QFinLab, the research group on Quantitative Finance – Politecnico di Milano, is pleased to announce Polimi Fintech Series. Featuring contributions from both leading academics and practitioners, the series, under the fintech-ho2020.eu and the Cost Fin-AI.eu project, will explore challenges facing Fintech today. Guided by the expertise of QFinLab, this seminar series will provide a forum for …
www.mate.polimi.it/fintech June 10-11, 2021 – Online Conference Big Data and Machine Learning are driving a significant transformation in the financial industry. Amazing examples include: robo-advisory; predicting frauds in payment systems; development of sophisticated algorithmic trading strategies; systemic risk assessment; rating of companies/financial products using a huge amount of information; development of chatbots for customers; nowcasting …
Niklas Wagner (Passau University) Give Me a Break: Is the Equity Premium a Trading Break Premium? May 12, 2020 – 12.30 Abstract This paper addresses the relation between market risk and expected market returns under periodic trading breaks. We propose a model where asset prices are driven by a diffusion process …
Pasquale Cirillo (TU Delft) The distortions of finance May 5, 2020 – 12.30 Abstract Finance is a world of distortions. Many tools we use, many findings we know are actually the result of a distortion. Take the well-known Black-Scholes model: the probability to be in the money at maturity under P …
Sospeso per indicazioni ministeriali Rosario Mantegna (Palermo University) Trading networks in a stock exchange: the case of LSE and of the Nordic Stock Exchange with a focus on high-frequency trading Canceled Abstract We study the heterogeneity of financial actors trading in a fully electronic stock market. The investigated stock markets are the …
Andrea Tarelli – Università Cattolica (Milano) Bail-in vs bail-out: Bank resolution and liability structure (joint work with Luca Leanza and Alessandro Sbuelz) February 18, 2020 – 12.00 Abstract What is the joint impact of different resolution regimes and capital requirements on the optimal liability structure of a bank holding insured deposits and issuing non-bailinable debt …
Paolo Di Tella – Technische Universitat – Dresden Semistatic and sparse variance-optimal hedging Tuesday February 11, 2020, 10:30 am – “Aula Seminari MOX” VI Floor Abstract We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy?and?hold) positions in other assets. We give …
Si avvisa che in data 21/1/2020, alle ore 11:00 precise, presso Aula Seminari Terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Stochastic Optimization with Multiple Time Scales Relatore: Martin Glanzer, University of Vienna Abstract: Real-world multistage stochastic optimization problems are often characterized by the fact that the decision …
Si avvisa che in data 22/10/2019, alle ore 14:15 , presso Aula seminari del terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Titolo: Pricing and hedging in rough Heston models Relatore: Omar El Euch, Spire Europe Limited
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 …
