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Seminar at Scuola Normale Superiore, 27 March 2018, Elisa Alos
by Giulia 21 Mar '18

21 Mar '18

Dear all, On Wednesday, 27 March 2018 — at 11:00 — at the Scuola Normale Superiore (Room: Aula Fermi) Prof. Elisa Alos (Universitat Pompeu Fabra, Barcellona) will hold the following Seminar: Title : The implied volatility surface in modeling problems Abstract: In the Black-Scholes model, the volatility parameter is constant. But it is well-known that, if we compute this volatility parameter by inverting market option prices, the result (the implied volatility) will depend on the strike price (a variation described graphically as a smile or skew) and on time to maturity. Classical stochastic volatility models, where the volatility is allowed to be a diffusion process, can capture the observed smiles and skews, but they cannot easily explain the term structure. For instance, recent numerical analysis state that the skew slope is approximately $O((T )^{-k})$, for some positive $k$ and where $T$ denotes the time to maturity, while the rate for these stochastic volatility models is $O(1)$. In this talk, we will see how to construct new stochastic volatility models that can describe this phenomena. Towards this end, we will present short-time approximations for the implied volatility skew and smile. The obtained formulas will give us a useful tool to identify the volatilities that can explain this term structure. Based on this approach, some new models have been proposed recently (as, for example, rough volatilities). In this talk we will discuss on the state of the art of this modeling research, and we will discuss the main advantages and disavantages of these new models. Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminar at Scuola Normale Superiore, 28 March 2018, Elisa Alos
by Giulia 21 Mar '18

21 Mar '18

Dear all, On Wednesday, 28 March 2018 — at 14:00 — at the Scuola Normale Superiore (Room: Aula Bianchi Scienze) Prof. Elisa Alos (Universitat Pompeu Fabra, Barcellona) will hold the following Seminar: Title : On the link between the Malliavin derivative operator and the implied volatility behaviour Abstract: We use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew and smile, in the context of stochastic volatility models. Our analysis does not requiere the volatility to be a diffusion or a Markov process. The obtained results will give us a tool to construct new models that can allow us to explain the empirical term structure of the implied volatility surface (joint works with J. León and J. Vives). Fill free to forward this announcement to your colleagues. Best Giulia Livieri Assegnista di ricerca Scuola Normale Superiore Piazza dei Cavalieri, 7, 56126 Pisa PI room 65

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Seminario di Probabilità - Padova - Cambio aula
by Paolo Dai Pra 21 Mar '18

21 Mar '18

Vi invito al seguente seminario, già annunciato, di cui vi segnalo un cambio di aula. Martedì Venerdì 23 Marzo 2018 alle 11:30 in Aula 1BC45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Marco Zamparo AFFILIATION: Politecnico di Torino TITLE: Large Deviations Principles in Renewal Theory ABSTRACT: Cramér's theorem provides a large deviations principle for the empirical mean of independent and identically distributed random variables. In this seminar, I establish a generalization of Cramér's theorem for multivariate renewal-reward processes under optimal hypotheses. The way to attack the problem is the following. A large deviations principle is first obtained for renewal processes constrained by the event that one of the renewals occurs at a predetermined time. Then, results are transferred to standard renewal processes by resorting to conditioning. The constrained setting makes it possible to solve the problem by using an argument based on convexity and sub-additivity, which is inspired by the approach of Bahadur and Zabell to derive the modern form of the Cramér's theorem. Interestingly, with a different interpretation of the time coordinate, constrained renewal processes include important models of statistical mechanics, such as the pinning model of polymers and the Poland-Scheraga model of DNA denaturation. These models are briefly reviewed in the seminar. M. Zamparo, Large Deviations in Renewal Theory and Renewal Models of Statistical Mechanics, arXiv:1801.09941. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Workshop `Randomness and Symmetry’, UCD, June 18-22, 2018
by Bisi, Elia 21 Mar '18

21 Mar '18

Ricevo e inoltro. ________________________________ From: Randomness & Symmetry Workshop <randsym18(a)ucd.ie> Sent: 21 March 2018 11:56 To: Bisi, Elia Subject: Workshop `Randomness and Symmetry’, UCD, June 18-22, 2018 Dear colleagues, This is a preliminary announcement for the workshop `Randomness and Symmetry’, to be held at University College Dublin, June 18-22, 2018. Confirmed speakers include - Elia Bisi (Warwick), Philippe Bougerol (Paris), Jeremie Bouttier (Saclay), Manon Defosseux (Paris), Persi Diaconis (Stanford), Nick Ercolani (Arizona), Jonathan Novak (San Diego), Satya Majumdar (Orsay), Dan Romik (Davis), Gregory Schehr (Orsay), Craig Tracy (Davis), Pierre Van Moerbeke (Leuven), Balint Virag (Toronto), Paul Zinn-Justin (Melbourne). There is limited space available (and some funding for PhD students and young researchers) to participate in this workshop. To apply / register your interest, please email randsym18(a)ucd.ie<mailto:randsym18@ucd.ie> before May 1, 2018. Further details are available on the workshop web page http://www.maths.ucd.ie/~noconnell/randsym18/main.html With best wishes, on behalf of the organisers, Fabio Deelan Cunden Antoine Dahlqvist Neil O’Connell

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MSCA Master Class 2018 @ POLIMI
by Daniele Marazzina 20 Mar '18

20 Mar '18

Con preghiera di diffusione >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> Politecnico di Milano is launching a pilot Master Class (MSCA EF MASTER CLASS 2018 @ POLIMI) for potential applicants to the MSCA - European Individual Fellowship call 2018. https://www.polimi.it/en/faculty-and-staff/calls-and-competitions/call-for-… The aim of the call is to attract and train young and talented researchers to successfully applying for MSCA European Fellowship with the Politecnico di Milano as host institution. Applications are open for the published 30 "Supervisors project proposals". Among those 30 projects, we announce the following Risk and Potentialities of Cryptocurrencies<https://www.polimi.it/fileadmin/user_upload/Lavora-con-noi/MSCA_EF_Master_C…> https://www.polimi.it/fileadmin/user_upload/Lavora-con-noi/MSCA_EF_Master_C… Candidates will be pre-selected based on their expression of interest, CV and motivation. Promising candidates will be invited to the Politecnico di Milano for 3 days (11-13 June 2018) to meet with their supervisors, to visit laboratories and facilities, to attend an in depth training course on the proposal writing and to make use of full support in the application writing process by POLIMI advisors. Candidate fellows and supervisors will be guided throughout the whole application process with deadline on 12th September 2018. Only those who get funding through the European Commission’s MSCA IF program will be admitted to Politecnico di Milano.

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Lectures on "Neural Networks for Time Series Analysis" - University of Verona, Italy - March 21, 23, 28, 29, 2018
by Luca di persio 17 Mar '18

17 Mar '18

Dear all, this is to announce a minicourse on "Neural Networks for Time Series Analysis" that will take place at Ca'Vgnal 2 College of Mathematics - Dept. of Computer Science - UniVr Strada le Grazie, 15 - Verona located here https://goo.gl/maps/Yx2JU Speaker Oleksandr Honchar [HPA – University of Verona] Program, Abstract and timetable Lecture 1: Introduction to machine learning and time series analysis Lecture 2: Data preparation and feed-forward neural networks Lecture 3: Convolutional and recurrent neural networks Lecture 4: Building a trading strategy and further applications Abstract In this mini-course we will study artificial neural networks as a tool for time series classification and forecasting. We will review theoretical concepts of feed-forward, convolutional and recurrent neural networks, their modern architectures and implement them in Python. The emphasis of the mini-course is on practical applications, so we will use before mentioned algorithms to forecast stock prices movements and build a real asset trading strategy and backtest it. After attending this course, students will understand basic pipeline of machine learning based time series analysis: data preprocessing, fitting the model, evaluation of results and will be able to use their own models for building algorithmic trading strategies. 21/3 – 15:30-17:30 – Meeting Room – 2nd floor 23/3 – 15:30-17:30 – Meeting Room – 2nd floor 28/3 – 15:30-17:30 – Meeting Room – 2nd floor 29/3 – 15:30-17:30 – Meeting Room – 2nd floor The initiative is organised within the framework of the Stochastic Semester VPSMS18 [VPSMS2018.org] , see also: http://www.di.univr.it/?ent=seminario&id=4262&lang=it http://vpsms2018.org/event/minicourse-neural-networks- for-time-series-analysis/ Do not hesitate to contact me for further info. Best, LuCa __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968

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Seminario ENRICO SCALAS @ UniTo
by Federico Polito 16 Mar '18

16 Mar '18

********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO ********************************************************************* Lunedì 26 Marzo 2018 alle ore 14:30 in Aula A presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10, Il Prof. ENRICO SCALAS (Department of Mathematics, University of Sussex, UK) terrà un seminario dal titolo A STYLIZED MODEL FOR WEALTH DISTRIBUTION Abstract: The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive the wealth distribution using discrete and continuous stochastic processes (random exchange models) as well as related Boltzmann-type kinetic equations. In this literature, the usual concept of equilibrium in Economics is either replaced or completed by statistical equilibrium. In order to illustrate this activity with a concrete example, we present a stylised random exchange model for the distribution of wealth. We first discuss a fully discrete version (a Markov chain with finite state space). We then study its discrete-time continuous-state-space version and we prove the existence of the equilibrium distribution. Finally, we discuss the connection of these models with Boltzmann-like kinetic equations for the marginal distribution of wealth. This paper shows in practice how it is possible to start from a finitary description and connect it to continuous models following Boltzmann's original research program. https://arxiv.org/abs/1609.08978 Tutti gli interessati sono invitati a partecipare. -- Federico Polito Department of Mathematics University of Torino Via Carlo Alberto, 10 10123, Torino, Italy Email: federico.polito(a)unito.it Tel: +39 011 6702862 Web: www.federicopolito.it

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Fwd: COFUND Parigi : 20 borse di dottorato
by Marco Romito 16 Mar '18

16 Mar '18

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Seminario di Probabilità - Padova
by Paolo Dai Pra 16 Mar '18

16 Mar '18

Ho il piacere di invitarvi al seguente seminario, che si terrà Martedì Venerdì 23 Marzo 2018 alle 11:30 in Sala Riunioni VII Piano della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Marco Zamparo AFFILIATION: Politecnico di Torino TITLE: Large Deviations Principles in Renewal Theory ABSTRACT: Cramér's theorem provides a large deviations principle for the empirical mean of independent and identically distributed random variables. In this seminar, I establish a generalization of Cramér's theorem for multivariate renewal-reward processes under optimal hypotheses. The way to attack the problem is the following. A large deviations principle is first obtained for renewal processes constrained by the event that one of the renewals occurs at a predetermined time. Then, results are transferred to standard renewal processes by resorting to conditioning. The constrained setting makes it possible to solve the problem by using an argument based on convexity and sub-additivity, which is inspired by the approach of Bahadur and Zabell to derive the modern form of the Cramér's theorem. Interestingly, with a different interpretation of the time coordinate, constrained renewal processes include important models of statistical mechanics, such as the pinning model of polymers and the Poland-Scheraga model of DNA denaturation. These models are briefly reviewed in the seminar. M. Zamparo, Large Deviations in Renewal Theory and Renewal Models of Statistical Mechanics, arXiv:1801.09941. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Master programmes at the University of Kent
by Fabrizio Leisen 15 Mar '18

15 Mar '18

Con preghiera di diffusione. Contattami pure se avete bisogno di ulteriori informazioni. Cordiali saluti, Fabrizio Leisen A postgraduate degree in Statistics from the University of Kent can open many doors both in industry and research. The taught programmes in Statistics and Statistics with Finance provide exemption from the professional examinations of the Royal Statistical Society and qualification for Graduate Statistician status. The School of Mathematics, Statistics and Actuarial Science has a strong reputation for world-class research and a well-established system of support and training, with a high level of contact between staff and research students. Postgraduate students develop analytical, communication and research skills. Developing computational skills and applying them to mathematical problems forms a significant part of the postgraduate training in the School. The School encourages all postgraduate statistics students to take part in statistics seminars and to help in tutorial classes. The Statistics Group is forward-thinking, with varied research, and received high rankings in the Research Excellence Framework (REF) 2014 for research power and quality. An overview of the Statistics group activities can be found at https://www.kent.ac.uk/smsas/statistics/research/index.html For more information about postgraduate statistics programmes at Kent visit www.kent.ac.uk/smsas or contact the Admissions Officer: E: smsaspgadmissions(a)kent.ac.uk T: +44 (0) 1227 816050 Director: Fabrizio Leisen, F.Leisen(a)kent.ac.uk -- Fabrizio Leisen Reader in Statistics School of Mathematics, Statistics and Actuarial Sciences Sibson Building, University of Kent, Canterbury, CT2 7FS http://www.kent.ac.uk/smsas/statistics/our-people/profiles/leisen_fabrizio.… http://sites.google.com/site/fabrizioleisen/

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