Laboratories

MEF Laboratories
Advanced Laboratory in Financial Risk Management

Syllabus: see attached syllabus

Professor: Carmelo Giaccotto, Visiting Emeritus Professor from School of Business - University of Connecticut (USA)

Duration: 20 hours/3 CFU credits

Period: third term (Apr-May)

Available seats: 30 MEF students (priority to second year students)

Timetable:

  • Thu 27 Apr 2023 - 08:30 to 10:30 Room 24 + 12:30 to 14:30 Room 24
  • Fri 28 Apr 2023 - 12:30 to 14:30 Room 24
  • Tue 2 May 2023 - 08:30 to 10:30 Room 24
  • Wed 3 May 2023 - 08:30 to 10:30 Room 24
  • Thu 4 May 2023 - 08:30 to 10:30 Room 24
  • Fri 5 May 2023 - 08:30 to 10:30 Room 25
  • Mon 8 May 2023 - 08:30 to 10:30 Room 24
  • Tue 9 May 2023 - 08:30 to 10:30 Room 2 (Computer lab) +
    12:30 to 14:30 Room 2 (Computer lab)

Registration: via email to mef@unimi.it (you will be advised when you can apply)

Laboratory of Bank Loan Pricing

Syllabus: TBA

Professor: Roberto Torresetti

Duration: 20 hours/3 CFU credits

Period: third term (Apr-Jun)

Prerequisites: students must have taken either the Data Mining and Computational Statistics or the Risk Management exam. Please also notice that assignments must be prepared with programming softwares, e.g. R, Python, MatLab, etc.

Available seats: no limit

Timetable: (classes start at 18:00)

  • Tue 18 Apr 2023 - 17:30 to 19:30 Room 23
  • Wed 26 Apr 2023 - 17:30 to 19:30 Room 22
  • Tue 02 May 2023 - 17:30 to 19:30 Room 13
  • Tue 09 May 2023 - 17:30 to 19:30 Room 13
  • Tue 16 May 2023 - 17:30 to 19:30 Room 3
  • Tue 23 May 2023 - 17:30 to 19:30 Room 11
  • Tue 30 May 2023 - 17:30 to 19:30 Room 23
  • Tue 06 Jun 2023 - 17:30 to 19:30 Room 23
  • Tue 13 Jun 2023 - 17:30 to 19:30 Room 13
  • Tue 20 Jun 2023 - 17:30 to 19:30 Room 23

Registration: via email to mef@unimi.it (you will be advised when you can apply)

Origins and Spread of Financial Capitalism

Description: See the attached syllabus

Instructor: D'Maris Dalton Coffman, Visiting Professor from University College London

Academic Year: 2021-2022, 16 hours/3 credits

Period: second term (January-March)

Available seats: open to all MEF students (registration is mandatory)

Where: fully online

Timetable:

  • Mon 14 February 2022 │08:30 – 10:30 ONLINE
  • Tue 15 February 2022 │08:30 – 10:30 ONLINE
  • Thu 17 February 2022 │16:30 – 18:30 ONLINE
  • Fri 18 February 2022 │08:30 – 10:30 ONLINE
  • Mon 28 February 2022 │10:30 – 12:30 ONLINE
  • Tue 01 March 2022 │10:30 – 12:30 ONLINE
  • Mon 14 March 2022 │10:30 – 12:30 ONLINE
  • Wed 16 March 2022 │14:00 – 16:00 ONLINE (including 1 hour final test)

Registration: via email to mef@unimi.it (you will be advised when you can apply)

Course syllabus and organization
Advanced Laboratory on Monetary Theory and Policy

Description: See the attached syllabus

Instructor: David Andolfatto, Visiting Professor from US Federal Reserve Bank (Research Division)

Academic Year: 2021-2022, 20 hours/3 credits

Period: third term (June)

Available seats: 30 students (MEF only, with priority to 2nd year students; admission on the basis of the GPA)

Timetable:

  • Mon 06 June 2022 │16:30 – 18:30 Room Manhattan - via Festa del Perdono, Milan
  • Tue 07 June 2022 │16:30 – 18:30 Room Manhattan - via Festa del Perdono, Milan
  • Wed 08 June 2022 │16:30 – 18:30 Room Manhattan - via Festa del Perdono, Milan
  • Thu 09 June 2022 │16:30 – 18:30 Room Manhattan - via Festa del Perdono, Milan
  • Fri 10 June 2022 │14:30 – 18:30 Room Manhattan - via Festa del Perdono, Milan
  • Sat 11 June 2022 │08:30 – 12:30 Room 20 - via Conservatorio 7, Milan
  • Mon 13 June 2022 │14:30 – 16:30 Room 24 - via Conservatorio 7, Milan
  • Mon 13 June 2022 │16:30 – 18:30 Room 27 - via Conservatorio 7, Milan

Registration: via email to mef@unimi.it (you will be advised when you can apply)

Financial Econometrics

Description: See the attached syllabus

Instructor: Theodoros Panagiotidis, Visiting Professor from University of Macedonia (UOM)

Academic Year: 2021-2022, 40 hours/6 credits

Period: third term (June)

Available seats: 30 students (MEF only, with priority to 2nd year students; admission on the basis of the GPA)

Timetable:

  • Mon 06 June 2022 - 09:00-12:00 Room Manhattan - via Festa del Perdono Milan
  • Mon 06 June 2022 - 14:30-16:30 Room Manhattan - via Festa del Perdono Milan
  • Tue 07 June 2022 - 09:00-12:00 Room Manhattan - via Festa del Perdono Milan
  • Tue 07 June 2022 - 14:30-16:30 Room Manhattan - via Festa del Perdono Milan
  • Wed 08 June 2022 - 09:00-12:00 Room Manhattan - via Festa del Perdono Milan
  • Wed 08 June 2022 - 14:30-16:30 Room Manhattan - via Festa del Perdono Milan
  • Thu 09 June 2022 - 09:00-12:00 Room Manhattan - via Festa del Perdono Milan
  • Thu 09 June 2022 - 14:30-16:30 Room Manhattan - via Festa del Perdono Milan
  • Fri 10 June 2022 - 09:00-12:00 Room Manhattan - via Festa del Perdono Milan
  • Mon 13 June 2022 - 09:00-12:00 Room 25 - via Conservatorio, 7 Milan
  • Tue 14 June 2022 - 09:00-12:00 Room 25 - via Conservatorio, 7 Milan
  • Tue 14 June 2022 - 14:30-16:30 Room 2 (computer room) - via Conservatorio, 7 Milan
  • Wed 15 June 2022 - 08:30-10:30 Room 27 - via Conservatorio, 7 Milan
  • Wed 15 June 2022 - 13:30-14:30 Room 24 - via Conservatorio, 7 Milan
  • Wed 15 June 2022 - 14:30-16:30 Room 2 (computer room) - via Conservatorio, 7 Milan
  • Thu 16 June 2022 - 08:30-10:30 Room 22 - via Conservatorio, 7 Milan
  • Fri 17 June 2022 - 08:30-10:30 Room 22 - via Conservatorio, 7 Milan

Technical requirements:

Attendees are required to bring their own laptop with EViews software installed.

To download EViews Student Version Lite, please visit THIS WEBSITE, click on "Free Download" and register. The software is available on 64-bit devices only.

Minimum requirements for Windows machines: Windows 7 (Windows 10 recommended)

Minimum requirements for Mac machines: macOS 10.15 (Catalina) or subsequent releases

    Registration:

    via email to mef@unimi.it (you will be advised when you can apply)

    Laboratory of Bank Loan Pricing

    Description: See the attached syllabus

    Instructor: Roberto Torresetti, Head of Quantitative Analysis at UBI Banca

    Academic Year: 2021-2022, 20 hours/3 credits

    Period: third term (April-June)

    Timetable:

    • Fri 08 April 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 22 April 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 29 April 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 06 May 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 13 May 2022 - 16:30-18:30 Room 23 - via Conservatorio, 7 Milan
    • Fri 20 May 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 27 May 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 10 June 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 17 June 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan
    • Fri 24 June 2022 - 16:30-18:30 Room 22 - via Conservatorio, 7 Milan

    Registration: via email to mef@unimi.it (you will be advised when you can apply)

    Laboratory of Quantitative trading

    Language: English

    Description: See the attached call

    Instructor: Prof. Domenico Dall'Olio (LinkedIn profile)

    Academic Year: 2020-2021, 20 hours/3 credits

    Period: third term (April 12th - June 26th)

    Tentative calendar:

    • April 22nd 11:30-13:30
    • April 23rd 11:30-13:30
    • April 29th 11:30-13:30
    • April 30th 11:30-13:30
    • May 06th 11:30-13:30
    • May 07th 11:30-13:30
    • May 13th 11:30-13:30
    • May 14th 11:30-13:30
    • May 20th 11:30-13:30
    • May 21st 11:30-13:30

    Room: in distance (details will be provided to admitted students)

    Registration: send an email to mef@unimi.it by March 9th, 2021

    Laboratory of Bank Loan Pricing

    Language: English

    Description: See the attached call

    Instructor: Roberto Torresetti, Head of Quantitative Analysis at UBI Banca

    Academic Year: 2020-2021, 20 hours/3 credits

    Period: third term (April 12th - June 26th)

    Tentative calendar: on consecutive Thursdays from April 22nd, hour 17:30-19:00

    Room: in distance through Microsoft Teams (details will be provided to admitted students)

    Registration: send an email to mef@unimi.it by March 9th, 2021

    Tecniche attuariali

    Language: Italian

    Instructors: Prof. Francesco Cuzzucrea, Prof. Angelo Troiani

    Academic Year: 2019-2020, 40 hours/6 credits

    Period: third term

    Calendar (lesson hours from 9:30 to 11:30 am):

    April: 6-8-15-20-22-27-29

    May: 4-6-11-13-18-20-25-27

    June: 3-8-10-15-17

    Room: in distance through Microsoft Teams

    Registration: no registration needed

    Laboratory of Quantitative trading

    Language: English

    Description: Syllabus is now available

    Instructor: Prof. Domenico Dall'Olio (LinkedIn profile)

    Academic Year: 2019-2020, 20 hours/3 credits

    Period: third term

    Tentative calendar:

    • May 14th 11:00-13:00 and 14:00-16:00
    • May 21st 11:00-13:00 and 14:00-16:00
    • May 28th 11:00-13:00 and 14:00-16:00
    • June 4th 11:00-13:00 and 14:00-16:00
    • June 11th 11:00-13:00 and 14:00-16:00

    Room: in distance through Microsoft Teams

    Registration: deadline April 30th

    Please note: in the event that the lab of Prof. Giaccotto is canceled, students enrolled in that lab will take priority for enrollment in this lab.

    Syllabus and course structure
    Advanced Laboratory in Financial Risk Management 

    Language: English

    Description: Details regarding the 2019/2020 edition are not available yet. To make an idea, please check the available information on last year edition at this link

    Instructor: Prof. Giaccotto (lecturer at University of Connecticut, USA)

    Period: III term

    Registration: from January 31st to February 28th, 2020

    Initially scheduled for April 2020, this lab has been POSTPONED to a later date (TBD) due to the coronavirus emergency

    Laboratory of Econometrics for Macroeconomics and Finance

    Language: English

    Period: II Term  - January 2020

    Instructor: Prof. Emanuele Bacchiocchi

    Registration: interested students can register by sending an email to the professor (emanuele.bacchiocchi@unimi.it) by January 10th, 2020. Applications received after this deadline, will not be considered.

    Once registered, attending all classes of the lab. is mandatory. Non-attending students will not obtain the 3 credits. A maximum of 20 students can be accepted.

    Numerical Finance and Option Pricing

    Language: English

    Academic Year: 2018-2019, II Term – 20 hours – 3 credits

    Period: January-March 2019. 

    Description: This course aims at giving the basic knowledge of computational finance and numerical option pricing. Material span from basic R programming to financial advanced time series estimation. Basic numerical differentiation and Monte Carlo analysis. Basic stochastic models simulation and numerical option pricing.

    Teaching methods: Computer Lab. Script and Slides.

    Instructor: Stefano Maria Iacus

    Syllabus:

    * Basic and advanced R programming
    * Introduction to explorative data analysis for financial time series
    * Basics of Monte Carlo simulation
    * Basics of numerical differentiation
    * European option pricing
    * American option pricing

    Readings: Iacus and Yoshida (2018) Simulation and Inference for Stochastic Processes with YUIMA, Springer NY
    Iacus (2011) Option Pricing and Estimation of Financial Models with R, Wiley UK
    Iacus (2008) Simulation and Inference for Stochastic Differential Equations, Springer NY

    Prerequisites, exam and assessments:Mathematics, Time Series Analysis.
    Final report Fail/pass.

    Propaedeutical courses: Students have to attend the theoretical classes of Numerical Methods for Finance (MEF).
    Students must have attended the courses of Mathematics and Time Series Analysis, MEF 1st year.

    Registration: interested students can register by sending an email to the professor (stefano.iacus@unimi.it) by January 7th, 2019.
    Applications received after this deadline, will not be considered.

    Once registered, attending all classes of the lab. is mandatory. Non-attending students will not obtain the 3 credits.

    Advanced Laboratory in Financial Risk Management 

      Language: English

      Description: Classes will consist primarily of lectures, problem solving sessions, and class discussions. In this course you will learn about options and futures markets and risk management for modern multinational corporations (MNCs).

      Instructor: Carmelo Giaccotto

      Academic Year: 2018-2019, III Term – 20 hours – 3 credits

      Period: May 2019. 

      Positions available: a maximum of 30 students is accepted (priority to 1st year MEF students).

      Registration: interested students can register by sending an email to mef@unimi.it

      Tecniche attuariali (corso opzionale da 6 CFU)

      Lingua: Italiano

      Descrizione: Obiettivo del corso è introdurre gli studenti alle principali tematiche della Tecnica Attuariale allo scopo di fornire elementi teorici e pratici utili al superamento dell’esame di stato per la professione di Attuario.

      Docente: Prof. Francesco Cuzzucrea e PhD. Angelo Troiani 

      Anno accademico: 2018-2019, III trimestre – 40 ore (6 crediti)

      Periodo: Aprile-Maggio-Giugno 2019. Le lezioni si svolgeranno il giovedì e venerdì, 12:30 – 14:30 in AULA 24, a partire dall’11 aprile

      Prerequisiti: Si richiede agli studenti una solida preparazione di Calcolo delle Probabilità e di Statistica acquisita preventivamene negli altri corsi del MEF.

      Valutazione finale: Il voto finale sarà in trentesimi, diversamente dal laboratorio da 3 CFU svoltosi negli anni precedenti che prevedeva un semplice giudizio di idoneità finale

      Materiale del corso: disponibile su cartella privata Gdrive, richiedere l’accesso inviando una e-mail a mef@unimi.it

      Actuarial laboratory – Laboratorio attuariale

      Lingua: Italiano

      Descrizione: Obiettivo del corso è introdurre gli studenti alle principali tematiche della Tecnica Attuariale allo scopo di fornire elementi teorici e pratici utili al superamento dell’esame di stato per la professione di Attuario.

      Docente: Prof. Francesco Cuzzucrea 

      Anno accademico: 2017-2018, III trimestre – 20 ore (3 crediti)

      Periodo: Aprile-Maggio-Giugno 2018. 

      Prerequisiti: Si richiede agli studenti una solida preparazione di Calcolo delle Probabilità e di Statistica acquisita preventivamene negli altri corsi del MEF.

      N. max studenti accettati: 45 posti prioritariamente riservati agli studenti MEF. I posti eventualmente non assegnati, verranno messi a disposizione degli studenti del corso EMA- UNIMI.

      Modalità d’iscrizione: gli studenti interessati devono inviare richiesta d’iscrizione via email, all’indirizzo mef@unimi.it

      Materiale del corso disponibile su Dropbox

      Financial Risk Management

      Language: English

      Description: Classes will consist primarily of lectures, problem solving sessions, and class discussions. In this course you will learn about options and futures markets and risk management for modern multinational corporations (MNCs).

      Instructor: Carmelo Giaccotto

      Academic Year: 2017-2018, III Term – 20 hours – 3 credits

      Period: May 2018. 

      Positions available: a maximum of 30 students is accepted (priority to 1styear MEF students).

      Registration: interested students can register by sending an email to mef@unimi.it

      Introduction to Bayesian Inference

      Language: English

      Description: The aim of the course is to introduce the Bayesian approach to statistical inference. We will develop the relevant methodology, theory and computational techniques necessary to its implementation. We will discuss single and multi-parameter models as well as the fundamental of Bayesian regression analysis. Key computational techniques and methods will be introduced, alongside the development of basic skills to use OpenBUGS software for Bayesian modelling.

      Instructor: Dr. Cristiano Villa 

      Academic Year: 2017-2018, III Term, 20 hours – 3 credits

      Period: April-May 2018.

      Prerequisites: interested students must have already passed the following exams of MEF 1st year:
      1. Mathematical Methods for Finance
      2. Data Mining and Computational Statistics
      3. Time Series Analysis
      Furthermore, a basic knowledge of R is required.

      Positions available: a maximum of 16 students is accepted (priority to 2nd year MEF students).

      Registration: interested students can register by sending an email to mef@unimi.it

      Financial Portfolio Management

      Description: The course will introduce the student to recent development in Multi-objective stochastic programming for Portfolio selection and Risk Measurements. The students will be faced with recent publication in the field. They will be also invited through workshops and projects to assess, discuss and propose new approaches. Students also will be asked to make short presentations during the class.

      Instructor: Fouad Ben Abdelaziz

      Academic Year: 2017/2018, 1st Term

      Period: October 2017.

      Course Material: to be uploaded later (if any)

       

      Laboratories from other courses

      In addition to laboratories projected for MEF students, MEF students can decide to take also laboratories from other programmes (eg. DSE, MIE, EPS). For more information, please refer to the programme website or contact the secretariat.

      If you want to start a laboratory activity of your choice:

      • Before starting:
        request authorization to MEF Academic Tutor (Internship Representative)
      Contacts

      Internship Representative Prof. Alessandro Barbiero