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Seminar in Statistics - MARIE KRATZ
by Pierpaolo De Blasi 14 Oct '22

14 Oct '22

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 21 Ottobre 2022, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: *Marie Kratz* (ESSEC Business School, CREAR risk research center) Title: *Pro-Cyclicality Beyond Business Cycles: The Case of Traditional Risk Measurements* Abstract: There is an accepted idea that risk measurements are pro-cyclical: in times of crisis, they overestimate the future risk, while they underestimate it in quiet times. We lay down a simple and efficient methodology to evaluate the amount of pro-cyclicality in the way financial institutions measure risk. To do so, we introduce a new indicator based on the Sample Quantile Process (a dynamic extension of Value-at-Risk), conditioned on realized volatility. Using this framework, we prove that pro-cyclicality is inherent in risk measure estimates based on historical data. We identify two main factors explaining this pro-cyclical behavior: the clustering and return-to-the-mean of volatility, as it could have been anticipated but not yet quantified, and, more surprisingly, the very way risk is measured, even in a world with constant volatility, though the empirical magnitude of the mean-reversion is greater than what would be observed in that special case. We develop CLTs and FCLT’s for functionals of quantile and dispersion estimators to support theoretically those empirical findings. This is a joint work with Dr. Marcel Bräutigam and Dr. Michel Dacorogna. ------------------------------------------------ Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/85751895656?pwd=dTBiQTAzd3BoODRoZmQzMlZWTDZIQT09> Meeting ID: 857 5189 5656 Passcode: 166674 Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats -- Pierpaolo De Blasi University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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Roxana Dumitrescu's talk, Milan 19/10/22
by Luciano Campi 14 Oct '22

14 Oct '22

Dear all I am happy to announce the following seminar by Roxana Dumitrescu (King’s College London), you’ll find details on date and venue below the abstract Title: Control and stopping mean-field games: the linear programming approach Abstract: In this talk, we present recent results on the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider mean-field game problems where the representative agent chooses both the optimal control and the optimal time to exit the game, where the instantaneous reward function and the coefficients of the state process may depend on the distribution of the other agents. Furthermore, we establish the equivalence between mean-field games equilibria obtained by the linear programming approach and the ones obtained via other approaches used in the previous literature. We then present a fictious play algorithm to approximate the mean-field game population dynamics in the context of the linear programming approach. Finally, we give an application of the theoretical and numerical contributions introduced in the first part of the talk to an entry-exit game in electricity markets. The talk is based on several works, joint with R. Aïd, G. Bouveret, M. Leutscher and P. Tankov. Date and time: 19 October 2022, 11am Venue: Sala di Rappresentanza, Departimento di Matematica, Università degli Studi di Milano, Via Saldini 50, 20133 Milano. You are all welcome to attend All the best Luciano -------------------------------------------------------- Luciano Campi Full Professor University of Milan Department of Mathematics Email: luciano.campi(a)unimi.it Web: sites.google.com/site/lucianocampi1

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4 Post-Doc positions in Luxembourg
by Giovanni Peccati 14 Oct '22

14 Oct '22

Dear Colleagues, *four post-docs positions* in the domain of* Mathematical Statistics and related fields* are currently open at the *Department of Mathematics of Luxembourg University*. All details can be found here: https://tinyurl.com/LuxembourgStat With my best regards, Giovanni Peccati -- Prof. Giovanni Peccati ------------------------------------------ Head of the Department of Mathematics Faculty of Science, Technology and Medicine ------------------------------------------ University of Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/home E-mail: giovanni.peccati(a)gmail.com

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SAVE THE DATES: 11th General AMaMeF Conference & Summer School in Bielefeld
by Ferrari, Giorgio 14 Oct '22

14 Oct '22

Dear All, We are pleased to announce that the /11th General AMaMeF Conference/ will take place from *26th to 30th June 2023* in Bielefeld (Germany). Following the conference, a summer school on "Risk and Uncertainty in Economics, Insurance and Finance" will take place in the week of *July 3-7, 2023*. Save the dates! More information on these two events will follow shortly. We are looking forward to welcoming you to Bielefeld in the summer of 2023! Giorgio Ferrari and Frank Riedel

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Fwd: PhD position @ Tor Vergata
by Silvestri, Vittoria 13 Oct '22

13 Oct '22

Ricevo ed inoltro volentieri. ******************************** Vittoria Silvestri Assistant Professor Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome ******************************** ---------- Forwarded message --------- Da: Di Iura Andrea Giuseppe (GDS DS&G) <andreagiuseppe.diiura(a)enel.com> Date: mer 12 ott 2022 alle ore 17:05 Subject: PhD position @ Tor Vergata To: Silvestri(a)mat.uniroma1.it <Silvestri(a)mat.uniroma1.it> INTERNAL Dear all, There is a chance to reopen one Ph.D. position in Mathematics at Tor Vergata University in Rome, co-funded by Enel S.p.A. and the Italian Minister of Research. Information about the project is given at http://www.mat.uniroma2.it/dottorato/bando_22_23sept.php All deadlines are now closed. However, there is the possibility to reopen one position. Can you please forward the message to interested students in your universities? All potential candidates are invited to manifest their interest by writing me at andreagiuseppe.diiura(a)enel.com Thank you, Andrea Di Iura

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(PMS)^2 talk - De Vecchi - October 17 at 14.00
by Carlo Orrieri 13 Oct '22

13 Oct '22

Dear colleagues, We are happy to announce the following hybrid - that is, in person with online streaming - talk: Speaker: Francesco Carlo De Vecchi (Università di Pavia) Title: A differential characterization of exponential quantum field theory on the plane Abstract: Characterizing a probability measure through an integration by parts formula is a classical problem in stochastic analysis. It finds applications in (Euclidean) quantum field theory, being related to the solutions of the equations of motion for the correlation functions of the quantum field. We approach this problem in the particular case of quantum field theory with exponential interaction on $\mathbb{R}^2$, studying a Fokker-Planck-Kolmogorov equation associated to the stochastic quantization equation for such a model. We prove that, under some conditions on the support of the measure, the solution to this Fokker-Planck-Kolmogorov equation exists and is unique, providing a complete characterization of the exponential measure by an integration by parts formula. The talk is based on a joint work with Massimiliano Gubinelli and Mattia Turra. Date and time: Monday October 17, 14:00-15:00 (Rome time zone) Place: Aula Beltrami, dipartimento di matematica dell’università di Pavia, via Ferrata 5, Pavia. Entra nella riunione in Zoom https://us02web.zoom.us/j/89875903841?pwd=NnJUclZidHl6RTg0a0ljcEVNVXp5UT09 <https://us02web.zoom.us/j/89875903841?pwd=NnJUclZidHl6RTg0a0ljcEVNVXp5UT09> ID riunione: 898 7590 3841 Passcode: 262094 This talk is part of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico. Participation is free and welcome! Best regards The organizers (Carlo Orrieri, Maurizia Rossi, Margherita Zanella)

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Tenure-track or tenured position in Non-clinical Biostatistics at UCLouvain (Belgium)
by Elisa Perrone 13 Oct '22

13 Oct '22

Dear Colleagues, I’m sending the job offer below on behalf of Johan Segers. Please forward it to any potential candidate. Best wishes, Elisa --------------------------------------------------- UCLouvain invites applications for a tenure-track or tenured full-time position in Non-clinical Biostatistics The successful candidate will teach mainly in the field of statistics, biostatistics, and data science. The successful candidate will develop his or her research activities in the field of non-clinical biostatistics and his or her expertise should therefore be complementary to that in clinical biostatistics and mathematical statistics currently present at the Institute of Statistics, Biostatistics and Actuarial Sciences. The successful candidate will have a particular interest in applications related to the life sciences and possibly industrial statistics. More information: https://jobs.uclouvain.be/PersonnelAcademique/job/An-academic-position-in-N… <https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fjobs.uclo…> Starting date: September 1st, 2023. Application deadline: Monday November 14, 2022, at noon (UTC+1). --------------------------------------------------- --- Elisa Perrone, Ph.D. Assistant Professor Department of Mathematics and Computer Science Eindhoven University of Technology elisaperrone.info <http://elisaperrone.info/>

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Open call - Research Fellow at University of Oslo
by Giulia Di Nunno 12 Oct '22

12 Oct '22

Dear All, Let me bring to your attention the following position as Research Fellow (postdoc 18 months) at the Department of Mathematics, University of Oslo: https://www.jobbnorge.no/en/available-jobs/job/233446/research-fellow-at-th… Deadline for application: October 30, 2022 The Research fellow is expect to work within the scope of STORM - Stochastics for Time-Space Risk Models. In particular the research work will focus on the development of the theory and the application of models non-necessarily Markovian suitable for the modelling of market date and associated risks. More details are given in the call. Please feel free to distribute this ad further. Best regards, Giulia Di Nunno Professor Department of Mathematics University of Oslo, Norway

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Special Issue "Advances in Optimal Control and Dynamic Games in Economics, Finance and Insurance" su "Decisions in Economics and Finance"
by Ferrari, Giorgio 12 Oct '22

12 Oct '22

Cari Colleghi, scriviamo per informarvi riguardo la "Call for Papers" relativa alla Special Issue/"//Advances in Optimal Control and Dynamic Games in Economics, Finance and Insurance/" della rivista "Decisions in Economics and Finance" (DEAF) di cui siamo guest editors: https://www.springer.com/journal/10203/updates/23587054 Questo numero speciale di DEAF intende pubblicare lavori su tematiche di controllo ottimo (deterministico e stocastico) e giochi differenziali (ad N giocatori e di campo medio) e loro applicazioni economiche, finanziarie ed attuariali. I contributi potranno essere inviati nella finestra temporale *01.11.2022 -- 30.06.2023*. La prima fase di revisione sarà terminata entro il *30.10.2023* ed i lavori selezionati verrano pubblicati on-line sul sito della rivista entro *Febbraio 2024*. Potete trovare maggiori informazioni a riguardo nella sezione "Manuscript Submission" alla pagina https://www.springer.com/journal/10203/updates/23587054 Attendendo numerosi contributi, vi salutiamo cordialmente. Salvatore Federico, Giorgio Ferrari, Luca Regis

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One World ABC Seminar: Radu Craiu, October 20, 2.30pm
by Massimiliano Tamborrino 12 Oct '22

12 Oct '22

Dear all, our next One World ABC Seminar https://warwick.ac.uk/oneworldabc<https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwarwick.a…> is quickly approaching. Our next speaker is Radu Craiu <https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Futstat.to…> (University of Toronto), who will talk about "Bayesian Computation Strategies for Big Data and Intractable Models" on Thursday, October 20, 2.30pm Uk time (Zoom link and password are reported below) Abstract: Bayesian computation is in double jeopardy due to massive data volumes that make the usual MCMC samplers too computationally expensive and/or models with intractable likelihoods. Even under such adverse conditions, Bayesian data analysis can still be conducted using divide and conquer strategies and/or approximate methods such as Approximate Bayesian Computation (ABC) or Bayesian Synthetic Likelihood (BSL). We discuss some recent work that addresses these challenges, including perturbed MCMC samplers that are used within the ABC and BSL paradigms to significantly accelerate computation while maintaining control on computational efficiency. Zoom link to join: https://chalmers.zoom.us/j/69336662676<https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fchalmers.…> Password: 776005 We are looking forward to seeing you next Thursday, best wishes, Massimiliano on the behalf of the One World ABC Organisers ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino<https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwarwick.a…>

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