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postdoc position
by Marco Scarsini 30 Aug '22

30 Aug '22

Postdoc position (two years) at Luiss University on the topic Learning in strategic and stochastic environments This project lies at the interface of mathematical game theory, algorithmic game theory, machine learning, optimization, and high-dimensional probability. Despite its theoretical nature, it will be motivated by applications in operations management, supply chain, algorithmic mechanism design, online matching markets, computational social choice, queueing, networks, etc. Deadline: September 30, 2022 - 2 p.m. - Central European Summer Time (CEST), UTC +2 Details available at https://economiaefinanza.luiss.it/en/research/post-doc-fellowship/research-… ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza Luiss University Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Avviso di seminario - Elisa Alòs
by Lucia Caramellino 29 Aug '22

29 Aug '22

AVVISO DI SEMINARIO Venerdì 2 settembre 2022, alle ore 14:00, nell'aula Dal Passo del Dipartimento di Matematica dell'Università di Roma Tor Vergata si terrà il seguente seminario (in presenza e online): On the skew and curvature of implied and local volatilities Elisa Alòs, Universitat Pompeu Fabra (Barcelona) Abstract. In this talk, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent $\frac{1}{H+3/2}$ rule (where $H$ denotes the Hurst parameter of the volatility process) for rough volatilitites (see Bourgey, De Marco, Friz, and Pigato (2022)), that states that the short-time skew slope of the at-the-money implied volatility is $\frac{1}{H+3/2}$ the corresponding slope for local volatilities. Moreover, we see that the at-the-money short-end curvature of the implied volatility can be written in terms of the short-end skew and curvature of the local volatility and viceversa, and that this relationship depends on $H$. MSTeams link: https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFw… <https://teams.microsoft.com/l/meetup-join/19:rfsL73KX-fw86y1YnXq2nk5VnZFwPU…>

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Avviso di seminario
by Barbara Martinucci 29 Aug '22

29 Aug '22

UNIVERSITA' DI SALERNO DIPARTIMENTO DI MATEMATICA AVVISO DI SEMINARIO Giovedì 1 settembre 2022, alle ore 12:00, nella sala del consiglio del Dipartimento di Matematica, edificio F2, si terrà il seguente seminario in presenza e online (su Teams): *Analyzing the loss of protection in an SVIS stochastic model with infection reintroduction, when vaccines are partially effective* Prof.ssa *Maria Jesus Lopez-Herrero* Department of Statistics and Data Science, Faculty of Statistical Studies, Complutense University of Madrid, Madrid, Spain ABSTRACT This talk deals with a stochastic Susceptible-Infected-Vaccinated-Susceptible (*SIVS*) model with infection reintroduction, where the propagation of a contagious disease was modeled in terms of a continuous time Markov chain. A communicable disease spreads in a homogeneous moderately-sized community of constant size in which individuals are identical in terms of social mixing and disease contact or recovery characteristics. Health policies depend on a vaccine coverage that guarantees herd immunity levels in the population. Hence, for community protection, a certain number of individuals were vaccinated against the contagious disease before the outbreak starts. Vaccine failures occur when an organism develops a disease despite of being vaccinated against it. After vaccination, a proportion of healthy individuals unsuccessfully tries to increase antibody levels and, consequently these individuals are not immune to the vaccine preventable disease. When an infectious process is in progress, the initial vaccine coverage drops down and herd immunity will be lost. Our objective is to introduce a threshold for vaccination level and study random characteristics depending on this threshold and also on the vaccination eligible group that could advise health authorities when to launch a new vaccination program to recover the initial immunity level. link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_ZWUxYmVmYmQtOWVmMC00… Gli interessati sono cordialmente invitati a partecipare.

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Workshop in Milan
by Giuseppina Guatteri 29 Aug '22

29 Aug '22

Con piacere annunciamo il "Two-day workshop on deterministic and stochastic control" che si terrà presso il campus Leonardo nelle giornate 6/7 settembre 2022. Alla seguente pagina web potete trovare le informazioni che via via verranno aggiornate, oltre che il form di Registrazione (scadenza 20 agosto). Sito web: https://sites.google.com/view/controlpolimi22 Un caro saluto, Giulia Cavagnari, Fulvia Confortola, Giuseppina Guatteri ed Elsa Maria Marchini It is our pleasure to announce the "Two-day workshop on deterministic and stochastic control" that will be held at campus Leonardo on 6/7 September 2022. At the following web-page you can find all the information which will be kept updated, along with the Registration form (deadline 20 August). Web-site: https://sites.google.com/view/controlpolimi22 Best regards, Giulia Cavagnari, Fulvia Confortola, Giuseppina Guatteri ed Elsa Maria Marchini Giuseppina Guatteri Dipartimento di Matematica Politecnico di Milano Via Bonardi, 9 20133 Milano tel.: +390223994556 fax.:+390223994513 email: giuseppina.guatteri(a)polimi.it "Happiness can be found even in the darkest of times, if one only remembers to turn on the light" A. Dumbledore

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LTI@UniTO Call For Fellowships - Deadline September 10
by Luca Regis 27 Aug '22

27 Aug '22

Dear**Colleagues, I am happy to share this Call for Visiting Fellowships by LTI@UniTO, with deadline September 10th. For further information, please visit: https://www.carloalberto.org/jobs-fellowships/ltiunito-research-fellowships/ I hope you can help me spread the information widely. Best regards, Luca Regis -- Luca Regis Associate Professor ESOMAS Department, University of Torino Collegio Carlo Alberto sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti *-------------------------------------------------------------------------------------------------------------------------------------- * *Call For Visiting Fellowships LTI@UniTO Research Fellowships* Long-Term Investors@UniTo (LTI@UniTO, https://www.carloalberto.org/lti) is pleased to announce the availability of up to 5 Research Fellowships for the year 2023. LTI@UniTO is a think tank established as a joint initiative of the Università di Torino and of the major Italian market players in long term financing. Through the Fellowship program, LTI@UniTO aims to foster research in long-term investing and to assess its features, perspectives, contribution to growth and stability. The think tank supports independent research and informs the debate between long-term investors and policymakers. Fellowships are awarded to either junior or senior scholars to spend a two month visiting period at Collegio Carlo Alberto (Torino, Italy) working on a research program relevant to long-term investors. The fellowship amount is 16000 euros for senior scholars and 6000 euros for junior scholars. APPLICATION PROCEDURE: Candidates must send their application (CV + research program, approximately 2 pages) to lti(a)carloalberto.org before midnight, ECT, September 10th, 2022. Please enter “LTI CALL FOR FELLOWS” in the email subject. For further information, please contact lti(a)carloalberto.org SENIOR FELLOWSHIPS: - Applicants must have a publication history in top Finance/Econ academic journals. - Receivers of the fellowships will conduct their own research for a period of two months at UNITO/Collegio Carlo Alberto (CCA). - The research program should be related to one of the themes in the Strategic List below and must be included in the Application. A final working paper is required, a seminar at UNITO/CCA is compulsory. Another seminar/workshop, targeted to our sponsors, may be requested. - Total remuneration (for the entire period – gross and including all expenses): € 16000. - There are up to three positions available. - A joint Junior Fellowship can be assigned, if required by the Senior Applicant in his proposal (name of the proposed junior applicant can be included too). - Research Assistantship, if needed, may be requested once the fellowship is awarded. JUNIOR FELLOWSHIPS: - Candidates are Ph.D. Students or young scholars with a PhD in Finance, Economics or a related field. - Receivers of the fellowships will conduct research under the supervision of a Senior Fellow or a UNITO/CCA’s Finance faculty for a period of two months at CCA/UNITO. - The research program should be related to one of the themes in the Strategic List below and must be included in the Application. A final working paper is required, a seminar at UNITO/CCA is compulsory. - Total remuneration (for the entire period –gross and including all expenses): € 6000. - There are up to two positions available. STRATEGIC LIST: - Interaction between financial markets and the real economy: start-up funding, impact investments, infrastructure, SME financing; - Role of LTIs in traditional financial markets (systemic risk, stability, pro or countercyclicality, liquidity, impact on prices), as well as on private markets; risk and return of private markets (private equity, private debt, private placements); - Asset Management or ALM of LTIs, including past experiences, models, benchmarking, constraints on expenditures and liabilities; - Innovative Asset Classes and LTIs; - Mandates, delegation and effectiveness of monitoring (short term accountability versus long-term strategies); optimal contracts in delegated portfolio management: benchmarking and bonus/target incentive schemes; - The collective costs of short-horizon investment and their control (regulatory constraints); - Fintech and LTIs: opportunities and risks; - Benefits and costs of financial regulation and macro prudential policies that matter to LTIs; - The impact of crises on LTIs and the role of LTIs in market crashes and recovery; - Real estate and real estate funds: risk, return and their role in the ALM of LTIs; - LTIs, sustainable finance and Green Financing; the role of LTIs in the transition toward a greener economy; greenwashing and challenges of implementing ESG strategies. - Responsible investing: screening or engagement; exit or voice; - Digitalisation, artificial intelligence, new technologies and their impact on LTIs’ business and financial practices; - Emerging risks: health risks, cyber risks, catastrophic risks, business interruption and their impact on LTIs.

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PhD course in Padova by C. Cuchiero and S. Svaluto-Ferro (signatures)!
by Giorgia Callegaro 26 Aug '22

26 Aug '22

Dear all, It is a pleasure to invite you to follow, in presence, in Torre Archimede (Department of Mathematics, Padova) or online, via Zoom, the PhD course lectures given by Profs Christa Cuchiero and Sara Svaluto-Ferro in September 2022. They will give a PhD course entitled : "*Signatures in finance: life, death, and miracles*", starting the 5th September 2022. Each lecture will last 90 minutes. More details can be found here: *https://www.math.unipd.it/~dottmath/corsi2022/CuchieroSvaluto-fuori%20catalogo.pdf <https://www.math.unipd.it/~dottmath/corsi2022/CuchieroSvaluto-fuori%20catal…>* and here: *https://dottorato.math.unipd.it/calendar/202209 <https://dottorato.math.unipd.it/calendar/202209>* Please send me an email in case you're interested in receiving the Zoom link. Lectures will not be recorded. Have a nice weekend, Giorgia Callegaro -- Giorgia Callegaro Associate Professor Department of Mathematics - University of Padova Via Trieste 63 , I-35121 Padova - ITALY Tel: +39-0498271481 Fax: +39-0498271499 E-Mail: gcallega(a)math.unipd.it <https://webmail.math.unipd.it/horde3/imp/message.php?mailbox=Sent&index=598#> Personal web-page: https://sites.google.com/site/giogiocallegaro/Home

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August 22: Deadline for Financial support for "Random processes in the brain: From experimental data to Math and back"
by Massimiliano Tamborrino 20 Aug '22

20 Aug '22

Dear all, I hope you are having a great summer. I am writing you to share some information (including an incoming deadline on August 22 for financial support!) with respect to the 6th Weeks Thematic Program "Random processes in the brain: From experimental data to Math and back<https://rpbihp.numec.prp.usp.br/index.php/Pathways_to_the_2023_IHP_thematic…>" which will be held at the Institut Henri Poincaré (IHP) Paris from the 27th February to the 7th April 2023. The program will include two workshops: * March 6-10, 2023: Structural learning by the brain (IHP, Paris)<https://indico.math.cnrs.fr/event/7794/> * March 27-31, 2023: Networks of spiking neurons (IHP, Paris)<https://indico.math.cnrs.fr/event/7793/> There will also be two Doctoral series of 5 lectures in the weeks preceeding the two workshops 1. Stochastic modeling of structural learning by the brain using electrophysiological and behavioral data. Five lessons course, February 27-March 3 2. 3. Systems of spiking neurons described by point processes with memory of variable length. Five lessons course, March 20-24 There will also be several Topical Days during the thematic program, but the precise schedule has not yet been fixed. In the meantime, we are organising a seminar series leading to the thematic program. You could find more information about the past and incoming seminars here https://rpbihp.numec.prp.usp.br/index.php/Pathways_to_the_2023_IHP_thematic… It is important to register in the IHP website before August 22 if you need financial support to attend the thematic program https://indico.math.cnrs.fr/event/7792/ Funding could be requested for attending the whole 6 weeks programmes as well as part of it (e.g. one of the weeks for the Workshops). Please feel free to get in touch if you have any additional questions. Best wishes, Massimiliano ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino

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Ph.D. position - Bielefeld University
by Nendel, Max 19 Aug '22

19 Aug '22

Bielefeld University's Collaborative Research Center (CRC) 1283 “Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications” has an open Ph.D. position in its project C7. The research in the project C7 focuses on the mathematical analysis of model uncertainty in economics and finance. A particular interest is given to the development of new solution concepts for classes of Hamilton-Jacobi-Bellman equations appearing in the context of optimal decision problems under uncertainty. On the other hand, the project aims to investigate connections to statistics and numerics as well as applications in actuarial science. The successful candidate is expected to have a scientific university degree in Mathematics, Mathematical Economics, Mathematical Finance or a related field and to have good knowledge in at least one of the following topics: (stochastic) optimal control, functional analysis and partial differential equations, topological aspects of measure theory, stochastic analysis. Starting date: at earliest convenience Application deadline: 15.09.2022 Salary level: part time 75% in the remuneration level 13 TV-L Contract: fixed-term limited until 30.06.2022 with possibilities for an extension thereafter Contact: Asst. Prof. Dr. Max Nendel, max.nendel(a)uni-bielefeld.de<mailto:max.nendel@uni-bielefeld.de> For further information see: https://uni-bielefeld.hr4you.org/job/view/1728/research-position?page_lang=…

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Fwd: Postdoc in Manchester
by Faggionato, Alessandra 17 Aug '22

17 Aug '22

Buongiorno, ricevo e con piacere inoltro. Saluti Alessandra ---------- Forwarded message --------- From: Sebastian Andres <sebastian.andres(a)manchester.ac.uk> Date: Wed, 17 Aug 2022 at 10:58 Subject: Postdoc in Manchester To: Faggionato, Alessandra <faggiona(a)mat.uniroma1.it> *Research Associate in Probability, Department of Mathematics, University of Manchester* Full job description: https://www.jobs.manchester.ac.uk/displayjob.aspx?jobid=23127 Applications are invited for a 24 month Postdoctoral Research Associate position, to start in March 2023, or at the earliest possible time thereafter. We are looking for academics of outstanding ability, who are seeking a friendly, supportive and collegial environment in which to develop as world-class researchers, and who will contribute to the continued development of the Probability & Statistics Group, Department of Mathematics, in the School of Natural Sciences. The post holder will work with Dr Sebastian Andres on his EPSRC Grant 'Homogenization of random walks: degenerate environments and long-range jumps'. In this project we aim to study random walks in random environment with long-range jumps and the associated partial differential differential equations involving non-local discrete operators describing the transition probabilities or heat kernels of such random walks. Priority will be given to applicants with expertise in probability, PDE analysis and other related fields. The successful candidate will have completed (or nearly completed) a PhD or equivalent in probability theory or a related area prior to their appointment, and will have demonstrated a capacity to produce world-class research. Further, you will be expected to work independently and in collaboration, engage with new ideas, and contribute new insights. The position comes with some travel funding and carries no teaching duties. *Applications should include:* - a motivation letter, - a CV including a list of publications, - contact details of at least two referees, - the academic transcripts for all university degrees. Please see the link above for further information. The closing date for applications is 30th September 2022. For further enquiries contact Dr Sebastian Andres: sebastian.andres(a)manchester.ac.uk -- ************************************************* 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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Fwd: Research Fellow position in Applied Mathematics and Statistics at Birmingham
by Alejandra Avalos Pacheco 14 Aug '22

14 Aug '22

fyi ---------- Forwarded message --------- From: Panayiota Touloupou <p.touloupou(a)bham.ac.uk> Date: Fri, 12 Aug 2022 at 18:01 Subject: Research Fellow position in Applied Mathematics and Statistics at Birmingham To: Panayiota Touloupou <p.touloupou(a)bham.ac.uk> Cc: Joaquin Prada <j.prada(a)surrey.ac.uk> Dear colleagues, I hope you are well. I am writing to let you know that we are currently advertising a Research Fellow position in Applied Mathematics and Statistics to work with Dr Panayiota Touloupou (University of Birmingham) and Dr Joaquin M. Prada (University of Surrey) on the Task Force For Global Health funded project "Efficient post-elimination surveillance strategies for Neglected Tropical Diseases (NTDs)”. All the relevant information can be found at: *https://bham.taleo.net/careersection/external/jobdetail.ftl?job=220001HF <https://bham.taleo.net/careersection/external/jobdetail.ftl?job=220001HF>* Could you please circulate and passing this on to anyone who you think might be interested? Please note the closing date for applications is *25th August 2022*. Many thanks, Panayiota

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