No Free Lunch Seminars
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Tommaso Colozza, “Supply of public debt and demand for risk premia: a Minskian approach to credit risk”, April 1, 2015
Wednesday April 1 2015 13.00 Scuola Normale Superiore Aula Mancini Tommaso Colozza Dipartimento di Statistica e Matematica Applicata all'Economia - Università di Pisa Abstract Financial stability of EMU countries is managed by policy makers…
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Roberto Renò, “Multi-jumps”, March 20, 2015
Friday March 20 2015 13.00 Scuola Normale Superiore Aula Bianchi Roberto Renò Dipartimento di Economia Politica e Statistica - Università di Siena Abstract The simultaneous occurrence of jumps in several stocks (multi-jumps) can be…
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Roberto Baviera, “A thermometer for financial instability in the euro area economy and the role of carry trade”, February 19, 2015
Thursday February 19 2015 13.00 Scuola Normale Superiore Aula Bianchi Roberto Baviera Financial Engineering, Dipartimento di Matematica -Politecnico di Milano Abstract This study suggests a simple financial instability indicator for the euro area economy.…
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Fabio Caccioli, “Instabilities in portfolio optimization and regularization”, November 4, 2014
Tuesday November 4 2014 13.00 Scuola Normale Superiore Aula Bianchi Fabio Caccioli University College London Abstract We consider the problem of portfolio selection in presence of market impact, and we show that including a…
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Xuezhong He, “Optimality of momentum and reversal”, September 10, 2014
Wednesday September 10 2014 13.00 Scuola Normale Superiore Aula Bianchi Xuezhong He University of Technology - Sydney (Australia) Abstract We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. 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.