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<p class="gmail-MsoTitle" style="margin:0cm 0cm 0.0001pt;text-align:center;font-size:24pt;font-family:"New York",serif;font-weight:bold;text-decoration:underline"><span style="font-size:18pt;font-family:"Times New Roman",serif">SEMINARIO
DI FINANZA QUANTITATIVA<span></span></span></p>
<p class="gmail-MsoTitle" style="margin:0cm 0cm 0.0001pt;text-align:center;font-size:24pt;font-family:"New York",serif;font-weight:bold;text-decoration:underline"><span style="font-size:16pt;font-family:"Times New Roman",serif"><span><span style="text-decoration:none"> </span></span></span></p>
<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Giovedì <span> </span>17 maggio 2018</span><span style="font-size:16pt;font-family:"Times New Roman",serif"><span></span></span></p>
<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">ore <span>14:00</span><span></span></span></p>
<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"><span> </span></span></p>
<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><u><span style="font-size:16pt;font-family:"Times New Roman",serif">Scuola Normale Superiore<span></span></span></u></p>
<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Pisa<span></span></span></p>
<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif;color:rgb(34,34,34);background:white">Aula Fermi<span></span></span></p>
<p class="MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><u><span style="font-size:16pt;font-family:"Times New Roman",serif"><span><span style="text-decoration:none"> </span></span></span></u></b></p>
<p class="MsoNormal" align="center" style="text-align:center;background:white;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span class="gmail-apple-converted-space"><b><span style="font-size:24pt;font-family:"Times New Roman",serif;color:rgb(34,34,34);background:white"> </span></b></span><b><span style="font-size:22pt;font-family:"Times New Roman",serif;color:rgb(34,34,34);background:white">Jean Jacod </span></b><b><span style="font-size:22pt;font-family:"Times New Roman",serif;color:rgb(34,34,34)"><span></span></span></b></p>
<p class="MsoNormal" align="center" style="text-align:center;background:white;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><i><span style="font-family:"Times New Roman",serif;color:rgb(34,34,34)">(<span style="background:white">Université Paris 6, Pierre et
Marie Curie</span>)<span></span></span></i></p>
<pre style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:10pt;font-family:"Courier New""><b><i><span style="font-size:12pt;font-family:"Times New Roman",serif;color:rgb(34,34,34);background:white"><span> </span></span></i></b></pre>
<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">terrà un
seminario dal titolo:<span></span></span></p>
<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"><span> </span></span></p>
<p class="MsoNormal" align="center" style="text-align:center;background:white;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span lang="EN-US" style="font-size:20pt;font-family:"Times New Roman",serif;color:black">“</span></b><b><span lang="EN-US" style="font-size:20pt;font-family:"Times New Roman",serif;color:rgb(34,34,34);background:white">Modeling asset prices: small scale versus large scale</span></b><b><span lang="EN-US" style="font-size:20pt;font-family:"Times New Roman",serif;color:black">”</span></b><b><span lang="EN-US" style="font-size:20pt;font-family:"Times New Roman",serif;color:rgb(34,34,34)"><span></span></span></b></p>
<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span lang="EN-US" style="font-size:20pt;font-family:"Times New Roman",serif"><span> </span></span></b></p>
<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span lang="EN-US" style="font-family:"Times New Roman",serif">Abstract:<span></span></span></b></p>
<p class="MsoNormal" style="text-align:justify;background:white;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><i><span lang="EN-US" style="font-family:"Times New Roman",serif;color:rgb(34,34,34)">A typical model for the price of financial asset,
allowing for explicit or numerical computation</span></i><span lang="EN-US" style="font-family:"Times New Roman",serif;color:rgb(34,34,34)"> of option prices, hedging, calibration, etc... , describes the price
with an horizon of months or years. In contrast, a very active topic now is
concerned with models for tick prices or order books. The structure of the
price at the microscopic level is very di_erent from the structure of the usual
(often continuous) semimartingales used at a macroscopic level. In particular
the microscopic prices evolves on the tick grid, usually going up or down by
one tick only. Our aim is to see how it is possible to reconcile the two
viewpoints, using a scaling limit of tick-level price models. We will see that
this question (going back to the thesis of Bachelier, in a sense) raises a
number of non trivial questions if we want a reasonably simple microscopic
model, together with a macroscopic model exhibiting stochastic volatility or
jumps or a drift.<span></span></span></p>
<p class="MsoNormal" style="text-align:justify;background:white;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span lang="EN-US" style="font-family:"Times New Roman",serif;color:rgb(34,34,34)">(Joint work with Yacine Ait-Sahalia).<span></span></span></p>
<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span lang="EN-US" style="font-family:"Times New Roman",serif"><span> </span></span></p>
<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Tutti gli interessati sono invitati a
partecipare.<span></span></span></p>
<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"><span> </span></span></p>
<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Classe di Scienze<span></span></span></p>
<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"><span> </span></span></p>
<br clear="all"><div><div class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><div>Valeria Giuliani</div><div>Scuola Normale Superiore</div><div>Servizio alla Didattica e Allievi</div><div>tel. 050 509260</div><div>Piazza dei Cavalieri, 7</div><div>56126 Pisa</div><div>E-mail: <a href="mailto:valeria.giuliani@sns.it" target="_blank">valeria.giuliani@sns.it</a></div><div>E-mail: <a href="mailto:classi@sns.it" target="_blank">classi@sns.it</a></div></div></div></div>
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