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' that will be held November 13th, Room AS 01 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
9.25 - 9.30 Welcome remarks by Claudio Tebaldi - Scientific Director of the Fintech Lab
Session 1. Mathematical Finance and Probability Theory
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 Helyette Geman (John Hopkins University) The Promise of Prediction Markets : From Bookmakers to Nobel Prize Winners
12.00 - 12.30 Bruno Dupire (Bloomberg L.P.) The Perils of Parameterization
12.30 - 13.00 Jim Gatheral (Baruch College CUNY)
13.00-14.30 Lunch
Session 3. Quantitative Methods @ Work
Session Chair: Paola Mosconi (Intesa)
14.30 - 14.50 Michele Bonollo (Iason) Modeling Risk, Measuring (representing) Risk. Two current Research Streams
14.50 - 15.10 Massimo Morini (ADIA Lab) Understanding AI Time-Series Foundation Models in Financial Market Applications
15.10 - 15.30 Andrea Pallavicini (IntesaSanPaolo) Optimal strategy and deep hedging for share repurchase programs
15.30 - 16.00 Stefano Herzel (Università di Roma Tor Vergata) Where do policy rate surpises hit the yield curve?
16.00-16.30 Coffee Break
Session 4. Risk, Rates, and Machine Learning
Session Chair: Anna Battauz (Bocconi)
16.30 - 17.00 Rama Cont (University of Oxford) Title TBA
17.00 - 17.30 Claudio Fontana (Università di Padova) Data-driven Heath-Jarrow-Morton models
17.30 - 18.00 Huyen Pham (École polytechnique, Paris) Stochastic control for generative dynamics: from Schrödinger bridges to path-dependent McKean-Vlasov models
Aperitivo and F. Mercurio Celebration
18.00 Presentation by E. Bruè, Head of the PhD program in Applied Math and speech by F. Mercurio
20.00 Dinner (by invitation only)
