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

• 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

• Nov 21 2024 Climate Risk Seminar – November 2024 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 in particular, 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 first meeting is scheduled for November 21, 2024 14.30-16.30 Department of Mathematics Saleri room- VI floor Emanuele Campiglio (Università di Bologna) Optimal Climate Policy as If the Transition Matters Discussant: Aldo Nassigh (Politecnico di Milano) Enrico Biffis (Imperial College Business School) Short-lived Gasses, Carbon Markets and Climate Risk Mitigation Discussant: Edit Rroji (Università degli Studi di Milano Bicocca) Next meetings: 16 January, 2025: Tiziano De Angelis (Università di Torino), Sandra Paterlini (Università di Trento); 20 March, 2025: Andrea Macrina (UCL), Luca Regis (Università di Torino) This event has been partially supported by MUR, Department of Excellence 2023-27

• Nov 07 2024 ALGODEFI24 WORKSHOP It is a great pleasure to announce the ALGODEFI24 WORKSHOP Algo-trading & DeFi Methods and Technologies November 7-8, 2024 QFinLab-Department of Mathematics Politecnico di Milano, Milan, Italy

• Feb 01 2024 Green Finance Workshop https://sites.google.com/community.unipa.it/greenfinance2024/home

• Feb 08 2023 Energy Finance Italia 8 (EFI) energyfinanceitalia.it/ A conference in Energy-Finance & Climate-Change in memory of Peter Laurence February 8-10, 2023 - Politecnico di Milano The Conference puts together researchers and practitioners working in all areas of Energy-Finance & Climate-Change related research in economics, finance, engineering, data science and mathematics. Participants are encouraged to submit their papers or proposals of organized sessions on a wide range of theoretical and applied topics in these two research fields, such as (but not limited to): Energy and climate data science, Energy forecasting, Energy innovations, Energy markets, Energy analytics, Energy mix and carbon emission trading, Energy supply chain, ESG, Green finance & financing energy infrastructure, Climate policy and risk, Climate change & market efficiency, Climate change & pricing uncertainty, Regulation and regulatory risk, Renewable sources, Risk measurement and management, Storage devices, Sustainable finance Keynote speakers: Clémence Alasseur, Fime & EDF, Paris Fred Espen Benth, University of Oslo Florian Ziel, University of Duisburg-Essen Award Junior participants and practitioners of the energy industry are encouraged to present their research. Best EFI8 Paper reserved to the presenters born after January 1st, 1993 Special issue: Applied Stochastic Models in Business and Industry (ASMBI). Deadline for submitting an extended abstract/paper: Friday, Nov 25th, 22.   for proposals of organized sessions: Monday, Nov 21st, 22. Organizing committee: R. Baviera (chair), C. Sgarra (co-chair), M. Azzone, P. Manzoni, T. Vargiolu. For information: energyfinanceitalia.it/  Secreteriat: efi8-dmat@polimi.it  Hashtag: #efi8polimi