Seminar: Alessandro Calvia – 19 March 2019

Mar 19 2019

Si avvisa che in data 19/3/2019, alle ore 12:30 precise, presso Aula Seminari al Sesto Piano, si svolgerà il seguente seminario:

Titolo: Risk measures and progressive enlargement of filtrations: a BSDE approach
Relatore: Alessandro Calvia, Università degli Studi di Milano-Bicocca

Abstract:

Risk measures are nowadays well-established tools in mathematical finance to evaluate the riskiness of a future financial position, both in a static and in a dynamic (i.e., time dependent) setting. Also, Backward Stochastic Differential Equations (or BSDEs, for short) are widely adopted tools in mathematical finance. From the beginning of the 21st century, connections between dynamic risk measures and BSDEs have been studied in the literature. Thanks to the theory of g-expectations, introduced by S. Peng, one can induce a dynamic risk measure from a BSDE. This can be done mapping the terminal condition of the BSDE (modeling a future financial position) into the first component of the corresponding solution. Clearly, this kind of risk measures depend on the noise and on the map g (called driver) appearing in the BSDE. The case of noise given by either a Brownian motion or a Brownian motion and an independent Poisson random measure is studied in the literature. Properties of the driver g, such as monotonicity, convexity, homogeneity, etc., are reflected in the properties of the dynamic risk measure and vice versa. The aim of this talk is to show that it is possible to induce a dynamic risk measure from a BSDE whose driving noise is given by a Brownian motion and a marked point process. In terms of the underlying information flow, this corresponds to the progressive enlargement of a Brownian reference filtration with the information brought by the occurrence of random events at some random times. We will prove that the original risk measure can be split into different risk measures, evaluating future financial position between each of these random events, that are induced, in turn, by a family of indexed Brownian BSDEs. We also show connections between properties of the driver of the BSDE and the induced risk measure and its time-consistency. This is joint work with Emanuela Rosazza Gianin.


Fintech Round Table – March 14, 2019

Mar 14 2019

Il tempo del FINTECH è adesso : la Digital Transformation ha rivoluzionando in modo radicale tutti i livelli degli attuali modelli di business nel settore finanziario; per poter rispondere in modo proattivo alla Fintech Revolution , il MIP Politecnico di Milano ha sviluppato il nuovo Master internazionale in FINTECH – Finance and Digital Innovation .

In occasione del lancio del nuovo master, siamo lieti di invitarvi alla Roundtable che si terrà giovedì 14 marzo alle ore 18.00 presso il Campus MIP.

Durante l’evento, il Direttore del Master,Prof. Emilio Barucci, le aziende sponsor e un Head Hunter di Aegis Human Consulting Group, presenteranno le nuove frontiere del Fintech e le opportunità di carriera, le opportunità e lesfide per giovani professionisti e per le imprese di questo settore.

Agenda

• 18.00: Roundtable

Modera Prof. Emilio Barucci, Direttore Master FINTECH con la partecipazione di Andrea Marchesini, Partner & Director, Aegis UK

– Roberto Villa, Manager of Research ecosystem, IBM Italy

– Savino Damico, Head of Fintech Ecosystem Management and Monitoring Innovation Dept., Intesa Sanpaolo

– Paolo Gianturco, Head of Fintech&FS Tech-EMEA Blockchain Lab co-leader, Deloitte

– Vittorio Giusti, Chief Operating Officer, Aviva Italia

– Andrea Prampolini, Head of Financial markets technology, Banca IMI

– Marco Scappa, Head of Fabrick Corporate Fintech, Fabrick S.p.A

• 19.15: Q&A

• 20.00: Aperitivo

La partecipazione all’evento è gratuita previa registrazione. Al termine dell’evento è previsto un aperitivo di networking.


Seminar: Claudio Fontana – 5 March 2019

Mar 05 2019

Si avvisa che in data 5/3/2019, alle ore 12:30 precise, presso Aula Seminari al Terzo Piano, si svolgerà il seguente seminario:

Titolo: The Value of Informational Arbitrage
Relatore: Claudio Fontana, Università degli Studi di Padova

Abstract:
In the context of a general semimartingale model, we aim at answering the following question: How much is an investor willing to pay for learning some inside information that allows to achieve arbitrage? If such a value exists, we call it the value of informational arbitrage. In particular, we are interested in the case where the inside information yields arbitrage opportunities but not unbounded profits with bounded risk. In the spirit of Amendinger et al. (2003), we provide a general answer to this question by means of an indifference valuation approach. To this effect, we establish some new results on models with additional information and study optimal investment-consumption problems in the presence of additional information and arbitrage, also allowing for the possibility of leverage. We characterize when the value of informational arbitrage is universal, in the sense that it does not depend on the preference structure. This talk is based on joint work with H.N. Chau and A. Cosso.


Fintech Talent Day

Il Politecnico di Milano, in collaborazione con il Fintech District, ha lanciato il primo Fintech Talent Day, una competizione studentesca, aperta a studenti di Ingegneria Matematica, Gestionale ed Informatica, sul tema Fintech.
40 studenti hanno partecipato all’iniziativa: divisi in gruppi, ciascuno associato ad una Fintech, sono stati chiamati a risolvere un business game.
Alla fine è risultato vincitore il team che ha collaborato con Walliance, composto da 4 Ingegneri Matematici ed 1 Ingegnere Gestionale.


Caccia Al Tesoro Finanziaria

Continua la diffusione della nostra Caccia al Tesoro Finanziaria: questa volta siamo stati all’Istituto Fusinato di Padova!