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

• 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.   This initiative is part of the “Ph.D. Lectures” activity of the project "Departments of Excellence 2023-2027" of the Department of Mathematics of Politecnico di Milano. This activity consists of seminars open to Ph.D. students, followed by meetings with the speaker to discuss and go into detail on the topics presented at the talk.

• 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

• Mar 28 2025 Seminar – Edoardo Sala (Università di Roma 3)  Department of Mathematics, Politecnico di Milano 28/3/2025, alle ore 15:30, Room 26.1.3, building 26, Leonardo Campus. Edoardo  Sala, Università di Roma 3. A macroeconometric analysis of the distributive impacts of the climate crisis in Italy Recent literature highlights the dual challenge of climate change and rising within-country inequalities. Studies indicate that climate change exacerbates income disparities, however macroeconometric approaches have been barely used to analyze these effects. This study employs a macroeconometric approach to analyze the distributive effects of climate change in Italy. Using a Vector Autoregression (SVAR) model, we estimate the impact of climate shocks—captured through Wet Bulb Globe Temperature (WBGT)—on income distribution. The model incorporates key economic variables such as GDP, labour productivity, labour supply, alongside inequality measures from the World Inequality Database. Structural shocks are identified using spectral analysis such that the shocks explain the variance of climate change over a long frequency scale. By integrating WBGT—an advanced heat stress indicator—into a macroeconometric framework, this research provides a novel assessment of climate change’s role in economic inequality.     This initiative is part of the “Ph.D. Lectures” activity of the project "Departments of Excellence 2023-2027" of the Department of Mathematics of Politecnico di Milano. This activity consists of seminars open to Ph.D. students, followed by meetings with the speaker to discuss and go into detail on the topics presented at the talk.

• 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