In occasione delle visite di Jean Jacod e di José Figueora-Lopez al Dipartimetno di Scienze per l'Economia e dell'Impresa, il giorno venerdì 18 maggio 2018, ore 10:00-18:00, a Firenze, presso il Campus di Novoli, via delle Pandette 9 (edificio D6), aula 0.01, si terrà il convegno *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/