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

• Mar 20 2025 Climate Risk Seminar -March 2025 QFinLab promotes a series of thematic seminars on climate risk. Climate transformations have a deep impact on economic activity with implications ranging from the definition of green transition policies to the evaluation of financial assets, from the construction of innovative financial and insurance products to risk management, from the design of mechanisms incentive to asset management and much more. Themes that pose intriguing questions to the academic world, involving, those who deal with models to interpret a phenomenon that by its nature is very complex. The activities are organized through a series of double seminars with discussants. The third meeting is scheduled for March 20, 2025 15.00-17.00 Department of Mathematics- Seminar room- III floor Andrea Macrina (UCL-London) Climate-Contingent Convertible Bonds (CloCo) – Seizing the Opportunity to Innovate and Adapt Adjustments to governmental climate transition policies and uncertainties linked to the ability for industry sectors and consumers to manufacture and purchase low carbon technologies, respectively, have led to an increasing need to embed a richer framework for uncertainty in climate transition outcomes. Such uncertainties create financial risks for firms, their investors, the banking sector, and potentially sovereign risks. The need thus arises for the development of a bespoke pricing setup and financial instruments, which offer a mechanism to share climate transition risk. As an example, we propose the so-called climate-contingent convertible (CLoCo) bond. This instrument enables firms to reduce the risk of default due to adverse climate transition policies over the product's lifetime and to respond to new investment opportunities by freeing up capital supporting more financial agility. The proposed financial innovation implies reduced risk of default for firms, thereby increasing the expected firm value, but it also reduces the dependency of firm failures on the banking sector and potential bail-out costs incurred by sovereign nations. Joint work with C. Cormack Discussant: Emilio Barucci (Politecnico di Milano)   Luca Regis (Università di Torino) Coordinating Dividend Taxes and Capital Regulation We study the impact of state-contingent dividend taxes (and bans) and capital regulation on a firm’s optimal strategy and value. In the model, the firm generates stochastic income under time-varying macroeconomic conditions. Its manager distributes dividends and issues costly equity to maximize shareholder value. We solve the manager’s stochastic control problem and derive the firm’s reserve distribution in closed form. Imposing dividend taxes (or bans) during crises generates a trade-off, as it encourages reserve accumulation in bad states but promotes payouts in good ones. Also, the policy undermines financial stability by reducing the firm’s value and its recapitalization incentives across states. Coordinating dividend taxes with counter-cyclical capital regulation can mitigate value losses and ameliorate the trade-off, but it also creates additional recapitalization disincentives. Joint work with Salvatore Federico and Andrea Modena Discussant: Alessandro Calvia (Politecnico di Milano)   This event has been (partially) supported by MUR, Department of Excellence 2023-27

• Mar 05 2025 QFinLab Seminar – Katia Colaneri (Università di Roma Tor Vergata) Dear colleagues, you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Wednesday, 5 March 2025, 12.00-13.00 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus) Katia Colaneri (Università di Roma Tor Vergata) Title: Expect the worst! Optimal emission abatement under tax policy uncertainty and stochastic differential games.  Abstract: We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of CO emissions in an environment where carbon tax policy is random and where the investment in the abatement technology is divisible, irreversible and subject to transaction costs. We consider two approaches for modelling the randomness in taxes. First we assume a precise probabilistic model for the tax process, namely a pure jump Markov process (so-called tax risk); this leads to a stochastic control problem for the investment strategy.   Second, we analyze the case of an uncertainty-averse producer who uses a differential game to decide on optimal production and investment. We carry out a rigorous mathematical analysis of the producer's optimization problem and of the associated nonlinear PDEs in both cases. Numerical methods are used to study quantitative properties of the optimal investment strategy.    We find that in the tax risk case the investment in abatement technologies is typically lower than in a benchmark scenario with deterministic taxes. However, there are a couple of interesting new twists related to production technology, divisibility of the investment, tax rebates and investor expectations. In the stochastic differential game on the other hand an increase in uncertainty might stipulate more investment. Next seminar: Claudio Fontana (Università di Padova), 2 April 12.00. All news can be found on the QFinLab webpage. The organizers: Michele Azzone and Alessandro Calvia

• Feb 19 2025 QFinLab Seminar Marzia de Donno (Università Cattolica del Sacro Cuore) Dear colleagues,   you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Wednesday, 19 February 2025, 12.15-13.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus) Marzia De Donno (Università Cattolica del Sacro Cuore) Title: Short rate models with stochastic discontinuities: a PDE approach. Abstract: With the recent reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (€STR) in Europe. These rates exhibit characteristics like jumps and spikes that correspond to specific market events, driven by regulatory and liquidity constraints. To capture these characteristics, this paper considers a general short-rate model that incorporates discontinuities at fixed times with random sizes. Within this framework, we introduce a PDE-based approach for pricing interest rate derivatives. For affine models, we derive (quasi) closed-form solutions, while for the general case, we develop numerical methods to solve the resulting PDEs. (Joint work with A. Calvia, C. Guardasoni, S. Sanfelici). Next seminar: Katia Colaneri (Università di Roma Tor Vergata), 5 March 12.00. All news can be found on the QFinLab webpage.   The organizers: Michele Azzone and Alessandro Calvia

• Jan 27 2025 Qfinlab Seminar Adrien Mathieu (Oxford University) Dear colleagues,   you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.   Monday, 27 January  2025, 16.00-17.00 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)   Adrien Mathieu (Oxford university) Title: Market Making with fads, Informed and Uninformed traders.   Abstract: We characterize the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the fundamental value of the asset. Conditional on the value of the fad, we model how informed traders and uninformed traders arrive in the market. The market maker knows of the two groups of traders but only observes the anonymous order arrivals. We study both the complete information and the partial information versions of the control problem faced by the market maker. In such frameworks, we characterize the value of information, and we find the price of liquidity as a function of the proportion of informed traders in the market. Lastly, for the partial information setup, we explore how to go beyond the Kalman-Bucy filter to extract information about the fad from the market arrivals. Next seminar: Marzia De Donno (Università Cattolica del Sacro Cuore di Milano), 19 February 12.15. All news can be found on the QFinLab webpage.   The organizers: Michele Azzone and Alessandro Calvia

• Jan 16 2025 Climate Risk Seminar – January 2025 January 16, 2025 15.00-17.00 Department of Mathematics- Saleri room- VI floor Tiziano De Angelis (Università di Torino) A model of strategic sustainable investment We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time horizon. The firm generates profits with a stochastic dynamics and may spend part of its revenues towards emission reduction (e.g., renovating the infrastructure). The firm's objective is to maximize the discounted expectation of a function of its profits. The investor participates in the profits and may decide to invest to support the firm's production capacity. The investor uses a profit function which accounts for both financial and environmental factors. Nash equilibria of the game are obtained via a system of variational inequalities. We formulate a general verification theorem for this system in a diffusive setup and construct an explicit solution in the zero-noise limit. Our explicit results and numerical approximations show that both the investor's and the firm's optimal actions are triggered by moving boundaries that increase with the total amount of emission abatement. Joint work with C.C. Rodrigues Graciani (Scuola Superiore Meridionale) and P. Tankov (ENSAE) Discussant: Alessandro Calvia (Politecnico di Milano)   Sandra Paterlini (Università di Trento) Chasing ESG performance: How Methodologies Shape Outcomes ESG metrics play a crucial role in sustainable finance but face growing criticism for their inability to accurately capture true sustainability improvements. This study investigates how methodological choices can introduce distortions in ESG scores, with a primary focus on Refinitiv ESG data, while offering insights applicable to other providers as well. We show that methodological choices, such as score normalization, significantly impact the ability of scores to reflect genuine sustainability progress. Specifically, the inclusion of new, lower-performing entrants can artificially inflate the scores of top-ranked companies, obscuring actual improvements by relying on peer comparisons. Moreover, our analysis reveals that once companies achieve an A-rating category, they are unlikely to be downgraded, further highlighting the impact of these methodological decisions on the dynamics of ESG scoring. Analyzing data from three key sectors over the period 2012–2021 reveals that less than 45% of total score variation is attributable to company disclosures, underscoring the influence of score construction methodologies. By constructing a much simpler aggregation method, we demonstrate strong correlation with Refinitiv’s scores while reducing distortions from new entrants and peer effects, offering a more transparent and representative measure of sustainability performance. Joint work with Matteo Benuzzi, Karoline Bax and Emanuele Taufer Discussant: Michele Azzone (Politecnico di Milano) This event has been partially supported by MUR, Department of Excellence 2023-27