[CvGmt News] avviso NO FREE LUNCH SEMINAR Seminari di Finanza Quantitativa, prof.ssa Maria Rita Iacò (26.01.2016)

[Valeria Giuliani]

NO FREE LUNCH SEMINAR

seminari di finanza quantitativa


Martedì 26 gennaio 2016

ore 13.00

*Scuola Normale Superiore*

Pisa

Aula Bianchi (Scienze)



*Maria Rita Iacò*

*Technische Universität Graz*



Terrà un seminario dal titolo:



*“**Copulas in uniform distribution, optimal transport and finance**”*



*Abstract:*

The aim of this talk is to give an overview of some results obtained in the
framework of copulas. The last ones got considerable attention in the last
years, especially in finance where they are used to perform stress-tests
and robustness checks in situations of extreme downside events. However,
soon after the global financial crisis of 2007–2008, several people argued
that copulas, together with other mathematical instruments, have been one
of the main causes of the market crashes.

During this talk I will describe some problems in uniform distribution and
finance which were described by using a copula approach. Since we will deal
with an optimisation problem, we will finally show how this problem can be
perfectly embedded in the general theory of optimal transport.







Tutti gli interessati sono invitati a partecipare.


Classe di Scienze Matematiche e Naturali
Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it
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