Portfolio managing, stochastic processes and financial econometrics

con il programma sotto descritto.

Tutti gli interessati sono cordialmente invitati a partecipare. Per motivi organizzativi CHI INTENDE PARTECIPARE è pregato di INVIARE UNA EMAIL a cecilia.mancini@unifi.it

Programme:

10:00 Jean Jacod, Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie-Paris 6,
Modeling asset prices: small scale versus large scale

11:00 José Figueora-Lopez, Department of Mathematics, Washington University in St. Louis, 
Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations

BREAK 11:30, D6/1.02

12:00 Luca Spadafora, Internal Model Validation, Banco BPM S.p.A., Milano, and Department of Computer Sciences, University of Verona,
Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling

12:30 Giannicola Simari, University of Pisa

 A new Value-based Investing Strategy: The Case of the S&P 500 Index

LUNCH 13:00

14:30 Giampiero Maria Gallo, Italian Court of Auditors (Corte dei conti),
Mitigating Measurement Error Effects in Volatility Forecasting

15:00 Simona Sanfelici, Department of Economics and Management, University of Parma,
Estimation of the stochastic leverage effect using the Fourier transform method

15:30 Rachele Foschi, Department of Economics and Management, University of Pisa,
Hawkes processes: continuous- and discrete-time stochastic intensity

BREAK 16:00, D6/1.02

16:30 Francesca Lilla, Department of Management and Economics, University of Florence,
TBA

17:00 Erindi Allaj, Department of Management and Economics, University of Florence,
Black-Litterman model and its out-of-sample performance

17:30 Fabrizio Cipollini, Department of Statistics, Informatics and Applications, University of Florence,
Forecasting Optimal Portfolio Weights Using High-Frequency Data