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Seminario di Probabilità - Padova
by Paolo Dai Pra 20 Sep '17

20 Sep '17

Ho il piacere di invitarvi al seguente seminario, che si terrà Martedì 26 Settembre, alle 14:15, in aula 2AB45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova. SPEAKER: Paolo Pigato AFFILIATION: WIAS, Berlino TITLE: The Oscillating Brownian motion: estimation and application to volatility modeling ABSTRACT: We consider a continuous time stochastic process which exhibits a regime-switch in the dynamics accordingly to a certain threshold. This process is solution to a stochastic differential equation with piecewise constant coefficients. We introduce and analyze estimators for the diffusion coefficient, the drift coefficient, and the threshold level. We use this process as a local volatility model for financial indices, that we test on time series of daily prices of several assets, finding evidence of leverage effect (negative correlation between prices and volatilies) and of mean-reversion effects in the dynamics of the prices. Paolo Dai Pra Dipartimento di Matematica Via Trieste, 63 35121 Padova Tel. +39 0498271361 Fax +39 0498271428 daipra(a)math.unipd.it

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Avviso seminario
by Stefano Bonaccorsi 18 Sep '17

18 Sep '17

Scusandomi per il breve preavviso, inoltro il seguente avviso di seminario. The Enskog Process *September 21, 2017* *Venue:* Seminar Room “-1” – Department of Mathematics - Via Sommarive 14 - Povo -Trento at *11:00 a.m.* - *Barbara Rüdiger-Mastandrea (*Bergische Universität Wuppertal) *Abstract: * (Joint article with S. Albeverio, P. Sundar, appeared on Journal Stat. Physics, January 2017 (No1)) The existence of a weak solution to a McKean-Vlasov type stochastic differential system corresponding to the Enskog equation of the kinetic theory of gases is established under suitable hypotheses. The distribution of any solution to the system at each fixed time is shown to be unique. The existence of a probability density for the time-marginals of the velocity is verified in the case where the initial condition is Gaussian, and is shown to be the density of an invariant measure. *Contact person: *Stefano Bonaccorsi *Staff Dipartimento di Matematica* *Università degli Studi Trento*Via Sommarive, 14 38123 Povo (TN) Tel +39 0461/281625-1701-3786

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Postdoc position in Probability at Universidade de São Paulo
by Fabio Zucca 16 Sep '17

16 Sep '17

Ricevo e volentieri inoltro. Segnalate pure questa opportunità a chiunque pensiate possa essere interessato. Fabio Zucca %%%%%%%%%%%% The Institute of Mathematics and Statistics at the *University of Sao Paulo*, seeks candidates for one post-doctoral position through the National Programme for Post- Doctoral Scholarships (CAPES, Brazil). The scholarship is allocated to the *S**tatistics **and Probability *Program ( https://www.ime.usp.br/en/statistics/graduate ). We look for candidates with strong and proven research record and potential. Possible interaction with the research groups of the Institute may be an advantage. Please see the research areas link https://www.ime.usp.br/en/research/lines/statistics. The scholarship consists of a monthly payment of 4100 Brazilian reals per month (tax-free money). The positions are initially for one year and may be renewed depending on progress. The candidates are expected to send via e-mail the following documents: •Curriculum Vitae with a list of publications. •Research project. •Letter from an advisor of the Graduate Program in Statistics of the Institute of Mathematics and Statistics - USP qualifying the relevance of the project and demonstrating interest in collaborating with the candidate in its execution. •Names and e-mail addresses of up to three researchers who can be contacted by the Graduate Program to send reference on the candidate. **These documents should be sent to cpg(a)ime.usp.br with the subject “PNPD/CAPES Statistics” ***Closing date: September 29, 2017.* More information about the Statistics Department: https://www.ime.usp.br/en/statistics

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Conference in Valpolicella (Verona)
by Stefania Ugolini 16 Sep '17

16 Sep '17

Symmetry and Invariance in Stochastic Dynamics, Sala Capitolare, San Giorgio di Valpolicella, September 18, 2017 http://www.mat.unimi.it/users/ugolini/workshop2017/WorkshopValpolicella2017…

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Call for papers in a special issue on "Financial Mathematics"- Mathematics
by Antonella Basso 14 Sep '17

14 Sep '17

The journal Mathematics (ISSN 2227-7390) is currently running a Special Issue entitled "Financial Mathematics". Prof. Dr. Antonella Basso, of the Department of Economics, Ca’ Foscari University of Venice, (Venice, Italy), is serving as Guest Editor for this issue. The purpose of this Special Issue is to establish a collection of articles that reflect the latest mathematical methods and models in the field of financial mathematics, a bridge between mathematical theory and its applications to finance. [...] For further reading, please follow the link to the Special Issue Website at: http://www.mdpi.com/si/mathematics/Financial_Mathematics_2017 The submission deadline is 31 March 2018. You may send your manuscript now or up until the deadline. Submitted papers should not be under consideration for publication elsewhere. We also encourage authors to send a short abstract or tentative title to the Editorial Office in advance (mathematics(a)mdpi.com). Mathematics is fully open access. Open access (unlimited and free access by readers) increases publicity and promotes more frequent citations, as indicated by several studies. Open access is supported by the authors and their institutes. An Article Processing Charge (APC) of CHF 350 currently applies to all accepted papers. You may be entitled to a discount if you have previously received a discount code or if your institute is participating in the MDPI Institutional Open Access Program (IOAP), for more information see: http://www.mdpi.com/about/ioap. For further details on the submission process, please see the instructions for authors at the journal website (http://www.mdpi.com/journal/mathematics/instructions). We look forward to hearing from you. Kind regards, Ms. Sheryl Yin Assistant Editor Mathematics (ISSN 2227-7390; http://www.mdpi.com/journal/mathematics) is a journal published by MDPI AG, Basel, Switzerland. Mathematics maintains rigorous peer-review and a rapid publication process. All articles are published with a CC BY 4.0 license. For more information on the CC BY license, please see: http://creativecommons.org -- Antonella Basso Prorettore alla Programmazione e Valutazione - Prorector at Planning and Valuation Dipartimento di Economia Università Ca' Foscari Venezia Fondamenta S. Giobbe - Cannaregio 873 30121 Venezia - Italy Tel. +39-041-2346914 - Fax +39-041-2347444 E-mail address: basso(a)unive.it Web page: http://www.unive.it/data/persone/5591751

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Fwd: Open PostDoc Position
by Marco Romito 14 Sep '17

14 Sep '17

Ricevo da M. von Renesse e inoltro. ------------------------------------------------------------------------- Dear Friends, I have a PostDoc position available in my group in Leipzig. Starting date is any time from now, I can offer two years plus possible extension for longer. Any interesting subject of expertise is ok, from geometry to SPDE to interacting particle systems to mass concentration to optimal transport etc. Job includes possibility for joint cooperation with other Leipzig colleagues like such as Gess, Jost, Kircheim, Otto, Sapozhnikov, Szekelyhidi etc. I would be happy if you could forward this to anyone who might be suitable and looking for a job. Cordially, yours Max

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Fwd: StochMod 2018 at Lancaster University
by Antonio Di Crescenzo 14 Sep '17

14 Sep '17

ricevo e inoltro > > >---------- Forwarded message ---------- > >(First announcement) > >Dear Colleagues, > >We would like to invite you to attend the 7th >Stochastic Modelling meeting (StochMod 2018), >which will take place on 13-15 June 2018 at >Lancaster University, UK. > >The StochMod meeting has been organized by the >EURO Working Group on Stochastic Modelling >biennially since 2006, and its scope covers both >the theory and applications of stochastic models. > >StochMod 2018 will include keynote talks from >- Margaret Brandeau (Stanford University) >- Kevin Glazebrook (Lancaster University) >- Warren B. Powell (Princeton University) >- Kalyan Talluri (Imperial College London) > >For additional information about StochMod 2018, >please visit the meeting's webpage: > ><http://www.lancaster.ac.uk/staff/jacko/stochmod2018/>http://www.lancaster.ac.uk/staff/jacko/stochmod2018/ > >We look forward to welcoming you in Lancaster! > >Best regards, > >Peter Jacko and Rouba Ibrahim (StochMod 2018 co-chairs). > > >-------------------------------------------------------- >Additional information about EURO and the working group: > >EURO is the "Association of European Operational >Research Societies". It has sections which are >called "Working Groups", one of which is on >"Stochastic Modelling". > >Currently, the Stochastic Modelling working >group has around 350 members and anyone >interested in presenting their research, >participating in the discussions, or simply >learning about stochastic modelling is welcome >to join the working group and its meetings. >Membership is also free, so please join >at <http://stochmod.eu/Members/>http://stochmod.eu/Members/ if >interested. > > > >-- > >------------------------------------- >Peter Jacko >------------------------------------- > >Lecturer in Management Science >Department of Management Science >Lancaster University Management School >Lancaster, LA1 4YX, UK ><mailto:p.jacko@lancaster.ac.uk>p.jacko(a)lancaster.ac.uk | >+44-15245 94035 | Office B57 ><http://scholar.google.com/citations?user=Ym1nWHEAAAAJ>scholar.google.com/citations?user=Ym1nWHEAAAAJ > ><http://www.lancaster.ac.uk/lums/people/peter-jacko>http://www.lancaster.ac.uk/lums/people/peter-jacko > ><http://www.lancaster.ac.uk/staff/jacko/>http://www.lancaster.ac.uk/staff/jacko/ > >------------------------------------- > > > > --

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Postdoc positions. A reminder
by Marco Scarsini 12 Sep '17

12 Sep '17

Applications are open for three postdoc positions at LUISS on the following topics: “High-Dimensional Data”: Applications to Economics Stochastic control and duality methods to tackle model uncertainty in finance and insurance Efficiency of equilibria in large games. Deterministic and stochastic viewpoints The application deadline is September 30. Information can be found here: http://economiaefinanza.luiss.it/en/node/5166 ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Seminar at Luiss - Marcel Nutz
by Sara 12 Sep '17

12 Sep '17

Dear all, On Tuesday 26, at 2pm in room 106 - Luiss viale Romania 32, Roma, prof Nutz will give the following seminar: Supply and Shorting in Speculative Markets Abstract: We propose a continuous-time model of trading among risk-neutral agents with heterogeneous beliefs. Agents face quadratic costs-of-carry on their positions and as a consequence, their marginal valuation of the asset decreases when the magnitude of their position increases, as it would be the case for risk-averse agents. In the equilibrium models of investors with heterogeneous beliefs that followed the original work by Harrison and Kreps, investors are risk-neutral, short-selling is prohibited and agents face a constant marginal cost of carrying positions. The resulting resale option guarantees that the equilibrium price exceeds the price of the asset in a static buy-and-hold model where speculation is ruled out. Our model features three main novelties. First, increasing marginal costs entail that the price depends on the exogenous supply. Second, in addition to the resale option, agents may also value an option to delay, and this may cause the market to equilibrate below the static buy-and-hold price. Third, we introduce the possibility of short-selling; then the resale option for agents with short positions partly compensates the resale option for long agents. (Joint work with Jose Scheinkman) Best, Sara -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/

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Call for PhD position at University of Oslo
by Giulia Di Nunno 12 Sep '17

12 Sep '17

Dear Colleagues, this is to draw your attention to the call for a PhD position at the University of Oslo in stochastic analysis and its applications in the scopes of STORE "Stochastics of Renewable Energy Markets". You find the description and the call here: https://www.jobbnorge.no/en/available-jobs/job/141687/phd-research-fellowsh… Deadline for application is: September 20, 2017 Please help to advertise this call to all interested people 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/

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