- Docente: Alessandra Luati
- Credits: 8
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8409)
Learning outcomes
The aim is to offer an overview on several very recent research topics in Quantitative Finance.
Course contents
New Risk Measures in Higher Dimension (prof. Dominique Guegan, University Paris 1 Sorbonne)
GARCH Modeling and Factor Models: Theory for Implementation in Portfolio Selection and CAPM Modeling (prof. Anders Rahbek, University of Copenhagen)
Econometric Analysis of Networks (prof. Christian Brownlees, University Pompeu Fabra)
Modern Interest Rates, including funding, collateral and negative rates environment (Dr Marco Bianchetti, Intesa Sanpaolo)
Nonlinear Time Series Analysis: an Introduction (prof. Howell Tong, London School of Economics)
Time Varying Parametes Models (prof. Siem-Jan Koopman, University of Amsterdam)
Readings/Bibliography
Material provided by lecturers
Teaching methods
The workshop is divided in five parts: one is taken by the
professor that is responsible of the course while the others are
taken by professors from other universities on topics in which they
are well known experts.
Assessment methods
Attendance is compulsory. Students will be asked to prepare a short essay about one of the modules that will be orally discussed.
Teaching tools
None
Office hours
See the website of Alessandra Luati