No Free Lunch Seminars
-
Ying Chen, “Filtering Asynchronous High Frequency Data”, June 4, 2013
Tuesday June 4 2013 13.00 Scuola Normale Superiore Aula Bianchi Ying Chen Department of Statistics & Applied Probability - National University of Singapore Abstract We develop a synchronizing technique for irregularly spaced and asynchronous high…
-
Matthieu Cristelli, “A New Metrics for Country Fitness and Product Complexity”, May 22, 2013
Wednesday May 22 2013 13.00 Scuola Normale Superiore Aula Bianchi Matthieu Cristelli ISC-CNR, Institute for Complex Systems - Department of Physics, "Sapienza" University Abstract Classical economic theories prescribe specialization of countries industrial production. Inspection…
-
Fulvio Corsi, “When Micro Prudence increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification”, March 6, 2013
Wednesday March 6 2013 13:00 Scuola Normale Superiore Aula Mancini Fulvio Corsi Scuola Normale Superiore Abstract By exploiting basic common practice accounting and risk management rules, we propose a simple analytical dynamical framework…
-
Federico Poloni and Giacomo Sbrana, “Estimating Econometric Models through Matrix Equations”, March 5, 2013
Tuesday March 5 2013 13.00 Scuola Normale Superiore Aula Bianchi Federico Poloni Dipartimento di Informatica - Università di Pisa Giacomo Sbrana Rouen Business School Abstract We present an algorithm to estimate the parameters of multivariate…
-
Marco Bianchetti, “Consistent No-Arbitrage Derivatives’ Pricing Including Funding And Collateral”, January 29, 2013
Tuesday January 29 2013 13:00 Scuola Normale Superiore Aula Bianchi Marco Bianchetti Intesa Sanpaolo Abstract We revisit the problem of general no-arbitrage pricing of derivatives including the funding component. We…
Conferences and Workshops
-
Frontiers in High-Frequency Financial Econometrics 2018, March 23, 2018
https://www.hffe2018sns.com/
-
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…
-
Symposium on return predictability in stock and real estate markets, June 6, 2014
Program:
-
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…
-
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
-
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…
-
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.