Events

Prof. Matteo Marsili, Relevance, July 6, 2018
Prof. Matteo Marsili (Abdus Salam ICTP) Title: Relevance Abstract: The mass is a relevant variable in experiments of free falling bodies, their colour is not. The mass enters the laws…
Aurélien Decelle, Spectral learning of Restricted Boltzmann Machines, May 31, 2018
Aurélien Decelle (Université Paris-Sud XI) Title: Spectral learning of Restricted Boltzmann Machines Abstract: In this presentation I will expose our recent results on the Restricted Boltzmann Machine (RBM). The RBM…
Jacopo Rocchi, Self-sustained clusters in spin glass models, May 30, 2018
Jacopo Rocchi (LPTMS, Université Paris-Sud) Title: Self-sustained clusters in spin glass models Abstract: While macroscopic properties of spin glasses have been thoroughly investigated, their manifestation in the corresponding microscopic configurations…
Prof. Jean Jacod, Modeling asset prices: small scale versus large scale, May 17, 2018
Jean Jacod (Université Paris 6, Pierre et Marie Curie) Title: Modeling asset prices: small scale versus large scale Abstract: A typical model for the price of financial asset, allowing for…
Hye-Jin Cho, On Overconfidence, Bubbles and the Stochastic Discount Factor, May 8, 2018
Wednesday, 09/05/2018 14:00 Scuola Normale Superiore Aula Bianchi Scienze Hye-Jin Cho University of Paris 1 - Panthéon Sorbonne Abstract This study is intended to provide a continuous-time equilibrium model in which…

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…

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)…

Quantitative Finance Research Group