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<![endif]-->
<p class="MsoTitle"><span
style="font-size:18.0pt;font-family:"Times New
Roman","serif"">NO
FREE LUNCH SEMINAR</span><span
style="font-size:18.0pt;font-family:"Times New
Roman","serif";
font-weight:normal;mso-bidi-font-weight:bold;text-decoration:none;text-underline:
none"><o:p></o:p></span></p>
<p class="MsoTitle"><span
style="font-size:16.0pt;font-family:"Times New
Roman","serif";
font-weight:normal;mso-bidi-font-weight:bold;text-decoration:none;text-underline:
none">seminari di finanza quantitativa<o:p></o:p></span></p>
<p class="MsoTitle"><span
style="font-size:10.0pt;font-family:"Times New
Roman","serif""><o:p><span
style="text-decoration:none"> </span></o:p></span></p>
<h2><span style="font-family:"Times New
Roman","serif";mso-no-proof:yes">Martedė
29 gennaio 2013</span><span style="font-family:"Times New
Roman","serif""><o:p></o:p></span></h2>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;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-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;font-family:
"Times New Roman","serif""><o:p> </o:p></span></p>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><u><span
style="font-size:16.0pt;
font-family:"Times New Roman","serif"">Scuola
Normale Superiore<o:p></o:p></span></u></p>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;font-family:
"Times New Roman","serif"">Pisa<o:p></o:p></span></p>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;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="tab-stops:324.0pt"><b><u><span
style="font-size:10.0pt;
font-family:"Times New Roman","serif""><o:p><span
style="text-decoration:none"> </span></o:p></span></u></b></p>
<p class="MsoNormal" style="text-align:center" align="center"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:22.0pt;
font-family:"Times New Roman","serif"">Marco
Bianchetti<span style="mso-no-proof:
yes"><o:p></o:p></span></span></i></b></p>
<p class="MsoNormal" style="text-align:center" align="center"><i
style="mso-bidi-font-style:
normal"><span style="font-family:"Times New
Roman","serif"">Intesa Sanpaolo<o:p></o:p></span></i></p>
<p class="MsoNormal" style="text-align:center" align="center"><span
style="font-family:"Times New
Roman","serif""><o:p> </o:p></span></p>
<p class="MsoNormal" style="text-align:center;tab-stops:324.0pt"
align="center"><span
style="font-size:16.0pt;font-family:"Times New
Roman","serif"">Terrā un
seminario dal titolo:<o:p></o:p></span></p>
<p class="MsoNormal" style="tab-stops:324.0pt"><span
style="font-family:"Times New
Roman","serif""><o:p> </o:p></span></p>
<p class="MsoNormal" style="text-align:center" align="center"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:22.0pt;font-family:"Times New
Roman","serif";mso-ansi-language:
EN-US" lang="EN-US">“</span></i></b><b><span
style="font-size:22.0pt;font-family:
"Times New
Roman","serif";mso-ansi-language:EN-US"
lang="EN-US">Consistent No-Arbitrage
Derivatives' Pricing Including Funding And Collateral</span></b><b
style="mso-bidi-font-weight:normal"><i
style="mso-bidi-font-style:normal"><span
style="font-size:22.0pt;font-family:"Times New
Roman","serif";
mso-ansi-language:EN-US" lang="EN-US">”<o:p></o:p></span></i></b></p>
<p class="MsoNormal" style="text-align:center" align="center"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:10.0pt;font-family:"Times New
Roman","serif";mso-ansi-language:
EN-US" lang="EN-US"><o:p> </o:p></span></i></b></p>
<p class="MsoNormal" style="text-align:justify"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:10.0pt;font-family:"Times New
Roman","serif";mso-ansi-language:
EN-US" lang="EN-US"><o:p> </o:p></span></i></b></p>
<p class="MsoNormal" style="text-align:justify"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:10.0pt;font-family:"Times New
Roman","serif";mso-ansi-language:
EN-US" lang="EN-US">Abstract:<o:p></o:p></span></i></b></p>
<p class="MsoNormal"
style="text-align:justify;mso-layout-grid-align:none;
text-autospace:none"><i style="mso-bidi-font-style:normal"><span
style="font-family:"Times New
Roman","serif";mso-ansi-language:EN-US"
lang="EN-US">We
revisit the problem of general no-arbitrage pricing of
derivatives including
the funding component. We show that, by adopting the
no-arbitrage approach based
on replication, PDE, and Feynman-Kac theorem, an appropriate
treatment of the
self-financing conditions allows straightforward and
consistent proofs of the
relevant pricing formulas covering a broad range of cases. In
particular, we
firstly recover the basic results for single currency funding
of derivatives including,
step by step, perfect or partial collateral, repo, and
dividends. Next, we generalize
the analysis to the case of multiple currency funding, and we
examine the special
case of interest rate derivatives. These results are useful to
provide a simple
and consistent framework of modern pricing formulas, fostering
a broader
understanding of the current market practice of CSA
discounting, and to set
solid theoretical grounds supporting further generalizations
to include other
risk factors, counterparty risk (CVA and DVA) in particular.<o:p></o:p></span></i></p>
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<p class="MsoNormal" style="text-align:justify"><span
style="font-size:16.0pt;
font-family:"Times New Roman","serif"">Tutti
gli interessati sono invitati a
partecipare.<o:p></o:p></span></p>
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<p class="MsoBodyText" style="tab-stops:9.0cm"><span
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font-family:"Times New
Roman","serif";mso-ansi-language:IT">Classe di
Scienze<o:p></o:p></span></p>
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<pre class="moz-signature" cols="72">--
Valeria Giuliani
Scuola Normale Superiore
Area Didattica
Servizio Supporto attivita Didattiche
tel.050509260
Fax.050509045
<a class="moz-txt-link-abbreviated" href="mailto:v.giuliani@sns.it">v.giuliani@sns.it</a>
<a class="moz-txt-link-abbreviated" href="mailto:adi.sd@sns.it">adi.sd@sns.it</a></pre>
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