No Free Lunch Seminars
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Christian Brownlees, “Community Detection in Partial Correlation Networks”, March 1, 2016
Friday March 11 2016 10:30 Scuola Normale Superiore Aula Bianchi Christian Brownlees Universitat Pompeu Fabra, Barcelona Abstract In this work we propose a community detection algorithm for partial correlation networks. We assume…
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Maria Rita Iacò, “Copulas in uniform distribution, optimal transport and finance”, January 22, 2016
Tuesday January 26 2016 13:00 Scuola Normale Superiore Aula Bianchi Maria Rita Iacò Technische Universität Graz Abstract The aim of this talk is to give an overview of some results obtained in the…
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Nicola Fusari, “Pricing Short-Term Market Risk: Evidence from Weekly Options”, December 16, 2015
Thursday December 17 2015 13:00 Scuola Normale Superiore Aula Bianchi Nicola Fusari Johns Hopkins Carey Business School Abstract We study short-term market risks implied by weekly S&P 500 index options. The…
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Domenico Di Gangi, “Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction”, November 4, 2015
Wednesday November 11 2015 13:00 Scuola Normale Superiore Aula Bianchi Domenico Di Gangi Department of Physics, University of Pisa, Abstract Assessing systemic risk in financial markets is of great importance but…
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Frederic Abergel, “Limit order books driven by Hawkes processes”, September 1, 2015
Tuesday September 8 2015 11:30 Scuola Normale Superiore Aula Bianchi Frederic Abergel CMAP, Ecole Centrale-Supelec, Paris Abstract Hawkes processes offer an interesting toolbox to model the interplay between different agents on financial markets. This…
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.