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Presentazione Rapporto ESG 2025 del QFinLab

Dec 03 2025
Durante il prossimo workshop dell’Osservatorio Digital & Sustainable del Politecnico di Milano ”Misurare la sostenibilità: KPI, modelli per il calcolo dell”impatto e rendicontazione” (03/12/2025, ore 14:30), organizzato in collaborazione con Assolombarda e il QFinLab, verrà presentato il Rapporto ESG 2025 sulle società quotate italiane a cura del Laboratorio QFinLab. Il rapporto è curato in collaborazione con Technestai.
 
Il rapporto è scaricabile qui.

QFinLab Seminar – Sergio Pulido (Université Paris–Saclay, CNRS, ENSIIE, Univ Évry, LaMME) – 9/12/2025, 12:15 @ Department of Mathematics, Politecnico di Milano

Dec 09 2025

QFinLab – Department of Mathematics, Politecnico di Milano

December 9, 2025, 12.15-13.15

Seminar room, third floor, building 14, Leonardo Campus

 

Sergio Pulido (Université Paris–Saclay, CNRS, ENSIIE, Univ Évry, LaMME)

 Polynomial Volterra processes

Abstract: Recent studies have extended the theory of affine processes to the stochastic Volterra equations framework. In this talk, I will describe how the theory of polynomial processes extends to the Volterra setting. In particular, I will explain the moment formula and an interesting stochastic invariance result in this context. Potential applications to fractional volatility models will be discussed.

 This is joint work with Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari and Sara Svaluto-Ferro.

 

QFinLab Seminar Luca Del Viva (ESADE Business School)

Nov 25 2025
 
 
Dear colleagues,
you are all invited to participate in the following seminar organized by QFinLab – Department of Mathematics, Politecnico di Milano.
Tuesday, 25 November 2025, 12.15-13.15
Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)
Luca Del Viva (ESADE Business School)
Title: Bank Equity Premia and the Fed Regulatory Stance.
Abstract: We examine the interplay between the Federal Reserve’s communication on banking regulation and U.S. bank equity returns. Using a comprehensive set of 124 anomaly characteristics, we show that a pro-regulation stance in Fed speeches can largely explain abnormal returns in the cross-section of bank equities, generating daily market corrections of 0.51 per cent. The effects can be attributed to a reduction in risk premia for illiquid bank stocks, and we find no comparable effect among non-banks. These findings highlight the role of regulatory communication as a distinct determinant of banks’ cost of equity.
 
Attendance is also possible online (Microsoft Teams), clicking here
 
All news can be found on the QFinLab webpage.
The organizers: Michele Azzone and Alessandro Calvia.

QFinLab Seminar Riccardo Brignone (Università di Pavia)

Oct 23 2025
Dear colleagues,
you are all invited to participate in the following seminar organized by QFinLab – Department of Mathematics, Politecnico di Milano.
Thursday, 23 October 2025, 14.30-15.30
Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)
Riccardo Brignone (Università di Pavia)
Title: Pricing path-dependent options under stochastic volatility models with full error control.
Abstract: In this paper, we propose a unified methodology for pricing general path-dependent derivatives (e.g., Asian and Barrier options) that is based on the Monte Carlo-Conditional Fourier-cosine method and works for a broad class of stochastic volatility models. The main benefit of the proposed approach over existing literature consists in a simple and effective control of the error. A practitioner simply needs to provide the pricing algorithm with two parameters: i) a probability, q; ii) an error tolerance epsilon. Then, our proposed algorithm provides a price approximation that differs by no more than epsilon from the true unknown option price with probability at least equal to q. We provide an explicit link between the variance of the Monte Carlo simulation estimator of the option price, the error tolerance, and the number of simulations. In this way, the pricing methodology becomes extremely efficient when combined with effective variance reduction techniques that drastically reduce the number of simulations (and, consequently, the computing time) required to obtain an arbitrarily accurate price estimate.
Joint work with Gero Junike.
 
 
Attendance is also possible online (Microsoft Teams), clicking here
 
All news can be found on the QFinLab webpage.
The organizers: Michele Azzone and Alessandro Calvia.

QFinLab Seminar – Anna Maria Gambaro (Università del Piemonte Orientale)

Oct 01 2025

Dear colleagues,

you are all invited to participate in the following seminar organized by QFinLab – Department of Mathematics, Politecnico di Milano.
Wednesday, 1 October 2025, 12.15-13.15
Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)
Anna Maria Gambaro (Università del Piemonte Orientale)
Title: Functional PCA for Risk-Neutral densities in Bayes Hilbert space.
Abstract: In this work, we investigate the main drivers of risk-neutral densities of quoted stocks, using the functional principal component analysis (FPCA). To this end, we first construct a historical series of risk-neutral densities corresponding to quoted option prices with fixed time to maturity, using exponential expansions of orthogonal polynomials. Then, we apply the centered log-ratio transformation (CLRT) to the extracted densities and we perform the FPCA in the Bayes–Hilbert space. The CLRT provides an isometric isomorphism between the Bayes space of square log-integrable densities and the classical Hilbert space of square-integrable functions. As a result, the projected data onto the principal component basis correspond to the CLRT-transformed densities, and the application of the inverse CLRT yields proper density functions. Furthermore, by modeling the historical series of FPCA loadings as a stochastic process, we exploit the FPCA representation for forecasting purposes. Finally, we discuss extensions of this framework to cross-asset analyses and to the modeling of option price surfaces.
This is a joint work with A. Amici e G. Fusai.
 
Attendance is also possible online (Microsoft Teams), clicking here.
 
All news can be found on the QFinLab webpage.
The organizers: Michele Azzone and Alessandro Calvia.
 
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