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Call for expressions of interest in a position of Full Professor
by Giovanni Puccetti 27 Mar '23

27 Mar '23

The Department of Economics, Management and Quantitative Methods (DEMM) of the University of Milan is seeking expressions of interest for a Full Professor (permanent position) in - Statistics - Mathematical Methods for Economics, Finance and Actuarial Science The successful candidate is expected to contribute to the development of the department under the programme “Dipartimento di Eccellenza” (https://www.miur.gov.it/dipartimenti-di-eccellenza) and also to the department’s academic teaching activities (with a teaching load of 120 hrs per year), its strategy and governance, as well as providing scientific leadership and participating in international and national grant applications. Candidates applying for professorship must have obtained the Italian national habilitation (ASN) for full professor (http://abilitazione.miur.it/public/index.php for applications), or must have been holding for at least 3 years an equivalent academic position abroad. Salary is fixed by national standards and starts at 76000 EUR (gross). Taxes reduction may apply for 5 or more years according to the Italian rules for candidates coming from abroad. Interested candidates with a strong record of high impact research may express their interest by submitting the following material (in one single pdf file): 1) A brief motivation letter, including the candidate’s ongoing research, future research plans and her/his potential contribution to DEMM’s research, teaching and governance activities; 2) A full curriculum vitae including a full list of publications and the scientific sectors in which the candidate holds the Italian National Scientific Habilitation (ASN). Applications must be submitted to chiara.tommasi(a)unimi.it (Statistics) giovanni.puccetti(a)unimi.it (Mathematical Methods for Economics, Finance and Actuarial Science) before April 30, 2023. All correspondence and expressions of interest will be kept strictly confidential. The Department guarantees equal gender opportunities in recruitment and career. Disclaimer: Please note that this is just a call for interest, and not a job vacancy advertisement, and that the Department might decide not to open the corresponding position.

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Stochastic geometry conference in Dijon, June 2023
by Pierre-Yves Louis 24 Mar '23

24 Mar '23

ricevo ed inoltro. Pierre-Yves LOUIS From: Arnaud Rousselle<Arnaud.Rousselle(a)u-bourgogne.fr> ----- Dear all, The Annual RT GeoSto conference will take place in Dijon (France), June 12-16, 2023. * Link to the website of the conference:https://geosto23.sciencesconf.org/ * Speakers of the mini-courses (June 12-13): Thomas Opitz (INRAE Avignon) Christoph Thäle (Ruhr-Universität Bochum * Invited speakers of the conference (June 14-16): François Bienvenu (ETH Zürich) Frédéric Chazal (INRIA Saclay) Nicolas Chenavier (Université du Littoral Côte d'Opale) Céline Duval (Université de Lille) Florence Forbes (INRIA Grenoble) Bruno Galerne (Université d'Orleans) Matthieu Jonckheere (CNRS, LAAS Toulouse) Cécile Mailler (University of Bath) Emmanuel Roubin (Université Grenoble Alpes) Laura Sangalli (Politecnico Milano) * Registrations: free but mandatory and open on the website until May 12. * Contributed talks: Some slots for 20 minutes contributed talks are reserved in the schedule; submission on the website until May 12. * Grants for young researchers: We offer financial aid for a limited number of young researchers (Phd students, post-docs) who need support to cover transport and/or accommodation costs. Please contact Arnaud Rousselle (arnaud.rousselle[at]u-bourgogne.fr) if you are interested. Best regards, Arnaud Rousselle on behalf of the organizing committee -- Pierre-Yves LOUIS professeur des universités, Enseignant-chercheur à Agrosup Dijon PAM UMR 02.102, Université Bourgogne Franche-Comté, AgroSup Dijon, chercheur associé à l'Institut de Mathématiques de Bourgogne, UMR 5584 CNRS, Université Bourgogne Franche-Comté, 21000, Dijon, France

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LTI@UniTO seminars | Peter Tankov March 27th @12.00
by Luca Regis 24 Mar '23

24 Mar '23

Dear Colleagues, it is my pleasure to invite you to the following seminar in Quantitative Finance, organised by LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo Alberto (CCA), that will take place at CCA in Torino and can be followed via zoom. At the event page link you can find the paper, the zoom link to attend online and a button to add the event to your calendars. ------------------------------------------------------------------------------------------- March 22nd @ 12.00 Speaker: Peter Tankov (ENSAE) Title: Decarbonization of financial markets: a mean-field game approach Abstract:We build a model of a financial market where a large number offirms determine their dynamic emission strategies under climate transition risk in the presence of both green-minded and neutral investors.The firms aim to achieve a trade-off between financial and environ-mental performance, while interacting through the stochastic discountfactor, determined in equilibrium by the investors’ allocations. We formalize the problem in the setting of mean-field games and prove the existence and uniqueness of a Nash equilibrium for firms. We then presenta convergent numerical algorithm for computing this equilibrium andillustrate the impact of climate transition risk and the presence ofgreen-minded investors on the market decarbonization dynamics andshare prices. We show that uncertainty about future climate risks andpolicies leads to higher overall emissions and higher spreads betweenshare prices of green and brown companies. This effect is partially reversed in the presence of environmentally concerned investors, whoseimpact on the cost of capital spurs companies to reduce emissions. Event webpage link: https://www.carloalberto.org/event/peter-tankov-ensae/ Zoom link: https://us02web.zoom.us/j/82031514033?pwd=UWdnMU5MRmVlaWI1L294a3c4UlJYUT09 Best regards, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Affiliate, Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti

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Incontro scientifico UMI, Pescara
by Claudia Ceci 24 Mar '23

24 Mar '23

Carissim*, il 30 marzo si svolgerà un incontro scientifico UMI (nell'ambito degli eventi organizzati per il centenario dell'UMI) presso il Dipartimento di Economia dell'Università G. d'Annunzio di Chieti-Pescara. Qui di seguito le informazioni: 30 MARZO 2023 Aula 10 Viale Pindaro 42 , Pescara Dipartimento di Economia Università degli Studi G. d’Annunzio Chieti-Pescara 15,00 Opening *15,15-15,55 Maurizio Parton*, Università degli Studi G. d’Annunzio Chieti-Pescara *Machine learning e matematica* <https://umi.dm.unibo.it/wp-content/uploads/2023/03/bis-abstract1-pescara202…> 16,00 Coffee break *16,20-17.00 Lucia Caramellino*, Università degli Studi di Roma Tor Vergata *Numerical option pricing under stochastic volatility* <https://umi.dm.unibo.it/wp-content/uploads/2023/03/abstract2Milano-2023-.pdf> *Comitato Incontri Scientifici* ( https://umi.dm.unibo.it/comitati/gruppo-di-lavoro-incontri-scientifici/) *Organizzatore locale*: Claudia Ceci ( claudia.ceci(a)uniroma1.it) La partecipazione è libera ma è necessario compilare il form alla pagina https://umi.dm.unibo.it/pescara30marzo23/ Cari saluti, Claudia Ceci ************************************ Claudia Ceci Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza (MEMOTEF) Università di Roma La Sapienza Via Del Castro Laurenziano 9 Roma 00161 Italy claudia.ceci(a)uniroma1.it

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Seminar by Dr. Vincenzo Candila.
by Giorgio Rizzini 24 Mar '23

24 Mar '23

Dear all, we are glad to announce the following seminar by Dr. *Vincenzo Candila* (University of Salerno) on Wednesday March 29th 2023 starting from 4:30 p.m. in room 2062 at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca (Milan). *On the tennis winner forecasting methods: from the Weighted Elo rates to the network-based indicators* *Vincenzo **Candila* Department of Economics and Statistics University of Salerno *Abstract:* Statistical methods for predicting the winner in tennis matches have increased in popularity over the last two decades. Currently, several techniques are available, such as the regression-based, point-based, and paired-comparison approaches. Within this latter class, the Elo rating is one of the most popular methods to predict the probability of winning tennis matches. Even with its widely recognized merits in terms of good performance, the Elo method only partially considers each player's current form and recent performances. To overcome this drawback, we have proposed a new version of the Elo rating method, labeled Weighted Elo (WElo), where the standard Elo rates are weighted according to the scoreline of the players’ last match. More recently, we have further enlarged the paired-comparison class of models, introducing the network-based indicators for the first time to allow the ratings of the whole set of players to vary every time there is a new match. This work aims to illustrate the main characteristics of the WElo and network-based rates. In the empirical applications, we show the statistically meaningful benefits of using the proposed approaches with respect to many popular competing specifications. *March 29th, 2023 at 4:30 p.m.* *Department of Statistics and Quantitative Methods* *Room **2062* * - Building U7 (Second floor)* *Bicocca degli Arcimboldi street, 8 – 20126 Milan* For further information, please write to rosanna.grassi(a)unimib.it

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Quantitative Finance at Work, 2023
by Davide Pirino 24 Mar '23

24 Mar '23

Dear Colleagues, We are pleased to announce the fourth edition of the *QFin@Work* on *April 28, 2023*, a workshop on the practical use of quantitative methods in Finance and related fields hosted by the Master of Science in Finance and Banking <https://economia.uniroma2.it/master-science/financeandbanking/> of Tor Vergata University of Rome. The goal is to bring together leading experts, especially finance professionals, to learn from their experiences, listen to new ideas, and discuss future perspectives in the field. The schedule is available at https://qfinatwork.com/2023. Attendance is free and participants are encouraged to register soon! Looking forward to having you with us, Rocco Ciciretti (On behalf of the Scientific and Organizing committee)

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A spring day in Probability and Statistical Physics- 21 Aprile 2023
by Luisa Andreis 23 Mar '23

23 Mar '23

Care colleghe e colleghi, Vi annunciamo che prossimamente si terrà l'undicesima giornata di seminari: A SPRING DAY IN PROBABILITY AND STATISTICAL PHYSICS University of Florence Friday 21 April 2023 Lecturers: Fabio Toninelli (Vienna) and Julia Komjathy (Delft) Location: Sala Tricerri, Dipartimento di Matematica e Informatica Ulisse Dini, viale Morgagni 67/a, Firenze, Firenze Ricordiamo che ciascun oratore farà una lezione introduttiva e divulgativa di 45 minuti pensata proprio per i non esperti, seguita da altri 45 minuti di tipo seminario (vedi programma). Maggiori informazioni e aggiornamenti sono reperibili alla pagina web https://sites.google.com/unifi.it/florence-probability-group/home/days-in-p… Note pratiche: a coloro che fossero interessati (per una migliore organizzazione) chiediamo di compilare il seguente Google Form per indicare l'intenzione di partecipare alla giornata e in particolare al pranzo: https://docs.google.com/forms/d/e/1FAIpQLSdksgtnmxrLTE4h9RLyEfx3lo0aMHpowiI… Vi aspettiamo numerosi! Gianmarco Bet e Luisa Andreis Scientific advisory committee: F. Caravenna, E.N.M. Cirillo, F. Colomo, P. Dai Pra, A. De Masi, C. Giardina`, R. Livi, F. Martinelli, I.G. Minelli, B. Scoppola, E. Scoppola. PROGRAMMA Prof. Fabio Toninelli (Technical University of Vienna) Title: Out-of-equilibrium phenomena and stochastic PDEs Prof. Julia Komjathy (Technical University of Delft) Title: TBA 10:30-11:00 Welcome coffee 11.00-11.45 Introductory lecture: Toninelli 11.45-12.15 Break 12.15-13.00 Seminar: Toninelli 13.00-14.30 Lunch 14.30-15.15 Introductory lecture: Komjathy 15.15-15.45 Break 15.45-16.30 Seminar: Komjathy [cid:6D6AED0A-79CF-4C81-9F23-96145C7CAFD5] Luisa Andreis ------------------------------------------------------- RTD-B Dipartimento di Matematica Politecnico di Milano Personal webpage: https://sites.google.com/view/luisaandreis/home Email: luisa.andreis(a)polimi.it<mailto:luisa.andreis@polimi.it>

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Seminar: Francesco Vaccarino at Tor Vergata
by salvi 23 Mar '23

23 Mar '23

Dear all, On Wednesday, February 15th, at 14h00 in Aula Dal Passo at Roma Tor Vergata, RoMaDS (https://www.mat.uniroma2.it/~rds/about.php) will host Francesco Vaccarino (Politecnico di Torino) with the seminar _ _ _"Hodge-Shapley game: a Laplacian-based Shapley-like associated game for eXplainable AI"_ _ _ Abstract: In cooperative game theory, a set of players or decision-makers should negotiate to decide how to allocate the worth gained by the coalition composed of all the players. A value is a solution concept that suggests the outcome of the negotiation among players. Among the many existing alternative solution concepts, it is prevalent the Shapley value solution concept. Its popularity also derives from the property of being a fair allocation, where a set of desirable properties or axioms describes fairness. The axioms characterize the Shapley value in the sense that it is the unique value satisfying those properties; at the same time, the axioms allow deriving a simple explicit combinatorial formula to compute the Shapley value. In our approach, coalitions are the main subjects of cooperation, instead of single players, and, inspired by the Shapley value, the goal is to derive a fair associated game, i.e. an allocation to coalitions satisfying a set of desirable properties. The methodology is based on using the Hodge decomposition of the simplicial complex associated with the partially ordered set of the subsets of the set of players ordered by inclusion. We will motivate this investigation within the framework of Explainable Artificial Intelligence (XAI). Joint work with Antonio Mastropietro (Eurecom - F) We encourage in-person partecipation. Should you be unable to come, here is the link to the event on Teams: https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… The seminar is part of the Excellence Project Math@TOV. You can find a schedule with the next events at the following link: https://www.mat.uniroma2.it/~rds/events.php .

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Next OWPS on March 29th: Milton Jara and Otávio Menezes
by Alberto Chiarini 22 Mar '23

22 Mar '23

OWPS's next session will be on Wednesday the 29th of March from 15:00 to 17:00 UTC (Coordinated Universal Time). Our next speakers are: Milton Jara (IMPA) and Otávio Menezes (Purdue University) Title, abstract and the zoom link are below the signature and can be found on the website https://www.owprobability.org/one-world-probability-seminar. If you are interested in the project, we kindly ask you to share this announcement within your community. With best wishes, Alberto Chiarini (Padua) and Adrián González Casanova (Berkeley and México) ----------------------------------------------------------------------------------------------------------- Talk : Milton Jara (IMPA) and Otávio Menezes (Purdue University) Title : CLT for NESS Abstract : Non-equilibrium stationary states (NESS) are ubiquitous in nature, but not well understood from a mathematical point of view. The main features of NESS is the presence of non-trivial currents, which generate long-range correlations in the system. Modeling physical systems by Markov chains, one can restate questions about NESS as the description of invariant measures for non-reversible Markov chains. This opens the way to describe NESS by probabilistic methods. However, basic questions for non-reversible Markov chains, like for example mixing times or quantitative CLTs are not been answered in great generality. Our first talk will introduce NESS with some examples, and it will introduce general and fairly elementary methodology for Markov chains that we believe is well suited to the study of non-reversible Markov chains. The second talk will describe some recent results about the description of NESS for driven-diffusive systems. Zoom-link: https://unipd.zoom.us/j/82893164291?pwd=RHZIeXU2b3pVOE1OSU5tdFd2Y2RPUT09 Meeting ID: 828 9316 4291 Passcode: 251936 If you are having trouble with zoom, or if the capacity of the zoom room gets exceeded, you can also access to the Youtube live stream at the channel of the seminar: https://www.youtube.com/channel/UCiLiEQGTp6bZEhuHDM-WNWQ

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Seminar announcement: M. Tarsia on time-inconsistent recursive stochastic control problems – March 29, 2023 – 13:00-14:00
by Mastrogiacomo Elisa 21 Mar '23

21 Mar '23

Dear Colleagues, On March 29, 2023, 13:00-14:00, Dr. Marco Tarsia (University of Insubria) will give a talk on “Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems” (joint work with Elisa Mastrogiacomo). The seminar will be held in person and online via the MS Teams platform. Link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_OWU0MDRiNjctYWNmYS00… Place: Dipartimento di Economia, Via Monte Generoso 71, room TBA. Below you can find an abstract of Marco’s talk. You are all invited. *** Abstract In this talk, we discuss about time-inconsistent recursive stochastic control problems, i.e., for which Bellman’s principle of optimality does not hold. In practice, a restriction of an optimal control for a specific initial pair on a later time interval might not be optimal for that corresponding initial pair; this happens, for instance, in dynamic utility maximization problems for investment- consumption strategies under non-exponential discounting. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and dynamic programming is not easily applicable. Therefore, the notion of optimality is defined through a game-theoretic framework by means of subgame-perfect equilibrium: we interpret our preference changes which, realistically, are inconsistent over time, as players in a game for which we want to find a Nash equilibrium. The approach followed in our work relies on the stochastic (Pontryagin) maximum principle: we adapt the classical spike variation technique to obtain a characterization of equilibrium strategies in terms of a generalized second-order Hamiltonian function defined through pairs of backward stochastic differential equations, even in the multidimensional case. We emphasize that, similarly to the classical case, equilibrium strategies are characterized through both a necessary condition and a sufficient condition involving the generalized Hamiltonian function, whereas, contrary to the classical case, this sufficient condition works even in the absence of extra convexity assumptions. Going further, our analysis is extended to time-inconsistent recursive stochastic control problems under a constraint defined by means of an additional recursive utility, under appropriate boundedness assumptions. That constraint refers to an expected value and so we adapt Ekeland’s variational principle to this trickier situation. Finally, the theoretical results are applied in the financial field to finite horizon investment-consumption policies with non-exponential actualization. Here the existence of non-trivial equilibrium policies is also ascertained. Best regards, Elisa Mastrogiacomo ----------------------------------------- Professore Associato di Metodi matematici dell'economia e delle scienze attuariali e finanziarie DIPARTIMENTO D'ECCELLENZA 2023/2027 Università degli Studi dell'Insubria Dipartimento di Economia Via Monte Generoso, 71 – 21100 Varese tel. +39 0332/395528 web: www.uninsubria.it<http://www.uninsubria.it/> mail: elisa.mastrogiacomo(a)uninsubria.it<mailto:mario.rossi@uninsubria.it> Chiaramente Insubria! [LOGO-ATENEO-FONDO TRASPARENTE]<http://www.uninsubria.it/> [Facebook] <https://www.facebook.com/uninsubria> [Twitter] <https://twitter.com/Uni_Insubria> [Instagram] <https://instagram.com/uninsubria> [YouTube] <https://www.youtube.com/user/LabVAMultimedia>

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