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 01 2025 QFinLab Seminar – Anna Maria Gambaro (Università del Piemonte Orientale) Dear colleagues,   you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.   Wednesday, 1 October 2025, 12.15-13.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)   Anna Maria Gambaro (Università del Piemonte Orientale)   Title: Functional PCA for Risk-Neutral densities in Bayes Hilbert space.   Abstract: In this work, we investigate the main drivers of risk-neutral densities of quoted stocks, using the functional principal component analysis (FPCA). To this end, we first construct a historical series of risk-neutral densities corresponding to quoted option prices with fixed time to maturity, using exponential expansions of orthogonal polynomials. Then, we apply the centered log-ratio transformation (CLRT) to the extracted densities and we perform the FPCA in the Bayes–Hilbert space. The CLRT provides an isometric isomorphism between the Bayes space of square log-integrable densities and the classical Hilbert space of square-integrable functions. As a result, the projected data onto the principal component basis correspond to the CLRT-transformed densities, and the application of the inverse CLRT yields proper density functions. Furthermore, by modeling the historical series of FPCA loadings as a stochastic process, we exploit the FPCA representation for forecasting purposes. Finally, we discuss extensions of this framework to cross-asset analyses and to the modeling of option price surfaces. This is a joint work with A. Amici e G. Fusai.   Attendance is also possible online (Microsoft Teams), clicking here.   All news can be found on the QFinLab webpage.   The organizers: Michele Azzone and Alessandro Calvia.

• Jun 09 2025 QFinLab Seminar – Marco Tolotti (Università Ca’ Foscari Venezia) Dear colleagues, you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Monday, 9 June 2025, 12.15-13.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus) Marco Tolotti (Università Ca’ Foscari Venezia) Title: Market Dynamics, Learning, and the Equity Premium Puzzle in an Agent-Based Model of Information Acquisition. Abstract: We analyze a financial market with a large number of investors who use an imitation-based learning mechanism to choose among various strategies that differ in the amount and quality of information they incorporate. Agents’ strategies evolve through a straightforward learning mechanism in which traders occasionally imitate more successful strategies adopted by peers they encounter. In this context, equilibrium is defined as a state where investors, on average, win half the time and lose in the remaining periods. Through an agent-based model, we show that at equilibrium, most investors rely on a limited number of strategies. In most scenarios, two strategies dominate: overly cautious traders, who hold little equity and capture the largest market share, and informed traders, who achieve higher average profits. Our model can help to justify the existence of an equity premium puzzle: in equilibrium, the higher mean profit of informed investors is associated with a median profit that is equal to that of more prudent or misinformed investors. The organizers: Michele Azzone and Alessandro Calvia.

• Jun 05 2025 QFinLab Seminar – Olimpia Carradori (University of Zurich) Dear colleagues,   you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.   Thursday, 5 June 2025, 12.15-13.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus)   Olimpia Carradori (University of Zurich)   Title:  Insurers' carbon underwriting policies   Abstract: Insurance companies can influence the net-zero transition by limiting coverage for carbon-intensive projects. We study the adoption, structure, and effects of carbon underwriting policies among the world’s largest insurance groups. Using novel mine-level insurance data, we show that insurers with coal policies reduce the number of insured mines by approximately 16%, insured coal volumes by 56%, and make continued coverage significantly less likely. Implementation is often incomplete, and some insurers expand coverage despite commitments. Affected mines tend to reduce output, cut the number of employees, and are more likely to be idled in subsequent periods.  Joint work with Felix von Meyerinck and Zacharias Sautner.   Next seminars: Marco Tolotti (Università Ca' Foscari Venezia), 9 June 12.15. The organizers: Michele Azzone and Alessandro Calvia.

• May 07 2025 QFinLab Seminar – Alessandro Sbuelz (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, 7 May 2025, 12.15-13.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus) Alessandro Sbuelz (Università Cattolica del Sacro Cuore)  Title: The Zero-Theta Hedge Contract. Abstract: We examine long-dated asset valuation under systematic and idiosyncratic risk, driven by extreme trajectories. By introducing the zero-Theta hedge contract, a negative-Delta derivative security with a maturity-independent price, we study investor attitudes toward systematic long-run crashes. Declining expected payoff with maturity signal strong crash aversion. The contract aids in decomposing the stochastic discount factor, shedding light on long-run crash risk premia. Even for volatile assets whose price comes from idiosyncratic rallies, systematic long-run crashes remain central to long-run risk valuation. Based on a joint work with Anna Battauz and Marzia De Donno. Next seminars: Olimpia Carradori (University of Zurich), 5 June. Marco Tolotti (Università Ca' Foscari Venezia), 9 June 12.15.   All news can be found on the QFinLab webpage. The organizers: Michele Azzone and Alessandro Calvia.

• Apr 02 2025 QFinLab Seminar – Claudio Fontana (Università di Padova) Dear colleagues, you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano. Wednesday, 2 April 2025, 12.15-13.15 Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus) Claudio Fontana (Università di Padova) A stochastic Gordon-Loeb model for optimal security investment under clustered cyber-attacks. Abstract: We propose a continuous-time extension of the Gordon-Loeb model for optimal investment in information security under the threat of cyber-attacks. The arrival of attacks is modeled using Hawkes processes, capturing the realistic feature of clustering in cyber-attacks. Each attack may lead to a system breach, with the probability of breach depending on the system's vulnerability. We aim at determining the optimal investment in cyber-security to reduce the system's vulnerability. The problem is formulated as a two-dimensional Markovian stochastic control problem and solved via dynamic programming techniques. We perform a numerical study of the value function and the associated optimal investment strategy in cyber-security, highlighting the impact of randomly arriving clustered cyber-attacks. Based on a joint work with G. Callegaro, C. Hillairet, B. Ongarato. Next seminar: Alessandro Sbuelz (Università Cattolica del Sacro Cuore), 7 April 12.15. All news can be found on the QFinLab webpage. The organizers: Michele Azzone and Alessandro Calvia