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Quantitative Finance

Lecture Register

Academic year 2022/2023
Lecturer Piero Mazzarisi, Giacomo Bormetti, Giulia Livieri

Lecture

  • 21 Nov 2022 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Introduzione a quantitative finance

  • 28 Nov 2022 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Option pricing: modello binomiale a due tempi

  • 05 Dec 2022 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Elementi di probabilità e calcolo stocastico

  • 05 Dec 2022 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Option Pricing: Modello binomiale a più tempi

  • 19 Dec 2022 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Approccio generale all'option pricing in continuous time

  • 09 Jan 2023 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Brownian motion e applicazioni in finanza

  • 16 Jan 2023 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Black-Scholes formula e Option Pricing dei derivati Europei

  • 23 Jan 2023 (2h 00m)

    Giacomo Bormetti - Course (teaching activity) - Face to face

    Introduction to Local Volatility Models; implied density and Breeden-Litzenberger formula; Dupire formula and pricing equation.

  • 25 Jan 2023 (2h 00m)

    Giacomo Bormetti - Course (teaching activity) - Face to face

    Derman-Kani representation of the local volatility function; the implied forward variance; fundamental relation among local volatility, implied volatility, and forward variance; path integral interpretation.

  • 30 Jan 2023 (2h 00m)

    Giacomo Bormetti - Course (teaching activity) - Face to face

    Introduction to stochastic volatility models; valuation equation and Feynman-Kac representation of the solution

  • 01 Feb 2023 (2h 00m)

    Giacomo Bormetti - Course (teaching activity) - Face to face

    The Heston model; pricing equation; Gil-Pelaez Inversion Theorem; semi-closed form solution of the option price; Riccati equation and affine models

  • 06 Feb 2023 (2h 00m)

    Giacomo Bormetti - Course (teaching activity) - Face to face

    Introduction to realized volatility and roughness: econometric validation of the roughness hypothesis.

  • 08 Feb 2023 (2h 00m)

    Giacomo Bormetti - Course (teaching activity) - Face to face

    Introduction to rough volatility models in continuous time: rough Heston and rough Bergomi.

  • 11 Feb 2023 (2h 00m)

    Piero Mazzarisi - Course (teaching activity) - Face to face

    Misure risk neutral e Black-Scholes model

  • 13 Feb 2023 (3h 00m)

    Giacomo Bormetti - Course (teaching activity) - Face to face

    Pricing and Monte Carlo simulation of rough volatility models. Introduction to path-dependent volatility models.

  • 12 Apr 2023 (2h 00m)

    Giulia Livieri - Course (teaching activity) - Face to face

    Quadratic variation, distribution of the stochastic integral, the probability limit of the realized volatility (with and without drift)

  • 14 Apr 2023 (4h 00m)

    Giulia Livieri - Course (teaching activity) - Face to face

    Stable convergence, Asymptotic distribution of the realized volatility, Jump Detection, Limits in the presence of the noise, Jump theory.

  • 24 Jun 2023 (4h 00m)

    Giulia Livieri - Course (teaching activity) - Face to face

    Bi-power variation, Probability limit of the bi-power variation with and without drift, Inconsistency of the realized volatility in presence of Jumps, Consistency of the bi-power variation in presence of jumps, Testing for Jumps.

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