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. 

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.

Martedì 21 maggio alle ore 18.30 ti invitiamo a partecipare alla presentazione della 10^ edizione del Percorso Executive in Finanza Quantitativa, a cura del Direttore, Prof. Emilio Barucci.

Il Percorso Executive in Finanza quantitativa partirà a novembre 2019 aggiornato nelle tematiche e nella struttura per stare al passo con le continue evoluzioni e richieste del mercato.

Il percorso, in formato part-time verticale (lezioni giovedì, venerdì e sabato) è strutturato in 6 moduli didattici + un Project work finale e si avvale di una docenza di accademici provenienti da primarie università italiane e di alcuni dei più noti esperti e professionisti dei mercati finanziari, oltre ai docenti del Dipartimento di Matematica del Politecnico di Milano.

Per informazioni: [sito]

This course aims at providing an introductory and broad overview of the field of Machine Learning (ML) with the focus on applications on Finance.

Detailed Program:

1.Introduction to Financial problems and their classical solutions

2.Introduction to Machine Learning

– Supervised Learning

  – Overview of regression and classification techniques

  – Financial applications: price prediction, modeling bank failures

– Unsupervised Learning

  – Overview of clustering and dimensionality reduction techniques

  – Financial applications: stock returns, estimation of equity correlation matrix

– Reinforcement Learning

  – Overview of value-based and policy-based techniques

  – Financial applications: option pricing, stock trading

Venue: Department of Mathematics, Politecnico di Milano

Time Table:

Introduction to Financial applications (Baviera, Marazzina, Rroji):

June 13: 9:30-12:00, 14:30-17:00 (Prof. Marazzina)

June 17: 9:30-12:00 (Prof. Baviera), 14:30-17:00 (Prof. Rroji)

June 18: 9:30-12:00 (Prof. Baviera), 14:30-17:00 (Prof. Rroji)

Machine Learning (Restelli, Baviera):

June 20, 21, 25, 27, 28: 10:00-13:00 (Prof. Restelli)    

July 1: 15:00-17:00 (Prof. Baviera)

For information: daniele.marazzina@polimi.it

Si avvisa che in data 16/4/2019, alle ore 14:30 , presso Aula seminari del sesto piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:

Titolo: Limit Theorems for the Fractional Non-homogeneous Poisson Process
Relatore: Enrico Scalas, University of Sussex
Abstract:
The fractional non-homogeneous Poisson process was introduced by a time-change of the non-homogeneous Poisson process with the inverse α-stable subordinator. We propose a similar definition for the (non-homogeneous) fractional compound Poisson process. We give both finite-dimensional and functional limit theorems for the fractional non-homogeneous Poisson process and the fractional compound Poisson process. The results are derived by using martingale methods, regular variation properties and Anscombe\’s theorem. Eventually, some of the limit results are verified in a Monte Carlo simulation.

This is a joint work with Nikolai Leonenko and Mailan Trinh.