Outline

The goal of the research group on Stochastic Modelling is to have regular (weekly) meetings among PhDs, PostDocs and junior researchers on several topics related to the theory of stochastic processes and their application in particular in the fields of economics and finance.
During each meeting, a published (or preprint version of) paper will be presented by a participant, who will also start the discussion which is open to all participants. The aim is to strengthen the background of the participants in stochastic modelling, and to provide an informal environment for fruitful discussions.

The scheduling (including the choice of the paper to be discussed and the presenter) is decided by the coordinators (prof. Roberto Casarin, prof. Pietro Dindo) upon proposal by the participants. For further information, contact Matteo Iacopini.

How does it work?

  1. the discussant has to
    • briefly introduce the paper (approximately 10 minutes)
    • present the derviation of a specific section/appendix of the paper
    • provide the intuition and discussion on the assumptions
    • provide the intuition, derivation and discussion on the results
  2. the participants are expected to
    • (before the meeting) read carefully the section which will be discussed
    • propose discussion and criticisms
    • propose extensions to the paper
    • propose any useful commment for the comprehension
    • contribute to the derivation of the results, if needed
  3. at the end of each meeting, the group chooses the member who will present the subsequent week
  4. slides are discouraged, in deep analysis and reading is strongly suggested
  5. ...you are allowed to eat sandwitches unless you have other plans!!!

Topics - theory

  • probability theory
  • econometrics
  • stochastic differential equations
  • stochastic calculus
  • point processes
  • random fields

Topics - applied

  • financial econometrics
  • DSGE models
  • time series analysis
  • state space models
  • dynamical systems