Summer School - Rome - June 2005

Summer School in Risk Management and Control

Listed below you may find the online contributions of the lecturers

Carlo Acerbi

"Spectral Measures of Risk: Coherence in Theory and Practice"

1. Modulo 1
2. Modulo 2
3. Modulo 3

Claudio Albanese

"Pricing Equity Default Swaps and Credit Correlation Modeling"

1. Modulo 1
2. Modulo 2

Giovanni Barone Adesi

"Commodity Risk"

1. Modulo 1
2. Modulo 2

Roberto Baviera

"Calibrating Bond Market Models" Modulo 1

Marida Bertocchi

"Experiences with Bond Portfolio Management via Stochastic Programming" Modulo 1

Damiano Brigo

"Credit Default Swap Calibration and Hybrid Products Valuation with new Tractable First Passage Structural Modes" Modulo 1

Santiago Carrillo

"Operational Risk" Modulo 1

Rama Cont

"Recovering Volatility from Option Prices by Evolutionnary Optimization"

"Model Uncertainty and its impact on the pricing of derivative instruments"

1. Modulo 1
2. Modulo 2
3. Modulo 3

Marco Szego and Alain Debuysscher

"Fourier Transform Techniques Applied to Structured Finance" Modulo 1

Enrico De Giorgi

"Reward-Risk Portfolio Selection: from EUT to Behavioral Finance" Modulo 1

Helyette Geman

NOT YET AVAILABLE

Chris Harris

"Modelling Electricity Derivatives in a Physical Context"

1. Modulo 1
2. Modulo 2

Imre Kondor

"Noise Sensitivity of Portfolio Selection Under Various Risk Measures" Modulo 1

Peter Laurence

"Sharp Model Independent no-arbitrage bounds and optimal hedge ratios for basket options" Modulo 1

Carlo Mari

NO YET AVAILABLE

Marcello Minenna

"Beyond Black-Scholes"

1. Modulo 1
2. Modulo 2

Roberto Reno

"Arbitrary Initial Term Structure with the CIR Model: a Perturbative Solution" Modulo 1

Emanuela Rosazza Gianin

"From Static to Dynamic Risk Measures" Modulo 1

Silvana Stefani

"Optimal Strategies for a Small Electricity Producer" Modulo 1

Ursula Theiler

Susinno

"Risk Management and Insurance" Modulo 1

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