Modules running in the period selected: 52.
Click on the module to see the timetable and course details.
Topic | Description | Research area |
---|---|---|
JEL C61 - Optimization Techniques; Programming Models; Dynamic Analysis | Covers theory and methods for optimization problems. Linear programming and mathematical programming. Vector optimization and duality models. Economic applications to the problems of optimal investment choices under conditions of uncertainty and portfolio optimization. Estimation of the parameters of financial models including a risk-neutral assumption and calibration of the models. Stochastic optimization for finding estimators of the volatility of a semimartingale with jumps. |
Quantitative Methods for Economics
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling |
JEL G11 - Portfolio Choice; Investment Decisions | This reseach field studies optimal investment and consumption using financial assets and insurance policies. Both methodological (modelling and calibration) and practical (impact on short and long term behavior) aspects are investigated. |
Quantitative Finance
General Financial Markets |
JEL G12 - Asset Pricing; Trading volume; Bond Interest Rates | Research on asset pricing focuses on two main topics: modelling interest rates, with the aim of pricing bonds and derivatives, and modelling stocks, to study the main factors which determine their price variation. |
Quantitative Finance
General Financial Markets |
JEL G34 - Mergers; Acquisitions; Restructuring; Corporate Governance | Analysis of the conposition of the Board of Directors, diversity and efficacy. Effects of interlocking directorships. Analysis of the effects of regulatory and legislative reforms. |
Quantitative Finance
Corporate Finance and Governance |
MSC 60H30 - Applications of stochastic analysis | Applications of continuous-time stochastic processes in economics and finance. Analysis of pricing problems and contingent claims. Studies of problems of risk management and applications of measures of risk. |
Quantitative Methods for Economics
Stochastic analysis |
MSC 62P05 - Applications to actuarial sciences and financial mathematics | Risk modelling in insurance and finance, in particular credit risk with the development of credit scoring models and algorithms; calibration of the probabilities of defaults; market segmentation. |
Quantitative Methods for Economics
Applications |
MSC 65C05 - Monte Carlo methods | Monte Carlo methods for estimating and predicting dynamic models, such as Markov chain Monte Carlo, particle filters and sequential Monte Carlo. Applications of these methods to economic and financial field. In particular, applications for the numerical solution of stochastic differential equations forward-backward. Also covers Longstaff-Schwartz regression methods for the solution of Snell envelopes and applications in the counterparty risk field. |
Quantitative Methods for Economics
Probabilistic methods, simulation and stochastic differential equations |
MSC 91G80 - Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems) | Among the main applications of stochastic optimal control theory one finds mathematical finance. Indeed, many decision problems are formulated in terms of optimization on continuous-time stochastic models. We find typically: hedging problems, portfolio optimization, risk management and optimal stopping. |
Quantitative Finance
Mathematical finance |
Title | Starting date |
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Valutazione, gestione e copertura del rischio di credito | 1/1/03 |
Metodi e modelli per valutazioni finanziarie in ambito certo ed aleatorio | 1/1/03 |
Misure Var per la valutazione di forme assicurative index - linked | 1/1/02 |
Office | Collegial Body |
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Teaching Staff Body for the Doctorate in international research in Economics and Finance | |
Collegio didattico di Economia, imprese e mercati internazionali - Economics and Management | |
Scientific Committee for the International Masters Degree in Business Administration | |
member | Consiglio dei Corsi di Laurea e Laurea Magistrale con sede a Vicenza/Consiglio Didattico del Polo Scientifico Didattico di "Studi sull'Impresa" |
member | Economics Department Council - Department Economics |
Personale Docente del Dipartimento di Scienze Economiche |