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

• 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)

• 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