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 21 2020 Seminar Martin Glanzer (University of Vienna) – Jan 21, 2020 Si avvisa che in data 21/1/2020, alle ore 11:00 precise, presso Aula Seminari Terzo piano, nell'ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Stochastic Optimization with Multiple Time Scales Relatore: Martin Glanzer,  University of Vienna Abstract: Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

• Oct 22 2019 Seminar Omar El Euch October 22nd, 2019 Si avvisa che in data 22/10/2019, alle ore 14:15 , presso Aula seminari del terzo piano, nell'ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Titolo: Pricing and hedging in rough Heston models Relatore: Omar El Euch, Spire Europe Limited

• 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.