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/