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Call for PhD positions at University of Oslo
by Giulia Di Nunno 15 Mar '18

15 Mar '18

Dear Colleagues, this is to draw your attention to the call for two PhD positions at the University of Oslo in stochastic analysis and its applications to finance, insurance, energy and risk. Specifically one position is in the scopes of to the project STORM “Stochastics for Time-Space Risk Models" http://www.mn.uio.no/math/english/research/projects/storm/index.html <http://www.mn.uio.no/math/english/research/projects/storm/index.html> Description and call: https://www.jobbnorge.no/en/available-jobs/job/149487/phd-research-fellowsh… <https://www.jobbnorge.no/en/available-jobs/job/149487/phd-research-fellowsh…> The other one is in Stochastic Analysis and its Applications Description and call: https://www.jobbnorge.no/en/available-jobs/job/149496/phd-research-fellowsh… <https://www.jobbnorge.no/en/available-jobs/job/149496/phd-research-fellowsh…> For both the deadline of application is April 15th, 2018. You can also find a number of other open positions that can be interesting for a wider audience: http://www.mn.uio.no/math/om/jobb/ <http://www.mn.uio.no/math/om/jobb/> Please help to advertise these calls and bring them to the attention of your colleagues and possible candidates. Thank you in advance! Best wishes Giulia --- Giulia di Nunno Professor Department of Mathematics University of Oslo http://folk.uio.no/giulian/ <http://folk.uio.no/giulian/>

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Bocconi summer school on "Graphical models" - deadline extension
by Antonio Lijoi 14 Mar '18

14 Mar '18

** DEADLINE EXTENSION FOR APPLICATIONS ** Bocconi Summer School in Advanced Statistics & Probability: “Graphical Models” http://asps.lakecomoschool.org July 9-20, 2018 La scadenza per inoltrare le domande di partecipazione alla Bocconi Summer School in Advanced Statistics & Probability su "Graphical Models" e' stata posticipata al ** 28 marzo 2018 ** La Summer School si svolgera’ presso la Lake Como School of Advanced Studies, e le lezioni saranno tenute da: Steffen Lauritzen (University of Copenhagen) Robin Evans (University of Oxford) Si ricorda che il Bocconi Institute of Data Science (BIDSA) conferira’ due BIDSA Awards a candidati meritevoli, che copriranno le registration fees. Cogliamo anche l’occasione per annunciare nuove iniziative all’interno della scuola. In particolare, quest'anno avremo il piacere di ospitare due seminari: Julia Mortera (Universita' di Rome Tre): "Graphical Models in Forensic Science" Fabio Corradi (Universita' di Firenze): "On the Probability of Causation for Querying the Cause of an Effect, and its Fundamental Conditions" Informazioni piu' dettagliate saranno rese disponibili quanto prima sul sito della Summer School. Inoltre, sono anche previsti seminari informali in cui i partecipanti, che ne facciano preventivamente richiesta, possono presentare la propria ricerca su temi attinenti la scuola. Ulteriori dettagli sono disponibili su http://asps.lakecomoschool.org o possono essere richiesti a bss.statistics(a)unibocconi.it

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[short conference with courses]: NETWORKING BIOSTATISTICS
by Paola Rancoita 14 Mar '18

14 Mar '18

*NETWORKING BIOSTATISTICS* Networking Biostatistics is a short international COSTNET conference organized by Italian and Dutch International Biometric Society (IBS) regions to promote networks among IBS regions, networks among biostatisticians, early career researchers and PhD students, and collaboration among biomedical researchers and biostatisticians in general, looking for network procedures and statistical methods for a real contribution in modelling modern biomedical data. The conference includes five parts: 1. *Invited speaker sessions* on advanced methods for biomedical data. 2. *Short poster presentations*: poster contributions will be introduced with a 5 minutes flash presentation. 3. *Posters session with awards*. 4. *Round table* with spontaneous contributions on “Networking modern biomedical researchers and biostatisticians: from big Data to Big information” 5. *Two short courses on network modelling*: - “Co-data learning: the group-regularized ridge and elastic net” (Mark van de Wiel) - “Introduction to graphical models and applications to genomics” (Paola Vicard/Francesco Stingo) Confirmed invited speakers are: Bianca Papi, Rotterdam (NL) Francesco Stingo, Università degli Studi di Firenze (IT) Luca Tardella, Sapienza Università di Roma (IT) Maria Grazia Valsecchi, Università degli Studi di Milano-Bicocca (IT) Mark van de Wiel, VU University Medical Center (NL) Veronica Vinciotti, Brunel University London (UK) Ernst Wit, University of Groeningen (NL) Abstracts for poster presentations can be submitted by sending an email to netbiostat(a)ibs-italy.org by *March**18th, 2018*. The Conference will be held at Vita-Salute San Raffaele University (Milan) in *April 12-13th, 2018*. All details about the event can be found at the website: http://ibs-italy.org/?page_id=703&lang=en

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avviso seminario Morlais
by Marco Alessandro Fuhrman 13 Mar '18

13 Mar '18

La professoressa Marie-Amélie Morlais del Laboratoire Manceau de Mathématiques (LMM), Institut du Risque et de l’Assurance IRA, Le Mans Université, terrà un seminario dal titolo Max-min and min-max systems of variational inequalities: connection with multidimensional BSDEs with bilateral obstacles and switching game il giorno lunedì 19 marzo 2018 alle ore 14:00 in sala rappresentanza del Dipartimento di Matematica dell'Università di Milano (via Saldini 50, 20133 Milano). Tutti gli interessati sono cordialmente invitati. La prof.ssa Morlais resterà in visita fino a giovedì 22 marzo. Cordiali saluti, Marco Fuhrman Abstract. This talk is based on two joint works (published in 2015 and 2017) with Prof. S. Hamadène (LMM Le Mans), Prof. B. Djehiche (KTH Stockholm Sweden) and X. Zhao (former PhD student of S. Hamadène) . These two papers focus on the connection between systems of interconnected PDEs, related multidimensional BSDEs and a general switching game (second paper). As an introduction, I recall the (rich) literature which links the optimal switching problem with explicit multidimensional BSDEs and related systems of variational inequalities. The relationship between those objects shall be given as well. I will finally present the so called min-max and max-min systems of PDEs whose viscosity solutions are heuristically identified (via the verification result) as the lower and upper value of the switching game. In the second part (first paper), I will explain the main steps allowing to construct solutions to both the min max and max min systems of variational inequalities. I stress the fact that, due to the non-linearities of those systems and the presence of interconnected obstacles, those solutions are a priori irregular: thus, to construct a solution, the use of viscosity theory is useful. In a third part (main result of the second paper) the connection with a multidimensional BSDE with bilateral obstacles is established (existence and uniqueness for the BSDE solution are then established in a Markovian framework of randomness). Finally and as an application, we provide an explicit relationship with the switching game: this consists in providing (sufficient) conditions ensuring the existence of both the switching game value and an optimal mixed strategy (as well as the relationship with the BSDE solution). Some open questions remaining unsolved shall be presented as a conclusion.

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De Finetti Seminar: SCHACHERMAYER
by Marco Maggis 12 Mar '18

12 Mar '18

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture *The Amazing Power of Dimensional Analysis in Finance: Market Impact and the Intraday Trading Invariance Hypothesis* Walter Schachermayer University of Vienna Abstract: A basic problem when trading in financial markets is to analyze the prize movement caused by placing an order. Clearly we expect- ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called the market impact. Following the recent work of A. Kyle and A. Obizhaeva we apply dimensional analysis - a line of arguments well known in classical physics to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order. We also analyze the dependence of the trading activity on a stock, i.e. number of trades per unit of time, in dependence of some suitable explanatory variables. Dimensional analysis leads to a 2/3 law: the number of trades is proportional to the power 2/3 of the exchanged risk. The mathematical tools of this analysis reside on elementary linear algebra. Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi. LOCATION: The seminar will be held on Wednesday, March 14, at 18.00 at Sala di Rappresentanza, Mathematics Department, Via Saldini 50, Milano. Scientific Committee: Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano)

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seminario Marco Bianchetti in Bicocca
by fabio bellini 09 Mar '18

09 Mar '18

Il giorno mercoledì 21 marzo alle ore 14.30 presso la Aula Seminari 4026 del DISMEQ al IV piano dell'edificio U7, il dott. Marco Bianchetti di Intesa Sanpaolo terrà un seminario su Learning the Optimal Risk - Advanced Risk-Based Portfolio Management with Global Optimization and Machine Learning Algorithms Abstract We consider the portfolio optimization problem from a trading and risk management point of view. Given a generic initial portfolio of financial instruments (e.g. stocks, derivatives and securities) with a given risk profile and subject to risk management limits, we aim to find optimal trading strategies, based on eligible tradable and liquid market instruments (i.e. quoted stocks and plain vanilla derivatives and securities), able to globally optimize the portfolio risk figures while respecting the required risk limits. We make use of an evolutionary approach based on genetic algorithms, where a population of candidate trading strategies is evolved using crossover, mutation and elitism, until optimal solutions are found as the best trading strategies that both minimize the selected risk measures and respect the risk limits. We apply our idea to different test cases based on real portfolios including linear and non-linear real financial instruments. We show that different optimal trading strategies may exist, depending on the combination of risk-based objective functions and limits. Our approach is general with respect to initial portfolios, risk profiles, measures and limits, eligible optimization instruments, trading strategies, and optimization algorithms. It can be applied, in principle, to real portfolios of financial institutions, provided that, in practice, a single operational framework and sufficient computational resources are available. Strong financial insight is needed both to select the optimization parameters, i.e. the eligible trading strategies, and to understand the financial soundness of the solutions proposed by the optimization metaheuristic (joint work with Marco Scaringi). Tutti gli interessati sono invitati a partecipare. -- Prof. Fabio Bellini Department of Statistics and Quantitative Methods University of Milano-Bicocca Via Bicocca degli Arcimboldi 8, 20126 Milano 0039-2-64483119 http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it

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correzione
by Faggionato, Alessandra 09 Mar '18

09 Mar '18

scusate correggo un precedente annuncio di seminario. l'affiliazione dello speaker, Federico Camia, e' NYU Abu Dhabi (non Dubai) grazie Alessandra ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Seminario di Probabilita' a Roma 1
by Faggionato, Alessandra 07 Mar '18

07 Mar '18

Lunedi' 12 Marzo, Ore 16, Aula di Consiglio. Dipartimento di Matematica, La Sapienza. Speaker: Federico Camia (New York - Dubai University) Title: Limit Theorems and Random Fractal Curves in Statistical Mechanics Abstract: Rigorous statistical mechanics deals with stochastic systems that have a large number of components and for which geometry often plays an important role. The main goal is to understand their average behavior and deviations from that. Statistical mechanics has many applications to physics and other fields, but in this talk I will only focus on some aspects of its mathematical theory which combine discrete probability, stochastic processes and complex analysis. For concreteness, I will discuss two specific (two-dimensional) models, percolation and the Ising model, both with a long history. After introducing the two models, I will present an approach to the study of two-dimensional systems that leads to a special family of random fractal curves and that has produced, in the last twenty years, deep results and major breakthroughs. -- ************************************************* Prof. Alessandra Faggionato http://www1.mat.uniroma1.it/~faggionato/ Department of Mathematics University "La Sapienza" Piazzale Aldo Moro, 5 00185 - Rome Office 5, Phone (0039) 06 49913252 *************************************************

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Colloquium di Alexandre Stauffer a Roma Tre il 21-03-2018
by Pietro Caputo 07 Mar '18

07 Mar '18

Colloquium di Matematica a Roma Tre: Alexandre Stauffer (University of Bath, UK) Titolo: Random growth processes: dendritic formation and competition Mercoledi' 21 Marzo 2018 ORE 16:00 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Aula F, primo piano, edificio Aule - Largo San Leonardo Murialdo,1 Abstract During the 80's, several growth processes were introduced in the physics literature with the goal of providing a simple and tractable model producing the phenomenon of dendritic growth. Such phenomenon is observed in several different contexts in nature, including the growth of bacteria under starvation, crystal dendrite, dielectric breakdown, and electrodeposition, and is characterized by the formation of very ramified, fractal-like structures. Almost four decades later, we still encounter tremendous mathematical challenges in studying the geometric and dynamic properties of such processes, and in understanding the driving mechanism lying behind the formation of fractal-like structures. In this talk, I will survey the developments in this field, giving emphasis to recent results in the classical model of multi-particle diffusion limited aggregation (MDLA). I will also introduce and discuss a new growth process, which can be viewed as a model for the growth of two species that compete for space, and which plays a key role in our current understanding of MDLA. This is based on joint works with Elisabetta Candellero and Vladas Sidoravicius.

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Seminario di Federico Camia a Roma Tre il 13-03-2018
by Pietro Caputo 05 Mar '18

05 Mar '18

SEMINARIO di Probabilita' a Roma Tre Federico Camia (New York University, Abu Dhabi) Titolo: Scaling Limits for the Planar Ising Model Martedi' 13 Marzo 2018 ORE 15:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre Largo San Leonardo Murialdo,1 - Pal.C - Aula 311 Abstract The continuum scaling limit is a procedure to study the large-scale behavior of lattice models of statistical mechanics. In the scaling limit, the lattice spacing is sent to zero while focus is kept on some macroscopic object or collection of objects within the model. In the last twenty years there has been tremendous progress in the study of the continuum scaling limits of some classical models, such as two-dimensional percolation and the planar Ising model, which are of interest because they undergo a phase transition. At or near the phase transition point the scaling limit is supposed to give rise to a Euclidean field theory. In this talk I will briefly introduce the planar Ising model and then describe some recent results concerning the scaling limit of the Ising magnetization and the truncated two-point function. The talk is based on joint work with Christoph Garban and Chuck Newman, Rene Conijn and Demeter Kiss, and Jianping Jiang and Chuck Newman.

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