Programme

NOTE: For each session the chair is the last discussant.

List of abstracts: DOWNLOAD

Thursday, 28, January 2016.

8:30-9:00 REGISTRATION

9:00-10:30 PARALLEL SESSIONS

Mathematical Finance I (Sala Stemmi)
  1. Peter Markowich, Panagiotis Souganidis, Josef Teichmann and Marie-Therese Wolfram.
    Parabolic free boundary price formation models under market size fluctuations.
    Discussant: Katia Colaneri.
  2. Matteo Burzoni, Marco Frittelli and Marco Maggis.
    Model-free superhedging duality.
    Discussant: Josef Teichmann.
  3. Katia Colaneri, Claudia Ceci and Alessandra Cretarola.
    The Föllmer-Schweizer decomposition under incomplete information.
    Discussant: Matteo Burzoni.
Risk I (Sala Azzurra)
  1. Elisa Luciano and Antonella Tolomeo.
    Information effects in longevity-linked vs purely financial portfolios.
    Discussant: Emilio Barucci.              
  2. Wouter Heynderickx, Jessica Cariboni, Wim Schoutens and Bert Smits.
    The Relationship between Risk-Neutral and Actual Default Probabilities: the Credit Risk Premium.
    Discussant: Paolo Pellicioli.       
  3. Roberto Baviera, Gaetano La Bua and Paolo Pellicioli.
    A Note on CVA and Wrong Way Risk.
    Discussant: Aldo Nassigh.

10:30-11:00 COFFEE BREAK

11:00-13:00 PARALLEL SESSIONS

Portfolio Selection (Sala Stemmi)
  1. Francesco Cesarone, Renato Bruni, Andrea Scozzari and Fabio Tardella.
    On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection.
    Discussant: Ambrogio Dalò.
  2. Flavio Angelini, Stefano Herzel and Marco Nicolosi.
    Optimal Asset Allocation In Money Management Under Mean-Reverting Returns.
    Discussant: Francesco Cesarone.
  3. Attilio Meucci, Alberto Santangelo and Romain Deguest.
    Risk budgeting and diversifi…cation based on optimized uncorrelated factors.
    Discussant: Damian Eduardo Taranto.
  4. Ambrogio Dalò, Rocco Ciciretti and Leonardo Becchetti.
    Fishing the Corporate Social Responsibility Risk Factors.
    Discussant: Alberto Santangelo.
Interest Rates and Foreign Exchange (Sala Azzurra)
  1. Anna Maria Gambaro, Laura Ballotta and Gianluca Fusai.
    HJM multiple-curve model with time-changed Levy processes.
    Discussant: Andrea Pallavicini.
  2. Stephane Dang-Nguyen and Yves Rakontondratsimba.
    Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model.
    Discussant: Elena Dumitrescu.            
  3. Nicola Moreni and Andrea Pallavicini.
    FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae.
    Discussant: Anna Maria Gambaro.
  4. Elena Dumitrescu, Peter Hansen and Janine Balter.
    Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach.
    Discussant: Roberto Renò.   

13:00-14:00 LUNCH

14:00-15:00 POSTER SESSION

  • Leoni Eleni Oikonomikou.
    Modeling Financial Market Volatility in Transition Markets: A multivariate case.
  • Stephane Dang-Nguyen and Yves Rakotondratsimba.
    Control of price acceptability under the univariate Vasicek model.
  • Gianluca Farina and Rosella Giacometti.
    A model of infectious defaults with immunization.
  • Domenico Di Gangi, Fabrizio Lillo and Davide Pirino.
    Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction.
  • Immacolata Oliva.
    Arbitrage-Free Pricing of American Contingent Claims in Uncertain Volatility Market Models.
  • Piero Mazzarisi, Fabrizio Lillo and Stefano Marmi.
    When panic makes you blind: a chaotic route to systemic risk.
  • Elisa Mastrogiacomo and Asmerilda Hitaj,
    Jump diffusions and portfolio optimization with state dependent risk aversion.
  • Michael Schneider, Fabrizio Lillo and Loriana Pellizzon.
    Liquidity Dynamics and Illiquidity Cascades in the European Sovereign Bond Market.

15:00-17:00 PARALLEL SESSIONS

Optimization (Aula Bianchi)
  1. Salvatore Federico, René Aid, Huyen Pham and Bertrand Villeneuve.
    Explicit investment rules with time-to-build and uncertainty.
    Discussant: Claudio Fontana.
  2. Paolo Guasoni and Antonella Tolomeo.
    Disentangling Overlapping Shocks in Portfolio Choice.
    Discussant: Salvatore Federico.
  3. Claudio Fontana, Huy N. Chau, Andrea Cosso and Oleksii Mostovyi.
    Optimal investment with intermediate consumption under no unbounded profits with bounded risk.
    Discussant: Antonella Tolomeo.
  4. Giorgia Callegaro, Mhamed Gaigi, Simone Scotti and Carlo Sgarra.
    Optimal Investment in Markets with Over and Under-Reaction to Information.
    Discussant: Cagin Ararat.
Liquidity, Volatility and Trading I (Sala Azzurra)
  1. Kim Christensen and Roberto Renò.
    The Drift Burst Hypothesis.
    Discussant: Fabrizio Lillo.
  2. Marcello Rambaldi, Emmanuel Bacry and Fabrizio Lillo.
    The role of volume in order book dynamics: a multivariate Hawkes process analysis.
    Discussant: Matthias Saerens.
  3. Matthias Saerens, Cynthia Van Hulle and Gunther Wuyts.
    Commonality in High-Frequency Trading.
    Discussant: Marcello Rambaldi.
  4. Claudio Tebaldi, Fabio Trojani and Peter Gruber.
    The Price of the Smile and Variance Risk Premia.
    Discussant: Immacolata Oliva.

17:00-17:30 COFFEE BREAK

17:30-19:00 PARALLEL SESSIONS

Finance (Aula Bianchi)
  1. Daniele Marazzina, Emilio Barucci and Gaetano La Bua.
    Flow of funds, High Water Mark and asset allocation.
    Discussant: Elisa Luciano.
  2. Marianna Brunetti, Rocco Ciciretti and Ljubica Djordjevic.
    Till Mortgage Do Us Part: Refinancing Costs and Mortgage Shopping.
    Discussant: Daniele Marazzina.
  3. Annalisa Fabretti, Tommy Garling, Martin Holmen and Stefano Herzel.
    Convex Incentives in Financial Markets: an Agent-Based Analysis.
    Discussant: Massimo Morini.
Volatility (Sala Azzurra)
  1. Elyas Elyasiani, Luca Gambarelli and Silvia Muzzioli.
    Towards a skewness index for the Italian stock market.
    Discussant: Gaetano La Bua.
  2. Claudio Pacati, Gabriele Pompa and Roberto Renò.
    Smiling twice: The Heston++ model.
    Discussant: Silvia Muzzioli.
  3. Gaetano La Bua.
    A Hybrid SLV model with Multifactor Stochastic Volatility.
    Discussant: Gabriele Pompa.

20:30  SOCIAL DINNER (Sala Stemmi).

Friday, 29, January 2016.

9:00-10:30 PARALLEL SESSIONS

Pricing (Aula Bianchi)
  1. Lucio Fiorin, Giorgia Callegaro and Martino Grasselli.
    Pricing via Quantization in Stochastic Volatility Models.
    Discussant: Emanuele Nastasi.
  2. Emanuele Nastasi and Roberto Baviera.
    The relevance of geometry in optimal basket option bounds.
    Discussant: Lucio Fiorin.
  3. Giulia Livieri, Giacomo Bormetti, Giorgia Callegaro and Andrea Pallavicini.
    A backward Monte Carlo approach to exotic option pricing.
    Discussant: Peter Tankov.      
Liquidity, Volatility and Trading II (Sala Azzurra)
  1. Michael Heinrich Baumann and Lars Grüne.
    Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices.
    Discussant: Sergio Scarlatti.
  2. Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth.
    The Mixture Transition Distribution model for market impact and price dynamics.
    Discussant: Michael Heinrich Baumann.
  3. Cecilia Mancini.
    Truncated Realized Covariance when prices have infinite variation jumps.
    Discussant: Mathieu Rosenbaum.

10:30-11:00 COFFEE BREAK

11:00-13:00 PARALLEL SESSIONS

Risk II (Aula Bianchi)
  1. Cagin Ararat and Birgit Rudloff.
    Dual representations for systemic risk measures.
    Discussant: Fabio Bellini.
  2. Tommaso Colozza.
    Synthetic and cash sovereign credit market: heading towards a unified European framework.
    Discussant: Stefano Colucci.
  3. Jacopo Corbetta and Ilaria Peri.
    Backtesting Lambda Value at Risk.
    Discussant: Tommaso Colozza
  4. Stefano Colucci and Francesco Cesarone.
    A Quick Tool to forecast VaR using Implied and Realized Volatilities.
    Discussant: Jacopo Corbetta.            
Mathematical Finance II (Sala Azzurra)
  1. Jiatu Cai, Mathieu Rosenbaum and Peter Tankov.
    Asymptotic Lower Bounds for Optimal Tracking.
    Discussant: Carlo Sgarra.
  2. Matteo Ludovico Bedini, Rainer Buckdahn and Hans-Juergen Engelbert.
    Brownian Bridges on Random Intervals.
    Discussant: Giorgio Ferrari.
  3. Giorgio Ferrari, Tiziano De Angelis and John Moriarty.
    A solvable two-dimensional degenerate singular stochastic control problem with non convex costs.
    Discussant: Matteo Ludovico Bedini.
  4. Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji.
    Multivariate Mixed Tempered Stable Distribution.
    Discussant: Friedrich Hubalek.

13:00-14:00 LUNCH

14:00-15:30 PARALLEL SESSIONS

Energy (Sala Stemmi)
  1. Roberto Baviera and Teodoro Mainetti.
    Going hybrid: a joint model for temperature and natural gas.
    Discussant: Maren Schmeck.
  2. Marco Gallana, Enrico Edoli and Tiziano Vargiolu.
    Optimal intra-day power trading with a Gaussian additive process.
    Discussant: Roberto Baviera.
  3. Maren Schmeck.
    Pricing options on forwards in energy markets: the role of mean reversion’s speed.
    Discussant: Tiziano Vargiolu.
Mathematical Finance III (Sala Azzurra)
  1. Christa Cuchiero.
    Polynomial processes in stochastic portfolio theory.
    Discussant: Paolo di Tella.            
  2. Filippo Macaluso, Antonietta Mira and Paul Schneider.
    How to sample from a distribution when only the moments are known with an application to affine financial model.
    Discussant: Christa Cuchiero.         
  3. Paolo Di Tella.
    On the Chaotic Representation Property of Compensated-Covariation Stable Families of Martingales.
    Discussant: Filippo Macaluso.        

15:30-16:00 COFFEE BREAK

16:00-17:30 PARALLEL SESSIONS

Pricing II (Sala Stemmi)
  1. Andrea Romeo, Marina Marena and Patrizia Semeraro.
    Pricing multivariate barrier reverse convertible with factor-based subordinators.
    Discussant: Zorana Grbac.
  2. Cecilia Prosdocimi, Enrico Biffis and Beniamin Goldys.
    A pricing formula for delayed claims: Appreciating the past to value the future.
    Discussant: Andrea Romeo.
  3. Zorana Grbac, Laura Meneghello and Wolfgang Runggaldier.
    Derivative pricing for a multi-curve extension of the Gaussian exponentially quadratic short rate model.
    Discussant: Dario Alitab.  
Finance II (Sala Azzurra)
  1. Carlo Sala and Giovanni Barone-Adesi.
    Sentiment Lost: the Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set.
    Discussant: Giulia Livieri.
  2. Maria Cristina Recchioni, Gabriele Tedeschi and Thomas Lux.
    From bond yield to macroeconomic instability: a parsimonious affine model.
    Discussant: Giacomo Bormetti.
  3. Matteo Formenti, Luca Spadafora, Marcello Terraneo and Fabio Ramponi.
    The efficiency of Anderson-Darling test with limited sample size size: an application to Backtesting CCR internal model.
    Discussant: Carlo Sala.

Scientific Committee

Fabio Bellini  (Università degli Studi di Milano Bicocca)
Giacomo Bormetti (Università degli Studi di Bologna)
Andrea Consiglio (Università degli Studi di Palermo)
Friederich Hubalek (Technische Universität Wien)
Fabrizio Lillo (Scuola Normale Superiore,  Pisa)
Elisa Luciano (Università degli Studi di Torino)
Maria Elvira Mancino (Università degli Studi di Firenze)
Stefano Marmi (Scuola Normale Superiore,  Pisa)
Massimo Morini (Banca IMI)
Aldo Nassigh (Unicredit Group)
Loriana Pelizzon (Università Ca’ Foscari Venezia)
Mustafa Pinar (Bilkent University, Ankara)
Mathieu Rosenbaum (Université Pierre-et-Marie-Curie, Paris)
Sergio Scarlatti (Università degli Studi di Roma “Tor Vergata”)
Carlo Sgarra (Politecnico di Milano)
Peter Tankov (Université Denis Diderot, Paris)
Josef Teichmann (ETH Zurich)
Tiziano Vargiolu (Università degli Studi di Padova)