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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.
 

QFinLab Seminar – Marco Tolotti (Università Ca’ Foscari Venezia)

Jun 09 2025

Dear colleagues,

you are all invited to participate in the following seminar organized by QFinLab – Department of Mathematics, Politecnico di Milano.

Monday, 9 June 2025, 12.15-13.15

Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)

Marco Tolotti (Università Ca’ Foscari Venezia)

Title: Market Dynamics, Learning, and the Equity Premium Puzzle in an Agent-Based Model of Information Acquisition.

Abstract: We analyze a financial market with a large number of investors who use an imitation-based learning mechanism to choose among various strategies that differ in the amount and quality of information they incorporate. Agents’ strategies evolve through a straightforward learning mechanism in which traders occasionally imitate more successful strategies adopted by peers they encounter. In this context, equilibrium is defined as a state where investors, on average, win half the time and lose in the remaining periods.
Through an agent-based model, we show that at equilibrium, most investors rely on a limited number of strategies. In most scenarios, two strategies dominate: overly cautious traders, who hold little equity and capture the largest market share, and informed traders, who achieve higher average profits. Our model can help to justify the existence of an equity premium puzzle: in equilibrium, the higher mean profit of informed investors is associated with a median profit that is equal to that of more prudent or misinformed investors.

The organizers: Michele Azzone and Alessandro Calvia.

ALGODEFI25

Oct 16 2025

 

Algorithmic Trading, Decentralized Finance and Artificial Intelligence in Capital Markets

The conference is to be held on the October 16-17 2025 at Politecnico di Milano

Venue: Department of Mathematics

Conference Room: Aula Rogers

web site

Second edition

Call for papers: papers or extended abstract 

Deadline for submission: September 1st 

Notification of acceptance: September 15th

Deadline for registration: October 1st

Keynote speakers:

  • Paul Besson (Head of Quant Research, Euronext) TBD
  • Thierry Foucault (HEC Paris) AI-Powered traders and liquidity in securities markets
  • Martin Herdegen (University of Stuttgart) Optimal Dynamic Fees in Automated Market Makers
  • Eyal Neumann (Imperial College) Fredholm Approach to Nonlinear Propagator Models

Scientific committee: Emilio Barucci (chair), Tomaso Aste, Michele Azzone, Leandro Sánchez Betancourt, Andrea Prampolini

Description

The landscape of financial markets is changing significantly thanks to new technologies and methodologies that are profoundly modifying their architecture and functioning. Among the innovations, we have the possibility of operating using real-time market information, machine learning techniques, automatic trading strategies, automatic market making, distributed ledger technologies, digital assets, smart contracts, cryptocurrencies. The objective of the workshop is to offer an opportunity for the academic and industrial communities to meet and discuss research advancements on these topics.

Sponsorship: Banca Intesa Sanpaolo, IASON Ltd

Under the auspices of ASSIOM FOREX, SHIELD Project

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