[Forum SIS] mini-workshop "Young Researchers" a Milano-Bicocca

[Fabio Bellini]

Il giorno giovedì 17 luglio alle ore 14.30 presso 
la Sala del Consiglio della Scuola di Economia e 
Statistica, al IV piano dell'edificio U7 in via 
Bicocca degli Arcimboldi 8, si terrà il 
mini-workshop "Young Researchers" con il seguente programma:

14.30 - 15.00 Annamaria Gambaro, Dottorato in 
Statistica e Matematica per la Finanza, Università di Milano-Bicocca
Approximated pricing of swaptions in general interest rate models
We propose a new lower bound on the prices of 
European-style swaptions for a wide class of 
interest rate models. This method is applicable 
whenever the joint characteristic function of the 
state variables is known in closed form or could 
be easily obtained with numerical PDE solution 
method. Our algorithm involves the computation of 
one dimensional Fourier transform indipendently 
from the swap length. Moreover the bound could be 
used as a control variable to reduce confidence 
interval of the Monte Carlo technique. We test 
our new lower bound on different affine models 
and on 2-factor quadratic gaussian model and the 
method is found to be fast and accurate (joint 
work with Ruggero Caldana and Gianluca Fusai).

15.00 - 15.30 Jacopo Corbetta, Dottorato in Matematica e Applicazioni,
Università di Milano-Bicocca
Smile asymptotics in a multiscaling stochastic volatility model
We consider a stochastic volatility model which 
captures some relevant stylized facts of 
financial series, including the so-called 
multiscaling of moments. We obtain sharp large 
deviations estimates for the price, based on a 
large deviations principle for suitable 
functionals of a point process, which is of 
independent interest. This yields explicit 
asymptotic formulas for the price of European 
options, and for the related implied volatility, 
both in the small maturity and large strike 
regimes. In particular, we show that implied 
volatility for out-of-the-money options explodes 
as the maturity vanishes, with an explicit 
limiting shape (joint work with Francesco Caravenna).

15.30 - 16.00 Alberto Santangelo, Dottorato in 
Statistica e Matematica per la Finanza, Università di Milano-Bicocca
Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors
We measure diversification in terms of the 
"Effective Number of Minimum-Torsion Bets", 
namely a set of uncorrelated factors, optimized 
to closely track the factors used to allocate the 
portfolio. In this way we introduce a novel 
notion of "absolute risk contributions", which 
generalizes the "marginal contributions to risk" 
in traditional risk parity. We discuss the 
advantages of the Minimum-Torsion Bets over the 
traditional approach to diversification based on 
marginal contributions to risk. We present a case 
study in the S&P 500. Fully documented code is 
available for download (joint work with Romain Deguest and Attilio Meucci).

Tutti gli interessati sono invitati a partecipare.


Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini