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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

Securing Decentralized Finance and Remote Healthcare Systems – SHIELD

Data inizio: 22 ottobre 2024

Durata (mesi): 12
Partecipanti al progetto: Emilio Barucci, Daniele Marazzina

Il progetto SHIELD ha l’obiettivo di sviluppare soluzioni avanzate per proteggere gli utenti dei sistemi di finanza decentralizzata dalle frodi informatiche.

Nel contesto della finanza decentralizzata, il gruppo di ricerca del Politecnico di Milano si concentrerà sull’elaborazione di modelli predittivi basati su tecniche di machine learning per la valutazione dei segnali di mercato e sullo studio delle adozioni di stable coin e monete digitali. Questi strumenti possono giocare un ruolo importante nella prevenzione di frodi.

The SHIELD project aims to develop advanced solutions to protect users of decentralized finance systems from cyber fraud.

In the context of decentralized finance, the research group at Politecnico di Milano will focus on developing predictive models based on machine learning techniques for assessing market signals, as well as studying the adoption of stablecoins and digital currencies. These tools can play an important role in fraud prevention.