L’attività seminariale del gruppo Ingegneria finanziaria si articola su diverse forme di incontro che possono avere obiettivi diversi:

• sviluppare la diffusione della ricerca su tematiche di finanza quantitativa
• diffondere studi/risultati di tipo quantitativo all’interno della comunità finanziaria
• fornire agli studenti occasioni di incontro anche di natura non tecnica su tematiche attinenti il mondo della finanza.

Le attività comprendono seminari scientifici, workshop e incontri su temi specifici, corsi di formazione.

List

I seminari confluiscono nelle liste di seminari dipartimentali.

I seminari su tematiche Fintech confluiscono anche nelle iniziative della Fintech Research Network.

Workshops

• Oct 08 2026 ALGODEFI 26 Conference Dear all, Following the success of ALGODEFI24 and ALGODEFI25, I am happy to share the enclosed announcement and call for papers for the ALGODEFI26 Conference. ALGODEFI26: Algorithmic Trading, Decentralized Finance and Artificial Intelligence in Capital Markets Dates: October 8–9, 2026 Venue: Department of Mathematics, Politecnico di Milano Website Submission and registration are open on the conference website. Call for Papers: Accepting full papers or extended abstracts Deadline for Submission: September 1st, 2026 Notification of Acceptance: September 15th, 2026 Deadline for Registration: September 25th, 2026 Keynote Speakers Eduardo Abi Jaber (École Polytechnique) Sebastian Jaimungal (University of Toronto) We will have an industry-Oriented Session in a dedicated afternoon. 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, and 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.

• May 04 2026 QFinLab Seminar – Riccardo Brignone (University of Pavia) – 4/5/2026, 13:30 @ Department of Mathematics, Politecnico di Milano Dear colleagues,   you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.   Monday, 4 May 2026, 13.30 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus); online (Microsoft Teams), Link   Riccardo Brignone (University of Pavia)   Title: Pricing path-dependent options under stochastic volatility models with arbitrary accuracy Abstract: We propose a unified methodology for pricing general path-dependent derivatives, such as (without sake of exhaustiveness) Asian, barrier, variance, lookback and cliquet options. The proposed approach 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 new algorithm over existing literature consists in a simple and effective control of the error. A practitioner 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. In other words, the practitioner can easily control the accuracy of the price approximation, contrarily to any other approach proposed in the literature so far. We provide explicit formulas linking the variance of the Monte Carlo simulation estimator of the option price, the error tolerance, and the number of simulations. Leveraging such formulas, it is possible to drastically reduce computing times through variance reduction techniques, rendering the pricing methodology computationally efficient.     The organizers: Michele Azzone and Alessandro Calvia Next Seminar 25/4, Gabriele Sbaiz, University of Trieste

• Apr 21 2026 QFinLab Seminar – Neofytos Rodosthenous (University College London) – 21/4/2026, 15:30 @ Department of Mathematics, Politecnico di Milano Dear colleagues,   you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.   Tuesday, 21 April 2026, 15.30-16.30 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus); online (Microsoft Teams), Link    Neofytos Rodosthenous (University College London)   Title: Regulation in a mean-field investment game with climate damage. Abstract: We develop a mean-field model of firms investing in carbon-intensive (brown) capital, where productivity declines due to temperature-related climate damages linked to cumulative emissions. Firms aim to maximise expected discounted profits under stochastic capital dynamics driven by idiosyncratic shocks, facing a trade-off between investment-driven growth and increased emissions. We characterise the unique mean-field equilibrium as the solution to a coupled system of forward-backward ordinary differential equations. This framework also enables the analysis of optimal regulatory instruments — such as carbon emission taxes and brown production phase-out timelines — in line with long-term climate goals.   Next Seminar 4 May: Riccardo Brignone (University of Pavia)   The organizers: Michele Azzone and Alessandro Calvia.

• Mar 24 2026 QFinLab Seminar – Leandro Sánchez-Betancourt (University of Oxford) – 24/3/2026, 15:00 @ Department of Mathematics, Politecnico di Milano You are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Tuesday, 24 March 2026, 15.00-16.00 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus); online (Microsoft Teams) link  ,  Leandro Sánchez-Betancourt (University of Oxford) Title: Competition between DEXs through Dynamic Fees We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and derive tractable approximate closed-form expressions for the equilibrium fees. Our analysis shows that the two-regime structure found in monopoly models persists under competition: pools alternate between raising fees to deter arbitrage and lowering fees to attract noise trading and increase volatility. Under competition, however, the switching boundary shifts from the oracle price to a weighted average of the oracle and competitors' exchange rates. Our numerical experiments show that, holding total liquidity fixed, an increase in the number of competing DEXs reduces execution slippage for strategic liquidity takers and lowers fee revenue per DEX. Finally, the effect on noise traders' slippage depends on market activity: they are worse off in low-activity markets but better off in high-activity ones. All news can be found on the QFinLab webpage. The organizers: Michele Azzone and Alessandro Calvia.

• Mar 02 2026 QFinLab Seminar – Francesco Rotondi (Università Bocconi) – 2/3/2026, 13:15 @ Department of Mathematics, Politecnico di Milano You are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Monday, 2 March 2026, 13.15-14.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus); online (Microsoft Teams) Link ,  Francesco Rotondi (Università Bocconi) Title: Effective binomial discretizations of bivariate diffusion processes In this paper, we investigate the general conditions under which a bivariate continuous-time stochastic process can be approximated by a computationally tractable discrete-time bivariate binomial process. The main requirement is the explicit solvability of a specific system of partial differential equations associated with the norm of the volatility vectors. As a key application, we develop a simple recombining bivariate binomial tree for the stochastic volatility model introduced by Heston (1993). We then employ this discrete framework to compute no-arbitrage prices of European call and put options, obtaining results that are consistent with those generated by established numerical methods. Finally, we perform a detailed analysis of the two-dimensional free boundaries of American call and put options, examining their dependence on both the spot price and the spot volatility. The organizers: Michele Azzone and Alessandro Calvia. Next Seminar 24 March 2026: Leandro Sánchez-Betancourt (University of Oxford).