Insurance and Occupational Pensions Authority) *Mario Nava* (Director Horizontal Policies, European Commission) will contribute with a video message _ _ The Scientific Committee consists of: *Carlo Carraro* (Ca’ Foscari University of Venice & CMCC, Programme Chair) *Stefano Battiston* (University of Zurich) *Monica Billio* (Ca’ Foscari University of Venice & GRETA) *Francesca Campolongo* (Joint Research Center, European Commission) *Robert Engle *(New York University, Stern Business School) *Thomas Heller *(Climate Policy Initiative & Stanford University) *Andreas Hoepner* (University College Dublin) * Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Stephen Schaefer* (London Business School) *Cristiano Zazzara* (S&P Global Market Intelligence) *CALL FOR PAPERS* Those wishing to present a paper at the Conference should submit by *May 31, 2019*, 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, 2019*. The final version of accepted papers must be received by August 31, 2019. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 e-mail: credit(a)greta.it <mailto:credit@greta.it> *IMPORTANT DATES* May 31, 2019: Papers submission deadline June 30, 2019: Paper acceptance notification August 31, 2019: Deadline for sending final version of accepted papers More detailed information soon available on the Conference website: http://www.greta.it/credit/credit2019/credit2019.htm ** -- Nota automatica aggiunta dal sistema di posta.

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Spring Colloquium in Padova (28th May 2019)
by Giorgia Callegaro 22 May '19

22 May '19

Dear all, we invite you to the Spring Colloquium on Probability and Finance https://events.math.unipd.it/SpringColloquium/ which will take place next week, the 28th May 2019, in Padova, Torre Archimede, room 2BC60, from 10.30 to 13.30. This colloquium is part of the research project *Information in Financial Markets: A Probabilistic Perspective*, funded by the Europlace Institute of Finance, an initiative of the Louis Bachelier Institute. We kindly ask to interested people who will join us to send an e-mail either to "fontana at math.unipd.it" or to "gcallega at math.unipd.it". Have a nice afternoon, Giorgia Callegaro -- Giorgia Callegaro Assistant Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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seminario probabilità statistica matematica sapienza
by Piccioni, Mauro 22 May '19

22 May '19

Il 28 maggio alle ore 14 in Aula di Consiglio del Dipartimento di Matematica, Sapienza Università di Roma di terrà il seguente seminario di Probabilità e Statistica Matematica: GERARD LETAC, IMT, Université Paul Sabatier, Toulouse, France MULTIVARIATE RECIPROCAL INVERSE GAUSSIAN DISTRIBUTIONS: THE SURPRISING INTEGRALS OF SUPERSYMMETRY Abstract If $W=(w_{ij})_{1\leq i,j\leq n}\)$ is a symmetric matrix with $w_{ij}\geq 0$ and zero diagonal, consider the matrix $M_x=2\mathrm{diag}(x_1,\ldots,x_n)-W$ and the set $C_W$ of $x\in \mathbb{R}^n$ such that $M_x$ is positive definite. Physicists and probabilists have considered in the last ten years several integrals equivalent to $\int_{C_W}\exp(-a^*M_xa-b^*M_x^{-1}b)(\det M_x)^{q-1}dx$. According to the properties of the undirected graph $G$ associated to $W$ with vertices $1,\ldots,n$ and edges $(i,j)$ such that $w_{ij}\neq 0$, we compute some of these integrals and we study the corresponding exponential families on $\mathbb{R}^n$ with many attractive properties.

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Final call "YUIMA Summer School". Free admission for students. Brixen (IT) 25-28 June 2019. Registration extended.
by stefano iacus 22 May '19

22 May '19

The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process & Third Yuima Workshop* This 4 days course aims at introducing researchers, PhD students and practitioners to several aspects of modern numerical and statistical analysis of time series through the R language and, in particular, the YUIMA package. The course covers topics of R programming, time series data handling, simulation and numerical analysis for several types of statistical models including: point processes, Hawkes processes,stochastic differential equations driven by Brownian motion with or without jumps, fractional Brownian motionand Lévy processes. *Program to be announced, by invitation only Who can benefit? Stochastic differential equations, with or without jumps, are nowadays used as statistical models in many contexts, including but not limited to, finance, insurance, phylogenetics, genomics, political analysis, economics,migration flow analysis,social network analysis, and more. They are continuous-time models fitted on discrete sampled data. Point processes, like Compound Poisson and Hawkes processes are used in Limit Order Book (LOB) analysis in trading and finance, as well as in the analysis of rainfalls in meteorology or in earthquakes analysis in seismology. Jump and Lèvy processes extends many of the above models to a variety of statistical distributions that are able to capture stylised facts about real time series. Last, but not least, fractional processes are typical tools of climate change studies. Although the course could not cover all of the above applications, the participants can benefit from understanding the simulation and estimation techniques for these classes of stochastic process and apply to their own research field with the help of the faculties of this summer school. Students are admitted for free! But we have a limited number of slots, register soon! Due to high requests, registration has been extended to May 31st 2019. Hurry up! Where & When? 25-28 June 2019, Brixen-Bressanone, Italy https://yuimaproject.com/yss2019/ <https://yuimaproject.com/yss2019/> ----------------------------------- Prof. Stefano M. Iacus, Ph.D. 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 http://orcid.org/0000-0002-4884-0047 ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html -- Il tuo 5 x mille progetti Sostieni la ricerca, investi sul futuro dei giovani Universita` degli Studi di Milano - codice fiscale 80012650158

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Seminar and lectures of Otavio Menezes in Roma1
by Faggionato, Alessandra 22 May '19

22 May '19

Buongiorno, la prossima settimana abbiamo ospite del Dipartimento il Dr. Otavio Menezes dell'Universita' di Lisbona, che terra' un seminario e due lezioni sul metodo di entropia per sistemi di particelle. Le lezioni sono pensate anche per studenti di dottorato. Sotto trovate i dettagli. Grazie Buona Giornata Alessandra *(A) Seminar* Monday 27 May, 16:00 Aula di Consiglio, Department of Mathematics, University La Sapienza Speaker: Otavio Menezes (Univsersity of Lisbon) Title: Relative entropy and scaling limits of interacting particle systems Abstract: We obtain product approximations to the law of particle systems with exclusion and Glauber dynamics in finite volume, by establishing a bound on the relative entropy between the law of the system and the product measure. As applications of the entropy estimate we obtain the scaling limits of the density fluctuation fields close of equilibrium and bounds on the speed of convergence of the hydrodynamic limit. Joint work with Milton Jara. *(B) Minicourse* When: Tuesday 28 May, 15:00-17:00 and Wednesday 29 May, 14:00-16:00. Where: Room B, Department of Mathematics, La Sapienza Speaker: Otavio Menezes (Univsersity of Lisbon) Title: Relative entropy and scaling limits of interacting particle systems Abstract: The relative entropy method was developed by H.T. Yau in the 90’s to study the hydrodynamics of the Ginzburg-Landau model, and then adapted to several different dynamics. In this course we present the Relative Entropy Method of Yau in the context of general continuous time Markov chains, as well as recent progress in the setting of exclusion and Glauber dynamics. References: Funaki, T. Hydrodynamic Limit for Exclusion Processes, Communications in Mathematics and Statistics (2018) 6:417–480 Jara, M. and Menezes, O. Non-equilibrium fluctuations for a reaction-diffusion model via relative entropy, arXiv:1810.03418 Jara, M. and Menezes, O. Non-equilibrium Fluctuations of Interacting Particle Systems, arxiv.810.09526 ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Seminario su Machine Learning presso l'Università di Roma Tre
by Francesco Cesarone 20 May '19

20 May '19

Cari Colleghi, il 24 Maggio 2019 dalle 10:30 alle 12:30 (Aula 10, Dipartimento di Economia Aziendale - Università Roma Tre, Via Silvio D'Amico, 77 -00145, Roma), la Dott.ssa Francesca Perino, Application Engineer presso MathWorks , terrà un seminario su "Machine Learning con MATLAB per la Finanza Quantitativa" (in allegato il flyer). La frequenza del seminario è gratuita. Cordialmente, Francesco Cesarone -- Video - Quantitative Finance Workshop 2018 - Uniroma3 <https://www.youtube.com/watch?v=-DrAdCK8ht8&feature=youtu.be> http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Dipartimento di Economia Aziendale Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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Extended Submission Deadline for Vienna Congress on Math. Finance, Sept. 9-11 (fwd)
by Tiziano Vargiolu 17 May '19

17 May '19

---------- Forwarded message ---------- Date: Thu, 16 May 2019 16:35:58 +0200 From: Uwe Schmock <schmock(a)fam.tuwien.ac.at> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Subject: Extended Submission Deadline for Vienna Congress on Math. Finance, Sept. 9-11 ----------------------------------------------------- Vienna Congress on Mathematical Finance (VCMF 2019) Mon-Wed, September 9-11, 2019 VCMF Educational Workshop Thu-Fri, September 12-13, 2019 https://fam.tuwien.ac.at/vcmf2019/ ----------------------------------------------------- ***UPDATE:*** Due to spring break in connection with Easter holidays, the submission deadline for contributed talks & posters is extended until Saturday, May 18, 2019. Acceptance/rejection letters will be sent end of May 2019 (June 7, 2019 at the latest). Submission and Registration: https://fam.tuwien.ac.at/vcmf2019/registration.php ----------------------------------------------------- The second Vienna Congress on Mathematical Finance (VCMF 2019) will be held from September 9-11, 2019, once again at the new campus of WU Vienna. The conference will bring together leading experts from various fields of Mathematical Finance such as: - Computational Methods and Machine Learning - Credit Risk and Systemic Risk - Limit Order Book and High Frequency Trading - Markets with Frictions and Large Trader Models - New Financial Markets (Cryptocurrencies, Electricity, Energy, Securitization) - Risk Measures and Optimization (Portfolio Optimisation, Risk Allocation, Risk Aggregation) - Robust Finance - Stochastic and Rough Volatility The conference program will feature plenary lectures, parallel sessions with invited and contributed talks as well as poster sessions. Moreover, there will be an attractive social program. The conference is followed by a two-day Educational Workshop on September 12 and 13, 2019, with lectures by internationally recognized experts that will be a great learning opportunity in particular for younger scientists. The VCMF 2019 follows the successful previous edition, VCMF 2016, with 240 attendees, 83 talks and 28 poster presentations. For further information including details on plenary and invited speakers invited see the conference homepage at https://fam.tuwien.ac.at/vcmf2019/ Early registration is possible until June 30, 2019. We are looking forward to meeting you in September in Vienna! With kind regards from the VCMF 2019 organisers, Mathias Beiglb?ck, R?diger Frey, Stefan Gerhold, Friedrich Hubalek, Irene Klein, Thorsten Rheinl?nder, Birgit Rudloff, Walter Schachermayer, Uwe Schmock ----------------------------------------------------- Location: Campus of WU Wien Welthandelsplatz 1, 1020 Vienna/Wien, Austria Organized by: WU Vienna - Vienna University of Economics & Business TU Wien - Vienna University of Technology University of Vienna Wolfgang Pauli Institute (WPI) Vienna Gold Sponsor: Raiffeisen Bank International (further sponsors are welcome) Plenary Speakers... at the Congress: - Beatrice Acciaio (London School of Economics) - Bruno Bouchard (Universit? Paris-Dauphine) - Fred Espen Benth (University of Oslo) - Christa Cuchiero (WU Vienna) - Paul Embrechts (ETH Zurich) - Antoine Jacquier (Imperial College London) - Sebastian Jaimungal (University of Toronto) at the Educational Workshop: - Julien Guyon (Bloomberg, Columbia Univ., New York Univ.) - Huy?n Pham (University Paris VII Diderot) - Josef Teichmann (ETH Zurich) - Luitgard A. M. Veraart (London School of Economics) Invited Speakers at the Congress: - Emmanuel Bacry (Ecole Polytechnique and Universit? Paris-Dauphine) - Peter Bank (TU Berlin) - Damir Filipovic (L'Ecole Polytechnique F?d?rale de Lausanne) - Kathrin Glau (Queen Mary University of London) - Archil Gulisashvili (Ohio University) - Julien Guyon (Bloomberg, Columbia Univ., New York Univ.) - Nikolaus Hautsch (University of Vienna) - Blanka Horvath (King's College and Imperial College London) - Ying Jiao (Universit? Claude Bernard Lyon 1) - Sigrid K?llblad (KTH Royal Institute of Technology) - Eyal Neuman (Imperial College London) - Marcel Nutz (Columbia University) - Nizar Touzi (Ecole Polytechnique) - Luitgard A. M. Veraart (London School of Economics) https://fam.tuwien.ac.at/vcmf2019/speakers.php Additionally on the first day of the congress there will be a panel discussion with the title: "The big data revolution in mathematical finance" Panellists: - Nikolaus Hautsch Professor of Finance and Statistics of University of Vienna - Jonas Hirz Boston Consulting Group (BCG) and Head of the Data Science Section of the Actuarial Association of Austria (AV?) - further Panellists t.b.a. Moderator: - Josef Teichmann Full Professor of Financial Mathematics, ETH Z?rich For further details see the program: https://fam.tuwien.ac.at/vcmf2019/program.php Important dates and deadlines: Submission: The call for contributed talks & posters is open until May 18, 2019. Acceptance/rejection letters will be sent end of May 2019 (June 7, 2019 at the latest). Registration: Early registration is possible until June 30, 2019. Registration is possible until August 15, 2019. Submission and Registration: https://fam.tuwien.ac.at/vcmf2019/registration.php CPD: The attendance at VCMF 2019 (full week, Sept. 9-13, 2019) may qualify for up to 30 CPD credits for those delegates whose national actuarial organization's CPD requirements recognize VCMF 2019. 18 CPD credits for VCMF Congress (Sep 9-11) and 12 CPD credits for VCMF Educational Workshop (Sep 12-13). VCMF 2019 is accredited by the AV? - Actuarial Assoc. of Austria. For any requests, do not hesitate to write an e-mail to the conference & workshop secretariat: vcmf2019(a)fam.tuwien.ac.at --- "Le congr?s danse beaucoup, mais il ne marche pas." ("The congress does not move forward, it dances.") Prince Charles de Ligne?s famous words at the Congress of Vienna (1814-1815) ----------------------------------------------------- Edit VORLAGE Engl. Text und langer Info-Anhang ----------------------------------------------------- Vienna Congress on Mathematical Finance (VCMF 2019) Mon-Wed, September 9-11, 2019 VCMF Educational Workshop Thu-Fri, September 12-13, 2019 https://fam.tuwien.ac.at/vcmf2019/ ----------------------------------------------------- The second Vienna Congress on Mathematical Finance (VCMF 2019) will be held from September 9-11, 2019, once again at the new campus of WU Vienna. The conference will bring together leading experts from various fields of Mathematical Finance such as: - Computational Methods and Machine Learning - Credit Risk and Systemic Risk - Limit Order Book and High Frequency Trading - Markets with Frictions and Large Trader Models - New Financial Markets (Cryptocurrencies, Electricity, Energy, Securitization) - Risk Measures and Optimization (Portfolio Optimisation, Risk Allocation, Risk Aggregation) - Robust Finance - Stochastic and Rough Volatility The conference program will feature plenary lectures, parallel sessions with invited and contributed talks as well as poster sessions. Moreover, there will be an attractive social program. The conference is followed by a two-day Educational Workshop on September 12 and 13, 2019, with lectures by internationally recognized experts that will be a great learning opportunity in particular for younger scientists. The VCMF 2019 follows the successful previous edition, VCMF 2016, with 240 attendees, 83 talks and 28 poster presentations. For further information including details on plenary and invited speakers invited see the conference homepage at https://fam.tuwien.ac.at/vcmf2019/ The call for contributed talks & posters is open until May 18, 2019. Early registration is possible until June 30, 2019. https://fam.tuwien.ac.at/vcmf2019/registration.php We are looking forward to meeting you in September in Vienna! With kind regards from the VCMF 2019 organisers, Mathias Beiglb?ck, R?diger Frey, Stefan Gerhold, Friedrich Hubalek, Irene Klein, Thorsten Rheinl?nder, Birgit Rudloff, Walter Schachermayer, Uwe Schmock ----------------------------------------------------- Location: Campus of WU Wien Welthandelsplatz 1, 1020 Vienna/Wien, Austria Organized by: WU Vienna - Vienna University of Economics & Business TU Wien - Vienna University of Technology University of Vienna Wolfgang Pauli Institute (WPI) Vienna Gold Sponsor: Raiffeisen Bank International (further sponsors are welcome) Plenary Speakers... at the Congress: - Beatrice Acciaio (London School of Economics) - Bruno Bouchard (Universit? Paris-Dauphine) - Fred Espen Benth (University of Oslo) - Christa Cuchiero (WU Vienna) - Paul Embrechts (ETH Zurich) - Antoine Jacquier (Imperial College London) - Sebastian Jaimungal (University of Toronto) at the Educational Workshop: - Julien Guyon (Bloomberg, Columbia Univ., New York Univ.) - Huy?n Pham (University Paris VII Diderot) - Josef Teichmann (ETH Zurich) - Luitgard A. M. Veraart (London School of Economics) Invited Speakers at the Congress: - Emmanuel Bacry (Ecole Polytechnique and Universit? Paris-Dauphine) - Peter Bank (TU Berlin) - Damir Filipovic (L'Ecole Polytechnique F?d?rale de Lausanne) - Kathrin Glau (Queen Mary University of London) - Archil Gulisashvili (Ohio University) - Julien Guyon (Bloomberg, Columbia Univ., New York Univ.) - Nikolaus Hautsch (University of Vienna) - Blanka Horvath (King's College and Imperial College London) - Ying Jiao (Universit? Claude Bernard Lyon 1) - Sigrid K?llblad (KTH Royal Institute of Technology) - Eyal Neuman (Imperial College London) - Marcel Nutz (Columbia University) - Nizar Touzi (Ecole Polytechnique) - Luitgard A. M. Veraart (London School of Economics) https://fam.tuwien.ac.at/vcmf2019/speakers.php Additionally on the first day of the congress there will be a panel discussion with the title: "The big data revolution in mathematical finance" Panellists: - Nikolaus Hautsch Professor of Finance and Statistics of University of Vienna - Jonas Hirz Boston Consulting Group (BCG) and Head of the Data Science Section of the Actuarial Association of Austria (AV?) - further Panellists t.b.a. Moderator: - Josef Teichmann Full Professor of Financial Mathematics, ETH Z?rich For further details see the program: https://fam.tuwien.ac.at/vcmf2019/program.php Important dates and deadlines: Submission: The call for contributed talks & posters is open until May 18, 2019. Acceptance/rejection letters will be sent end of May 2019 (June 7, 2019 at the latest). Registration: Early registration is possible until June 30, 2019. Registration is possible until August 15, 2019. Submission and Registration: https://fam.tuwien.ac.at/vcmf2019/registration.php CPD: The attendance at VCMF 2019 (full week, Sept. 9-13, 2019) may qualify for up to 30 CPD credits for those delegates whose national actuarial organization's CPD requirements recognize VCMF 2019. 18 CPD credits for VCMF Congress (Sep 9-11) and 12 CPD credits for VCMF Educational Workshop (Sep 12-13). VCMF 2019 is accredited by the AV? - Actuarial Assoc. of Austria. For any requests, do not hesitate to write an e-mail to the conference & workshop secretariat: vcmf2019(a)fam.tuwien.ac.at --- "Le congr?s danse beaucoup, mais il ne marche pas." ("The congress does not move forward, it dances.") Prince Charles de Ligne?s famous words at the Congress of Vienna (1814-1815) -----------------------------------------------------

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8 PhD scholarships in Statistical Sciences – University of Padova, Italy – NEW DEADLINE May 21, 2019, 1 pm (CEST)
by Patrizia Piacentini - PhD 17 May '19

17 May '19

Eight PhD scholarships (6 funded by the University of Padova and 2 funded by the Fondazione Cassa di Risparmio di Padova e Rovigo of which 1 is a fully funded grant reserved to foreign, non-italian, graduate students) are available at University of Padova for candidates interested in the area of *Statistical Sciences* (*start of activities: October 1st, 2019*). ** *Eligibility* The scholarship competition is open to applicants of any age or citizenship, holding a 2nd cycle degree or a single cycle degree from an Italian university or an equivalent qualification from other countries of at least four years’ duration (applicants can get their qualification no later than 30th September 2019). Admission is decided on the basis of qualifications only and does not require an entry examination.** *Award* The award will be for three years and it will be subject to satisfactory progress. The annual grant is of euros *18,052.04* (gross amount). This is an increased scholarship with respect to the standard University of Padova scholarship of euros 15,343.28. The additional amount of euros *2,708.76* is funded by the Department of Statistical Sciences "Department of Excellence" grant, financed by the Italian Ministry of Education, Universities and Research (MIUR). ** *How to apply* The call is published *(new deadline May 21, 1 pm CEST)* at the page http://www.unipd.it/ricerca/dottorati-di-ricerca/bandi-e-graduatorie English version at the page http://www.unipd.it/en/node/1053 Please, note that the curriculum has to be written by filling the template *CV_XXXV*available from the Course web page http://www.stat.unipd.it/ricerca/ammissione and uploading the filled template in the online procedure. ** *Applications are only accepted online using the link indicated in the call* See http://www.stat.unipd.it/ricerca/ammissione or contact phd(a)stat.unipd.it <mailto:phd@stat.unipd.it> Kindest regards, Patrizia Piacentini on behalf of prof. Massimiliano Caporin Coordinator of the PhD Course in Statistics University of Padova - Italy *We apologize for cross posting * -- Patrizia Piacentini Secretariat PhD Course in Statistics University of Padova tel +39 049 8274167 fax +39 049 8271524 dottorato(a)stat.unipd.it

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Concorso RTD-B a Milano Bicocca - MAT/06
by Francesco Caravenna 17 May '19

17 May '19

----------------------------------------------------------------------------- Concorso per un posto RTD-B a Milano Bicocca - MAT/06 ----------------------------------------------------------------------------- È stato bandito un posto RTD-B nel settore MAT/06 (Probabilità e Statistica Matematica) presso il Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca. Il bando si trova alla pagina https://www.unimib.it/ateneo/gare-e-concorsi/rtdb-dr-n-17788-del-1742019 La scadenza per la presentazione delle domande è il 9 giugno 2019. Si prega di dare la massima diffusione presso tutti gli interessati. _________________________________________ 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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Seminario dipartimentale di Vittoria Silvestri a Roma1
by Faggionato, Alessandra 17 May '19

17 May '19

Lunedì 20 maggio alle ore 14:30 in Aula di Consiglio si terrà il seminario dipartimentale della D.ssa Vittoria Silvestri che è recentemente risultata vincitrice della procedura valutativa di chiamata a RTD-A nel SSD MAT/06. Speaker: Vittoria Silvestri (Research Fellow in Mathematics, University of Cambridge) Titolo: Fluctuations and mixing for random growth models Abstract *Obtaining a rigorous understanding of the formation of complex patterns in nature is a long-standing problem, which has motivated the introduction of several probabilistic models in the Mathematics and Physics literature. In this talk I will present some of these models, both discrete and continuous, discussing asymptotic behavior, fluctuations and mixing and presenting results obtained in collaboration with L. Levine, J. Norris and A. Turner.* -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Seminario: Yosi Rinott su Privacy in data dissemination, differential privacy, and adaptivity,
by Antonio Pievatolo 16 May '19

16 May '19

Giovedì 23 maggio alle 14:30, presso il CNR-IMATI, in via A. Corti, 12, Milano, Aula A, si terrà il seguente seminario: Speaker: Yosi Rinott, The Hebrew University. Title: Privacy in data dissemination, differential privacy, and adaptivity. Abstract: I will demonstrate privacy issues that arise when an agency, for example ISTAT or a hospital, disseminates data such as a sample from some population or experimental results to the public or to other agencies. Various methods used by statisticians to assess the disclosure risk, and to decrease it will be briefly reviewed (e.g., Dalenius 1977). In general, such methods depend on scenarios regarding potential intruders, such as the intruder’s prior knowledge about the sample or the population. Differential Privacy (Dwork, McSherry, Nissim and Smith2006) is an approach that avoids the need to consider such scenarios, and guarantees a well-defined notion of privacy by adding noise to all released data. I will describe some basic results on differential privacy with some discussion of its application to the release of contingency tables (Dwork and Roth 2014, Rinott, O’Keefe, Shlomo, and Skinner 2018). Ongoing work on data analysis that takes the added noise into account will be discussed. An attempt to use ideas from differential privacy to control adaptive hypotheses testing or estimation will be described. Here, “adaptive” means choosing the hypotheses to be tested after peeking (snooping) at the data, which is a major problem in data mining, and probably explains in part why so many contradictory finding appear in medical journals. -- Dr Antonio Pievatolo IMATI-CNR http://www.imati.cnr.it/joomla/index.php/people?layout=edit&id=101 ph. +39 02 23699 520

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Fwd: Lisbon summer school
by Cristian Giardina 16 May '19

16 May '19

Ricevo ed inoltro. ---------- Forwarded message --------- From: Patricia Goncalves <patricia.goncalves(a)math.tecnico.ulisboa.pt> Date: Wed, May 15, 2019 at 5:41 PM Subject: Lisbon summer school To: Nicolas Perkowski <perkowsk(a)math.hu-berlin.de>, Marielle Simon < marielle.simon(a)inria.fr>, Jan Maas <jan.maas(a)ist.ac.at>, Bernardin Cedric < Cedric.BERNARDIN(a)unice.fr>, Grosskinsky, Stefan < S.W.Grosskinsky(a)warwick.ac.uk>, Stefano OLLA <olla(a)ceremade.dauphine.fr>, Giota B <panbirba(a)gmail.com>, Dimitrios Tsagkarogiannis <dtsagkaro(a)gmail.com>, Cristian Giardina <cristian.giardina(a)unimore.it>, < toninelli(a)ceremade.dauphine.fr>, Alessandra Faggionato < faggiona(a)mat.uniroma1.it>, Anna De Masi <anna.demasi(a)gmail.com>, Jonathon Peterson <peterson(a)purdue.edu>, Hendrik Weber <hendrik.weber(a)warwick.ac.uk>, Joe P. Chen <joe.p.chen(a)gmail.com> Dear colleagues Could you please spread the announcement below? many thanks! Patricia -------- Forwarded Message -------- Subject: Lisbon summer school Date: Mon, 13 May 2019 14:08:17 +0100 From: Gustavo Granja <ggranja(a)math.ist.utl.pt> <ggranja(a)math.ist.utl.pt> To: diaconisatmath Diaconis <diaconisatmath(a)gmail.com> <diaconisatmath(a)gmail.com>, Perla Sousi <p.sousi(a)statslab.cam.ac.uk> <p.sousi(a)statslab.cam.ac.uk>, Evita Nestoridi <exn(a)princeton.edu> <exn(a)princeton.edu> CC: Teresa Burnay <tburnay(a)gulbenkian.pt> <tburnay(a)gulbenkian.pt>, Orlando Neto <orlando60(a)gmail.com> <orlando60(a)gmail.com>, Jose Miguel Urbano <jmurb(a)mat.uc.pt> <jmurb(a)mat.uc.pt>, José Ferreira Alves <jfalves(a)fc.up.pt> <jfalves(a)fc.up.pt> Dear lecturers, 1. The summer school now has a webpage: https://www.math.tecnico.ulisboa.pt/talentos/school2019/index.html Please let us know if you find any mistakes or would like us to make any changes. A tentative schedule is up at https://www.math.tecnico.ulisboa.pt/talentos/school2019/tentativeschedule.h… Again, please let us know if you would like us to make any changes. 2. Lisbon has become a very touristy city so it is quite hard to make hotel reservations in the Summer. Could you please write to Teresa Burnay (email above) as soon as possible and give her your arrival and departure dates? It is ok if these are still tentative as reservations can be changed at a later date if needed. 3. We will announce the school on two probability lists ( Women.in.Prob(a)gmail.com, APPLIEDPROB(a)JISCMAIL.AC.UK) with the email appended at the end of this message. Any help you can provide on spreading the word will be much appreciated. Best, Gustavo ———————— Dear colleagues, A summer school on Probability aimed at ***undergraduate students*** sponsored by the Gulbenkian Foundation will take place in Lisbon from September 2 to 6, 2019. It will consist of three 5 hour courses by Persi Diaconis, Evita Nestoridi and Perla Sousi. Participants are only required to be familiar with linear algebra and multi-variable calculus. More information can be found at https://www.math.tecnico.ulisboa.pt/talentos/school2019/ The Gulbenkian Foundation will provide a limited number of 500 euro grants to support the travel and accommodation expenses of foreign participants. The webpage above contains instructions on how to apply for funding. The deadline is June 23rd. If you have students who might profit from this summer school we would appreciate it if you could pass this information on to them. On behalf of the organising committee, Gustavo Granja

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Seminario Luis GIL-ALANA @ UniTo
by Elvira Di Nardo 16 May '19

16 May '19

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Mercoledì 22 Maggio 2019, alle ore 11:30, presso il Dipartimento di Matematica "G.Peano" (via Carlo Alberto 10, Torino), si terrà il seguente seminario (Aula 5): Luis GIL-ALANA (Navarra University) Title: LONG MEMORY AND FRACTIONAL INTEGRATION. AN OVERVIEW Abstract We present two definitions of long memory and focus on a particular model that satisfies this property which is called fractional integration. Alternative fractionally integrated models dealing with issues such as seasonality, structural breaks, cycliclity and non-linerities are presented and several estimation and testing methods are proposed. A number of empirical applications will also be discussed at the end of the talk. Tutti gli interessati sono invitati a partecipare. Cordiali saluti, Elvira Di Nardo -- %------------------------------------------------------- Elvira Di Nardo Dept. Mathematics "G. Peano" University of Torino Via Carlo Alberto 10 10123 Torino, Italia tel. +39 0116702862 fax +39 0116702878 http://www.elviradinardo.it %------------------------------------------------------- <http://www.avg.com/email-signature?utm_medium=email&utm_source=link&utm_cam…> Mail priva di virus. www.avg.com <http://www.avg.com/email-signature?utm_medium=email&utm_source=link&utm_cam…> <#DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

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Seminario di K. Mallick a Roma 1
by Faggionato, Alessandra 15 May '19

15 May '19

Buongiorno vi riporto l'annuncio per un seminario congiunto di Fisica Matematica e Probabilità a Roma La Sapienza (v. sotto). Saluti Alessandra ************************************************************************************* Mercoledì 22 Maggio, ore 16:00, Aula di Consiglio Dipartimento di Matematica, Sapienza Università di Roma Speaker: Kirone Mallick (Institut de Physique Théorique, Parigi) Title: Continuous-time Quantum Walks Abstract: Quantum analogs of classical random walks have been defined in quantum information theory as a useful concept to implement algorithms. Due to interference effects, statistical properties of quantum walks can drastically differ from their classical counterparts, leading to much faster computations. In this talk, we shall discuss various statistical properties of continuous-time quantum walks on a lattice, such as: survival properties of quantum particles in the presence of traps (i.e. a quantum generalization of the Donsker-Varadhan stretched exponential law), the growth of a quantum population in the presence of a source, quantum return probabilities and Loschmidt echoes. ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Fwd: fostering (fwd)
by Tiziano Vargiolu 14 May '19

14 May '19

---------- Forwarded message ---------- Date: Tue, 14 May 2019 14:17:37 +0200 From: Paolo Foschi <foschip(a)gmail.com> To: Tiziano Vargiolu <vargiolu(a)math.unipd.it> Caro Tiziano, potresti inoltrare nella mailing list RANDOM la locandina della giornata ?Fostering the interaction between academics and actuaries? organizzata a Bologna dal nostro dipartimento ed il DISES dell?Universit? di Salerno per luned? 20 maggio? Fostering the interaction between academics and actuaries A joint meeting with the UNISActuarial School 20 maggio 2019, ore 14-18 Dipartimento di Scienze Statistiche, AULA I Via delle Belle Arti 41, Bologna Interverranno ? Luca Ballestra, Universita? di Bologna ? Enrico Biffis, Imperial College of London (UK) ? Massimo Carassinu, CEO Italia Elipslife ?Gruppo Swiss Re ? Giampaolo Crenca, Presidente Consiglio Nazionale degli Attuari ? Valeria D?Amato, Universita? degli Studi di Salerno ? Roberto Roberti, Capo Vigilanza Prudenziale, IVASS ? Susanna Levantesi, Universita? degli Studi di Roma, La Sapienza ? Massimiliano Menzietti, Universita? della Calabria ? Giorgio Spedicato, Leitha?, Gruppo Unipol, Bologna Comitato organizzatore: Luca Ballestra, Cristina Bernini, Valeria D?Amato, Paolo Foschi, Fedele Greco, Susanna Levantesi, Massimiliano Menzietti, Marilena Sibillo Info: * Fedele Greco fedele.greco(a)unibo.it * Valeria D?Amato vdamato(a)unisa.it Grazie, Paolo Foschi ????? Foschi Paolo, Dip. di Scienze Statistiche, Univ. di Bologna

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de Finetti risk seminar - May 2019 - correction
by Emanuela Rosazza Gianin 14 May '19

14 May '19

> On behalf of the Scientific Committee of the de Finetti Risk Seminars, we >> are glad to invite you to participate at the following Lecture >> >> >> Samuel Cohen >> University of Oxford >> >> Title: Multi-armed bandits with uncertainty >> >> Abstract: >> Making good decisions based on estimates is difficult, but of clear >> importance in many applications. This is particularly the case when the >> decisions made will affect the information available in the future. >> Formally, this >> means that the filtration of our problem is not fixed in advance, but >> depends on >> the control used. >> We will consider the 'simplest' problem of this type, a multi-armed bandit >> problem, while taking account of uncertainty aversion. We will see that an >> extension of the classical Gittins' index approach is possible in this >> framework, >> despite many dynamic consistency issues. >> >> >> LOCATION: >> The seminar will be held on Tuesday (instead of Wednesday) May 28, at >> 18.00, Aula di Rappresentanza, Dept. of Mathematics, Milano University, Via >> C. Saldini 50, Milano >> <https://maps.google.com/?q=Via+C.+%0D%0ASaldini+50,+Milano&entry=gmail&sour…>. >> A light reception will take place at 17.45. >> >> >> Scientific Committee >> >> Prof. Simone Cerreia-Voglio (Univ. Bocconi) >> Prof. Marco Frittelli (Univ. degli Studi di Milano) >> Prof. Fabio Maccheroni (Univ. Bocconi) >> Prof. Marco Maggis (Univ. degli Studi di Milano) >> Prof. Massimo Marinacci (Univ. Bocconi) >> Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) >> >> >> >> ****************************************************************************************** >> Emanuela Rosazza Gianin >> Dipartimento di Statistica e Metodi Quantitativi >> Università di Milano-Bicocca >> Edificio U7 – 4° Piano >> Via Bicocca degli Arcimboldi, 8 >> <https://maps.google.com/?q=Via+Bicocca+degli+%0D%0AArcimboldi,+8&entry=gmai…> >> 20126 Milano >> >> Tel. 02 64483208 >> Fax. 02 64483105 >> e-mail: emanuela.rosazza1(a)unimib.it >> >> >> ******************************************************************************************* >> >

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concorso di RTDB - Milano-Bicocca
by Emanuela Rosazza Gianin 14 May '19

14 May '19

Si avvisa che e' stato bandito un posto da ricercatore RTDB nel settore SECS-S/06 presso il Dipartimento di Statistica e Metodi quantitativi dell'Universita' di Milano-Bicocca. La scadenza per le domande e' il giorno 9 giugno 2019. Bando e dettagli sono consultabili alla pagina https://www.unimib.it/ateneo/gare-e-concorsi/rtdb-dr-n-17788-del-1742019 Cordilai saluti, Emanuela ************************************************** 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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Update: "The Mathematics and Statistics of Wealth and Income Distributions" at AMMCS 2019
by Enrico Scalas 13 May '19

13 May '19

Dear Colleagues, The deadline for the submission of abstracts has been postponed to 25 May 2019. Please find the announcement below and apologies for cross-posting. Best wishes, Enrico -- Dear Colleagues, At AMMCS 2019 in Waterloo, Ontario, Canada, August 18-23, 2019, with Taisei Kaizoji (ICU Tokyo), I am organising a special session on: The Mathematics and Statistics of Wealth and Income Distributions Research on microscopic stochastic models of economic systems and their kinetic, mean-field and hydrodynamic limits have recently gained a lot of momentum. The focus of this special session is to highlight recent advances on stochastic, kinetic and PDE modelling in the area of wealth and income distributions as well as methodologies for model estimates, including Bayesian techniques. The deadline for submission of abstracts is 25 May 2019. Useful links: Conference webpage: http://ammcs.wlu.ca/ Special session webpage: http://ammcs.wlu.ca/special-sessions/mswid/ Deadlines: http://ammcs.wlu.ca/deadlines-payment/ Please, feel free to forward this message to interested persons. Best regards, Enrico Scalas Professor of Statistics and Probability Department of Mathematics University of Sussex, UK

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Colloquium di Luca Trevisan a Roma Tre il 12/06/19
by Pietro Caputo 13 May '19

13 May '19

COLLOQUIUM DI MATEMATICA Luca Trevisan U.C. Berkeley Titolo: Some simple distributed network processes Mercoledi' 12 Giugno 2019 ORE 16:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Aula M3, edificio Aule - Largo San Leonardo Murialdo,1 Abstract We will describe network processes in which, at each step, each node communicates with its neighbors, or a random subset of neighbors, and updates its state according to the outcome of these communications. We will first talk about processes in which each node updates its state to be "more like" the state of the neighbors. In a complete communication network, such protocols provide a solution to the problem of reaching a consensus, and they do so in a way that is robust to adversarial interventions. In a communication network with a clustered structure, such protocols give a decentralized solution to the community detection problem. We will then discuss a protocol in which each node wants to choose a constant number of neighbors in such a way that the resulting constant-degree subnet of the communication network is an expander. This is done in a way to similar to how virtual networks are formed in peer-to-peer protocols. We show that if the original communication network is a dense expanders, the protocol will construct a constant-degree expander. (Based on joint work with Luca Becchetti, Andrea Clementi, Pasin Manurangsi, Emanuele Natale, Francesco Pasquale and Prasad Raghavendra.)

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INTENSIVE RESEARCH PROGRAM IN QUANTITATIVE FINANCE June - July 2020 CRM Barcelona
by Maria Elvira Mancino 13 May '19

13 May '19

This is a first announcement for INTENSIVE RESEARCH PROGRAM IN QUANTITATIVE FINANCE June - July 2020 CRM - Barcelona Further information here: http://www.crm.cat/en/Activities/Curs_2019-2020/Pages/IRP_Quantitative_Fina…

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Firenze Bando Dottorato XXXV ciclo
by Francesca Romana Nardi 10 May '19

10 May '19

Cari colleghi, vi segnalo che il bando di concorso per il XXXV ciclo del Dottorato in Matematica, Informatica, Statistica presso l'Universita` di Firenze è uscito il 29/4/2019 ed il termine per la presentazione delle domande scadrà il 29/5/2019, alle ore 12 (ora italiana). Ulteriori informazioni e il bando si trovano all'indirizzo https://www.unifi.it/p11549.html Siete invitati a diffondere la notizia tra tutti i possibili interessati. Grazie. Cordiali saluti, Paolo Salani _______________________________________________ Dimai-news mailing list Dimai-news(a)lists.math.unifi.it https://lists.math.unifi.it/mailman/listinfo/dimai-news

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de Finetti risk seminar - may 2019
by Emanuela Rosazza 10 May '19

10 May '19

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Samuel Cohen University of Oxford Title: Multi-armed bandits with uncertainty Abstract: Making good decisions based on estimates is difficult, but of clear importance in many applications. This is particularly the case when the decisions made will affect the information available in the future. Formally, this means that the filtration of our problem is not fixed in advance, but depends on the control used. We will consider the 'simplest' problem of this type, a multi-armed bandit problem, while taking account of uncertainty aversion. We will see that an extension of the classical Gittins' index approach is possible in this framework, despite many dynamic consistency issues. LOCATION: The seminar will be held on Wednesday, May 28, at 18.00, Aula di Rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A light reception will take place at 17.45. Scientific Committee Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) ****************************************************************************************** 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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Fwd: Postdoc Positions Stochastic Analysis Berlin
by Marco Romito 10 May '19

10 May '19

-------- Forwarded Message -------- Dear Colleagues, Within the research unit “Rough Paths, Stochastic Partial Differential Equations and Related Topics” (FOR 2402) funded by the German Research Council, TU Berlin, WIAS, HU Berlin, U Potsdam and U Bielefeld invite applications for PostDoc positions within the following projects: • P1: SPDEs - a rough path perspective, P. K. Friz (TU/WIAS), M. Hofmanova (Bielefeld), W. Stannat (TU), • P2: Foundations of regularity structures, P. K. Friz (TU), S. Paycha (Potsdam), N. Perkowski (HU), • P3: Numerical analysis of rough PDEs, C. Bayer (WIAS), R. Kruse (TU), J. Schoenmakers (WIAS), • P4: Rough paths and random dynamical systems, P. Imkeller (HU), S. Riedel (TU), M. Scheutzow (TU), • P5: Singular SPDEs - approximation and statistical properties, J. D. Deuschel (TU), W. König (WIAS/TU), N. Perkowski (HU), Applications are invited for several postdoctoral research fellow positions to work within our research unit, typically directed by the PIs of the respective project teams P1-P5. We would be grateful if you could inform potentially interested candidates about the call. For more information, please visit https://sites.google.com/site/researchunitfor2402/job-openings Best wishes, Peter Friz, Nicolas Perkowski, Wilhelm Stannat

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Avviso di corso di dottorato a Tor Vergata
by Lucia Caramellino 10 May '19

10 May '19

*** Avviso di corso di dottorato a Tor Vergata *** Presso il Dipartimento di Matematica dell’Università di Roma “Tor Vergata”, dal 21 maggio al 20 giugno il prof. Vlad Bally (Université Paris-Est) terrà un corso di dottorato dal titolo Abstract Malliavin calculus and regularization properties Orario: lunedì e martedì 9:00-11:00. Per informazioni (con eventuali aggiornamenti, ad esempio sull’indicazione dell'aula): http://www.mat.uniroma2.it/~caramell/malliavin2019.htm Il corso è finanziato dal Dipartimento di Matematica di Tor Vergata nell’ambito del Progetto di Eccellenza MIUR CUP E83C18000100006. +++++++++++++++++++++++++++++++++ Lucia Caramellino Dipartimento di Matematica Università di Roma “Tor Vergata” Web: http://www.mat.uniroma2.it/~caramell

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seminario MACCI
by Elena Villa 10 May '19

10 May '19

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 16 Maggio, ore 11* Sala Rappresentanza, Dipartimento di Matematica, Universita' degli Studi di Milano via C. Saldini 50, Milano il Professor *CLAUDIO MACCI*(Università di Roma Tor Vergata) terrà un seminario dal titolo *Multivariate fractional (possibly compound) Poisson processes* ABSTRACT: We present multivariate space-time fractional Poisson processes by considering common random time-changes of a finite-dimensional vector of independent classical (nonfractional) Poisson processes. In some cases we also consider compound processes. We obtain some equations in terms of some suitable fractional derivatives and fractional difference operators, which provides the extension of known equations for the univariate processes. In particular we show that, for each fixed $t\geq 0$, the conditional joint distribution of the components given their sum is multinomial, as happens for the nonfractional Poisson processes. Thus we consider a suitable multivariate "alternative" fractional Poisson process, and we study its asymptotic behavior for large times (large and moderate deviations). The results appear in two papers with Luisa Beghin. 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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Master in Economics and Finance (IMEF) 2019/2020 - University Ca’ Foscari of Venice
by Roberto Casarin 10 May '19

10 May '19

Dear Colleagues, We are pleased to announce (with our apologies for cross-posting) the *2019-2020* edition of the *International Master in Economics and Finance* (IMEF) - University Ca' Foscari of Venice is forthcoming! For further information please visit: www.unive.it/imef Best Regards, Roberto Casarin -- Roberto Casarin Professor of Econometrics University Ca' Foscari, Venice Web: http://venus.unive.it/r.casarin/ VERA: http://www.unive.it/vera IMEF: http://www.unive.it/imef/ *New Edition! * * includes Bloomberg Lab modules and gives the opportunity to get the *Bloomberg Certification <https://www.bloomberg.com/professional/expertise/universities/students/>**!* * guarantees the membership to the Ca’ Foscari *LEI Center for Women's Leadership <https://www.unive.it/pag/31274>* * offers new courses on *Real Estates*, *International Macro-Finance*, *Machine Learning for Finance*, *Introduction to Coding* that will be still taught by the members of our *International Faculty <http://www.unive.it/pag/33235/>* * Students will benefit from scholarships provided by our new sponsors. *Why choose IMEF?* 1) IMEF provides a highly qualified programme thanks to its prestigious International Faculty 2) Students’ Placement is supported directly by IMEF Secretariat the Programme and Ca' Foscari Placement Office. Please have a look to the Former students' experience. Over the past editions, the *Placement rate reached 100%*. See past students: http://www.unive.it/pag/33229/ 3) Attending IMEF courses will introduce you to high quality jobs, which wouldn’t be achievable with only a Master’s Degree title. 4) Preparation for the admission to PhD Programmes. *For **pre-enrolment* and further information: Monica Andrighetti <imef(a)unive.it>, tel. 041 234 9108. -- Nota automatica aggiunta dal sistema di posta.

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Another talk by Jacques Franchi at Tor Vergata
by Anna Vidotto 07 May '19

07 May '19

Dear all, I would like to announce a second talk that Jacques Franchi (I.R.M.A. Strasbourg) will hold on Thursday, May 9th 2019, at 11 AM in Aula Dal Passo of the Department of Mathematics, University of Rome Tor Vergata. Speaker: Jacques Franchi (I.R.M.A. Strasbourg) Title: From Euclidian to Riemannian and Relativistic Diffusions Abstract: Brownian Motion was first defined (in physics and in mathematics) in R and then in the Euclidian space. Then it was constructed on a generic Riemannian manifold, and gained a more geometrical status, which was intensively developed. More recently, on the unit tangent bundle of the Minkowski space and then of a generic Lorentzian manifold, was also constructed its analogue, called "relativistic diffusion". It keeps the geometric feature of being covariant with isometries, but is associated with strictly hypoelliptic and non-self-adjoint generators and kernels. Examples were studied : the Schwarzschild geometry, the G"odel universe, the Robertson-Walker manifolds. However the use of relativistic diffusions to address geometrical questions about Lorentzian geometry or analysis is much harder than in the elliptic (Riemannian) case. Kind regards, Anna Vidotto --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto

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Borse di dottorato in area Statistica / Data Science presso il Politecnico di Milano
by Laura Maria Sangalli 07 May '19

07 May '19

Presso il Politecnico di Milano sono disponibili le seguenti borse di Dottorato di Ricerca in area Statistica / Data Science: Nell'ambito del dottorato in Data Analytics and Decision Sciences - 6 borse a tema: "Health analytics for real world data and precision medicine" "Precision policies and impact analysis" "Machine learning for data science in health analytics" "Data analytics for impact evaluations in healthcare" "Object oriented data analysis for precision medicine" "Healthcare research and biostatistics based on real world data" "Supporting precision medicine through deep knowledge extraction" (Contatti: francesca.ieva(a)polimi.it, piercesare.secchi(a)polimi.it) Bando: http://www.dottorato.polimi.it/ Scadenza: 21/05/2019 ore 14:00 Nell'ambito del dottorato in Metodi e Modelli Matematici per l'Ingegneria - 4 borse libere per le quali i candidati possono proporre progetti in area Statistica / Data Science (Contatti: anna.paganoni(a)polimi.it, laura.sangalli(a)polimi.it) - 1 borsa a tema: "Machine learning for personalized treatment planning of radiotherapy” (Contatti: francesca.ieva(a)polimi.it, anna.paganoni(a)polimi.it) Bando: http://www.dottorato.polimi.it/ Scadenza: 21/05/2019 ore 14:00 Nell'ambito del dottorato congiunto con l'Università degli Studi di Bologna in Data Science and Computation - 1 borsa a tema: "Soluzioni e tecniche innovative per l'analisi avanzata ed efficiente di grosse quantità di dati" (contatto: alessandra.guglielmi(a)polimi.it) Bando: https://www.unibo.it/it/didattica/dottorati/2019-2020/data-science-and-comp… Scadenza: 15/05/2019 ore 13:00 ENGLISH: The following opportunities are available for a PhD in the area of Statistics / Data Science at Politecnico di Milano, Italy: Within the PhD program in Data Analytics and Decision Sciences - 6 fellowships on the topics: "Health analytics for real world data and precision medicine" "Precision policies and impact analysis" "Machine learning for data science in health analytics" "Data analytics for impact evaluations in healthcare" "Object oriented data analysis for precision medicine" "Healthcare research and biostatistics based on real world data" "Supporting precision medicine through deep knowledge extraction" (Contact people: francesca.ieva(a)polimi.it, piercesare.secchi(a)polimi.it) Call: http://www.dottorato.polimi.it/en/ Deadline for applications: 21st May 2019 at 14:00, Italian time Within the PhD program in Mathematical Models and Methods in Engineering - 4 fellowships in the generic field of Mathematics and Statistics that can be targeted to Statistics / Data Science (Contacts: anna.paganoni(a)polimi.it, laura.sangalli(a)polimi.it) - 1 fellowship on the topic: "Machine learning for personalized treatment planning of radiotherapy” (Contact people: francesca.ieva(a)polimi.it, anna.paganoni(a)polimi.it) Bando: http://www.dottorato.polimi.it/en/ Deadline for applications: 21st May 2019 at 14:00, Italian time Within the PhD program, joint with Università degli Studi di Bologna, in Data Science and Computation - 1 fellowship on the topic: "Soluzioni e tecniche innovative per l'analisi avanzata ed efficiente di grosse quantità di dati" (Contact person: alessandra.guglielmi(a)polimi.it) Call: https://www.unibo.it/it/didattica/dottorati/2019-2020/data-science-and-comp… Deadline for applications: 15th May 2019 at 14:00, Italian time -- 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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Assegno di Ricerca a Verona
by Alessandro Gnoatto 06 May '19

06 May '19

Gent.mi tutti, vi segnalo il seguente bando: Selezione AdR3266/19 per la formulazione di una graduatoria per il conferimento di n. 1 assegno di ricerca relativo ad un progetto di ricerca riconducibile all’ambito dei macrosettori 13/A ECONOMIA e 13/D STATISTICA E METODI MATEMATICI PER LE DECISIONI; la selezione si baserà sulla valutazione dei progetti di ricerca presentati dai singoli candidati, dei rispettivi titoli e sulla discussione dei progetti stessi. La scadenza per la presentazione della domanda è il 9 maggio. https://docs.univr.it/documenti/Concorso/bando/bando375916.pdf Cordialmente, Alessandro Gnoatto -- Prof Alessandro Gnoatto, PhD Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com<http://www.alessandrognoatto.com> E-mail: alessandro.gnoatto(a)univr.it<mailto:alessandro.gnoatto@univr.it> -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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Summer school and workshop on Quantum Transport and Universality - Roma, Sept 2019 - 2nd announcement
by A. Giuliani 06 May '19

06 May '19

Dear colleague, this is the second announcement of the summer school and workshop on "Quantum Transport and Universality - From Topological Materials to Quantum Hydrodynamics", to be held at the Univ. Roma Tre on September 16-20, 2019 (school) and at the Accademia Nazionale dei Lincei, Roma, on September 23-25, 2019 (workshop). For the list of confirmed speakers, see below. Further details, including the poster and the registration form, can be found on the webpage: http://www.mat.uniroma3.it/users/giuliani/public_html/QTU2019/pagine_sito/i… FINANCIAL SUPPORT: Limited financial support is available for selected PhD students and young researchers attending the school. Those interested are required to fill in the form available on the webpage under the link `Registration' before **MAY 12, 2019** submitting in particular their CV. REGISTRATION is free but mandatory. All participants are kindly asked to register before **JUNE 9, 2019** CONTRIBUTED TALKS: During the summer school, we plan to have a session of contributed talks. Interested contributors are invited to register and send via email at tlongo(a)mat.uniroma3.it the title and abstract of their proposed talk, together with their CV, by **JUNE 9, 2019** ACCOMMODATION: September is high season in Rome. We invite all the interested participants to reserve an accommodation well in advance. A list of a few solutions with special rates that have been negotiated for the school and conference can be found on the website, under the link `Accommodation'. If you need additional information, please contact us via email at tlongo(a)mat.uniroma3.it. We would be grateful if you could circulate this announcement among your students, postdocs and collegues. With my best regards, Alessandro Giuliani for the organizing committe (C. Di Castro, G. Gallavotti, A. Giuliani, R. Greenblatt, G. Jona-Lasinio, V. Mastropietro, D. Monaco, R. Raimondi) %%% LIST OF CONFIRMED SPEAKERS %%% SCHOOL: B. Doyon, G. M. Graf, T. Prosen, M. Porta; WORKSHOP: A. Burkov, P. Calabrese, H. Cornean, W. De Roeck, M. Fagotti, J. Frohlich, J. Garrahan, K. Gawedzki, I. Herbut, J. Imbrie, J. Lebowitz, A. H. MacDonald, V. Mastropietro, G. Panati, A. Scardicchio, H. Spohn, M. A. H. Vozmediano, X. Zotos.

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Bando dottorato Methods and Models for Economic Decisions 2019 - Uninsubria (sede di Varese)
by Moretto Enrico 05 May '19

05 May '19

Ai gestori della lista Random: con la presente si chiede di far circolare ai partecipanti della mailing list l'annuncio inivato dal direttore del dottorato prof. Ivan Moscati relativo al bando per l'ammissione al dottorato di ricerca in oggetto. Grazie mille cordiali saluti enrico moretto *** Cari colleghi, oggi è stato pubblicato il bando per il XXXV ciclo del dottorato in Methods and Models for Economic Decisions dell’Università dell’Insubria. Deadline_per le application: 10 giugno 2019. Le versioni italiana e inglese del bando sono allegate, e possono essere trovate anche ai seguenti link: https://www.uninsubria.it/la-didattica/dottorati-di-ricerca https://www.uninsubria.eu/programs/phd-doctoral-research La pagina web del dottorato è consultabile al seguente indirizzo web https://www.eco.uninsubria.it/PhDMMED

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Seminario di Massimo Franchi a Tor Vergata
by Anna Vidotto 04 May '19

04 May '19

Dear all, I would like to announce the following talk that will be held on Friday May 10th 2019, at 4:30 PM, in Aula D’Antoni (1101) of the Department of Mathematics, University of Rome Tor Vergata. Speaker: Massimo Franchi (Dipartimento di Scienze Statistiche, Sapienza Università di Roma) Title: Cointegration in Functional Autoregressive Processes Abstract: In this talk we define the class of H-valued autoregressive (AR) processes with a unit root of finite type, where H is an infinite dimensional separable Hilbert space, and derive a generalization of the Granger-Johansen Representation Theorem valid for any integration order d = 1, 2, . . . . An existence theorem shows that the solution of an AR with a unit root of finite type is necessarily integrated of some finite integer d and displays a common trends representation with a finite number of common stochastic trends of the type of (cumulated) bilateral random walks and an infinite dimensional cointegrating space. A characterization theorem clarifies the connections between the structure of the AR operators and (i) the order of integration, (ii) the structure of the attractor space and the cointegrating space, (iii) the expression of the cointegrating relations, and (iv) the triangular representation of the process. Kind regards, Anna Vidotto --------- Anna Vidotto PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata https://sites.google.com/view/annavidotto <https://sites.google.com/view/annavidotto>

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Seminario STINGO
by Matteo Ruggiero 03 May '19

03 May '19

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 10 Maggio 2019, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Francesco STINGO (Università di Firenze) STATISTICAL METHODS FOR PRECISION MEDICINE: PROGNOSTIC AND PREDICTIVE MODELING Cancer is a heterogeneous disease at different molecular, genomic and clinical levels. Identification of prognostic and predictive biomarkers is of critical importance in developing personalized treatment for clinically and molecularly heterogeneous diseases such as cancer. I will first present a prognostic model for the identification of patient-specific biomarkers based on protogenomics data; this novel Bayesian hierarchical varying-sparsity regression (BEHAVIOR) model selects clinically relevant disease markers by integrating proteogenomic (proteomic+genomic) and clinical data. In the second part of the talk I will present a Bayesian predictive method for personalized treatment selection that is devised to integrate both the (previously identified) treatment predictive and disease prognostic characteristics of a particular patient’s disease. The method appropriately characterizes the structural constraints inherent to prognostic and predictive biomarkers, and hence properly utilizes these complementary sources of information for treatment selection. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Seminario M. Mariani a Pavia - 7 maggio
by Carbone Raffaella 03 May '19

03 May '19

Cari colleghi, vi annuncio che Martedì 7 maggio 2019 alle ore 14 precise, in Aula Beltrami del dipartimento di Matematica "F. Casorati" (Università di Pavia) il Prof. Mauro Mariani (HSE Mosca) terrà un seminario dal titolo: METASTABLE REGIMES OF DIFFUSION PROCESSES nell'ambito del Seminario di matematica applicata. Abstract. I will discuss a classical example featuring a metastable behavior: finite-dimensional diffusion processes in the vanishing noise limit. Exponential estimates have been introduced fifty years ago by Freidlin and Wentzell. Recent developments in potential theory and variational convergence allowed a refinement of those results. I will focus on the non-reversible case, with motivations coming from MonteCarlo methods. Cordiali saluti, Raffaella Carbone, PhD Ricercatore di Probabilità e Statistica Matematica Dipartimento di Matematica dell'Università degli Studi di Pavia

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Admission to the PhD Programs: deadline May 14th. (fwd)
by Tiziano Vargiolu 03 May '19

03 May '19

---------- Forwarded message ---------- Date: Fri, 3 May 2019 10:02:20 +0200 From: Martino Bardi <bardi(a)math.unipd.it> I wish to remind everybody that the call for the admission to the PhD Programs of the University of Padova is open and the deadline for applying is May 14th at 1 pm. There are 9 available positions with fellowship for the Program in Mathematical Sciences. For the instructions in English see https://www.unipd.it/en/teaching-and-research/doctoral-degrees-phd-programm… in Italian see https://www.unipd.it/dottorato/bandi-graduatorie and for information on our Program in Math see https://dottorato.math.unipd.it/ Please advertise the call! Best wishes Martino Bardi -- Prof. Martino Bardi Coordinator of the Ph.D. Program in Mathematical Sciences Dipartimento di Matematica "T. Levi-Civita" - Universit? di Padova via Trieste, 63 - 35121 Padova - Italy phone: (39)0498271468 web page: http://www.math.unipd.it/~bardi/ --

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Seminario L. Torricelli - DSE Verona
by Alessandro Gnoatto 03 May '19

03 May '19

AVVISO di SEMINARIO 7 May 2019 - Polo Santa Marta, Via Cantarane 24, Sala Vaona (Room 1.59) Speaker: Lorenzo Torricelli Title: Stochastic clock methods for trade duration in option pricing Abstract: Stochastic clock and in-business-time return models are useful in finance to recover Gaussianity of asset returns by means of re-normalisation with an increasing process (a time change) capturing the market activity (number of trades and their sizes) through time. When applied to a Brownian motion parent process, absolutely continuous time changes give raise to stochastic volatility return models, whereas if the stochastic clock is an independent Lévy subordinator, a new pure jump Lévy model is attained. In this talk I introduce a third way of using stochastic clock techniques, specifically geared towards modelling stochasticity in the times of price revisions, i.e. trade duration, within a Lévy-based, continuous-time finance framework. By using as a time change the first hitting time process of a Lévy subordinator we turn a jump process into a continuous but locally constant one, thus obtaining a stochastic clock which can be interpreted as a calendar time where the price evolution is halted at random instants. I illustrate some of the many applications such a technique may have, with a specific view to option pricing. I discuss three main topics: (i) modelling of regulatory and automated trading halts in equity markets; (ii); explicit identification of a market price of risk connected to liquidity factors; (iii) impact of dependence between duration and returns in the large maturity decay of the implied volatility skew. Explicit analytic pricing formulae can indeed be exhibited, making use of the fact that an analytic transform theory of appropriate inverse Lévy subordinators is fully developed. I finally suggest that the statistical fitting of such models poses delicate questions. For example, for a principled option prices calibration, it is critical to understand which of the trade duration parameters can be derived from the market implied risk-neutral distributions, and which are instead inherent to the market microstructure, and must therefore appear in the minimisation problem as a constraining factor. -- Prof Alessandro Gnoatto, PhD Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com<http://www.alessandrognoatto.com> E-mail: alessandro.gnoatto(a)univr.it<mailto:alessandro.gnoatto@univr.it> -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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Posto di ricercatore RTD-B settore SECS-S/06 (13/D4) a Venezia
by Antonella Basso 03 May '19

03 May '19

Si informa che è uscito il bando per un posto di ricercatore RTD-B nel settore SECS-S/06 Metodi matematici dell'economia e delle scienze attuariali e finanziarie (macrosettore 13/D4) presso l'Università Ca' Foscari Venezia. Il bando si trova al seguente link: https://intra.unive.it/plapps/bandi/common/showbando?id=30917 e ha scadenza 30 maggio 2019. Cordiali saluti Antonella Basso -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation 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/data/persone/5591751 -- Nota automatica aggiunta dal sistema di posta.

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YSS2019: Summer School on Computational and Statistical Methods for Stochastic Process [final announcement]
by stefano iacus 03 May '19

03 May '19

YSS2019: The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process 25-28 June 2019, Brixen-Bressanone, Italy This 4 days course aims at introducing researchers, PhD students and practitioners to several aspects of numerical and statistical analysis of time series through the R language and, in particular, the YUIMA package. Who can benefit? Stochastic differential equations, with or without jumps, are nowadays used as statistical models in many contexts, including but not limited to, finance, insurance, phylogenetics, genomics, political analysis, economics, migration flow analysis, social network analysis, and more. Topics The course covers topics of R programming, time series data handling, simulation and numerical analysis for several types of statistical models including: point processes, stochastic differential equations driven by Brownian motion with or without jumps, fractional Brownian motion and Lévy processes. For detailed information see the course page at: https://yuimaproject.com/yss2019/ Registration closes on May 20th 2019! PhD Students and PostDocs can attend for free. Limited availability. Access rule: FIFO. NOTE: A parallel “Third YUIMA workshop”, invitation based, will also take place in the same days. Participants of YSS2019 can also attend for free in non-overlapping slots. ----------------------------------- Prof. Stefano M. Iacus, Ph.D. 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 http://orcid.org/0000-0002-4884-0047 ------------------------------------------------------------------------------------ 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 di Mauro Mariani a Roma La Sapienza (10.05.19)
by Faggionato, Alessandra 02 May '19

02 May '19

Buongiorno vi annuncio un secondo seminario per la prossima settimana qui alla Sapienza (v.sotto). Grazie Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Venerdì 10 Maggio, ore 14:00, Aula di Consiglio, Dipartimento di Matematica, La Sapienza. Speaker: Mauro Mariani, National Research University Higher School of Economics, Moscow Title: Scaling limit of a continuous model of active particles. Abstract: A free energy functional arising from kinetic mean field models of interacting particles is considered. We study the variational limit, in the regime of long time and strong interaction. While the density of particles only features a weak limit in the phase space (say position and velocity), the projection of such a density on the spacial coordinates has a meaningful limit, which satisfies a hydrodynamic equation. We characterizes the tensors appearing in the hydrodynamic limit, in terms of the interaction and velocity field of the original model. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Variazione di orario seminario a Roma1 del 7 maggio
by Faggionato, Alessandra 02 May '19

02 May '19

Buongiorno il seminario di Lorenzo Dello Schiavo precedentemente annunciato sarà anticipato alle ore 13.45. Sotto l'annuncio aggiornato. Grazie Alessandra %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Martedi' 7 Maggio, ore 13:45, Aula di Consiglio, Dip. Matematica, La Sapienza Speaker: Lorenzo Dello Schiavo (Università di Bonn) Titolo: The Dirichlet-Ferguson diffusion Abstract: We define, via Dirichlet forms’ theory, a geometric diffusion process on the L^2-Wasserstein space over a closed Riemannian manifold. The process is associated with the Dirichlet form induced by the L^2-Wasserstein gradient and by the Dirichlet-Ferguson random measure with intensity the Riemannian volume measure on the base manifold. We discuss the closability of the form via an integration-by-parts formula, which allows explicit computations for the generator and a specification of the process via a measure-valued SPDE. We comment how the construction is related to previous work of von Renesse—Sturm on the Wasserstein Diffusion and of Konarovskyi—von Renesse on the Modified Massive Arratia Flow. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Second Italian Meeting on Probability and Mathematical Statistics
by Antonio DI CRESCENZO 02 May '19

02 May '19

Dear Colleagues, we are pleased to announce that the provisional program and the list of contributions of the *Second Italian Meeting on Probability and Mathematical Statistics* is now available at http://www.salerno2019.dipmat.unisa.it/program.html Invited Speakers (cf. http://www.salerno2019.dipmat.unisa.it/speakers.html) - *Giovanni Peccati*, Luxembourg University Monday, June 17. Talk: Intrinsic volumes of convex bodies and cones: concentration, limit theorems and sparse recovery - *Lorenzo Zambotti*, Sorbonne Université Tuesday, June 18. Talk: A brief personal history of stochastic partial differential equations - *Cristina Toninelli*, Université Paris Dauphine Wednesday, June 19. Talk: Bootstrap percolation and kinetically constrained particle systems: critical time scales - *Stefano Maria Iacus*, University of Milano Thursday, June 20. Talk: On regularized estimation for stochastic differential equations Participants are kindly invited to provide for the accommodation as soon as possible, since June is a touristic period. Important deadline: - May 31, 2019: intermediate registration Main links: Conference web site: http://www.salerno2019.dipmat.unisa.it Registration: http://www.salerno2019.dipmat.unisa.it/registration.html Accommodation: http://www.salerno2019.dipmat.unisa.it/accommodation.html Travel info: http://www.salerno2019.dipmat.unisa.it/travel.html Contacts: http://www.salerno2019.dipmat.unisa.it/contacts.html We look forward meeting you soon in Vietri sul Mare. The Scientific Committee Claudia Ceci, Paolo Dai Pra, Antonio Di Crescenzo, Franco Fagnola, Franco Flandoli, Antonio Lijoi, Andrea Pascucci, Franco Pellerey, Laura Sacerdote The Local Organizing Committee Giacomo Ascione, Aniello Buonocore, Camilla Calì, Luigia Caputo, Antonio Di Crescenzo, Maria Longobardi, Barbara Martinucci, Alessandra Meoli, Luca Paolillo, Paola Paraggio, Enrica Pirozzi, Fabio Travaglino

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New studentships in Statistics and Probability available in Warwick
by Spano, Dario 01 May '19

01 May '19

[apologies for cross postings] Dear Colleagues, PhD studentships are available in the Department of Statistics at the University of Warwick as part of the Warwick Centre for Doctoral Training in Mathematics and Statistics. https://warwick.ac.uk/fac/sci/fromas The studentships are for a period of 4 years with starting date October 2019. Funding includes a stipend at UKRI rates and tuition fees at UK/EU rates. Research in the Warwick Statistics Department can be broadly divided into three areas: 1 Probability and Stochastic Finance; 2 Statistical Methodology and Computational Statistics; 3 Data Intensive Research and Scientific Statistical Modelling. For further details see: https://warwick.ac.uk/fac/sci/statistics/postgrad/research/ Further information on the CDT, including how to apply, is given at: https://warwick.ac.uk/fac/sci/fromas Informal enquiries may be sent to Martyn Plummer <martyn.plummer(a)warwick.ac.uk<mailto:martyn.plummer@warwick.ac.uk>> Best wishes, Dario Spanò

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5 assistant/associate professor positions at University of Twente
by Antonio Lijoi 01 May '19

01 May '19

Care/i colleghe/i, su gentile richiesta, inoltro l'annuncio relativo a posizioni aperte presso la University of Twente. Cordiali saluti, AL -------- Forwarded Message -------- Subject: 5 assistant/associate professor positions at University of Twente Date: Wed, 1 May 2019 07:19:06 +0000 From: a.j.schmidt-hieber(a)utwente.nl To: antonio.lijoi(a)unibocconi.it The University of Twente (Netherlands) invites applications for several assistant/associate professor positions in statistics/machine learning/data science. All details can be found here https://www.utwente.nl/en/organization/careers/!/913354/5-assistantassociat… Closing date is *May 12*. If you have any question regarding the positions, feel free to contact Johannes Schmidt-Hieber (a.j.schmidt-hieber(a)utwente.nl ) --- Dai il tuo 5x1000 alla Bocconi. Aiuta gli studenti meritevoli a costruire il proprio futuro. CF 80024610158. www.unibocconi.it/5x1000 Please note that the above message is addressed only to individuals filing Italian income tax returns. 5x1000 is a percentage of Italian personal income tax that taxpayers can allocate to Universities, scientific research and non profit organizations. ---

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International Conference in Venice - CALL FOR PAPERS
by Monica Billio 01 May '19

01 May '19

CREDIT2019 <http://www.greta.it/credit/credit2019/credit2019.htm> *GRETA Associati* (Venice, Italy), *European DataWarehouse* (Frankfurt am Main, Germany), *Intesa Sanpaolo* (Milan, Italy) and *S&P Global Market Intelligence* (London, UK) are co-sponsors of a Conference to be held in Venice on September 26-27, 2019. The objective of the Conference is to bring together academics, practitioners and Ph.D. 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 financial and atmospheric events 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*, *AIAF - Associazione Italiana per l'Analisi Finanziaria* (Milan, Italy) and the *Joint Research Center, European Commission* (Ispra, Italy), is the *eighteenth *of a series dedicated to various aspects of credit risk. //The adoption of the Paris Agreement on climate change and the UN 2030 Agenda for Sustainable Development marks a historical international commitment to the objective of a more sustainable economy and society. How to mobilise the necessary financing for green and sustainable investments is thus a primary need. // //Meanwhile, Regulators are discussing about a green-supporting or a brown-penalising factor since they want to make sure financial institutions are prepared. It is to find the way to support sustainable investments but it is primarily a discussion about credit risk.// //The banking and insurance industries and more in general the financial sector has to develop new asset management strategies and to adjust their credit allocation practices to cope with these new challenges and take advantage of the new opportunities. All these changes call for a substantial amount of research to improve the knowledge of the mechanisms at play and to design adapted policy tools. ////////// The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Analysis of climate change effects on companies’ creditworthiness, in terms of risk exposure and possible loss of business continuity; understanding on how to integrate the environmental risk and opportunities of banks’ or insurers’ counterparties in the credit process * Development of metrics for climate-related financial risks and investments opportunities; definition of an EU environmental and climate change (ECC) risk categorising system by economic sectors/sub-sectors for ECC screening to provide a sound and reliable basis for setting high-level policies for credit protection and allocation * Analysis of the climate change impact on the insurance sector and on the development of non-life and reinsurance products for the corporate and retail segments Analysis of climate-aligned developments in the financial markets (e.g. green bonds) and opportunities for financial institutions in fostering the low-carbon transition * Transmission channels of climate-related shocks from the real economy to financial institutions’ portfolios and amplification mechanisms of climate-related shocks through credit chains * Assessment of the potential impact of green financial policies, including climate-aligned monetary policies and macroprudential regulation * Big data and artificial intelligence to assess and manage the corporate exposures to climate change factors. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include *Robert Engle *(New York University, Stern Business School), *Andreas Hoepner* (University College Dublin), *Irene Monasterolo* (Wirtschaftsuniversität Wien, Vienna) and *Til Schuermann *(Oliver Wyman, New York). The Conference will also feature a panel discussion on researchers', practitioners' and policy makers’ views of the major outstanding problems. Sponsors** *GRETA* <http://www.greta.it/> *European Datawarehouse* <https://eurodw.eu/> *IntesaSanpaolo* <http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp> S&P Global Market Intelligence <https://www.spglobal.com/marketintelligence/en/> Auspices** ** <http://www.abi.it/Pagine/default.aspx> *Ca' Foscari - Economics Department* <http://www.unive.it/pag/16892> *ABI* <http://www.abi.it/Pagine/default.aspx> AIAF <https://www.aiaf.it/> *JCR - European Commission <https://ec.europa.eu/jrc/en> * ** <https://ec.europa.eu/jrc/en> ** <http://www.abi.it/Pagine/default.aspx> * * The Scientific Committee consists of: *Carlo Carraro* (Ca’ Foscari University of Venice & CMCC, Programme Chair) *Stefano Battiston* (University of Zurich) *Monica Billio* (Ca’ Foscari University of Venice & GRETA) *Francesca Campolongo* (Joint Research Center, European Commission) *Robert Engle *(New York University, Stern Business School) *Thomas Heller *(Climate Policy Initiative & Stanford University) *Andreas Hoepner* (University College Dublin) * Steven Ongena *(University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) *Stephen Schaefer* (London Business School) *Cristiano Zazzara* (S&P Global Market Intelligence) *CALL FOR PAPERS* Those wishing to present a paper at the Conference should submit by *May 31, 2019*, 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, 2019*. The final version of accepted papers must be received by August 31, 2019. Please send papers to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 e-mail: credit(a)greta.it <mailto:credit@greta.it> *IMPORTANT DATES* May 31, 2019: Papers submission deadline June 30, 2019: Paper acceptance notification August 31, 2019: Deadline for sending final version of accepted papers More detailed information soon available on the Conference website: http://www.greta.it/credit/credit2019/credit2019.htm *** Please accept our apologies for any crossed e-mails. -- Nota automatica aggiunta dal sistema di posta.

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LMS Research School: Mathematics of Climate
by Tobias Kuna 30 Apr '19

30 Apr '19

Mathematics of Climate LMS Research School, University of Reading 8-12 July 2019 Organisers: Valerio Lucarini (Reading), Tobias Kuna (Reading), Jennifer Scott (Reading) and Dan Crisan (Imperial College, London) Main Lecture Courses Random Vortex Methods for 3D Fluids Hakima Bessaih (University of Wyoming) Mathematical Theory of Data Assimilation with Applications Alberto Carrassi (NERSC, Norway) Variational Principles for Stochastic Fluid Dynamics Darryl Holm (Imperial College, London) Guest Lectures Mathematical Aspects of the Semigeostrophic System Beatrice Pelloni (Heriot-Watt) Response of the Pleistocene Ice-ages to Astronomical Forcing Peter Ashwin (Exeter) These lecture courses will be supplemented by tutorial sessions. For further information please visit: https://tinyurl.com/yb2ujfxk Apply here: https://www.surveymonkey.co.uk/r/RS43ApplnForm by 8 May 2019. Research students, post-docs and those working in industry are invited to apply

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Seminario di Probabilità a Roma La Sapienza
by Faggionato, Alessandra 30 Apr '19

30 Apr '19

Buongiorno sotto l'annuncio di un seminario a Roma1. Grazie. Alessandra Faggionato %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Martedi' 7 Maggio, ore 14:00, Aula di Consiglio, Dip. Matematica, La Sapienza Speaker: Lorenzo Dello Schiavo (Università di Bonn) Titolo: The Dirichlet-Ferguson diffusion Abstract: We define, via Dirichlet forms’ theory, a geometric diffusion process on the L^2-Wasserstein space over a closed Riemannian manifold. The process is associated with the Dirichlet form induced by the L^2-Wasserstein gradient and by the Dirichlet-Ferguson random measure with intensity the Riemannian volume measure on the base manifold. We discuss the closability of the form via an integration-by-parts formula, which allows explicit computations for the generator and a specification of the process via a measure-valued SPDE. We comment how the construction is related to previous work of von Renesse—Sturm on the Wasserstein Diffusion and of Konarovskyi—von Renesse on the Modified Massive Arratia Flow. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Seminario Eveliina Peltola a Roma Tre - 09-05-2019
by A. Giuliani 30 Apr '19

30 Apr '19

SEMINARIO Fisica Matematica Eveliina Peltola Universita' di Ginevra Titolo: Crossing probabilities of multiple Ising interfaces Giovedi' 09 Maggio 2019 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 311 Abstract I discuss crossing probabilities of multiple interfaces in the critical Ising model with alternating boundary conditions. In the scaling limit, they are conformally invariant expressions given by so-called pure partition functions of multiple SLE(kappa) with kappa=3. I also describe analogous results for critical percolation and the Gaussian free field.

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