University of Lugano - Swiss Finance Institute
Fabio Trojani, Seminars and Conferences
Learning and Rare Disasters in the Lucas Orchard (with A. Buraschi and P. Porchia): American Finance Association, Denver, 2011, European Finance Association, Frankfurt, 2010.
Three Make a Dynamic Smile: Unspanned Skewness and Interacting Volatility Components in Option Valuation (with P. Gruber and C. Tebaldi ): European Finance Association, Frankfurt, European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2010.
'When There Is No Place to Hide': Correlation Risk and the Cross-Section of Hedge Fund Returns (with A. Buraschi and R. Kosowski): American Finance Association, San Francisco, 2010
Comovement and Volatility Risk Premia (with A. Buraschi and A. vedolin): American Finance Association, San Francisco, 2010
Asset Pricing with Matrix Affine Jump Diffusions (with M. Leippold): Financial Econometrics Conference, Tanaka Business School, London, Summer Symposium in Financial Markets (ESSFM), Gerzensee (evening session), NCCR FINRISK Research Day, Gerzensee, 2008. Finance Seminars: National Center of Research (CNR), Milano, 2009. NYU Stern, University of Zurich, 2008.
Multivariate Pricing of Capital Structure Derivatives with Stochastic Smiles and Skews (with J. Wunsch): NCCR FINRISK Research Day, Gerzensee, 2008.
Credit spreads, Stock Options and Equity Returns when Investors Disagree (with A. Buraschi and A. Vedolin): European Summer Symposium in Financial Markets, Gerzensee, European Finance Association Athens, European Winter Finance Summit, Hemsedal, American Finance Association, New Orleans, 2008, Swiss Society of Economics and Statistics, St. Gallen, SFI Conference on Portfolio Management and Derivatives, Lugano, 2007. Finance Seminars: University of Mannheim, 2009. London School of Economics, University of Zurich, Baruch College, NY, 2008, University Bocconi, 2007.
Correlation Risk and the Term Structure of Interest Rates (with A. Buraschi and A. Cieslak): Adam Smith Asset Pricing Workshop,London, Western Finance Association, Montana, European Finance Association, Lubjana, Swiss Society of Economics and Statistics, St. Gallen, Financial Econometrics Conference, London, 2007. Finance Seminars: University of Munich, NCCR-FINRISK research day, Gerzensee, 2007.
Infinitesimal Robustness for Diffusions (with D. La Vecchia): Workshop on Quantitative Finance, Rome, International Workshop on Computational and Financial Econometrics, Neuchatel, SSES Annual Meeting, Lausanne, 2008.
Robust Subsampling (with L. Camponovo and O. Scaillet): Workshop on Quantitative Finance, Rome, International Workshop on Computational and Financial Econometrics, Neuchatel, International Conference on Robust Statistics, Buenos Aires, 2008, European Meeting of the Econometric Society, Vienna, 2006.
Correlation Risk and Optimal Portfolio Choice (with A. Buraschi and P. Porchia): American Finance Association, New Orleans, 2008, European Financial Management, Vienna, Eastern Finance Association, New Orleans, Swiss Society of Economics and Statistics, St. Gallen, 2007, European Finance Association, EFA Symposium on Asset Allocation, Zurich, 2006. Finance Seminars: University of Lausanne, University of Lugano, NCCR-FINRISK research day, Gerzensee, 2006.
Robust Semiparametric Bootstrap Methods for Value at Risk Prediction under GARCH-type Volatility Processes (with L. Mancini): Statistics Seminar, University of Geneva, 2005; University of Bruxelles, 2006..
General Analytical Solutions for Merton's-Type Consumption-Investment Problems (with R. Ferretti): World Congress of the Econometric Society, London, 2005.
Learning and Asset Prices under Ambiguous Information (with M. Leippold and P. Vanini): Finance Seminars: University of Frankfurt, ETH Zurich, University of Basle, 2005; University of St. Gallen, University of Konstanz, 2004. Economics Seminar, University of Venice, 2004. CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2004.
Historical
Yield Curve Scenarios Generation with Functional Gradient Descent (with
F. Audrino): Bachelier Finance Society, third World Congress, Chicago, 2004 Eastern Finance Association, Groton, Connecticut, 2004.
Robust GMM Tests for Structural Breaks (with P. Gagliardini and G. Urga): Computational Management Science Conference and Workshop on Computational Econometrics and Statistics, Neuchâtel, Switzerland, 2004. Econometrics Seminar, University of Geneva, 2004.
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models (with E. Ronchetti and L. Mancini): European Meeting of the Econometric Society, Madrid, 2004.
Robust Efficient Method of Moments (with C. Ortelli): European Meeting of the Econometric Society, Stockholm, 2003, International Workshop on Econometric Time Series Analysis - Methods and Applications, Linz, Austria, 2003, International Conference on Robust Statistics, Antwerp, the Netherlands, 2003. Econometrics Seminars: Ente Einaudi, Rome, London School of Economics, IGIER, Università Bocconi, 2003.
Equilibrium Asset Pricing with Time Varying Pessimism (with A. Sbuelz): European Finance Association, Glasgow, 2003, European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics, Nice, 2003, CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002.
Equilibrium Impact of Value at Risk Regulation (with M. Leippold and P. Vanini): German Finance Association, Mainz, Germany, 2003, best conference paper award, International Workshop on Risk and Regulation, Collegium Budapest, 2003.
Saddlepoint Approximations and Test Statistics for Accurate Inference in overidentified Moment Conditions Models (with E. Ronchetti): European Meeting of the Econometric Society, Stockholm, 2003, International Conference on Current Advances and Trends in Nonparametric Statistics, Crete, 2002, Econometrics Seminar, Ente Einaudi, Rome, 2003. Seminar in Probability and Statistics, University of Pavia, Italy, 2002
Ambiguity Aversion, Bond Pricing and the non-Robustness of Some Affine Term Structures (with P. Gagliardini and P. Porchia): European Finance Association, Moscow, 2005European Finance Association, Glasgow, 2003, CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2003, European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics, Nice, 2003, Finance Seminars: ETH Zurich, 2005; University of St. Gallen, Stockholm School of Economics, 2003, NCCR-FINRISK research day, Bern, 2003
Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets (with F. Audrino): Econometric Symposium on New Frontiers in Financial Volatility Modelling, Florence, 2003
Risk, Robustness and Knightian Uncertainty in Continuous-Time, Heterogenous Agents, Economies (with P. Vanini): European Finance Association, Berlin, 2002, CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002, Workshop on Knightian Uncertainty, City University Business School, London, 2002. Finance Research Seminars: University of Verona, Italy, 2003; University of Torino, Italy, 2002. Statistics and Probability Research Seminar, University of Insubria, Varese, Italy, 2002.
Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust decision Making (with P. Vanini): CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002.
A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities (with M. Leippold and P. Vanini): CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002. Finance Seminars: BNP Paribas, London, University of Geneva, 2002