Program for stream New challenges for financial modelling

TF-33: New frontiers in asset pricing
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s): Roy Cerqueti, Mario Maggi

• 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

WA-33: Financial models
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s): Francesco Cesarone

• 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

WB-33: Complex networks for finance
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s): Rosanna Grassi

• 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

WC-33: Covid-19: Regimes, Contagion, Integration-
Stream: New challenges for financial modelling
Room: Virtual Room 33
Chair(s): Alejandra Cabello

• 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

WD-05: Pricing complex securities
Stream: New challenges for financial modelling
Room: Building Δ, Room Δ105
Chair(s): Rosella Castellano

• 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