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 […]

Speaker: Prof. Lorenzo Mercuri, Dept of Economics, Management and Quantitative Methods, Univ. of Milan Abstract: A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the Ornstein-Uhlenbeck intensity with a CARMA(p,q) model where the associated state process is […]

Speaker: Prof. Huy Chau, Dept. Mathematics, University of Manchester Abstract: In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to exist. Our main results include a new […]

Speaker: Dr. Carlos Andres Zapata Quimbayo, ODEON, Universidad Externado de Colombia, Bogota Abstract: We implement a robust Bayesian framework for portfolio optimization that integrates Bayesian inference with robust optimization techniques. The model considers parameter uncertainty in expected returns and covariances by combining normal-inverse-Wishart and gamma distributions through ellipsoidal uncertainty sets. We apply this methodology to […]

Speaker: Prof. Josep Vives, Department of Economical, Financial and Actuarial Mathematics, University of Barcelona Abstract: Let the log returns of an asset X(t) = log(S(t)) be defined on a risk neutral filtered probability space (Ω, F, (F(t); t ∈ ), P) for some 0 < T < ∞. Assume that X(t) is a stochastic volatility […]

Speaker: Prof. Marcos Escobar-Anel, Dept. of Statistics & Actuarial Sciences, University of Western Ontario, London Abstract: Abstract: This paper develops an optimal portfolio allocation formula for multi-assets where the covariance structure follows a multivariate affine GARCH(1,1) process. We work under an expected utility framework, considering an investor with constant relative risk aversion (CRRA) utility who […]