Quantitative Finance @ Bocconi first edition
Quantitative Finance blends together theoretical models and numerical approaches that lie at the intersection of probability theory, mathematical finance and applied sciences, like statistical physics and information sciences. These are also at the core of the new wave of recent technological innovations like 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
Session Chair: G. Savarè (Bocconi)
9.30 - 10.00 Wolfgang Runggaldier (Università di Padova) Title TBA
10.00 -10.30 Walter Schachermayer (Wien University) Title TBA
10.30-11.00 Marco Frittelli (Università degli Studi di Milano) Title TBA
11.00-11.30 Coffee Break
Session 2. From the theory to the practice of financial markets
Session Chair: C. 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 Blanka Horvath (University of Oxford) Title TBA
13.00-14.30 Lunch
Session 3. Risks, Arbitrage and Machine Learning
Session Chair: Emanuele Borgonovo (TBC)
14.30 - 15.00 Nizar Touzi (TBC) (NYU Tandon School) Title TBA
15.00 - 15.30 Manuela Rosazza Gianin (Università di Milano Bicocca) Title TBA
15.30 - 16.00 ??
16.00-16.30 Coffee Break
Session 4. Rates and Industry
Session Chair: Anna Battauz (TBC)
16.30 - 16.50 Claudio Fontana (Università di Padova) Title TBA
16.50 - 17.10 Intesa SP (Pallavicini?) Title TBA 17.10 - 17.30 Iason LT (Bonollo?)
