<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META http-equiv=Content-Type content="text/html; charset=iso-8859-1">
<META content="MSHTML 6.00.6000.17095" name=GENERATOR>
<STYLE></STYLE>
</HEAD>
<BODY bgColor=#ffffff>
<DIV><FONT face=Arial size=2>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><STRONG><U><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'">NO FREE LUNCH
SEMINAR</SPAN><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; mso-bidi-font-weight: bold; text-underline: none"><?xml:namespace
prefix = o ns = "urn:schemas-microsoft-com:office:office"
/><o:p></o:p></SPAN></U></STRONG></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; mso-bidi-font-weight: bold; text-underline: none"><U>seminari
di finanza quantitativa<o:p></o:p></U></SPAN></P>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN> </H2>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">martedì 15
febbraio 2011</SPAN><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></H2>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">ore <SPAN
style="mso-no-proof: yes">13.00</SPAN><o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><U><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Scuola Normale
Superiore<o:p></o:p></SPAN></U></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Pisa<o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">(Aula <SPAN
style="mso-no-proof: yes">Bianchi</SPAN>)<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN></I></B> </P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Giacomo
BORMETTI<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Scuola
Normale Superiore di Pisa</SPAN></I><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><SPAN style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Terrà<SPAN
style="mso-spacerun: yes"> </SPAN>un seminario dal
titolo:<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">“<SPAN
style="mso-no-proof: yes">Minimal model of financial stylized
facts</SPAN>”<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'">Abstract:<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify; mso-layout-grid-align: none"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US; mso-no-proof: yes"><FONT
size=3>In this seminar I will present joint <SPAN
style="mso-spacerun: yes"> </SPAN>work with D. Delpini from the University
of Pavia. We afford the statistical characterization of a linear Stochastic
Volatility Model featuring Inverse Gamma stationary distribution for the
instantaneous volatilitiy of financial returns. We detail the derivation of the
moments of the return distribution, revealing the role of the Inverse Gamma law
in the emergence of fat tails, and of the relevant correlation functions. We
also propose a systematic methodology for estimating the model parameters, and
we describe the empirical analysis of the Standard & Poor 500 index daily
returns, confirming the ability of the model to capture many of the established
stylized fact as well as the scaling properties of empirical distributions over
different time horizons.<o:p></o:p></FONT></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Tutti gli
interessati sono invitati a partecipare. Durante il seminario saranno
distribuiti dei panini e delle bottigliette di acqua.<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><SPAN
style="mso-tab-count: 2"> </SPAN></SPAN><FONT
face="Times New Roman"><SPAN style="mso-ansi-language: IT"><SPAN
style="mso-tab-count: 2"><FONT
size=3> </FONT></SPAN></SPAN><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT">Classe
di Scienze<o:p></o:p></SPAN></FONT></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><o:p> </o:p></SPAN></P></FONT></DIV>
<DIV><FONT face=Arial
size=2>--------------------------------------------------------------------------------<BR>Valeria
Giuliani<BR>Scuola Normale Superiore<BR>Servizio Supporto Attività Didattiche -
Scienze<BR>Tel. 050-509260<BR>Fax. 050-509045<BR>Piazza dei Cavalieri,
7<BR>56126 Pisa<BR>E-Mail: <A
href="mailto:v.giuliani@sns.it">v.giuliani@sns.it</A> <BR>E-Mail: <A
href="mailto:segreteria.scienze@sns.it">segreteria.scienze@sns.it</A></FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Le informazioni contenute nella presente e-mail e
nei relativi allegati possono essere riservate e sono, comunque, destinate
esclusivamente al destinatario in indirizzo.<BR>E’ vietata, pertanto, la
diffusione, distribuzione e/o copiatura di tali informazioni da parte di
qualsiasi soggetto diverso dal destinatario. <BR>Chiunque abbia ricevuto o letto
questa e-mail per errore o senza esserne legittimato è invitato a darne
immediatamente notizia al mittente tramite fax o e-mail e a
distruggerla.<BR>Grazie.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV></BODY></HTML>