Quantitative Finance @ Bocconi first edition
Quantitative Finance brings together theoretical models and numerical methods at the intersection of probability theory, mathematical finance, and applied sciences. These disciplines also lie at the heart of the recent wave of technological innovation, including decentralized finance on public blockchains and artificial intelligence.
Bocconi University has a long-term tradition in teaching quantitative finance with the MAFINRISK long-term program while releated research activities that take place in the Departments of Decision Sciences and Finance. These activities are now enriched by the opening of the new PhD program in mathematics and applications, and the interaction with the Department of Computing Sciences as witnessed by the jointly organized activities, like the Interdisciplinary workshop on machine learning and financial decision making and the conference on AI and Finance.
In the first edition of the conference 'Quantitative Finance @ Bocconi' we reunite a leading group of world leading experts to explore new theoretical and applied solutions, and celebrate the career of an early member of the MAFINRISK faculty and the recipient of the 2020 Risk quant-of-the-year award, Fabio Mercurio, whose research has shaped how quants and the financial industry think about rates and volatility.
Program
Session 1. Mathematical Finance and Probability Theory
9.25 - 9.30 Welcome remarks by F. Ortu (Department of Finance)
Session Chair: Fulvio Ortu (Bocconi)
9.30 - 10.00 Wolfgang Runggaldier (Università di Padova) Title TBA
10.00 -10.30 Emanuela Rosazza Gianin (Università degli Studi Milano Bicocca) Title TBA
10.30 - 11.00 Marco Frittelli (Università Statale di Milano) Title TBA
11.00-11.30 Coffee Break
Session 2. From the theory to the practice of financial markets
Session Chair: Claudio Tebaldi (Bocconi)
11.30 - 12.00 Bruno Dupire (Bloomberg L.P.) Title TBA
12.00 - 12.30 Jim Gatheral (Baruch College CUNY) Title TBA
12.30 - 13.00 Andrea Pallavicini (IntesaSanPaolo) (TBC) Title TBA
13.00-14.30 Lunch
Session 3. Risk, Rates, and Machine Learning
Session Chair: Anna Battauz (Bocconi)
14.30 - 15.00 Stefano Herzel (Università di Roma Tor Vergata) Title TBA
15.00 - 15.30 Claudio Fontana (Università di Padova) Title TBA
15.30 - 16.00 Huyen Pham (École polytechnique, Paris) Title TBA
16.00-16.30 Coffee Break
Session 4. Quantitative Methods @ Work
Session Chair: Paola Mosconi (Intesa) (TBC)
16.30 - 16.50 M. Morini (ADIA Lab) Title TBA
16.50 - 17.10 Bonollo (Iason) Title TBA
17.10-17.30 S. Pasquali (Domyn) Title TBA
17.45 Aperitivo, remark and celebration with G. Savarè (Department of Decision Sciences) and speech by F. Mercurio
20.00 Dinner (by invitation only)
