Event description

Trading desks manage risk through replication rather than directional forecasting. This presentation reviews the quantitative machinery of pricing and hedging, spanning advanced volatility modeling (stochastic, rough, path-dependent) and deep hedging for markets with transaction costs and discrete trading, concluding with the evolving role and skill set of quantitative analysts.

Relatori/Relatrici

Dr. Andrea Pallavicini
Andrea Pallavicini is the Head of equity, FX and commodity models at Banca IMI, Milan, and visiting professor at the Department of Mathematics of Imperial College, London. He holds a Ph.D. in Theoretical and Mathematical Physics from the University of Pavia for his reasearch activity at CERN.

Modalità di accesso

In presenza: Ingresso libero fino esaurimento posti

Organizzazione

Chiara Guardasoni

Mappa

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