XVII WORKSHOP ON QUANTITATIVE FINANCE

SESSIONS: Mathematical Finance. Risk. Portfolio Selection. Interest Rates and Foreign Exchange. Optimization. Liquidity, Volatility and Trading. Finance. Volatility. Pricing. Energy.

28 January 2016 - 29 January 2016

Timetable

Date	Time	Speaker	Room
Thu 28 Jan	9:00- 10:30	Ceci, Claudia - Colaneri, Katia - Cretarola, Alessandra "MATHEMATICAL FINANCE I: The FöllmerSchweizer decomposition under incomplete information"	Sala Stemmi
	9:00- 10:30	Markowich, Peter - Souganidis, Panagiotis - Teichmann, Josef - Wolfram, Marie-Therese "MATHEMATICAL FINANCE I: Parabolic free boundary price formation models under market size fluctuations"	Sala Stemmi
	9:00- 10:30	Burzoni, Matteo - Frittelli, Marco - Maggis, Marco "MATHEMATICAL FINANCE I: Modelfree superhedging duality"	Sala Stemmi
	9:00- 10:30	Luciano, Elisa - Tolomeo, Antonella "RISK I: Information effects in longevity-linked vs purely financial portfolios"	Sala Azzurra
	9:00- 10:30	Cariboni, Jessica - Heynderickx, Wouter - Smits, Bert "RISK I: The Relationship between Risk-Neutral and Actual Default Probabilities: the Credit Risk Premium"	Sala Azzurra
	9:00- 10:30	Baviera, Roberto - La Bua, Gaetano - Pellicioli, Paolo "RISK I: A note on CVA and Wrong Way Risk"	Sala Azzurra
	11:00- 13:00	Bruni, Renato - Cesarone, Francesco - Scozzari, Andrea - Tardella, Fabio "PORTFOLIO SELECTION: On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection"	Sala Stemmi
	11:00- 13:00	Angelini, Flavio - Herzel, Stefano - Nicolosi, Marco "PORTFOLIO SELECTION: Optimal Asset Allocation In Money Management Under Mean-Reverting Returns"	Sala Stemmi
	11:00- 13:00	Deguest, Romain - Meucci, Attilio - Santangelo, Alberto "PORTFOLIO SELECTION: Risk budgeting and diversifi cation based on optimized uncorrelated factors"	Sala Stemmi
	11:00- 13:00	Becchetti, Leonardo - Ciciretti, Rocco - Dalò, Ambrogio "PORTFOLIO SELECTION: Fishing the Corporate Social Responsibility Risk Factors"	Sala Stemmi
	11:00- 13:00	Ballotta, Laura - Fusai, Gianluca - Gambaro, Anna Maria "INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes"	Sala Azzurra
	11:00- 13:00	Dang-Nguyen, Stephane - Rakontondratsimba, Yves "INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model"	Sala Azzurra
	11:00- 13:00	Moreni, Nicola - Pallavicini, Andrea "INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae"	Sala Azzurra
	11:00- 13:00	Balter, Janine - Dumitrescu, Elena - Hansen, Peter "INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach"	Sala Azzurra
	14:00- 15:00	Oikonomikou, Leoni Eleni "POSTER SESSION: Modeling Financial Market Volatility in Transition Markets: A multivariate case"
	14:00- 15:00	Dang-Nguyen, Stephane - Rakontondratsimba, Yves "POSTER SESSION: Control of price acceptability under the univariate Vasicek model."
	14:00- 15:00	Farina, Gianluca - Giacometti, Rosella "POSTER SESSION: A model of infectious defaults with immunization"
	14:00- 15:00	Di Gangi, Domenico - Lillo, Fabrizio - Pirino, Davide "POSTER SESSION: Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network"
	14:00- 15:00	Oliva, Immacolata "POSTER SESSION: Arbitrage-Free Pricing of American Contingent Claims in Uncertain Volatility Market Models"
	14:00- 15:00	Lillo, Fabrizio - Marmi, Stefano - Mazzarisi, Piero "POSTER SESSION: When panic makes you blind: a chaotic route to systemic risk "
	14:00- 15:00	Hitaj, Asmerilda - Mastrogiacomo, Elisa "POSTER SESSION: Jump diffusions and portfolio optimization with state dependent risk aversion ."
	15:00- 17:00	Guasoni, Paolo - Tolomeo, Antonella "OPTIMIZATION: Disentangling Overlapping Shocks in Portfolio Choice"	Aula Bianchi Scienze
	15:00- 17:00	Aid, René - Federico, Salvatore - Pham, Huyên Xuan - Villeneuve, Bertrand "OPTIMIZATION: Explicit investment rules with time-to-build and uncertainty"	Aula Bianchi Scienze
	15:00- 17:00	Chau, Huy N. - Cosso, Andrea - Fontanari, Claudio - Mostovyl, Oleksii "OPTIMIZATION: Optimal investment with intermediate consumption under no unbounded profits with bounded risk"	Aula Bianchi Scienze
	15:00- 17:00	Callegaro, Giorgia - Gaigi, Mhamed - Scotti, Simone - Sgarra, Carlo "OPTIMIZATION: Optimal Investment in Markets with Over and UnderReaction"	Aula Bianchi Scienze
	15:00- 17:00	Christensen, Kim - Renò, Roberto "The Drift Burst Hypothesis"	Sala Azzurra
	15:00- 17:00	Bacry, Emmanuel - Lillo, Fabrizio - Rambaldi, Marcello "The role of volume in order book dynamics: a multivariate Hawkes process analysis"	Sala Azzurra
	15:00- 17:00	Saerens, Matthias - van Hulle, Cynthia - Wuyts, Gunther "Commonality in High-Frequency Trading"	Sala Azzurra
	15:00- 17:00	Gruber, Peter - Tebaldi, Claudio - Trojani, Fabio "The Price of the Smile and Variance Risk Premia"	Sala Azzurra
	17:30- 19:00	Barucci, Emilio - La Bua, Gaetano - Marazzina, Daniele "Flow of funds, High Water Mark and asset allocation"	Aula Bianchi Scienze
	17:30- 19:00	Brunetti, Marianna - Ciciretti, Rocco - Djordjevic, Ljubica "Till Mortgage Do Us Part: Refinancing Costs and Mortgage Shopping"	Aula Bianchi Scienze
	17:30- 19:00	Fabretti, Annalisa - Garling, Tommy - Herzel, Stefano - Holmen, Martin "Convex Incentives in Financial Markets: an AgentBased"	Aula Bianchi Scienze
	17:30- 19:00	Elyasiani, Elyas - Gambarelli, Luca - Muzzioli, Silvia "Towards a skewness index for the Italian stock market"	Sala Azzurra
	17:30- 19:00	Pacati, Claudio - Pompa, Gabriele - Renò, Roberto "Smiling twice: The Heston++ model"	Sala Azzurra
	17:30- 19:00	La Bua, Gaetano "A Hybrid SLV model with Multifactor Stochastic Volatility"	Sala Azzurra
Fri 29 Jan	9:00- 10:30	Callegaro, Giorgia - Fiorin, Lucio - Grasselli, Martino "Pricing via Quantization in Stochastic Volatility Models"	Sala Stemmi
	9:00- 10:30	Baviera, Roberto - Nastasi, Emanuele "The relevance of geometry in optimal basket option bounds"	Sala Stemmi
	9:00- 10:30	Bormetti, Giacomo - Callegaro, Giorgia - Livieri, Giulia - Pallavicini, Andrea "A backward Monte Carlo approach to exotic option pricing"	Sala Stemmi
	9:00- 10:30	Baumann, Michael Heinrich - Grüne, Lars "Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices ."	Sala Azzurra
	9:00- 10:30	Mancini, Cecilia "Truncated Realized Covariance when prices have infinite variation jumps."	Sala Azzurra
	11:00- 13:00	Ararat, Cagin - Rudloff, Birgit "Dual representations for systemic risk measures"	Sala Stemmi
	11:00- 13:00	Colozza, Tommaso "Synthetic and cash sovereign credit market: heading towards a unified European framework"	Sala Stemmi
	11:00- 13:00	Corbetta, Jacopo - Peri, Ilaria "Backtesting Lambda Value at Risk"	Sala Stemmi
	11:00- 13:00	Cesarone, Francesco - Colucci, Stefano "A Quick Tool to forecast VaR using Implied and Realized Volatilities"	Sala Stemmi
	11:00- 13:00	Cai, Jiatu - Tankov, Peter "Asymptotic Lower Bounds for Optimal Tracking"	Sala Azzurra
	11:00- 13:00	Bedini, Matteo Ludovico - Buckdahn, Rainer - Engelbert, Hans-Jürgen "Brownian Bridges on Random Intervals"	Sala Azzurra
	11:00- 13:00	De Angelis, Tiziano - Ferrari, Giorgio - Moriarty, John "A solvable two-dimensional degenerate singular stochastic control problem with non convex costs"	Sala Azzurra
	11:00- 13:00	Hitaj, Asmerilda - Mercuri, Lorenzo - Rroji, Edit "Multivariate Mixed Tempered Stable Distribution"	Sala Azzurra
	14:00- 15:30	Baviera, Roberto - Mainetti, Teodoro "Going hybrid: a joint model for temperature and natural gas"	Sala Stemmi
	14:00- 15:30	Edoli, Enrico - Gallana, Marco - Vargiolu, Tiziano "Optimal intra-day power trading with a Gaussian additive process"	Sala Stemmi
	14:00- 15:30	Schmeck, Maren "Pricing options on forwards in energy markets: the role of mean reversion’s speed"	Sala Stemmi
	14:00- 15:30	Christa, Cuchiero "Polynomial processes in stochastic portfolio theory"	Sala Azzurra
	14:00- 15:30	Macaluso, Filippo - Mira, Antonietta - Schneider, Paul "How to sample from a distribution when only the moments are known with an application to affine"	Sala Azzurra
	16:00- 17:30	Marena, Marina - Romeo, Andrea - Semeraro, Patrizia "Pricing multivariate barrier reverse convertible with factor-based subordinators"	Sala Stemmi
	16:00- 17:30	Biffis, Enrico - Goldys, Beniamin - Prosdocimi, Cecilia "A pricing formula for delayed claims: Appreciating the past to value the future"	Sala Stemmi
	16:00- 17:30	Grbac, Zorana - Meneghello, Laura - Runggaldier, Wolfgang "Derivative pricing for a multi-curve extension of the Gaussian exponentially quadratic short rate"	Sala Stemmi
	16:00- 17:30	Barone-Adesi, Giovanni - Sala, Carlo "Sentiment Lost: the Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set"	Sala Azzurra
	16:00- 17:30	Lux, Thomas - Recchioni, Maria Cristina - Tedeschi, Gabriele "From bond yield to macroeconomic instability: a parsimonious affine model"	Sala Azzurra
	16:00- 17:30	Formenti, Matteo - Ramponi, Fabio - Spadafora, Luca - Terraneo, Marcello "The efficiency of Anderson-Darling test with limited sample size size: an application to"	Sala Azzurra