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 quantiativo 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

• Sep 13 2019 Seminar: Prof. Peter Carr (New York University), September 13th 2019 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 the value of optionality as a modified sum. We then explore options on options as sums of sums. This viewpoint allows us to derive a simple closed form formula for a Bermudan option.

• Jun 04 2019 Seminar: Matteo Formenti (UNICREDIT) June 4th, 2019 Si avvisa che in data 04/06/2019, alle ore 12:15 , presso l'Aula seminari del terzo piano, nell'ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Title: Behavioral models in the banking activity Speaker: Matteo Formenti, UNICREDIT Abstract: The NMD behavioural models are a crucial driver of the maturity transformation activity and bank's profitability because their goal is to estimate the stable source of funding, the volume that can be used for medium long term lending, and the volume that represents a fixed rate cost. Being the nature of the behavioural models very heterogeneous, and the use within the bank so widespread, this presentation aims at introducing a Framework, composed by six Principles, that allows to set the proper modelling of the clients' behavior jointly with the banks' need. Furthermore, an application of the most advanced modeling that considers the financial wealth allocation at clients level will be shown.

• May 28 2019 Seminar Prof. Alberto Bressan May 28th, 2019 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.

• May 14 2019 Seminar: Giovanna Apicella May, 14th 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.

• Apr 16 2019 Seminar: Prof. Enrico Scalas April 16th, 2019 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.