Seminario Dottorato: Examples of strategy designs in banking practice

Wednesday 10 February 2010 - Marco Corsi

ARGOMENTI: Seminars Ph.D. Program

Wednesday 10 February 2010 h. 14:30, room 2BC/30
Marco Corsi (Barclay Capital - London)
"Examples of strategy designs in banking practice"

While academic theory of financial mathematics emphasizes the concept of no-arbitrage models, in common practice the presence of arbitrage opportunities in the market in some cases can explicitly be taken into account. In this talk we will see how different kind of strategies (implied volatility strategy, volatility arbitrage strategy, etc.) can be practically implemented.

Rif. int. C. Marastoni, T. Vargiolu, M. Dalla Riva

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