Piazza di Porta S. Donato , 5
Bologna, Bologna 40126
Italy
University of Bologna - Department of Mathematics
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Valuation Ratios, Long Run Stock Market Returns
Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise
Component GARCH, variance risk premium, predictability, equity risk premium, term structure, option pricing
Bayesian Inference, Monte Carlo Markov Chain, High-frequency, Realized volatility, HARG, Stochastic volatility, Option pricing
Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Collateral Modeling, Overnight Rates
High-frequency, Realized volatility, HARG, Option pricing, Variance risk premium, Jumps
price cojumps, Hawkes processes, systemic shocks, high frequency data
Monte Carlo, Variance Reduction, Quantization, Markov Generator, Local Volatility, Option Pricing
Score-driven models, Smoothing, Kalman filter, State-Space models, Filtering uncertainty
HJM, multiple-curve, scenario generation, PCA
Financial markets, market microstructure, market impact, liquidity
Financial markets, market microstructure, market impact, liquidity, markov chain
financial markets, complex systems, data science, computational social science
Financial markets, market microstructure, limit order book, liquidity
Continuous Time Stochastic Volatility, Long Memory, Generalized Methods of Moments
High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment
temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction
Models of financial markets, Value-at-Risk, CVaR, Bootstrap
