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MASSIMO GUIDOLIN

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Class Material

- 20263 - ADVANCED TOOLS FOR RISK MANAGEMENT AND ASSET PRICING (CORRELATION AND DEPENDENCE MODELLING)
   A.Y. 2014/2015 - Class: 31
   A.Y. 2015/2016 - Class: 31
- 20541 - ADVANCED QUANTITATIVE METHODS FOR ASSET PRICING AND STRUCTURING
   A.Y. 2016/2017 - Class: 31
   A.Y. 2017/2018 - Class: 31
   A.Y. 2018/2019 - Class: 31

1. The Instability of Correlations: Review of Multivariate GARCH and DCC Models and Markov Switching; stochastic volatility models (3 hours) [M. Guidolin]

*Lecture Slides.
*GUIDOLIN-PEDIO, chapters 6 and 9.
Guidolin, M., and A., Timmermann (2006) “Term structure of risk under alternative econometric specifications.” Journal of Econometrics, 131, 285-308.

2. Copulas in Risk Management (2 hours) [M. Guidolin]
 
Christoffersen P. F. (2012) Elements of Financial Risk Management, Academic Press 2nd edition, chapter 9.
Page, S., and R., A., Panariello, R. A. (2018). When Diversification FailsFinancial Analysts Journal, 74, 1-14.
 
3. Introduction to structured financial instruments: equity protection structures; exotic options and barriers and their applications in structuring (4 hours) [M. Pedio]
 
*Lecture Slides  (Part 1Part 2).
Useful background material in English (thanks to Gioacchino Fittipaldi).
SOLE 24 ORE, chapter 2.
WILMOTT, chapters 11 and 13.
Koh, B. S., Koh, F., Chuen, D. L. K., Guan, L. K., Ng, D., and P. K. Fai (2015). A risk-and complexity-rating framework for investment productsFinancial Analysts Journal, 71, 10-28.
 
4. Correlations and structured products: basket derivatives and certificates (2 hours) [M. Pedio]
*WILMOTT, chapter 12.
 
5. An Introduction to Simulations and Monte Carlo Pricing (2 hours) [M. Pedio]
 
*WILMOTT, chapter 29.
 
6. The role of structured products in dynamic asset management (2 hours) [M. Pedio]
 
*Lecture Notes.
Liu, J., and J., Pan (2003), Dynamic Derivative Strategies, Journal of Financial Economics, 69, 401-430.
Caloiero, E., and M., Guidolin (2017), Volatility as an Alternative Asset Class: Does It Improve Portfolio Performance? Quantitative Finance and Economics, 1, 334-362.
A start-up Matlab code for your project here (project instructions are here).
 
7. Single name credit derivatives (CDS) (2 hours) [P. Mosconi]
 
*BRIGO and MERCURIO, chapter 21.1, 21.3.
 
8. Informal Introduction to stochastic calculus: from deterministic to stochastic differential equations (SDEs), Brownian motion, stochastic integrals, martingales, quadratic variation/covariation, Ito's formula, risk neutral valuation, change of measure. (4 hours) [P. Mosconi]
 
*BRIGO and MERCURIO, Appendix C.
*SHREVE, chapter 6.
 
9. Reduced form intensity models (4 hours) [P. Mosconi]
 
*BRIGO and MERCURIO, chapter 22.
 
10. Structural models (4 hours) [P. Mosconi]
 
*Lecture Slides and references therein.
 
11. Matlab Session on CDS Bootstrap (2 hours) [P. Mosconi]
 
12. Multi name credit derivatives (CDOs) (4 hours) [P. Mosconi]
 
*Li, D. X., (2000), On Default Correlation: A Copula Approach, Journal of Fixed Income, 9.
 
13. Counterparty Credit Risk (4 hours) [P. Mosconi]
 
*Lecture Slides and references therein.
 
14. An Introduction to the Use of Realized Variance and Covariance in Risk Management (2 hours) [M. Guidolin]
 
*GUIDOLIN-PEDIO, chapter 10.
 
15. The Econometrics of Network Connectedness and its Applications to Risk Management (4 hours) [M. Guidolin]
 
*Lecture Slides (Part 1Part 2).
Glasserman, P., and P. Young (2016), Contagion in Financial NetworksJournal of Economic Literature, 54, 779-831.
Last update 06/05/2019