seminar at SISSA

[Emanuele Tuillier Illingworth]

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MATHEMATICAL PHYSICS SECTOR ACTIVITIES
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The SISSA Mathematical Physics Sector announces a Journal Club in  
Mathematical Finance. The first seminar will be held on Tuesday 29  
April at 14:30 in room D. Everybody is welcome.


SEMINAR ANNOUNCEMENT:

Ph.D. Cristiano Borean, Strategic Asset Allocation Manager at  
Generali, will hold a
seminar on:

A RANDOM WALK ON THE MARKETS: WHAT A PHYSICIST CAN DO FOR THE DEVELOPMENT OF
QUANTITATIVE FINANCE

Abstract:

In the last four decades the contribution from the scientific  
environment to the
solution of financial investments decisions and asset valuation  
problems have been remarkable. In particular it is important to  
mention the improvements achieved due to the application of stochastic  
calculus (i.e. well known Merton-Black-Scholes application to the  
pricing of complex financial instruments like derivatives) and the  
adoption of modeling and optimal control theory (Markowitz portfolio  
optimization, Capital Asset Pricing Model, portfolio non-gaussian  
models with fat tailed distributions of returns or application of  
extreme value theory, risk control and management techniques). Modern
finance deals with complex models which widely adopt routines and  
algorithms initially developed for both experimental and theoretical  
physics purposes, i.e. minimization of functions with multiple minima,  
monte-carlo simulation, grid computing, neural-networks, complex  
parameter estimation techniques. We will also discuss some examples of  
these application to the investment decision making process of  
Assicurazioni Generali S.p.A.