Workshop

May 4, 2018

9:15-9:30

Welcome

9:30-10:15

Attilio Meucci

Advanced Risk and Portfolio Management

Black-Litterman and Beyond.

10:15-11:00

Reha Tutuncu

SECOR Asset Management

Practical Multi-Period Optimization for Asset Management

11:00-11:15

Coffee Break

11:15-12:00

Douglas McKinley

Thomson Reuters

Big Open Linked Data (BOLD) - Adoption of Connected Data approaches within the financial services.

12:00-12:45

Pietro Rossi

Volatility Surface and Martingale Measures

12:45-14:45

Lunch

14:45-15:30

Andrea Pallavicini

Banca IMI

Funding in Foreign Currencies: market dislocations and price adjustments

15:30-16:15

Stefano Iacus

University of Milan

YUIMA: An R Framework for Simulation and Inference of Stochastic Processes

16:15-16:45

Coffee Break and farewell with final comments by all the participants.