Marco Bianchetti
5 SlideShares 27 Seguidores
Personal Information
Organização/Local de trabalho
Milan Area, Italy Italy
Cargo
Head of Fair Value Policy
Setor
Finance / Banking / Insurance
Site
https://www.unibo.it/sitoweb/marco.bianchetti/en
Sobre
Financial quantitative modeling & technology in front office and risk management roles of primary financial institutions in Italy. Strong commitment in strategic & innovation projects. Author of research papers and speaker at international conferences and courses in mathematical finance. Ph.D. in theoretical physics with 6+ years research experience in mathematical modelling and numerical simulation in nuclear and condensed matter physics; 2 years teaching activity.
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pricing interest rate derivatives crisis lppl bremain jls fit odds bubble genetic algorithm log-periodic oscillation polls forecast brexit crash calibration super-exponential referendum ue uk historical series johansen-ledoit-sornette fair value prudent value prudent valuation crr monte carlo global sensitivity analysis quasi monte carlo sobol low discrepancy finance quanto adjustment forward curve counterparty risk basis adjustment basis swaps discount curve quantlib yield curve measure changes swaptions swaps hedging no arbitrage caps fras floors liquidity
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Apresentações

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High Dimensional Quasi Monte Carlo Method in Finance

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Brexit or Bremain ? Evidence from bubble analysis

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Personal Information
Organização/Local de trabalho
Milan Area, Italy Italy
Cargo
Head of Fair Value Policy
Setor
Finance / Banking / Insurance
Site
https://www.unibo.it/sitoweb/marco.bianchetti/en
Sobre
Financial quantitative modeling & technology in front office and risk management roles of primary financial institutions in Italy. Strong commitment in strategic & innovation projects. Author of research papers and speaker at international conferences and courses in mathematical finance. Ph.D. in theoretical physics with 6+ years research experience in mathematical modelling and numerical simulation in nuclear and condensed matter physics; 2 years teaching activity.
Marcadores
pricing interest rate derivatives crisis lppl bremain jls fit odds bubble genetic algorithm log-periodic oscillation polls forecast brexit crash calibration super-exponential referendum ue uk historical series johansen-ledoit-sornette fair value prudent value prudent valuation crr monte carlo global sensitivity analysis quasi monte carlo sobol low discrepancy finance quanto adjustment forward curve counterparty risk basis adjustment basis swaps discount curve quantlib yield curve measure changes swaptions swaps hedging no arbitrage caps fras floors liquidity
Ver mais