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

• Apr 02 2019 Seminar: Carlo Sala April 2, 2019 Si avvisa che in data 02/04/2019, alle ore 12:30 precise, presso l'Aula Seminari al Terzo Piano Dipartimento di Matematica del Politecnico di Milano, si svolgerà il seguente seminario: Titolo: Information content of implicit quantile and implicit expectile curves Relatore: Carlo Sala, ESADE Business School. Abstract: We compare option implied quantiles and option implied expectiles on a 5-year dataset of prices of weekly S&P500 options. We compute these quantities by means of a fully non-parametric methodology, following Barone-Adesi (2016) and Bellini et al. (2018). We study the relative position of inverse quantile and expectile curves, and compute implicit Interquantile and Interexpectile Differences, that are compared with a weekly VIX-like index. Finally, we investigate the forecasting power of these quantities either on future logreturns or on future realized variances.

• Mar 19 2019 Seminar: Alessandro Calvia – 19 March 2019 Si avvisa che in data 19/3/2019, alle ore 12:30 precise, presso Aula Seminari al Sesto Piano, si svolgerà il seguente seminario: Titolo: Risk measures and progressive enlargement of filtrations: a BSDE approach Relatore: Alessandro Calvia, Università degli Studi di Milano-Bicocca Abstract: Risk measures are nowadays well-established tools in mathematical finance to evaluate the riskiness of a future financial position, both in a static and in a dynamic (i.e., time dependent) setting. Also, Backward Stochastic Differential Equations (or BSDEs, for short) are widely adopted tools in mathematical finance. From the beginning of the 21st century, connections between dynamic risk measures and BSDEs have been studied in the literature. Thanks to the theory of g-expectations, introduced by S. Peng, one can induce a dynamic risk measure from a BSDE. This can be done mapping the terminal condition of the BSDE (modeling a future financial position) into the first component of the corresponding solution. Clearly, this kind of risk measures depend on the noise and on the map g (called driver) appearing in the BSDE. The case of noise given by either a Brownian motion or a Brownian motion and an independent Poisson random measure is studied in the literature. Properties of the driver g, such as monotonicity, convexity, homogeneity, etc., are reflected in the properties of the dynamic risk measure and vice versa. The aim of this talk is to show that it is possible to induce a dynamic risk measure from a BSDE whose driving noise is given by a Brownian motion and a marked point process. In terms of the underlying information flow, this corresponds to the progressive enlargement of a Brownian reference filtration with the information brought by the occurrence of random events at some random times. We will prove that the original risk measure can be split into different risk measures, evaluating future financial position between each of these random events, that are induced, in turn, by a family of indexed Brownian BSDEs. We also show connections between properties of the driver of the BSDE and the induced risk measure and its time-consistency. This is joint work with Emanuela Rosazza Gianin.

• Mar 14 2019 Fintech Round Table – March 14, 2019 Il tempo del FINTECH è adesso : la Digital Transformation ha rivoluzionando in modo radicale tutti i livelli degli attuali modelli di business nel settore finanziario; per poter rispondere in modo proattivo alla Fintech Revolution , il MIP Politecnico di Milano ha sviluppato il nuovo Master internazionale in FINTECH – Finance and Digital Innovation . In occasione del lancio del nuovo master, siamo lieti di invitarvi alla Roundtable che si terrà giovedì 14 marzo alle ore 18.00 presso il Campus MIP. https://www.som.polimi.it/event/fintech-roundtable-140319/ Durante l’evento, il Direttore del Master,Prof. Emilio Barucci, le aziende sponsor e un Head Hunter di Aegis Human Consulting Group, presenteranno le nuove frontiere del Fintech e le opportunità di carriera, le opportunità e lesfide per giovani professionisti e per le imprese di questo settore. Agenda • 18.00: Roundtable Modera Prof. Emilio Barucci, Direttore Master FINTECH con la partecipazione di Andrea Marchesini, Partner & Director, Aegis UK - Roberto Villa, Manager of Research ecosystem, IBM Italy - Savino Damico, Head of Fintech Ecosystem Management and Monitoring Innovation Dept., Intesa Sanpaolo - Paolo Gianturco, Head of Fintech&FS Tech-EMEA Blockchain Lab co-leader, Deloitte - Vittorio Giusti, Chief Operating Officer, Aviva Italia - Andrea Prampolini, Head of Financial markets technology, Banca IMI - Marco Scappa, Head of Fabrick Corporate Fintech, Fabrick S.p.A • 19.15: Q&A • 20.00: Aperitivo La partecipazione all’evento è gratuita previa registrazione. Al termine dell’evento è previsto un aperitivo di networking. https://www.som.polimi.it/event/fintech-roundtable-140319/

• Mar 05 2019 Seminar: Claudio Fontana – 5 March 2019 Si avvisa che in data 5/3/2019, alle ore 12:30 precise, presso Aula Seminari al Terzo Piano, si svolgerà il seguente seminario: Titolo: The Value of Informational Arbitrage Relatore: Claudio Fontana, Università degli Studi di Padova Abstract: In the context of a general semimartingale model, we aim at answering the following question: How much is an investor willing to pay for learning some inside information that allows to achieve arbitrage? If such a value exists, we call it the value of informational arbitrage. In particular, we are interested in the case where the inside information yields arbitrage opportunities but not unbounded profits with bounded risk. In the spirit of Amendinger et al. (2003), we provide a general answer to this question by means of an indifference valuation approach. To this effect, we establish some new results on models with additional information and study optimal investment-consumption problems in the presence of additional information and arbitrage, also allowing for the possibility of leverage. We characterize when the value of informational arbitrage is universal, in the sense that it does not depend on the preference structure. This talk is based on joint work with H.N. Chau and A. Cosso.

• Jan 08 2019 Seminar: Marina Santacroce – 8 Jan 2019 Si avvisa che in data 8/1/2019, alle ore 16:30 precise, presso l'Aula Seminari del III piano, nell'ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario: Marina Santacroce, Politecnico di Torino Expected utility maximization beyond the Markovian setting Abstract: An overview of the recent approaches used to solve portfolio optimization problems for general market models is given. In particular, the focus will be on dynamic programming techniques and on their applicability to expected utility maximization in non-Markovian settings for classical utilities (power, exponential or log type), including the case of partial information. Moreover, another method which works for general utilities is presented and compared to recent results obtained by dynamic programming. This talk is based on joint works with M. Mania, R. Tevzadze and B. Trivellato.