No Free Lunch Seminars
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Damiano Brigo, “Intrinsic stochastic differential equations as jets: theory and applications”, October 7, 2016
Monday October 10 2016 16:00 Scuola Normale Superiore Aula Mancini Damiano Brigo Imperial College, London Abstract We quickly introduce Stochastic Differential Equations (SDEs) and their two main calculi: Ito and Stratonovich. Briefly recalling…
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Gabriele La Spada, “Competition, reach for yield, and money market funds”, September 5, 2016
Tuesday September 13 2016 11:00 Scuola Normale Superiore Aula Bianchi Gabriele La Spada Federal Reserve Bank of New York Abstract Do asset managers reach for yield because of competitive pressures in a…
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Anirban Chakraborti, “Sectoral co-movements and volatilities of Indian stock market: An analysis of daily returns data”, July 5, 2016
Wednesday July 6 2016 11:30 Scuola Normale Superiore Aula Fermi Anirban Chakraborti Jawaharlal Nehru University, New Delhi, India Abstract First, we review the techniques of decomposing aggregate correlation matrices to study co-movements in…
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Marc Mezard, “Boole, Shannon, and the challenge of data science: A statistical physics perspective”, June 27, 2016
Wednesday June 29 2016 15:00 Scuola Normale Superiore Aula Azzurra Marc Mezard École Normale Supérieure, Paris Abstract In 1854, in his treatise on the Laws of Nature, George Boole had stated a clear goal…
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Jiro Akahori, “Ito atlas and around”, March 10, 2016
Thursday March 17 2016 13:00 Scuola Normale Superiore Aula Mancini Jiro Akahori Ritsumeikan University, Shiga, Japan Abstract I will discuss Malliavin's canonic diffusion on the circle and related topics including a link to…
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.