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Quantitative Finance at Work
by Davide Erminio Pirino 18 Mar '19

18 Mar '19

Dear all, on May 2 and 3, 2019, the Department of Economics and Finance <http://economia.uniroma2.it/en/def/> and the Master of Science in Finance and Banking <http://economia.uniroma2.it/master-science/financeandbanking> of the University of Rome Tor Vergata <http://web.uniroma2.it/home/newlang/english> will host the* third edition* of Quantitative Finance at Work a workshop on the practical use of quantitative methods in Finance. Find out more about the program, the venue and the registration form at the event website <https://www.qfinatwork.com/>. Registration *is** free but required to attend to the workshop*. It will be open until the maximum number of participants is reached. The list of the speakers and some information are attached. Looking forward to seeing you in Rome “Tor Vergata”, *The Scientific Committee* Rocco Ciciretti Stefano Herzel Davide Pirino Alessandro Ramponi Sergio Scarlatti Speakers Marialena Athanasopoulou, *European Stability Mechanism. *Andrea Consiglio, Università degli Studi di Palermo. Fabio Farabullini, *Istituto per la Vigilanza sulle Assicurazioni.* Simone Freschi, *MPS Capital Services*. Tommaso Gabbriellini, *MPS Capital Services.* Fabrizio Lillo, *Università degli Studi di Bologna*. Attilio Meucci, *ARPM*. Marcello Paris, *UniCredit. *Luca Spampinato, *Bloomberg*. Valerio Sperandeo, *Mathworks*. Michele Tumminello, Università degli Studi di Palermo. Jessica Zanetti, *Morningstar*. Venue University of Rome Tor Vergata, School of Economics, Via Columbia, 2 – 00133 Rome. Date May 2 and 3, 2019. *Web*: https://www.qfinatwork.com/

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Workshop on Random Dynamical Systems and Anomalous Dynamics, Londra 20-22 Marzo 2019
by Enrico Scalas 18 Mar '19

18 Mar '19

Car* collegh*, se siete a Londra dal 20 al 22 marzo, vi puo' interessare questo workshop che si terra' all'Imperial College organizzato da Yuzuru Sato, Rainer Klages e Jeroen Lamb: http://lml.org.uk/event/workshop-on-random-dynamical-systems-and-anomalous-… Workshop aim: This workshop brings together theoretical physicists and mathematicians working on dynamical systems and stochastic processes. An emphasis is on the recent active fields of random dynamical systems and anomalous stochastic dynamics. The former refers to chaotic dynamical systems that are coupled to noise. This combination can create novel phenomena such as anomalous diffusion, stochastic bifurcations, and varieties of noise-induced phenomena. To describe them requires a new mathematical language defining objects such as random attractors, perturbed invariant measures, bifurcations, and rare event statistics. Anomalous dynamics denotes processes whose mean square displacement, unlike that of Brownian motion, grows non-linearly in time. They exhibit non-trivial properties related to non-Gaussian probability distributions, such as power-law decay of correlations, sub- or super-diffusion and ergodicity breaking. However, the emergence of such phenomena from deterministic dynamics is poorly understood. By bridging the gap between the dynamical systems and applied stochastic processes communities we aim to advance this understanding. Cordiali saluti, Enrico Scalas

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PhD positions in MODELING AND DATA SCIENCE - University of Torino
by Elvira Di Nardo 16 Mar '19

16 Mar '19

%------------------------------------------------------------------------------% The call for admission to PhD programme in MODELING AND DATA SCIENCE - University of Torino https://dottorato-mds.campusnet.unito.it/do/home.pl (Coordinator: Prof.Laura Sacerdote) is now open. %-------------------------------------------------------------------------------% We offer up to 5 PhD positions (one is reserved to candidates with international qualifications and one is reserved to the project no.9, see below) for up to 3 years. Annual amount of the PhD scholarship is € 17.500 according to DM 40/2019. This sum is subject to separate I.N.P.S. welfare contributions. Course start date is November 1st, 2019. The official language is English. The positions are assigned to specific research projects within the following list: 1. A multi-agent system (MAS) approach to model news spreading 2. A multi-agent system (MAS) modelisation of the mobility by public transport in the City of Turin 3. Quickest detection and failure time problems for industrial data 4. Machine learning in public health 5. Time changed multivariate stochastic models: calibration and fit on financial data. 6. Computable inference for hidden Markov models with orthogonal polynomial eigenstructure 7. Parallel programming models for modern applications: AI and Big Data 8. Privacy-preserving machine learning in complex domains 9. Algorithms and techniques for analyzing vast non-specialized textual corpora in order to extract complex features relevant to conceptual history and the history of argumentation. (research project linked to the scholarship funded by Dipartimento di Filosofia e Scienze dell’Educazione – excellence Department research) This list may be updated until the deadline of Call for Admission to PhD positions. Updates will be published on https://en.unito.it/postdegree/phd/modeling-and-data-science. Application fee is €50.00 for each application submitted. Candidates with international qualifications are exempted from paying the application fee. Applications must be submitted within 16th April 2019 at 12.00 (noon) Central European local time (which is also the fee mandatory deadline). Application may be integrated with additional documentation within the deadline 16th April 2019 at 12.00 (noon) Central European local time. For more details about the research projects as well as the formal application criteria, see https://en.unito.it/postdegree/phd/modeling-and-data-science The admission procedure consists in assessment of qualifications, research project and interview. The interview will include questions on applied mathematics, statistics and computer science together with a discussion on the proposed project. The interview, after prior authorization by the Commission, can be performed telematically. Schedule with information on dates and venues of entrance examinations will be published on the websites: http://en.unito.it/research/phd/phd-programmes, starting from 9th April 2019. -- %------------------------------------------------------- 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 Stefano Pagliarani a Pisa
by Dario Trevisan 15 Mar '19

15 Mar '19

Cari colleghi, annuncio il seguente seminario che si terrà lunedì 25 marzo, alle 14:00, nella Sala Seminari presso il dipartimento di Matematica dell'università degli studi di Pisa. Dear colleagues, I would like to announce the following talk that will be held on Monday, 25 March 2019, at 2 PM, in Sala Seminari, Department of Mathematics, University of Pisa. #### Speaker: Stefano Pagliarani (Università degli studi di Udine) Title: Contraction methods for a class of McKean-Vlasov (mean-field) SDEs with jumps. Abstract: We consider two prototype classes of McKean-Vlasov (mean-field) SDEs with jumps. In the first case, the coefficient is assumed to be affine in the state-variable, only measurable in the law, and the dynamics allow for Lévy jumps. We study the equivalent functional fixed-point equation for the unknown time-dependent coefficients of the associated Markovian SDE. By proving a contraction property for the functional map in a suitable normed space, we infer existence and uniqueness results for the MK-V SDE, and derive a discretized Picard iteration method that approximates the law of the solution. Numerical illustrations show the effectiveness of the method, which appears to be appropriate to handle multi-dimensional settings. We finally describe possible extensions and generalizations to more general settings. The second class of MKV SDEs that we consider allows for self-exicitng jumps, which amounts to having jumps through hitting the boundary in the equivalent large particle system. The corresponding PDE problem is a particular instance of free-boundary problems known as supercooled Stefan-like problems. We write a Volterra equation for the free boundary and prove contraction results that are useful to determine the properties of the solution and to provide convergent numerical schemes. -- Dario Trevisan, Università degli Studi di Pisa, Dipartimento di Matematica, Largo Bruno Pontecorvo 5, 56127 - Pisa (PI) Italy telephone: (+39) 050 2213832 mobile: (+39) 331 2899761 Skype: dario-trevisan e-mail: dario.trevisan AT unipi.it webpage: http://people.dm.unipi.it/trevisan/

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Workshop for young researchers in complex systems "Complexity72h" @ IMT Lucca, 17-21 Jun
by Bruno Matteo 15 Mar '19

15 Mar '19

Dear all, Please spread the word of the workshop "Complexity72h", intended for the participation of students and young researchers in the area of complex systems. The applications close in only two days but it's very likely that there will be a one week extension. The workshop Complexity72h is an interdisciplinary event whose aim is to bring together young researchers from different fields of complex systems. Inspired by the 72h Hours of Science, participants will form working groups aimed at carrying out a project in a three-day time, i.e. 72 hours. Each group's goal is to upload on the arXiv a report of their work by the end of the event. A team of tutors will propose the projects, and assist and guide each group in developing their project. Alongside teamwork, participants will attend lectures from scientists coming from different fields of complex systems, and applied workshops. The workshop is organized and will be hosted by the IMT School for Advanced Studies Lucca. The workshop is addressed to Master students, PhD students and postdocs in complex systems, network science & data science. The fee is 250 euros and it includes participation, lectures, accommodation for 5 nights, coffee breaks, social dinner. 11 Feb 2019 applications start 17 Mar 2019 application deadline (likely to be extended) 25 Mar 2019 notification of acceptance 8 Apr 2019 payment acceptance 17-21 Jun 2019 workshop You can find all the information at the following link: https://complexity72h.weebly.com Best regards, Matteo Bruno

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Seminario di Pietro Rigo a Bologna
by Massimo Campanino 14 Mar '19

14 Mar '19

Il giorno venerdì 22 marzo alle ore 14:30 nell'Aula Seminario 2 del Dipartimento di Matematica dell'Università di Bologna, piazza Porta S. Donato 5, il prof. Pietro Rigo del Dipartimento di Matematica dell'Università di Pavia terrà un seminario dal titolo: On the existence of continuous processes with given one-dimensional distribution Abstract: Let $\mathcal{P}$ be the collection of Borel probability measures on $\mathbb{R}$, equipped with the weak* topology, and let $\mu:[0,1]\rightarrow\mathcal{P}$ be a continuous map. Say that $\mu$ is presentable if $X_t\sim\mu_t$, $t\in [0,1]$, for some real process $X$ with continuous paths. It may be that $\mu$ fails to be presentable. Conditions for presentability are given in this note. For instance, $\mu$ is presentable if $\mu_t$ is supported by an interval for all but countably many $t$. In addition, assuming $\mu$ presentable, we investigate whether there is a continuous process $X$ with the same finite dimensional distributions as the quantile process $Q$ induced by $\mu$. The latter is defined, on the probability space $((0,1),\mathcal{B}(0,1),\,$Lebesgue measure$)$, by \begin{gather*} Q_t(\alpha)=\inf\,\bigl\{x\in\mathbb{R}:\mu_t(-\infty,x]\ge\alpha\bigl\}\quad\quad\text{for all }t\in [0,1]\text{ and }\alpha\in (0,1). \end{gather*} Various open problems are stated as well.

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Conferenza "Population dynamics and statistical physics in synergy II", 1-3 Aprile 2019
by Cristian Giardina 14 Mar '19

14 Mar '19

Dear colleagues, We organize from 1 to 3 April 2019 a conference entitled "Population dynamics and statistical physics in synergy II". It will take place at the Centro di Ricerca Matematica E. De Giorgi (Pisa). The purpose of the meeting is to highlight the use of concepts and methods from probability theory and statistical physics in the context of population dynamics and population genetics. Invited speakers: Siva Athreya, Bangalore Pierre Collet, Ecole Polytechnique Cristina Costantini, Chieti-Pescara Paolo Dai Pra, Padova Frank den Hollander, Leiden Timon Idema, Delft Paul Jenkins, Warwick Thomas Kurtz, Madison-Wisconsin Martin Mohle, Tubingen Margriet Oomen, Leiden Matteo Ruggiero, Torino Emmanuel Schertzer, Paris Matteo Smerlak, Max Planck Institute Dario Spanò, Warwick Jan Swart, Prague More information available on the web site: http://www.crm.sns.it/event/443/ With best regards, The organizers Ellen Baake Cristian Giardinà Frank Redig

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DGA-Inria PhD position at Sophia-Anitipolis, France. Deadline : April 10th 2019. Contact : Josiane ZERUBIA, Inria-SAM
by Josiane Zerubia 14 Mar '19

14 Mar '19

Hello, Could you please post the following PhD position at INRIA in Sophia-Anitipolis (see pdf in attachment)?. the deadline for application is April 10th, 2019. Many thanks in advance, Josiane -- Josiane Zerubia INRIA Sophia-Antipolis Méditerranée BP 93, 2004 Route des Lucioles 06902 Sophia-Antipolis Cedex - France phone: +33 4 92 38 78 65, fax: +33 4 92 38 78 58 email: Josiane.Zerubia(a)inria.fr web: http://www-sop.inria.fr/members/Josiane.Zerubia/index-eng.html

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Conference reminder: "Equilibrium and non-equilibrium statistical mechanics” (8-10 April)
by Gianmarco Bet 13 Mar '19

13 Mar '19

Dear colleagues, We are pleased to announce that the conference "Equilibrium and non-equilibrium statistical mechanics” in honour of François Dunlop will take place at Villa Finaly (Florence) from 8 to 10 April 2019. The subjects of the talks will cover a large spectrum of topics, at the crossroad between statistical physics and probability. This variety reflects the scientific activity of François Dunlop. We especially encourage the participation of young researchers, who will benefit from interactions with the invited speakers and other senior researchers. In particular, we invite young researchers to present their work at the poster session. Invited speakers: Stefan Adams (Warwick), Alessandra Bianchi (Padova), Oriane Blondel (Lyon), Nicoletta Cancrini (Roma), Emilio Cirillo (Roma), Pierre Collet (Palaiseau), Loren Coquille (Grenoble), Ivan Corwin (New York), Anna De Masi (L Aquila), Béatrice de Tilière (Paris), Alessandra Faggionato (Roma),Hubert Lacoin (Rio de Janeiro), Roberto Livi (Firenze), Christian Maes (Leuven), Fabio Martinelli (Roma), Stefano Olla (Paris), Elisabetta Scoppola (Roma), Senya Shlosman (Marseille), Aernout van Enter (Groningen). More information as well as a registration form are available on the web site: https://indico.math.cnrs.fr/e/Florence2019 <https://indico.math.cnrs.fr/e/Florence2019> We hope very much for your participation. For logistic reasons, we encourage you to subscribe as soon as possible. Thank you. The organizers Gianmarco Bet Thierry Gobron Francesca R. Nardi Pierre Picco Ellen Saada

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Seminario di Pietro Rigo a Bologna
by Massimo Campanino 13 Mar '19

13 Mar '19

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