Seminar: Prof. Peter Carr (New York University), September 13th 2019

Sep 13 2019

Si avvisa che in data 13/09/2019, alle ore 12:15 , presso la sala consiglio del settimo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario con:

Titolo:  Algebraic Option Pricing
Relatore: Prof. 
Peter Carr, New York University

Abstract:
Optionality arises whenever an investor can choose between owning either of two
assets. We treat the value of optionality as a modified sum. We then explore
options on options as sums of sums. This viewpoint allows us to derive a simple
closed form formula for a Bermudan option.

Percorso executive in Finanza Quantitativa

Jun 25 2019

La 10^ edizione del Percorso executive in Finanza Quantitativa si rivolge a neolaureati e laureandi in discipline scientifiche, economiche, finanziarie e aprofessionisti del settore che desiderano acquisire ed aggiornare le proprie competenze per poter operare all’interno dei vari ambiti della finanza quantitativa: gestione dei portafogli, valutazione dei prodotti finanziari,trading gestione del rischio.

Le selezioni sono ancora in corso! Affrettati ad inviare la tua candidatura su www.applyformasters.net per prendere parte all’aula in partenza! 

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Seminar: Matteo Formenti (UNICREDIT) June 4th, 2019

Jun 04 2019

Si avvisa che in data 04/06/2019, alle ore 12:15 , presso l’Aula seminari del terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:

Title: Behavioral models in the banking activity
Speaker: Matteo Formenti, UNICREDIT

Abstract:

The NMD behavioural models are a crucial driver of the maturity transformation activity and bank’s profitability because their goal is to estimate the stable source of funding, the volume that can be used for medium long term lending, and the volume that represents a fixed rate cost. Being the nature of the behavioural models very heterogeneous, and the use within the bank so widespread, this presentation aims at introducing a Framework, composed by six Principles, that allows to set the proper modelling of the clients’ behavior jointly with the banks’ need. Furthermore, an application of the most advanced modeling that considers the financial wealth allocation at clients level will be shown.


Seminar Prof. Alberto Bressan May 28th, 2019

May 28 2019

Si avvisa che in data 28/5/2019, alle ore 17:00 , presso Aula seminari del terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:

Title: Game-theoretical models of debt and bankruptcy
Speaker: Prof. Alberto Bressan, Penn State University

Abstract:
The talk will be concerned with problems of optimal debt management.   In a basic model, the interest rate as well as the bankruptcy risk are given a priori. In this case the borrower faces a standard problem of optimal control.
In alternative, debt management can be modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process. When the debt-to-income ratio surpasses a given threshold, bankruptcy occurs. 
The interest rate charged by the risk-neutral lenders is precisely determined in order to compensate for this possible loss of part of their investment.
Existence and properties of optimal feedback strategies for the borrower will be discussed, in a stochastic framework as well as in the limit deterministic setting. 


Seminar: Giovanna Apicella May, 14th

May 14 2019

Si avvisa che in data 14/05/2019, alle ore 12:30 , presso Aula seminari del terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:

Titolo: Actuarial and behavioural approaches to longevity modelling
Relatore: Giovanna Apicella University of St. Gallen, Switzerland

Abstract:

In the seminar, we combine ideas and methods from behavioral economics and actuarial science, with respect to the study of the longevity phenomenon. In the first part, we discuss actuarial approches to longevity modelling. In particular, we introduce a new dynamic corrective methodology of the predictive accuracy of extrapolative stochastic mortality models (Apicella , Dacorogna, Di Lorenzo and Sibillo 2019); such a method exploits the features of the Cox-Ingersoll-Ross stochastic process to provide a mortality model benchmark on the fitting time horizon, along with a sound and parsimonious corrective factor on the forecasting time horizon. By exploiting the Cairns-Blake-Dowd model  (also known as Model M5) as the baseline model, it is shown how much, in  both a static and dynamic setting, the ex-post forecasting performance of the baseline is increased, as a result of the applied correction (mCBD model). In the second part, we address the topic of longevity modelling under a behavioural perspective, that is subject of a lively and topical discussion in the literature: we make a brief overview of subjective beliefs about individual longevity and the behavioural biases potentially affecting them. Survival beliefs contain unique information about mortality and affect economic decisions, such as the willingness to buy life insurance products, i.e. annuities. Relevant literature is discussed. Along with contextualizing our research, also a few preliminary research outcomes in this framework are shown. 

This is a joint work Prof. Enrico de Giorgi.