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

• May 12 2020 Seminar Niklas Wagner – May 12, 2020     Niklas Wagner (Passau University) Give Me a Break: Is the Equity Premium a Trading Break Premium?   May 12, 2020 - 12.30   Abstract This paper addresses the relation between market risk and expected market returns under periodic trading breaks. We propose a model where asset prices are driven by a diffusion process that operates during the trading day and a separate process that captures overnight price changes. Our empirical analysis shows that both components are important in explaining the equity market risk premium. Trading breaks entail a lack of market functionality and liquidity and our results reveal that investors ask for a premium to hold the market portfolio overnight. Including additional state variables into the model, we find that uncertainty risk and illiquidity risk are both priced as well.

• May 05 2020 Seminar Pasquale Cirillo – May 5, 2020     Pasquale Cirillo (TU Delft) The distortions of finance   May 5, 2020 - 12.30   Abstract Finance is a world of distortions. Many tools we use, many findings we know are actually the result of a distortion. Take the well-known Black-Scholes model: the probability to be in the money at maturity under P and Q is a distortion. And the price of a European call? Another distortion. Consider risk management, think about the expected shortfall, and—guess what?—a distortion. And if you think that copulas are immune, you are wrong, plenty of distortions there. Model risk is often represented in terms of distortions. So, let's talk about distortions, and in particular about the special class of Lorenz transforms.

• Mar 24 2020 Canceled – Seminar Rosario Mantegna – March 24, 2020   Sospeso per indicazioni ministeriali Rosario Mantegna (Palermo University) Trading networks in a stock exchange: the case of LSE and of the Nordic Stock Exchange with a focus on high-frequency trading   Canceled    Abstract We study the heterogeneity of financial actors trading in a fully electronic stock market. The investigated stock markets are the Nordic Stock exchange and the London Stock Exchange. By using network concepts and network filtering methods we detect specialization of market members. Specifically, we detect over-expressed and under-expressed trading interactions of some market members that are statistically robust and that are stable over long period of times. These networked structures are specific to each market, time period, and specific financial asset. By analyzing trading networks both for buyers-sellers and aggressors-counterparties we interpret some network structures as related to the diffusion and implementation of high-frequency trading.

• Feb 18 2020 Seminar Andrea Tarelli – Feb 18, 2020 Andrea Tarelli - Università Cattolica (Milano) Bail-in vs bail-out: Bank resolution and liability structure (joint work with Luca Leanza and Alessandro Sbuelz) February 18, 2020 - 12.00  Abstract What is the joint impact of different resolution regimes and capital requirements on the optimal liability structure of a bank holding insured deposits and issuing non-bailinable debt and bail-inable Tier1-capital debt? We address this novel question and find that: 1) a credible bail-in resolution regime rules out extreme leverage and creates value by postponing default; 2) a positive probability of bail-out destroys credibility with dramatic effects on financial risk-taking, to the point of reversing the classical positive link between optimal leverage and growth prospects; and 3) a strict enforcement of the Basel III CET1 capital requirement strongly mitigates the impact of a non-credible resolution regime.

• Feb 11 2020 Seminar Paolo Di Tella – Feb 11, 2020 Paolo Di Tella - Technische Universitat - Dresden Semistatic and sparse variance-optimal hedging Tuesday February 11, 2020, 10:30 am - "Aula Seminari MOX" VI Floor Abstract We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy?and?hold) positions in other assets. We give general representations of the optimal strategy and the hedging error under the criterion of variance optimality and provide tractable formulas using Fourier integration in case of the Heston model. We also consider the problem of optimally selecting a sparse semistatic hedging strategy, i.e., a strategy that only uses a small subset of available hedging assets and discuss parallels to the variable?selection problem in linear regression. The methods developed are illustrated in an extended numerical example where we compute a sparse semistatic hedge for a variance swap using European options as static hedging assets. (Joint work with M. Haubold, M. Keller-Ressel)