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Seminar by Giacomo Livan, UCL April 19, 2018 11:00 AM @Bologna, Viale Filopanti 5 Aula Studio
by Giacomo Bormetti 05 Apr '18

05 Apr '18

Dear all, Thursday April 19, 2018 at 11:00 AM in Aula Studio (ex Sala Biblioteca) 1st floor, Viale Filopanti, 5 Bologna. Giacomo Livan University College London will present Detecting and measuring bias in online platforms: A Network Science approach The last few years have witnessed the rise of the Sharing Economy, a collection of decentralized online platforms whose users exchange knowledge, goods, and resources on a peer-to-peer basis. Sharing Economy platforms are often praised for their meritocratic approach, where all participants, regardless of their gender or ethnicity, receive the same opportunities to emerge through digital peer review mechanisms. Yet, they have recently come under fire due to reports of discriminatory behaviours and manipulations of their reputation systems. This raises an important question: are Sharing Economy platforms fair marketplaces, where all participants operate on a level playing field, or are they large-scale online aggregators of offline human biases? In this talk I will address this question on a number of examples, showing how online platforms can be represented in terms of networks, and how this allows to detect and measure some of the biases that might affect their users' behaviour. In particular, I will present clear evidence of avoidance between users from different ethnic backgrounds on Airbnb, and I will show how user reputation scores are distorted by the widespread practice of reciprocating highly positive ratings in a variety of platforms. I will conclude by discussing how these findings can be used to provide platform design recommendations, aimed at exposing and possibly reducing the biases we detect, in support of a fairer and more inclusive growth of Sharing Economy platforms. ? Feel free to forward this message to anyone who is potentially interested in. Best, Giacomo Giacomo Bormetti Professore associato Metodi matematici per l'economia e le scienze attuariali e finanziarie Dipartimento di Matematica, Università di Bologna

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Roma Tre 10-04-2018: Hubert Lacoin, Wetting and Layering for Solid-and-Solid
by Pietro Caputo 30 Mar '18

30 Mar '18

SEMINARIO Probabilita' Hubert Lacoin (IMPA, Rio de Janeiro, Brasil) Titolo: Wetting and Layering for Solid-and-Solid Martedi' 10 Aprile 2018 ORE 14:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - AULA 311 Abstract Solid-on-Solid (SOS) was introduced in the early 50s as a simplified model for lattice interfaces. It is believed to display the same low temperature behavior as three-dimensiona systems with phase coexistence while being considerably easier to analyze. The objective of this talk is to present the result we recently obtained for SOS interacting with a solid substrate, which is the problem associated with the following energy functional $$ V(phi)=eta sum_{xsim y}|phi(x)-phi(y)|-sum_{x}left(h{f 1}_{{phi(x)=0}}-infty{f 1}_{{phi(x)<0}} ight), $$ for $(phi(x))_{xin mathbb Z^2}$ (the graph of $phi$ representing the interface). We prove that for eta sufficiently large, there exists a decreasing sequence $(h^*_n(eta))_{nge 0}$, satisfying $lim_{n oinfty}h^*_n(eta)=h_w(eta)$, and such that: (A) The free energy associated with the system is infinitely differentiable on $mathbb R setminus left({h^*_n}_{nge 1}cup h_w( eta) ight)$, and not differentiable on ${h^*_n}_{nge 1}$. (B) For each nge 0 within the interval $(h^*_{n+1},h^*_n)$ (with the convention $h^*_0=infty$), there exists a unique translation invariant Gibbs state which is localized around height $n$, while at a point of non-differentiability, at least two ergodic Gibbs states coexist. The respective typical heights of these two Gibbs states are $n-1$ and $n$. The value $h^*_n$ corresponds thus to a first order layering transition from level $n$ to level $n-1$.

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[WORKSHOP] Stochastic Analysis, Geometry and Statistics at Imperial College London, June 21-22
by Brigo, Damiano 27 Mar '18

27 Mar '18

Workshop on Stochastic Analysis, Geometry and Statistics at Imperial College London, June 21-22, 2018. http://www.imperial.ac.uk/sagest-2018/ Invited speakers: Michael Betancourt (Symplectomorphic, LLC) David Elworthy (Warwick) Peter Friz (TU Berlin) Mark Girolami (Alan Turing Institute) Karen Haberman (Bonn) Martin Hairer (Imperial College London) Yves Le Jan (Université Paris-Sud) Xue-Mei Li (Imperial College London) Terry Lyons (Oxford) Nigel Newton (Essex) James Norris (Cambridge) Grigorios Pavliotis (Imperial College London) Giovanni Pistone (Turin) Amanda Turner (Lancaster) ORGANISING COMMITTEE John Armstrong (KCL) Damiano Brigo Thomas Cass CONFERENCE SECRETARIAT Claudio Bellani Emilio Rossi Ferrucci FUNDING BODIES CFM - Imperial Institute of Quantitative Finance Department of Mathematics, Imperial College London Department of Mathematics, King's College London London Mathematical Society CONTACTS AND REGISTRATION http://www.imperial.ac.uk/sagest-2018/contacts-and-registration/ ------ Prof. Damiano Brigo Chair at the Department of Mathematics Mathematical Finance and Stochastic Analysis Groups Imperial College London www3.imperial.ac.uk/people/damiano.brigo

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HFFE2018 CALL FOR PAPERS @ Scuola Normale Superiore
by Daniele Tantari 26 Mar '18

26 Mar '18

Dear colleagues, we are pleased to announce the workshop *Frontiers in High-Frequency Financial Econometrics * that will be held at Scuola Normale Superiore in Pisa (Italy) on 28-29 September 2018. The aim of the Workshop is to bring together leading experts and young researchers in the field of financial econometrics and mathematical finance with application to high-frequency finance. The main purpose is to listen to new ideas, and discuss about future perspective in the field. The organizers encourage submissions of papers on any topic within the overall theme of the conference with a special emphasis on the following areas: realized (co)variance estimation and forecasting, high-frequency finance, liquidity and price discovery, market microstructure analysis. The scientific committee of the workshop consists of: Giacomo Bormetti (University of Bologna), Fulvio Corsi (University of Pisa), Fabrizio Lillo (University of Bologna), Maria Elvira Mancino (University of Florence), Stefano Marmi (Scuola Normale Superiore), Davide Pirino (University of Rome "Tor Vergata"), Roberto Renò (University of Verona) *CALL FOR PAPERS* *Both papers and extended abstracts (max 4 pages) are accepted for presentation in a regular session or a poster session.* The final program of the workshop will include both submitted and invited papers. Our keynote speakers are: - *Yacine Ait-Sahalia *(Princeton University) - *Nikolaus Hautsch* (University of Vienna) - *André Lucas *(VU University Amsterdam) - *Mathieu Rosenbaum *(Ecole Polytechnique) For more information on submission and registration, see the attached flyer and the conference website https://www.hffe2018sns.com/ or contact hffe.workshop(a)gmail.com *Important dates:* Submission of a complete paper or extended abstract: May 31th, 2018 Decision: June 30th, 2018 Registration deadline: August 15th, 2018 On behalf of the organizing committee, Best Regards, Daniele Tantari

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Opening of a Post Doc position in Luxembourg
by Giovanni Peccati 26 Mar '18

26 Mar '18

Cari Colleghi, ho appena aperto un bando per un postdoc di due anni e mezzo (30 mesi) nel mio gruppo in Lussemburgo. La scadenza è il 30 aprile 2018, ed il postdoc dovrebbe iniziare tra il primo giugno 2018 (al più presto) e il primo dicembre 2018 (al più tardi). Qui sotto, trovate l'annuncio in inglese, con le necessarie istruzioni. Cordiali saluti, Giovanni Peccati --------------------------------- Dear Colleagues, I am happy to announce the opening of a new post-doc position in my group at *Luxembourg University, with specific focus on stochastic analysis and stochastic geometry. * The length is *2 years and a half* (30 months), starting anytime between *June 1st, 2018,* and *December 1st, 2018*. The deadline for applications is *April 30th, 2018.* The exact details of the position can be found here: http://emea3.mrted.ly/1ryuy The webpage also contains a link for online applications. Please, do not hesitate to share this announcement with your colleagues - in case they might be interested. With my best regards, Giovanni Peccati --------------------------------------- -- Prof. Giovanni Peccati ------------------------------------------ UR en Mathématiques Faculté des Sciences, de la Technologie et de la Communication ------------------------------------------ Université du Luxembourg ----------------------------------------- homepage: http://sites.google.com/site/giovannipeccati/Home E-mail: giovanni.peccati(a)gmail.com

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MSP 2018 - LAST CALL
by gianluca cassese 26 Mar '18

26 Mar '18

*LAST CALL FOR PAPERS* *The Mathematics of Subjective Probability - MSP 2018* The MSP 2018 Workshop will be held in September 3-5, at the University of Milan Bicocca. https://sites.google.com/view/MSP-2018 The workshop will host the following keynote speakers: - *Ehud Kalai*: *"Bayesian Learning with Economic Applications";* - *Rajeeva Karandikar*: *"Limit Theorems on Finitely Additive Probability Spaces"* ; - *Massimo Marinacci*: "*Uncertainty and All That*", - *Eugenio Regazzini*: "*Possible Effects of de Finetti's Coherence Principle on Statistical Reasoning*" - *William D. Sudderth*: "*Finite Additivity in Dubins-Savage Gambling and Stochastic Games *". MSP 2018 is open to contributions from all fields in which the subjective approach to probability is relevant, from Statistics to Economics and Game Theory. The list of potential topics includes (*but is not limited to*): - Ambiguity; Bayesian statistics; Coherence; Conditioning; Decision models under risk and uncertainty; Equivalent martingale measures; Finitely additive probabilities; Gambling; Game Theory; Limit theorems; Mass transportation; Merging of opinions; Multiple priors; Partial knowledge. The Springer Journal "*Decisions in Economics and Finance*" plans to devote a special issue to the workshop *Important dates* - *Paper submission -- April 31th* - *Notification of acceptance -- May 31st* - *Conference subscription -- June 30th* The organizing committee, --------------------------- Gianluca Cassese Pietro Rigo Barbara Vantaggi --------------------------

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[COURSE] RobustStatistics@MilanoBicocca - SAVE THE DATE
by Francesca Greselin 23 Mar '18

23 Mar '18

ROBUST STATISTICS: FOUNDATIONS AND RECENT DEVELOPMENTS *April 9-13, 2018University of Milano-BicoccaMilan, Italy* Lecturers: Antony Atkinson <https://www.researchgate.net/profile/Anthony_Atkinson3>, London School of Economics, UK Marco Riani <https://www.researchgate.net/profile/Marco_Riani>, University of Parma, IT Agustin Mayo-Iscar <https://www.researchgate.net/profile/Agustin_Mayo>, University of Valladolid, ES RobustStatistics@MilanoBicocca is focused on giving a perspective on the modern challenges of robust statistics, combining novel statistical techniques with challenging problems in different application fields. *Monday April 9* Introduction to robust statistics, *Antony Atkinson *(9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani *(2.30 - 5.30 p.m.) *Tuesday April 10* Robust regression analysis and transformations, *Antony Atkinson* (9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani* (2.30 - 5.30 p.m.) *Wednesday April 11* Robust multivariate analysis and transformations, *Antony Atkinson* (9 a.m.-1 p.m.) Applications in Matlab, *Marco Riani* (2.30 - 5.30 p.m.) *Thursday **April 12* Introduction to robust clustering, *Agustin Mayo Iscar *(9 a.m.-1 p.m.) Applications in R and Matlab, *Agustin Mayo Iscar, Marco Riani *(2.30 - 5.30 p.m.) *Friday April 13 * Advances in robust clustering, *Agustin Mayo Iscar *(9 a.m.-1 p.m.) Applications in R and Matlab, *Agustin Mayo Iscar, Marco Riani *(2.30 - 5.30 p.m.) *For additional information please visit the course <http://www.cladag2017.unimib.it/robust-statistics-foundations-and-recent-de…> website <http://www.cladag2017.unimib.it/robust-statistics-foundations-and-recent-de…>.* *This course is supported by the Milano-Bicocca Department of STATISTICS and QUANTITATIVE METHODS <http://www.dismeq.unimib.it/en/>, within:* *The course is open to all people interested in the topic,we just ask to send an email to francesca.greselin(a)unimib.it <francesca.greselin(a)unimib.it> for organizational matters.*

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Seminars at Scuola Normale Superiore, 27-28 March 2018, Elisa Alos
by Giulia 23 Mar '18

23 Mar '18

Dear all, Prof. Elisa Alos (Universitat Pompeu Fabra) will hold the two following Seminars. =========================================================================================================================================================================================== On Tuesday, 27 March 2018 — at 11:00 — Room: Aula Fermi: 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. =========================================================================================================================================================================================== On Wednesday, 28 March 2018 — at 14:00 — Room: Aula Bianchi Scienze 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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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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