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23rd Workshop on Quantitative Finance - Rome 27-28 January 2022 - second call for papers
by Davide Pirino 26 Nov '21

26 Nov '21

Apologies for cross-posting Dear colleagues, This is a gentle reminder on the Call for Papers of the XXIII Workshop on Quantitative Finance, which will be held in Rome (in presence) on January 27-28, 2022. The deadline for submitting extended abstracts is next Tuesday, 30th November, 2021 (the call for paper and all deadlines can be found in the attached document). Abstract must be submitted through an online procedure at the following webpage: https://qfw2022.it/registration/ Information on the workshop is available here: https://qfw2022.it/en/ On behalf of the organizing committee.

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Data Science and biology
by Enrico Scalas 26 Nov '21

26 Nov '21

Care colleghe e colleghi, Con preghiera di diffusione, Vi segnalo questa posizione di dottorato all'Universita' del Sussex: https://southcoastbiosciencesdtp.ac.uk/project/using-ai-and-big-data-to-ide… Le persone interessate possono mettersi in contatto con Frances Pearl: https://profiles.sussex.ac.uk/p140897-frances-pearl Cordiali saluti, Enrico Scalas

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Bando RTDB 13/D1 Politecnico di Milano
by Laura Maria Sangalli 26 Nov '21

26 Nov '21

Si comunica che alla pagina https://www.polimi.it/it/docenti-e-staff/bandi-e-concorsi/bandi-e-concorsi-… è pubblicato il bando per una posizione RTDB nel Settore Concorsuale 13/D1 - STATISTICA. Cordialmente, Laura Sangalli —— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy tel: +39 02 2399 4554 fax: +39 02 2399 4568 email: laura.sangalli(a)polimi.it<mailto:laura.sangalli@polimi.it> url: http://mox.polimi.it/~sangalli

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New Post-Doc position at SNS: "Mean Field Games aspects of training residual networks".
by Giulia Livieri 25 Nov '21

25 Nov '21

Dear all, A call for a 12 month research contract is open at the Scuola Normale Superiore, Pisa (Italy). I would like to stress that - differently from the previous call - the Ph.D is not required in order to apply for the position. The topic of the research is “Mean Field Games aspects of training deep neural networks and the use of deep neural networks for solving Mean Field Games” and it is part of the project “Mean Field Games aspects of training residual networks”. In particular, the research will be focused on the study of the training of deep neural network via the Mean Field Games approach and/or on the use of deep neural network to solve Mean Fields Games problems. A special emphasis will be put on the mathematical aspects of the two approaches. The research will be developed under the direction of the scientific director Dr. Giulia Livieri. Duration of the contract: 1 year, Annual gross remuneration, inclusive of all taxes: € 29,000 The details of the call (in Italian and English) are available at https://amministrazionetrasparente.sns.it/scuola/opportunità-offerte-dalla-… The deadline is December 23, 2021. In case you need more information, please contact Giulia Livieri (*giulia.livieri(a)sns.it* <giulia.livieri(a)sns.it>) Thanks and all the best, Giulia Livieri

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assegni di ricerca a Pisa
by Marco Romito 25 Nov '21

25 Nov '21

Buongiorno segnalo il bando per due assegni di ricerca biennali presso il Dipartimento di Matematica dell'Università di Pisa. Il tema degli assegni è generico su ogni disciplina della matematica di interesse per i gruppi di ricerca del dipartimento. Il bando è consultabile alla pagina https://bandi.unipi.it/public/Bandi/Detail/1cd16e96-3687-4359-a51b-99a90106… Il termine per la presentazione delle domande è il 24 dicembre alle ore 13. --------------------------- A call is open for two two-years post-doc positions at the Math Department of Pisa University, on the broad subject of pure and applied mathematics. The call (in italian) is available at https://bandi.unipi.it/public/Bandi/Detail/1cd16e96-3687-4359-a51b-99a90106… The deadline is on December 24, 1:00pm Interested people can write to me for further details m.

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Seminar in Statistics GONZALO MENA
by Pierpaolo De Blasi 22 Nov '21

22 Nov '21

SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO <https://www.carloalberto.org/events/category/seminars/seminars-in-statistic…> Venerdi 26 Novembre 2021, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Speaker: *Gonzalo Mena *(University of Oxford) Title: *On the unreasonable effectiveness of Sinkhorn algorithm for learning permutations and entropic optimal transport* Abstract: Sinkhorn's algorithm realizes the solution of entropy-regularized linear programs on certain matrix polytopes. In the past years, the interest in this algorithm has grown considerably because of its usefulness as a tool for the modeling of permutations, and because of its fundamental role in the solution of an entropic optimal transport problem, also called the Schrödinger bridge. In this talk, I will give an overview of my work in relation to these two areas. First, regarding entropic optimal transport, I will argue that this tool is valuable for deriving sensible statistical procedures. Indeed, we show that it enjoys a substantially better sample complexity compared to optimal transport, which suffers from the curse of dimensionality. Also, in the more applied setup of model-based clustering we show that it can be used as an alternative to the log-likelihood, since it has fewer bad local optima. Based on this observation, we develop a new algorithm, Sinkhorn-EM, in which we only modify the E-step to solve an Entropic Optimal Transport problem. Our algorithm is shown to attain better practical performance. Second, regarding permutations, I will describe some successful applications in Deep Learning, and in neuroscience, for the inference of neural identities in C.elegans worms. Links https://arxiv.org/abs/1802.08665 https://arxiv.org/abs/1905.11882 https://arxiv.org/abs/2006.16548 ------------------------------------------------ In ottemperanza alle norme anti Covid, per partecipare in presenza è necessario prenotarsi tramite il seguente form online: https://forms.gle/XyyJ3JaqTeZLi92A6 Sarà possibile seguire il seminario anche in streaming: Join Zoom Meeting <https://us02web.zoom.us/j/84926221121?pwd=eDdycEV3M2VVVU1FSEszM000eDlIdz09> Meeting ID: 849 2622 1121 Passcode: 899297 Il seminario è organizzato dalla "de Castro" Statistics Initiative www.carloalberto.org/stats Cordiali saluti, Pierpaolo De Blasi --- University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi <https://sites.google.com/a/carloalberto.org/pdeblasi/>

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One World ABC Seminar - Clara Grazian - November 25
by Massimiliano ... 22 Nov '21

22 Nov '21

Dear all, it is our pleasure to invite you to a new talk of the One WorldABC Seminar<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwarwick.…>. Our next speaker will be Clara Grazian<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fresearch…>, who will talk about PET-ABC: A Bayesian likelihood free tool for kinetic models<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fiopscien…>, on Thursday November 25, at 11.30am UK time, with an abstract reported below. To join the talk, please click on the Zoom link below https://chalmers.zoom.us/j/65793605413<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fchalmers…> Password: 810265 If you are interested in presenting your work on ABC and likelihood-free methods in the new year, please get in touch with one of the organisers. If you miss last talk by Michael Gutmann, you can access its recording here https://www.youtube.com/watch?v=oUD6mPttyw4&feature=youtu.be<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.yout…> We look forward to seeing you on Thursday, best wishes, Massimiliano on the behalf of the One World ABC Seminar Organisers. --- When: Thursday, November 25, 11.30am UK Time Speaker: Clara Grazian<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fresearch…>, UNSW Sidney Title: PET-ABC: A Bayesian likelihood free tool for kinetic models Abstract: We describe an intuitive, easy to use method called PET-ABC that enables full Bayesian statistical inference from single subject dynamic PET data. The performance of PET-ABC was compared with weighted non-linear least squares (WNLS) in terms of reliability of kinetic parameter estimation and statistical power for model selection. Dynamic PET data based on 1-tissue and 2-tissue compartmental models were simulated with 2 noise models and 3 noise levels. PET-ABC was used to evaluate the reliability of parameter estimates under each condition. It was also used to perform model selection for a simulated noisy dataset composed of a mixture of 1- and 2-tissue compartment kinetics. Finally, PET-ABC was used to analyze a non-steady state dynamic study performed on a fully conscious rat administered either 2 mg.kg-1 amphetamine or saline 20 min after tracer injection. Reference: Y. Fan, G. Emvalomenos, C. Grazian, S. R. Meikle, PET-ABC: fully Bayesian likelihood-free inference for kinetic models<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fiopscien…>, Physics in Medicine and Biology, 66 (11), 115002, 2021. ------ Dr. Massimiliano Tamborrino Assistant Professor Department of Statistics University of Warwick https://warwick.ac.uk/tamborrino<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwarwick.…>

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2022 PIMS-CRM Summer School in Probability
by Faggionato, Alessandra 22 Nov '21

22 Nov '21

Buongiorno, ricevo da Omer Angel ed inoltro volentieri. Saluti Alessandra Faggionato %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Dear colleague, The 2022 PIMS-CRM Summer School in Probability will be held at the University of British Columbia from May 30 to June 24, 2022. This month-long program, originally planned for 2020, is especially appropriate for young researchers in probability, although others may of course attend. While there is still uncertainty stemming from covid regarding travel and conferences, we are hopeful that the school will be able to run this summer. The main courses will be given by Ivan Corwin (Columbia University), and Frank den Hollander (University of Leiden). Their respective titles are Interacting particle systems, growth models, stochastic PDEs and directed polymers through the lens of the stochastic six vertex model and Metastability for interacting particle systems Three 3-hour mini courses will be given by Paul Bourgade, Jean-Francois Le Gall and Nike Sun. There will also be an opportunity for some participants to give short talks on their own research. More information about the program may be found on the School's website at http://www.math.ubc.ca/Links/ssprob22 Graduate students and postdoctoral fellows who will attend the entire summer school can apply for financial support for on-campus accommodation through mathjobs: https://www.mathjobs.org/jobs/list/18950 Major support for the conference has been provided by PIMS, CRM, NSF, and the Department of Mathematics at UBC. Questions can be directed to one of the UBC organizers listed below. Please forward this email to students and postdocs who may be interested in attending. Sincerely, Louigi Addario-Berry <louigi.addario(a)mcgill.ca> Omer Angel <angel(a)math.ubc.ca> Jonathan Hermon <jhermon(a)math.ubc.ca> Mathav Murugan <mathav(a)math.ubc.ca> Gordon Slade <slade(a)math.ubc.ca>

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Mini-workshop Optimal Transport and Uncertainty, 2:30 pm Friday 26 Nov 2021
by Dario Trevisan 21 Nov '21

21 Nov '21

Cari tutti, segnalo il miniworkshop "Optimal Transport and Uncertainty" che si terrà il pomeriggio di venerdì 26/11/2021, a partire dalle ore 14:30, presso l'aula magna del dipartimento di Matematica dell'Università di Pisa e in diretta streaming su Google Meet https://meet.google.com/dwq-tvii-jga con i contributi di Matteo D'Achille (U. Parigi-Est), Luigi De Pascale (U. Firenze), Francesco Mattesini (U. Münster) ed Eugene Stepanov (U. San Pietroburgo). Maggiori informazioni sul programma, gli abstract dei talk e sulla registrazione all'evento (consigliata nel caso di partecipazione in presenza) sono disponibili alla pagina https://indico.cs.dm.unipi.it/event/12/overview Saluti, Dario Trevisan --- Dear all, I would like to announce the miniworkshop "Optimal Transport and Uncertainty" that will take place on Friday November 26, at Aula Magna, Department of Mathematics, University of Pisa. The event will be also live streamed on Google Meet https://meet.google.com/dwq-tvii-jga Main speakers are Matteo D'Achille (U. Paris Est), Luigi De Pascale (U. Firenze), Francesco Mattesini (U. Münster)and Eugene Stepanov (U. Saint Petersburg). For more information on the timetable and registration (strongly suggested in case you want to attend in presence) can be found at https://indico.cs.dm.unipi.it/event/12/overview Regards, Dario Trevisan -- 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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Seminar by Sergio Pulido in Verona
by Alessandro Gnoatto 19 Nov '21

19 Nov '21

Sergio Pulido (École Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise) will give a talk at our Department. Date: 24 November 12:00 CET. Title: American options in the rough Heston model Abstract: Rough volatility models have emerged as compelling alternatives to classical semimartingale models to capture important stylized features of the implied volatility surface and the time series of realized volatility. The rough Heston model is particularly appealing because its affine structure facilitates the pricing of European options using Fourier techniques. In this work we consider the problem of pricing American options in the rough Heston model. The complexity of the problem stems from the absence of a Markovian-semimartingale structure in the model. To overcome this difficulty we work with a Markovian multi-factor semimartingale stochastic volatility model, which approximates the rough Heston model. In this approximated model, American options can be priced using a backward approach and simulation-based methods. We prove the convergence of American options prices in the multi-factor model towards the prices in the rough Heston model. The proof relies on the explicit expression of the conditional characteristic function of the joint forward process and the spot price, which is a consequence of the affine structure of the model. We illustrate with some numerical examples the behavior of American option prices with respect to some parameters in the model. This is joint work with Etienne Chevalier and Elizabeth Zuniga. If you would like to attend via Zoom, please register at the following link, we will send you the details: https://docs.google.com/forms/d/e/1FAIpQLSeVog1wfkFpBhehoYMRoTcNFESIOvh3Y-C… -- Alessandro Gnoatto Dipartimento di Scienze Economiche Università degli Studi di Verona Via Cantarane 24 37129, Verona, Italy Room 1.05 Tel: +39 045 802 8537 Homepage: www.alessandrognoatto.com E-mail: alessandro.gnoatto(a)univr.it -------------------------------------------------- View my research on my SSRN Author page: http://ssrn.com/author=1615989 --------------------------------------------------

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