Elenco seminari del ciclo di seminari &ldquo;SEMINARI DI FINANZA MATEMATICA&rdquo;

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

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nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

Spring School in Finance 2019 on XVA modeling

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

Information, arbitrage, and the price of informational arbitrage

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

In financial markets, the introduction of inside information can lead to profitable trading opportunities and, in particular, to arbitrage possibilities. In the context of stochastic finance, this issue can be addressed by relying on the theory of enlargement of filtrations. We present some simple examples where informational arbitrage is possible and study the absence of arbitrage under additional information in the context of general semimartingale models. Finally, we try to determine the value of a private information which allows to realize arbitrage opportunities.

Analytical approximations of non-linear SDEs of McKean-Vlasov type

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

We provide analytical approximations for the law of the solutions to a certain class of scalar McKean-Vlasov stochastic differential equations (MKV-SDEs) with random initial datum. "Propagation of chaos" results (Sznitman 1991) connect this class of SDEs with the macroscopic limiting behavior of a particle, evolving within a mean-field interaction particle system, as the total number of particles tends to infinity. Here we assume the mean-field interaction only acting on the drift of each particle, this giving rise to a MKV-SDE where the drift coefficient depends on the law of the unknown solution. By perturbing the non-linear forward Kolmogorov equation associated to the MKV-SDE, we perform a two-steps approximating procedure that decouples the McKean-Vlasov interaction from the standard dependence on the state-variables. The first step yields an expansion for the marginal distribution at a given time, whereas the second yields an expansion for the transition density. Both the approximating series turn out to be asymptotically convergent in the limit of short times and small noise, the convergence order for the latter expansion being higher than for the former. The resulting approximation formulas are expressed in semi-closed form and can be then regarded as a viable alternative to the numerical simulation of the large-particle system, which can be computationally very expensive. Moreover, these results pave the way for further extensions of this approach to more general dynamics and to high-dimensional settings.

Randomization method in stochastic optimal control

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

probabilità

The talk is about a recently introduced methodology in stochastic optimal control theory, known as randomization method, firstly developed for classical Markovian control problem in the paper: I. Kharroubi and H. Pham "Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE", Ann. Probab., 2015. The randomization method consists, in a first step, in replacing the control by an exogenous process independent of the driving noise and in formulating an auxiliary (“randomized”) control problem where optimization is performed over changes of equivalent probability measures affecting the characteristics of the exogenous process. We will discuss the main features of this approach, showing that the randomization method allows for greater generality beyond the Markovian case. In particular, we may consider stochastic control problems with path-dependence in the coefficients (with respect to both state and control), without requiring any non-degeneracy condition on the controlled equation. The talk is based on joint works with E. Bandini, M. Fuhrman, H. Pham.

Alta Formazione in Finanza Matematica: presentazione didattica e testimonianze

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

SEMINARIO INTERDISCIPLINARE

Alta Formazione in Finanza Matematica: presentazione didattica e testimonianze

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

SEMINARIO INTERDISCIPLINARE

Settembre

Alta Formazione in Finanza Matematica: presentazione didattica e testimonianze

2015

Alessandro Gianfelici

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

SEMINARIO INTERDISCIPLINARE

Alta Formazione in Finanza Matematica: presentazione didattica e testimonianze

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

SEMINARIO INTERDISCIPLINARE

Alta Formazione in Finanza Matematica: presentazione didattica e testimonianze

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

SEMINARIO INTERDISCIPLINARE

"Forecasting forward price curves in electricity markets: a factor model"

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

A dynamic factor model for the cross section for italian electricity forward prices is presented. This market is characterised by a small number of quotations for each forward contract and by a large bid-ask spread. Moreover, it is not uncommon to observe inconsistencies in the cross section of forward quoted prices. The aim of the proposed model is twofold. Firstly, this approach allows to filter out noise and to help in identifying inconsistencies. Secondly, it provide a tool to fill-in missing quotations and to unpack forward contract with long delivery into smaller ones (i.e. a quarter or a calendar into its monthly components). The model is built using monthly contracts are used as basic entities and their dynamics is modeled as follows. The cross section of those contracts is decomposed in two set of factors: the first set, which depends on the time-to-delivery, allows to financial structure of the market. The second set, which depends on the actual delivery month, will capture the seasonal component. The parameters of those factors are allowed to be slowly varying to achieve maximal flexibility.

Giugno

19

Dott. Fabio Bellini - Milano Bicocca

Risk management with expectiles

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

We discuss the main properties of the expectiles, a one parameter family of coherent risk measures introduced in the statistical literature by Newey and Powell (1987). Expectiles are the only coherent risk measures that are also elicitable, in the sense that they can be equivalently defined as the minimizers of an expected loss; this property provides a natural methodology to perform a consistent backtesting. In this talk we explore the potential applicability of expectiles in a capital regulation framework, as an alternative to VaR and CVaR.

Giugno

12

Prof.ssa Sabrina Mulinacci - Università di Bologna, Dipartimento di Statistica

"Generalizations of the Marshall-Olkin distribution: applications to contagion and systemic risk modeling"

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

A generalization of the Marshall-Olkin distribution is presented in order to allow for dependence among the systemic shock and the idiosyncratic shocks inducing defaults in a system. This model is used to incorporate contagion in the analysis of a set of obligors. The task will be to identify the infectious elements, to measure the degree of contagion and to allow for it in the estimation of the systemic risk.

Maggio

22

Dott. Marco Bianchetti - Head of Financial Modelling & Validation Intesa San Paolo

Modern derivatives pricing with collateral and funding risk

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

* The interest rate market after the credit crunch * Modern derivatives modelling with multiple funding sources* Funding Value Adjustment (FVA)

Maggio

Dott.Enrico Malverti - Mc Capital Ltd

Algoritmi automatici di trading e loro utilizzo nell'ottimizzazione statistica delle strategie di trading.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

30

Issues in longevity risk.

Dott.ssa Valeria D'Amato

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

29

Dott. Luca Regis - IMT Lucca

Longevity risk modelling and hedging via continuous-time cohort models

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

Longevity risk, i.e. the risk of unexpected changes in the survivorship of policyholders, is perceived as one of the major threats to the long-run solvency of annuity providers, such as pension funds. Continuous-time models represent a useful tool in the modelling of stochastic mortality. Non-mean reverting affine cohort processes (Luciano and Vigna, 2008)provide a parsimonious but accurate description of mortality tables. They are particularly suited to pricing and hedging purposes, due to their analytical tractability. I present applications of such models to the management of insurance portfolios. I focus on longevity risk hedging techniques, such as natural hedging, and reinsurance strategies. I will discuss the implementation and the effectiveness of such strategies, as well as the effects of different risk sources (interest-rate risk, investment risk) - along with longevity risk - on the solvency of insurers.

23

Dott. Marco Antonio Boschetti

Portfolio optimization: methods and software

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

03

Dott. Daniele Marazzina - Politecnico di Milano, Dipartimento di Matematica

Fast pricing of discretely monitored exotic otions by a numerical Wiener-Hopf procedure.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

We present a fast and accurate pricing techniques based on the Spitzer identity and the Wiener-Hopf factorization. We apply it to barrier and lookback options when the monitoring is discrete and the underlying evolves according to an exponential Lévy process. The numerical implementation exploits the fast Fourier transform and the Euler summation. The computational cost is independent of the number of monitoring dates; the error decays exponentially with the number of grid points.

Numerical methods and optimisation in finance.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

28

Dott. Luca Lotti - Cassa Depositi e Prestiti

Il rischio di concentrazione: valutazione e disegno di un sistema di limiti.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

27

Dott.ssa Angelica Gianfreda - London Business School

A Decade of History: New Features and Properties of Electricity Prices.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

After the deregulation process observed in the electricity sector,producers and consumers, and in general all market participants,faced different types of risks as market and volume risks. Hence, practitioners and scholars have been continuously involved in monitoring electricity prices. Over more than a 10-year history,power markets changed according to new technologies and energy regulations. Therefore, we investigate the “new stylized facts” of these prices. Comparing alternative methods and controlling for the price fundamentals of demand and fuels, we show how electricity prices have been affected by the stochastic nature of wind generation.

27

Ing. Silvio Fantini - Gruppo Banca Sella

Capital and Liquidity Risk within Basel 3 framework.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

26

Dott. Gian Luca De Marchi - Unipol Gruppo Finanziario S.p.a.

Utilizzo dei modelli di rischio in ambito assicurativo.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

19

Dott. Giacomo Petrini - Banco Popolare

I parametri regolamentari di Probabilità di Default e Loss Given Default: sviluppo dei modelli ed operatività delle funzioni di controllo.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

19

Dott. Alessio Brussino e Dott.ssa Cinzia Riccardi - Banco Popolare

Extreme Value Theory and Applications.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

14

Dott.ssa Elena Girotti Zirotti e Dott. Andrea Trovato - Eurizon Capital SGR

Volatilità e strategie di momentum per il mercato azionario.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

13

Dott. Aldo Nassigh - UniCredit Group

Misure di rischio di default per portafogli speculativi.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

Dott. Enrico Malverti - Mc Capital Ltd

Algoritmi automatici di trading e loro utilizzo nell'ottimizzazione statistica delle strategie di trading.

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

11

Prof.ssa Claudia Ceci, Università degli Studi “G. D'Annunzio” , Pescara

Risk minimizing hedging under partial information via Backward Stochastic Differential Equations

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

A financial market in the case where there are restrictions on the available is considered. We provide the Galtchouk-Kunita-Watanabe representation for a contingent claim under restricted information and, as a consequence, we deduce existence and uniqueness for the solution of linear backward stochastic differential equations (BSDEs) driven by a general càdlàg martingale in a partial information setting. Next, this result is extended to non linear BSDEs with Lipschitz driver and we provide the Föllmer-Schweizer decomposition (in the restricted information framework) with respect to an underlying risky asset price process described by a semimartingale. We discuss an application to risk-minimization. First, in the case where the risky asset price process is directly modeled under a martingale measure. Second, in the more general semimartingale case by introducing the concept of locally risk-minimizing strategies and characterizing the optimal strategy via the Föllmer Schweizer decomposition under restricted information. Finally, an example in the martingale case shows how to compute the risk-minimizing hedging strategy in terms of the filter when the risky asset price is described by a jump-diffusion process. More precisely, we assume that the behavior of the risky asset price depends on an unobservable stochastic factor and that the investors can only observe the prices but not the stochastic factor which affects their dynamics.

Dott. Alessio Brussino -- Banco Popolare

Extreme Value Theory and Applications

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

07

Dott. Alessandro Cesarini Banca Aletti - Gruppo Banco Popolare

Quanto options implied skew from standard options implied skew

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

Febbraio

22

Prof. Uwe Wystup Frankfurt School of Finance & Management and Managing Director of MathFinance

FX Options and Structured Products

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

In Foreign Exchange Options markets first generation exotics like barrier and touch options have become vanilla-like commoditized derivatives traded in a liquid market. We review some of the traditional vanna-volga models frequently used by practitioners and software vendors, demonstrate their pros and cons, determine consistency and design requirements as well as limitations. We show how recent trends try to overcome the inconsistencies with stochastic-local volatility hybrid models (SLV). We provide an overview of such models used in the market and show by case studies how they relate to vanna-volga based approaches.

Gennaio

25

Viviana Fanelli - Università di Bari

Statistical Arbitrage in Commodity Markets

nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA

finanza matematica

We review some statistical arbitrage strategies applied to stock markets and investigate their use for trading in commodity markets. A general methodology to develop a statistical arbitrage trading strategy is devised. Cointegration techniques are used to find a long run relationship among commodities and build a portfolio whose value is represented by the deviation from this long run equilibrium. We then verify that the portfolio dynamics contain some predictable components and test trading rules that rely on these predictability properties of the portfolio process. Finally, several profit indicators are proposed in order to measure the performance of the strategy.

Gennaio

17