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prof A. Minca's seminar - June 5, LUISS - Roma
by Sara 03 Jun '18

03 Jun '18

Please, find the announcement below. ---------- Forwarded message ---------- From: Dipartimento Economia e Finanza LUISS Guido Carli < economiaefinanza(a)luiss.it> Date: Tue, May 29, 2018 at 3:19 PM Subject: Research Seminars of the Dept. of Economics and Finance / agenda To: Dipartimento Economia e Finanza LUISS Guido Carli < economiaefinanza(a)luiss.it> The next Research Seminars of the Dept. of Economics and Finance are scheduled as follow: *June 5 from 12:00 to 13:00, room 104 viale Romania <https://maps.google.com/?q=104+viale+Romania&entry=gmail&source=g>.* *Speaker:* Andreea Minca (Cornell University) *Title:* Dynamic Leveraging-Deleveraging Games *Abstract:* We introduce a new mechanism for leverage dynamics, which results from a multi-period game of lenders with differentiated beliefs about the firm's fundamental returns. The game features strategic substitutability for low existing leverage and one-sided strategic complementarity for high existing leverage. The resulting leverage process exhibits a mean-reverting regime around a long-run level, as long as it stays below an instability level. Above the instability level, leverage becomes explosive. We validate our model empirically using aggregate returns of financial firms over the 10 year period 2001-2010. Our model predicts the leveraging/deleveraging of this period, and in particular the 2008 collapse in short term debt. *Dipartimento di Economia e Finanza* Viale Romania, 32 - 00197 Roma <https://maps.google.com/?q=Viale+Romania,+32+-+00197+Roma&entry=gmail&sourc…> *def(a)luiss.it <def(a)luiss.it>* t +39 06 85225550 <06%208522%205550> *www.luiss.it <http://www.luiss.it/>* [image: http://static.luiss.it/images_10/loghi/LS_BLU_RIDUZIONE_WEB.png] Il tuo 5x1000 alla LUISS: C.F. 02508710585 <02%205087%2010585> [image: http://www.luiss.it/images_10/icons/environment-icon.png] *Please consider the environment... do you really need to print this email?* -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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junior researcher position (RTD-A) in Probability in Pisa -- forthcoming deadline
by Marco Romito 01 Jun '18

01 Jun '18

Scrivo per ricordare che il bando per una posizione RTD-A nel settore MAT/06 presso il Dipartimento di Matematica dell'Università di Pisa, è in scadenza (4 giugno). Il bando è disponibile alla pagina https://alboufficiale.unipi.it/wp-content/uploads/2018/05/Bando_RTD_A_PICA-… ------------------- dear all I am writing to remind that the deadline for a junior researcher position (RTD-A) in Probability at University of Pisa is approaching (June 4). The official call (in italian) can be found at https://alboufficiale.unipi.it/wp-content/uploads/2018/05/Bando_RTD_A_PICA-… m.

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Call for interest -- Department of Economics and Finance -- University of Rome Tor Vergta
by Davide Erminio Pirino 01 Jun '18

01 Jun '18

Dear all, the "Department of Economics and Finance" of the University of Rome "Tor Vergata" has opened a call for interest for Senior (TenureTrack) Assistant Professor and Associate/Full Professor, in the field of Mathematical Finance. Please find attached a pdf with all the details of the call. Best Regards, Davide Pirino.

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Fwd: Workshop announcement: Renormalisation in QFT and in stochastic PDEs - Cambridge, 3-7 sept 2018 (fwd)
by Pietro Caputo 01 Jun '18

01 Jun '18

ricevo e inoltro: ---------- Forwarded message ---------- From: A. Giuliani <giuliani(a)mat.uniroma3.it> Date: Fri, Jun 1, 2018 at 6:57 AM Subject: Workshop announcement: Renormalisation in QFT and in stochastic PDEs - Cambridge, 3-7 sept 2018 (fwd) To: Caputo <caputo(a)mat.uniroma3.it> Dear colleague, this is an announcement of the workshop `Renormalisation in quantum field theory and in stochastic partial differential equations: a gentle introduction and some recent developments' which will be held at the Isaac Newton Institute (INI) for Mathematical Sciences in Cambridge, UK, from september 3 to 7, 2018, see https://www.newton.ac.uk/event/srqw01 We invite all the interested participant to register as soon as possible on the website: the DEADLINE FOR APPLICATIONS IS **JUNE 17, 2018** There is limited financial support available for students and young researchers; if you wish to apply for a grant, please indicate it in the application form. The workshop is the opening event of the 4-months programme `Scaling limits, rough paths, quantum field theory', which will be held at INI from september 3, to december 21, 2018, see https://www.newton.ac.uk/event/srq The invited speakers are: R. Bauerschmidt (Cambridge) M. Gubinelli (Bonn) M. Hairer (London) H. Knoerrer (Zurich) C. Kopper (Palaiseau) A. Kupiainen (Helsinki) T. Lyons (Oxford) V. Mastropietro (Milano) F. Otto (Leipzig) N. Perkowski (Berlin) G. Slade (Vancouver) L. Zambotti (Paris) The workshop will consist of 8 advanced talks and 2 mini-courses, each of which will be split in two parts (one mini-course on the Renormalization Group will be offered by A. Kupiainen and G. Slade; one mini-course on stochastic PDEs will be offered by F. Otto and L. Zambotti). Please forward this announcement to all the potentially interested colleagues and students. Thanks and best regards, Margherita Disertori Peter Friz Alessandro Giuliani Hendrik Weber

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RTD A SECS-S/01 STATISTICA Universita' Cattolica del Sacro Cuore
by Consonni Guido 01 Jun '18

01 Jun '18

L' Università Cattolica del Sacro Cuore - Facolta' di Economia- sede di Milano ha bandito un posto RTD-A di Statistica SECS-S/01 (D.Rettorale n. 4365) Il bando e tutte le altre informazioni sono reperibili all'indirizzo http://progetti.unicatt.it/progetti-ateneo-milano-brescia-piacenza-e-cremon… SCADENZA PRESENTAZIONE DOMANDE: 28/06/2018. Dipartimento di Scienze Statistiche Università Cattolica del Sacro Cuore Largo Gemelli, 1 20123 Milano; ITALY [http://Static.unicatt.it/layout/img/layout/5x1000.gif] Destina il tuo 5 per mille all'Università Cattolica CF 02133120150 www.unicatt.it/5permille<http://www.unicatt.it/5permille/>

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dottorato a Torino
by Enrico Bibbona 01 Jun '18

01 Jun '18

Gentili colleghi, il bando per il dottorato congiunto tra Università e Politecnico di Torino sta per scadere. Si chiude il 7 giugno alle 12 Vi prego di passare l'informazione ai vostri studenti più meritevoli, ai quali, in caso di partecipazione, dovrete scrivere una lettera di referenze (anch'essa da caricare entro la scadenza). Segnalo che è gradita la partecipazione di studenti con una formazione probabilistica o statistica in particolare sui temi legati al progetto di eccellenza di cui il Dipartimento di matematica del Politecnico è risultato vincitore. Si veda il bando https://www.unito.it/postlaurea/dottorato/matematica-pura-e-applicata e i temi del progetto https://areeweb.polito.it/disma-excellence/ Cordiali saluti, Enrico Bibbona -- Enrico Bibbona Probability, Statistics and Optimization group Department of Mathematical Sciences "G. L Lagrange" Politecnico di Torino

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2018/19 PhD Programs at the IMT School for Advanced Studies Lucca
by Irene Crimaldi 31 May '18

31 May '18

*2018/19 PhD Programs at the IMT School for Advanced Studies Lucca* *Deadline for applications – August 3rd 2018, 12 pm CEST* Applications are now being accepted for the 2018/19 PhD Programs at the IMT School for Advanced Studies Lucca (www.imtlucca.it), one of the six Schools of Excellence in Italy and one of the highest rated graduate schools in Europe according to the most recent U-Multirank survey. Highly motivated candidates from all disciplines are invited to apply for one of the 36 fully-funded scholarships within two doctoral Programs that integrate scientific competences of economics, engineering, computer science, neuroscience and behavioral psychology, physics, applied mathematics, statistics, history and sciences of cultural heritage. *Economics, Networks and Business Analytics* is one of the four field-specific Tracks offered and is under the “Systems Science” PhD Program. This Track provides participants with a solid knowledge on modern analytical methods in economics and management. With its multidisciplinary approach, the Track is unique in its deployment of a strong integration of concepts, analytical foundations, and practical expertise, to educate the new generation of economists, scientists and practitioners with distinctive capabilities in analyzing, interpreting, and managing complex socio-economic systems. Graduates will be trained to become researchers and decision makers in academia, policy and industry by integrating knowledge at the boundary of Economics, Statistical Physics, Computer and Social Sciences with the unifying language of Mathematics and Statistics. Close associations with a selected set of companies and institutions provide the opportunity to analyze relevant problems, motivating new analytical techniques from practical problem solving. Students are involved in the analysis of real world high dimensional data, in collaboration with companies and institutions. During their doctoral studies, students are also encouraged to carry out their research with the School’s Research Units. Courses are led by world-renowned researchers and provide students with all the theoretical skills and advanced tools required for rigorously tackling a multitude of analysis, design and management problems within the broad framework of systems analysis in economic, social, physical, technological and cultural domains. Specialized faculty and staff create a network that provides key guidance and support throughout the PhD Program. Working closely with faculty, both in the classroom and in the development of research, students reach the highest levels of scholarly achievement. IMT School PhD graduates will be able to use the skills they acquired during their studies to recognize and resolve complex problems, to choose the most appropriate method or instrument to utilize when approaching these problems, even in disciplines outside of their primary field of research. All students are based in the recently restored San Francesco complex, a fully integrated Campus in the historical center of the beautiful Tuscan city of Lucca. The Campus includes renewed residential facilities, an on-site canteen, study and living rooms, a state-of-the-art library and outdoor recreational spaces, which foster a unique cultural, professional and social environment for our doctoral program. Eligible students, in addition to free room and board, will also receive a research scholarship which amounts to approximately €15,300/year. Additional funding for further research stages, including scholarships to cover an eventual fourth year to complete the PhD thesis, can be assigned on a competitive basis. The PhD Programs at the IMT School attracts students from around the world, providing a truly international environment. English is the official language of the School. Moreover, all students will have the opportunity to spend periods abroad at research institutes, laboratories or universities, both within the Erasmus+ framework and through ad hoc mobility agreements. Most IMT School PhD Graduates have reached prominent roles in academics, governmental institutions, public and private companies or professions across the globe. To find out more about the School, the admission requirements and how to apply, please see www.imtlucca.it/phd *Deadline for applications – August 3 rd 2018, 12 pm CEST* Find the IMT School on Facebook, Twitter, LinkedIn and YouTube for the latest news.

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Seminario Bicocca 4 giugno. Claudio Macci
by Asmerilda Hitaj 31 May '18

31 May '18

Il giorno lunedì 4 giugno alle ore 15 presso l'Università degli Studi di Milano-Bicocca (edificio U7, IV piano aula seminari 4026) si terrà il seguente seminario: *Speaker: *Claudio Macci (Università di Roma Tor Vergata) lunedì 4 giugno ore 15 *Titolo:* Large Deviations: theory and applications *Abstract:* I present a basic introduction on large deviations. In particular I will show how the rate functions can be expressed in terms of relative entropy (or Kullback-Leibler divergence). I will also present asymptotic results for level crossing probabilities of random walks, which can be interpreted as ruin probabilities in insurance. Il seminario è finanziato parzialmente con i fondi del progetto GNAMPA "Infinitely divisible distributions for portfolio allocation". Tutti gli interessati sono invitati a partecipare. Saluti, -- Asmerilda Hitaj

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Seminario Prof. Laura Ballotta
by Asmerilda Hitaj 31 May '18

31 May '18

Si avvisa che il giorno martedì 5 giugno, alle ore 15:00 presso l’Università degli studi di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula seminari 4026) si terrà il seguente seminario: Speaker: Prof. Laura Ballotta Titolo: Smiles & Smirks: a tale of factors (Joint work with Grégory Rayée (ULB)) Abstract The aim of this paper is to analyze which risk factors and which distribution features models for the joint evolution of stock log-returns and their volatility should target in order to provide a robust calibration, repricing and hedging performance. The setup is based on time changed Lévy process with both diffusive and jump components, and leverage effects originated by both factors. The analysis is carried out considering S&P500 options. Tutti gli interessati sono invitati a partecipare. Saluti, Asmerilda Hitaj

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Invito alla I edizione della “Giornata dei giovani IAC” (fwd)
by Lucia Caramellino 30 May '18

30 May '18

---------- Forwarded message ---------- Il direttore dell'IAC-CNR è lieto di annunciare la I edizione della ?Giornata dei giovani IAC 2018?: un mini simposio di un giorno dedicato ai giovani ricercatori del suo Istituto. L'evento è stato organizzato per dare l?opportunità ai tanti borsisti, dottorandi, assegnisti, collaboratori che svolgono giornalmente la loro attività formativa o di ricerca all?interno o in collaborazione con l?IAC, di far conoscere, presentare e discutere il proprio lavoro agli altri colleghi di Istituto e a tutta la comunità matematica fornendo una panoramica generale delle varie attività in cui sono coinvolti attraverso brevi interventi. I lavori si svolgeranno a partire dalle 9.30 dell?11 Giugno p.v. nell?aula seminari del piano terra della sede IAC di Roma in Via dei Taurini 19. Il programma e tutte le informazioni sono disponibili a questo link: https://tinyurl.com/giovaniIAC2018 L'ingresso è libero. -- Roberto Natalini, Ph.D. Direttore f.f. dell'Istituto per le Applicazioni del Calcolo "M. Picone", Consiglio Nazionale delle Ricerche via dei Taurini 19, 00185 Roma (Italy) Ph.:+39-0649937361 (CNR); Fax:+39-064404306, Mobile:+39-3336212987; skype: robbi60 WEB PAGE: http://www.iac.rm.cnr.it/~natalini/ ================================== Lucia Caramellino Dipartimento di Matematica Universita` di Roma "Tor Vergata" Via della Ricerca Scientifica I-00133, Roma, Italy www.mat.uniroma2.it/~caramell

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