No Free Lunch Seminars
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June 10 at 4 pm (CEST). Petter Kolm, Feature Selection in Jump Models, June 6, 2021
Presenters: Petter Kolm (NYU, Courant Institute) Title: Feature Selection in Jump Models Abstract: Jump models switch infrequently between states to fit a sequence of data while taking the ordering of…
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May 25 at 4 pm (CEST). Laura Ballotta, Fourier-based methods for the management of complex insurance products, May 20, 2021
Presenters: Laura Ballotta (Cass Business School, City University of London) Title: Fourier-based methods for the management of complex insurance products Abstract: This paper proposes a framework for the valuation and…
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May 18 at 4 pm (CEST). Julien Guyon, Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle, May 12, 2021
Presenters: Julien Guyon (Bloomberg, Columbia University, Courant Institute) Title: Dispersion-Constrained Martingale Schrodinger Problems and the Joint S&P 500/VIX Smile Calibration Puzzle Abstract: The very high liquidity of S&P 500 (SPX)…
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May 11 at 4 pm (CEST). Loriano Mancini, Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments, May 7, 2021
May 11 at 4 pm (CEST). Presenters: Loriano Mancini (Università della Svizzera Italiana) Title: Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments Abstract: We empirically…
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May 4 at 4 pm (CEST). Lukasz Szpruch, Gradient Flows for Regularized Stochastic Control Problems, May 7, 2021
May 4 at 4 pm (CEST). Presenters: Lukasz Szpruch (University of Edinburgh) Title: Gradient Flows for Regularized Stochastic Control Problems Abstract: This talk is on stochastic control problems regularized by…
Conferences and Workshops
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Frontiers in High-Frequency Financial Econometrics 2018, March 23, 2018
https://www.hffe2018sns.com/
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XVII Workshop on Quantitative Finance, June 22, 2015
The quantitative finance group of the Scuola Normale Superiore will host the XVII Workshop on Quantitative Finance. The workshop will take place on January, 28-29, 2016 in Pisa at Scuola…
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Symposium on return predictability in stock and real estate markets, June 6, 2014
Program:
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Quantitative Approaches to Risk Assessment and Investment Transparency, December 12, 2011
Monday December 12 2011 10.45 - 17.00 Sala Stemmi Scuola Normale Superiore - Pisa 10:45 Registration 11:00 Opening address Book Presentation: A Quantitative Framework to Assess the Risk- Reward Profile of…
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L’instabilità dei mercati finanziari: il flash crash un anno dopo., May 11, 2011
Wednesday May 11 2011 13:00 Scuola Normale Superiore Aula Bianchi Stefano Marmi Scuola Normale Superiore, Pisa 6 maggio 2010: l'effetto farfalla si abbatte sul ping pong del trading ad alta…
Mini Courses
- Topics in portfolio choice III – Prof. Paolo Guasoni, December 20, 2017
- Topics in portfolio choice II – Prof. Paolo Guasoni, December 19, 2017
- Topics in portfolio choice I – Prof. Paolo Guasoni, December 18, 2017
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Andrea Pallavicini, “Arbitrage-Free Pricing with Funding Costs and Collateralization”, May 29, 2015
Friday May 29 2015 9.30 - 13.00 Scuola Normale Superiore Aula Fermi Andrea Pallavicini Banca IMI, Milano and Imperial College, London Arbitrage-Free Pricing with Funding Costs and Collateralization Abstract The financial…
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Luca Capriotti, “Real Time Risk Management with Adjoint Algorithmic Differentiaton”, June 19, 2014
Friday June 20 2014 11.00 - 12.30, 14.30 - 16.00 Scuola Normale Superiore Aula Bianchi Luca Capriotti Credit Suisse London Real Time Risk Management with Adjoint Algorithmic Differentiaton Abstract Adjoint Algorithmic Differentiation (AAD)…
PhD/Master Theses
No scheduled events.