Week: 25 January 2016 - 31 January 2016
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Courses
| Date |
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| 9:00 - 10:30 |
Claudia Ceci,
Katia Colaneri,
Alessandra Cretarola
'MATHEMATICAL FINANCE I: The FöllmerSchweizer decomposition under incomplete information'
|
Sala Stemmi |
| 9:00 - 10:30 |
Elisa Luciano,
Antonella Tolomeo
'RISK I: Information effects in longevity-linked vs purely financial portfolios'
|
Sala Azzurra |
| 9:00 - 10:30 |
Jessica Cariboni,
Wouter Heynderickx,
Bert Smits
'RISK I: The Relationship between Risk-Neutral and Actual Default Probabilities: the Credit Risk Premium'
|
Sala Azzurra |
| 9:00 - 10:30 |
Peter Markowich,
Panagiotis Souganidis,
Josef Teichmann,
Marie-Therese Wolfram
'MATHEMATICAL FINANCE I: Parabolic free boundary price formation models under market size fluctuations'
|
Sala Stemmi |
| 9:00 - 10:30 |
Matteo Burzoni,
Marco Frittelli,
Marco Maggis
'MATHEMATICAL FINANCE I: Modelfree superhedging duality'
|
Sala Stemmi |
| 9:00 - 10:30 |
Roberto Baviera,
Gaetano La Bua,
Paolo Pellicioli
'RISK I: A note on CVA and Wrong Way Risk'
|
Sala Azzurra |
| 11:00 - 13:00 |
Renato Bruni,
Francesco Cesarone,
Andrea Scozzari,
Fabio Tardella
'PORTFOLIO SELECTION: On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection'
|
Sala Stemmi |
| 11:00 - 13:00 |
Flavio Angelini,
Stefano Herzel,
Marco Nicolosi
'PORTFOLIO SELECTION: Optimal Asset Allocation In Money Management Under Mean-Reverting Returns'
|
Sala Stemmi |
| 11:00 - 13:00 |
Romain Deguest,
Attilio Meucci,
Alberto Santangelo
'PORTFOLIO SELECTION: Risk budgeting and diversifi cation based on optimized uncorrelated factors'
|
Sala Stemmi |
| 11:00 - 13:00 |
Leonardo Becchetti,
Rocco Ciciretti,
Ambrogio Dalò
'PORTFOLIO SELECTION: Fishing the Corporate Social Responsibility Risk Factors'
|
Sala Stemmi |
| 11:00 - 13:00 |
Laura Ballotta,
Gianluca Fusai,
Anna Maria Gambaro
'INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes'
|
Sala Azzurra |
| 11:00 - 13:00 |
Stephane Dang-Nguyen,
Yves Rakontondratsimba
'INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model'
|
Sala Azzurra |
| 11:00 - 13:00 |
Nicola Moreni,
Andrea Pallavicini
'INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae'
|
Sala Azzurra |
| 11:00 - 13:00 |
Janine Balter,
Elena Dumitrescu,
Peter Hansen
'INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach'
|
Sala Azzurra |
| 14:00 - 15:00 |
Leoni Eleni Oikonomikou
'POSTER SESSION: Modeling Financial Market Volatility in Transition Markets: A multivariate case'
|
|
| 14:00 - 15:00 |
Stephane Dang-Nguyen,
Yves Rakontondratsimba
'POSTER SESSION: Control of price acceptability under the univariate Vasicek model.'
|
|
| 14:00 - 15:00 |
Gianluca Farina,
Rosella Giacometti
'POSTER SESSION: A model of infectious defaults with immunization'
|
|
| 14:00 - 15:00 |
Domenico Di Gangi,
Fabrizio Lillo,
Davide Pirino
'POSTER SESSION: Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network'
|
|
| 14:00 - 15:00 |
Immacolata Oliva
'POSTER SESSION: Arbitrage-Free Pricing of American Contingent Claims in Uncertain Volatility Market Models'
|
|
| 14:00 - 15:00 |
Fabrizio Lillo,
Stefano Marmi,
Piero Mazzarisi
'POSTER SESSION: When panic makes you blind: a chaotic route to systemic risk '
|
|
| 14:00 - 15:00 |
Asmerilda Hitaj,
Elisa Mastrogiacomo
'POSTER SESSION: Jump diffusions and portfolio optimization with state dependent risk aversion .'
|
|
| 15:00 - 17:00 |
René Aid,
Salvatore Federico,
Huyên Xuan Pham,
Bertrand Villeneuve
'OPTIMIZATION: Explicit investment rules with time-to-build and uncertainty'
|
Aula Bianchi Scienze |
| 15:00 - 17:00 |
Huy N. Chau,
Andrea Cosso,
Claudio Fontanari,
Oleksii Mostovyl
'OPTIMIZATION: Optimal investment with intermediate consumption under no unbounded profits with bounded risk'
|
Aula Bianchi Scienze |
| 15:00 - 17:00 |
Giorgia Callegaro,
Mhamed Gaigi,
Simone Scotti,
Carlo Sgarra
'OPTIMIZATION: Optimal Investment in Markets with Over and UnderReaction'
|
Aula Bianchi Scienze |
| 15:00 - 17:00 |
Paolo Guasoni,
Antonella Tolomeo
'OPTIMIZATION: Disentangling Overlapping Shocks in Portfolio Choice'
|
Aula Bianchi Scienze |
| 15:00 - 17:00 |
Peter Gruber,
Claudio Tebaldi,
Fabio Trojani
'The Price of the Smile and Variance Risk Premia'
|
Sala Azzurra |
| 15:00 - 17:00 |
Matthias Saerens,
Cynthia van Hulle,
Gunther Wuyts
'Commonality in High-Frequency Trading'
|
Sala Azzurra |
| 15:00 - 17:00 |
Emmanuel Bacry,
Fabrizio Lillo,
Marcello Rambaldi
'The role of volume in order book dynamics: a multivariate Hawkes process analysis'
|
Sala Azzurra |
| 15:00 - 17:00 |
Kim Christensen,
Roberto Renò
'The Drift Burst Hypothesis'
|
Sala Azzurra |
| 17:30 - 19:00 |
Emilio Barucci,
Gaetano La Bua,
Daniele Marazzina
'Flow of funds, High Water Mark and asset allocation'
|
Aula Bianchi Scienze |
| 17:30 - 19:00 |
Marianna Brunetti,
Rocco Ciciretti,
Ljubica Djordjevic
'Till Mortgage Do Us Part: Refinancing Costs and Mortgage Shopping'
|
Aula Bianchi Scienze |
| 17:30 - 19:00 |
Annalisa Fabretti,
Tommy Garling,
Stefano Herzel,
Martin Holmen
'Convex Incentives in Financial Markets: an AgentBased'
|
Aula Bianchi Scienze |
| 17:30 - 19:00 |
Gaetano La Bua
'A Hybrid SLV model with Multifactor Stochastic Volatility'
|
Sala Azzurra |
| 17:30 - 19:00 |
Claudio Pacati,
Gabriele Pompa,
Roberto Renò
'Smiling twice: The Heston++ model'
|
Sala Azzurra |
| 17:30 - 19:00 |
Elyas Elyasiani,
Luca Gambarelli,
Silvia Muzzioli
'Towards a skewness index for the Italian stock market'
|
Sala Azzurra |
|
|
|
|
|
|
| 9:00 - 10:30 |
Giorgia Callegaro,
Lucio Fiorin,
Martino Grasselli
'Pricing via Quantization in Stochastic Volatility Models'
|
Sala Stemmi |
| 9:00 - 10:30 |
Roberto Baviera,
Emanuele Nastasi
'The relevance of geometry in optimal basket option bounds'
|
Sala Stemmi |
| 9:00 - 10:30 |
Giacomo Bormetti,
Giorgia Callegaro,
Giulia Livieri,
Andrea Pallavicini
'A backward Monte Carlo approach to exotic option pricing'
|
Sala Stemmi |
| 9:00 - 10:30 |
Michael Heinrich Baumann,
Lars Grüne
'Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices .'
|
Sala Azzurra |
| 9:00 - 10:30 |
Cecilia Mancini
'Truncated Realized Covariance when prices have infinite variation jumps.'
|
Sala Azzurra |
| 11:00 - 13:00 |
Cagin Ararat,
Birgit Rudloff
'Dual representations for systemic risk measures'
|
Sala Stemmi |
| 11:00 - 13:00 |
Tommaso Colozza
'Synthetic and cash sovereign credit market: heading towards a unified European framework'
|
Sala Stemmi |
| 11:00 - 13:00 |
Francesco Cesarone,
Stefano Colucci
'A Quick Tool to forecast VaR using Implied and Realized Volatilities'
|
Sala Stemmi |
| 11:00 - 13:00 |
Jiatu Cai,
Peter Tankov
'Asymptotic Lower Bounds for Optimal Tracking'
|
Sala Azzurra |
| 11:00 - 13:00 |
Matteo Ludovico Bedini,
Rainer Buckdahn,
Hans-Jürgen Engelbert
'Brownian Bridges on Random Intervals'
|
Sala Azzurra |
| 11:00 - 13:00 |
Tiziano De Angelis,
Giorgio Ferrari,
John Moriarty
'A solvable two-dimensional degenerate singular stochastic control problem with non convex costs'
|
Sala Azzurra |
| 11:00 - 13:00 |
Asmerilda Hitaj,
Lorenzo Mercuri,
Edit Rroji
'Multivariate Mixed Tempered Stable Distribution'
|
Sala Azzurra |
| 11:00 - 13:00 |
Jacopo Corbetta,
Ilaria Peri
'Backtesting Lambda Value at Risk'
|
Sala Stemmi |
| 14:00 - 15:30 |
Roberto Baviera,
Teodoro Mainetti
'Going hybrid: a joint model for temperature and natural gas'
|
Sala Stemmi |
| 14:00 - 15:30 |
Enrico Edoli,
Marco Gallana,
Tiziano Vargiolu
'Optimal intra-day power trading with a Gaussian additive process'
|
Sala Stemmi |
| 14:00 - 15:30 |
Maren Schmeck
'Pricing options on forwards in energy markets: the role of mean reversion’s speed'
|
Sala Stemmi |
| 14:00 - 15:30 |
Cuchiero Christa
'Polynomial processes in stochastic portfolio theory'
|
Sala Azzurra |
| 14:00 - 15:30 |
Filippo Macaluso,
Antonietta Mira,
Paul Schneider
'How to sample from a distribution when only the moments are known with an application to affine'
|
Sala Azzurra |
| 16:00 - 17:30 |
Marina Marena,
Andrea Romeo,
Patrizia Semeraro
'Pricing multivariate barrier reverse convertible with factor-based subordinators'
|
Sala Stemmi |
| 16:00 - 17:30 |
Enrico Biffis,
Beniamin Goldys,
Cecilia Prosdocimi
'A pricing formula for delayed claims: Appreciating the past to value the future'
|
Sala Stemmi |
| 16:00 - 17:30 |
Zorana Grbac,
Laura Meneghello,
Wolfgang Runggaldier
'Derivative pricing for a multi-curve extension of the Gaussian exponentially quadratic short rate'
|
Sala Stemmi |
| 16:00 - 17:30 |
Giovanni Barone-Adesi,
Carlo Sala
'Sentiment Lost: the Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set'
|
Sala Azzurra |
| 16:00 - 17:30 |
Thomas Lux,
Maria Cristina Recchioni,
Gabriele Tedeschi
'From bond yield to macroeconomic instability: a parsimonious affine model'
|
Sala Azzurra |
| 16:00 - 17:30 |
Matteo Formenti,
Fabio Ramponi,
Luca Spadafora,
Marcello Terraneo
'The efficiency of Anderson-Darling test with limited sample size size: an application to'
|
Sala Azzurra |
|
|
Visits
Universita' di Parma
27 January 2016 - 27 January 2016
(
Seminari di Sistemi Dinamici Olomorfi 2015-2016)
University of Colorado Boulder
13 October 2010 - 20 October 2018
(
Reverse mathematical methods for reconstructing molecular dynamics in single cell)
University of California at Berkeley
13 October 2010 - 21 October 2018
(
Reverse mathematical methods for reconstructing molecular dynamics in single cell)
CNRS IMJ Paris
1 November 2015 - 20 August 2016
(
Senior Visiting Programs 2015)
Chalmers University of Technology
1 September 2015 - 31 August 2016
(
2015 Junior Visiting Positions)
1 September 2015 - 31 August 2016
(
2016 Junior Visiting Positions)
University of Rome La Sapienza
2 December 2013 - 6 December 2103
(
Deterministic and Stochastic Dynamics in Economics and Finance)
28 January 2016 - 28 January 2016
(
XVII Workshop on Quantitative Finance -- POSTER SESSION)
University of Cagliari
30 June 2013 - 7 July 2913
(
Linear and Nonlinear Hyperbolic Equations)
Université Jean Monnet, Saint-Etienne
13 April 2015 - 16 April 2016
(
Senior Visiting Programs 2015)
National University of Uzbekistan, Tashkent
27 January 2016 - 27 January 2016
(
Seminari di Sistemi Dinamici Olomorfi 2015-2016)
CNRS UMR 7161 – Lab. Informatique Ecole Polytechnique (Computer science, INS2I)
1 September 2015 - 30 June 2016
(
Senior Visiting Programs 2015)
Centro di Ricerca Matematica Ennio De Giorgi
1 October 2015 - 31 August 2016
(
2015 Junior Visiting Positions)
1 October 2015 - 31 August 2016
(
2016 Junior Visiting Positions)
Scuola Normale Superiore
2 March 2015 - 1 March 2017
(
2015 Junior Visiting Positions)
2 March 2015 - 1 March 2017
(
2016 Junior Visiting Positions)
