Speaker: Prof. Maciej Augustyniak, Dept. of Mathematics & Statistics, University of Montreal Abstract: Basis risk arises when hedging a financial derivative with an instrument different from its underlying asset. This risk can significantly impair hedging effectiveness and must therefore be properly managed. This article develops a discrete-time hedging framework for European-style derivatives that explicitly accounts […]

Speaker: Prof. Elisa Alos, Dept. of Economics and Business, University of Pompeu Fabra, Barcelona Abstract: We introduce the main tools of Malliavin calculus and show how to use them to study the short-end behavior of skew and curvature of the implied volatility surface. This methodology allows us to obtain general formulas in terms of Malliavin […]

Speaker: Prof. Zhenyu Cui, School of Business, Stevens Institute of Technology, Hoboken NJ Abstract: We establish a novel link between nearly unstable cumulative heavy-tailed integer-valued autoregressive (INAR(∞)) processes and the rough Heston model via discrete scaling limits. We prove that a sequence of bivariate cumulative INAR(∞) processes converge in law to the rough Heston model […]

Speaker: Dr. Jean-Phillipe Aguilar, Head of Pricing Models Audit, Societe Generale, Paris La Defense Abstract:Stochastic Volatility Jump Diffusion (SVJ) models combine the advantages of both stochastic volatility and jump models, while addressing some of their well-known limitations; moreover, they often calibrate well in equity and FX markets. In this talk we will focus on a […]

Speakers: Dr. Marco Bianchetti, Head of Market and Counterparty Risk IMA Methodologies, Intesa Sanpaolo, Milan, Italy Dr Fabio Vitale, Senior Researcher, CENTAI Institute, Turin, Italy Abstract: We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), formulate the corresponding optimization problem, and […]

Speaker: Prof. Marta Malecka, Dept. of Statistical Methods, Univ. of Lodz, Lodz, Poland Abstract: The reformed Basel framework has left value at risk (VaR) as a basic tool of validating risk models. Within this framework, VaR independence tests have been regarded as critical to ensuring stability during periods of financial turmoil. However, until now, there […]

Speaker: Prof. Massimo Guidolin, Baffi Carefin Center, Bocconi Univ., Milan Abstract: This paper examines the out-of-sample accuracy of recurrent artificial neural networks (ANNs) compared to traditional econometric models for the prediction of realized volatility. We focus on a horserace between the heterogeneous autoregressive (HAR) model, its Markov-switching extension (MS-HAR), multi-layer perceptrons (MLP), and long short-term […]

Speaker: Dr. Alejandro Rodriguez Dominguez, Director of Quantitative Analysis and Artificial Intelligence, Miralta Finance Bank, Madrid. Abstract: We introduce a novel framework for portfolio construction, covering both selection and optimization, based entirely on ensemble learning theory. A portfolio is modelled as an ensemble in a multi-hypothesis prediction setting, with each constituent (base learner) focused on […]