gnoatto
univrit
During the lecture period of the second semester you can meet me every Tuesday from 4 to 6 p.m. in my office (Room 1.05 first floor DSE - VR)
Outside of the lecture period: Any time via E-Mail arrangement.
Durante il periodo di lezioni del secondo semestre ricevo ogni martedì dalle 16:00 alle 18:00. (Stanza 1.05 primo piano DSE - VR)
Al di fuori del periodo di lezioni: Previo appuntamento via E-Mail.
AlessandroGnoatto
(pdf, en, 142 KB, 14/08/19)
Modules running in the period selected: 9.
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 G13 - Contingent Pricing; Futures Pricing | Evaluation models in the financial field, with applications to the pricing of derivative products (plain-vanilla and exotic), to their coverage, and to the analysis of the associated risks. |
Quantitative Finance
General Financial Markets |
| MSC 60H10 - Stochastic ordinary differential equations | Analysis of continuous time stochastic processes. Applications of stochastic differential equations of forward and backword type with jumps to problems of financial pricing and optimal control. |
Quantitative Methods for Economics
Stochastic analysis |
| 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 60H35 - Computational methods for stochastic equations | Probabilistic computational methods: recursive marginal quantization and Fourier-quantization. Exposure estimation in models featuring counterparty risk. |
Quantitative Methods for Economics
Stochastic analysis |
| 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 |
| Office | Collegial Body |
|---|---|
| member | Collegio dei Docenti del Dottorato in Economia e Management A.A. 2019/2020 - Department Economics |
| Collegio didattico di Banca e finanza - Department Economics | |
| member | Mathematics Teaching Committee - Department Computer Science |
| Comitato scientifico del Corso di Perfezionamento in Scienze attuariali e risk management nelle imprese di assicurazione | |
| member | Economics Department Council - Department Economics |
