As I give talks, lectures, and seminars to all types of audiences around the world, I’m often asked to share they slides I use. Follow the link to download the presentation you are interested in and, please, share your remarks in the comment section.

In this workshop, that I had the pleasure to attend, a number of topics were discussed. In primis several valuation adjustments (denoted by the generic name XVA) such as CVA, FVA, and KVA. The level of all the seminars was very high and you needed some previous knowledge of the subject in order to fully […]

Abstract We provide an introduction to linear derivatives on common storable commodities. Using no-arbitrage arguments we derive an expression for the quote of commodity future contracts and we highlight the importance of convenience yield. We show a some numerical results for the convenience-yield term structure of few common commodities and focus on the similarities with […]

Title: Setting the SRM market Standard for Superannuation Trustee Topics • Understanding the APRA regulation for the Standard Risk Measure (SRM) • Implementation of the FSC/ASFA guidelines: is SRM standard? • SRM based on the return distribution and its expected evolution • Is volatility important? • A new proposed path to compute the SRM: the ex-ante […]

Title: Risk contribution framework for non-linear portfolios Abstract: The computation of risk contributions is a necessary complementary tool to be used in conjunction with the computation of risk measures and stress tests. Even though the theory of risk measures for a generic probability distribution has been well established, so far there seems to be no […]

Title: Numerical Computation of VIX-Futures Risk Components Abstract: We describe a method to perform risk simulations of VIX futures, according to the historical-simulation model. We assume a stochastic-volatility mean-reverting constant-elasticity-of-variance process to model the VIX dynamics. Following non-arbitrage arguments the market expectation of VIX futures price results in a function of three financial variables: the […]

Title:Risk Contributions in Simulations of Commodity Derivatives Abstract: It is well-known fact the importance of commodities as an asset class alternative to equities and bonds. Since more and more commodity-based derivatives are traded in the financial markets. it is important to be able to properly compute the risk for these products. We review the importance […]

This workshop on quantitative finance gave me the opportunity to get to know what is the state of the art of financial engineering in east Asia. I gave a seminar on a new method we developed to compute risk for VIX futures. Title: Measuring market risk for VIX futures strategies Abstract: We describe a method to perform risk […]

The StatPro Cloud Summit took place on September 13th, 2012, 29 floors up in the clouds at the top of Millbank Tower, London. It was the first summit for revolution where portfolio managers, fund administrators, analysts, sales directors, and marketing professionals from the global investment market shared some insightful presentations and there was a lively debate. In […]

On March 7th, 2012, I gave a guest lecture at the University of Bologna for the students of the master in Quantitative Finance. The topic chosen for the lecture was the importance of the convenience-yield risk variable in the computation of risk for long-dated commodity derivatives. You can download the slides of my presentation in […]

On January, 18th, 2011, a number of QuantLib “fans” gathered at the Marriot Hotel in Canary Wharf, London, UK, to celebrate the first QuantLib forum. The forum was sposored by StatPro and you can find the official brochure in the attachments below. I personally believe the event was a great success and we had great […]