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Program for stream New challenges for financial modelling
Sunday
Monday
Tuesday
Tuesday, 18:30-20:00
TF-33: New frontiers in asset pricing
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s):
Roy Cerqueti, Mario Maggi
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The Determinants of Minibonds in the Italian Market
Saverio Storani, Roy Cerqueti, Catherine Deffains-Crapsky, Anna Grazia Quaranta -
Asset allocation determinants under different decision models
Mario Maggi -
An Optimal Market Making Model where the Price Dynamics Follows a Mean-reverting Process with Stochastic Volatility
Burcu Aydogan, Ömür Ugur, Ümit Aksoy -
How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?
Henry Penikas, Anastasia Skarednova, Mikhail Surkov
Wednesday
Wednesday, 8:30-10:00
WA-33: Financial models
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s):
Francesco Cesarone
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Maximum risk diversification for portfolio selection
Francesco Cesarone, Rosella Giacometti, Fabio Tardella -
Power index-based assessment of risk in a portfolio of securities
Arsen Palestini -
Optimal pair-trade execution with generalized cross-impact
Makoto Shimoshimizu, Masamitsu Ohnishi -
Hawkes Carma(p,q) Models In Ruin Theory
Edit Rroji
Wednesday, 10:30-12:00
WB-33: Complex networks for finance
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s):
Rosanna Grassi
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CLUSTERING COEFFICIENTS IN FINANCIAL MULTILAYER NETWORKS
Rosanna Grassi, Paolo Bartesaghi, Gian Paolo Clemente -
Robustness assessment for railway network design and investment decisions
Alessandra Cornaro, Daniele Grechi -
Modelling spatial insurance risk using complex networks
Gian Paolo Clemente, Francesco Della Corte, Diego Zappa -
Contagion Dynamics between Banks’ Customers, Credit Risk and Complex Networks
Anna Grazia Quaranta, Roy Cerqueti, Francesca Pampurini, AnnaGiulia Pezzola
Wednesday, 12:30-14:00
WC-33: Covid-19: Regimes, Contagion, Integration-
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s):
Alejandra Cabello
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Modelling Oil Pricing Across Different Regimes: A Neural Network Methodology
Anastasios Malliaris, Mary Malliaris -
Stock exchange efficiency and convergence: International evidence
Ephraim Clark, Zhuo Qiao -
Covid19 and Financial Contagion among International Stock Markets Volatility: MS-AR and Scalar and Diagonal BEKK-GARCH analyses
Miriam Sosa, Edgaro Ortiz, Alejandra Cabello -
Risk Evaluation of Liabilities by Using a Regime-Switching Interest Rate Model and Its Application to the Non-Maturity Deposits
Yukio Muromachi
Wednesday, 14:30-16:00
WD-05: Pricing complex securities
Stream: New challenges for financial modelling
Room: Building Δ, Room Δ105
Chair(s):
Rosella Castellano
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Do Gender Issues and Financial Literacy impact on Italian female managers and entrepreneurs?
Rosella Castellano, Jessica Riccioni, Azzurra Rinaldi -
A Treatise on Financial Crises Contagion: The Case of African Securities Exchanges
Sèdjro C. Rodrigue Dossou-Cadja