主题：定量金融：一个意大利银行人的简述

报告人：Matteo Bedini, 意大利人。2012年毕业于法国西布列塔尼大学（Université de Bretagne Occidentale）和德国耶拿大学(Friedrich-Schiller-Universität Jena)，获得数学博士学位。2009年至2012年为欧盟玛丽居里初级人才培养计划初级研究员。2013年至今为欧洲最大的银行之一意大利第二大银行联合商业银行（Banca Intesa）的金融工程顾问（Financial Engineering Consultant）及定量研发员（Quant Developer）。

时间：

3月25日（周三）上午10:00-11:00，下午2:00-3:00，

3月26日（周四）下午2:00-3:00，

3月27日（周五）上午10:00-11:00。

地点：威斯尼斯人沙河校区4号学院楼318会议室。

报告摘要：

The lecture is divided into four main parts.

The first part is dedicated to the introduction: what a quant is and what is its job, which skills are required and why, some current challenges that must be faced, overview of the remaining part of the lecture.

The second part provides an overview of the mathematical instruments developed in the area of probability: measures, conditional expectation, sigma-algebra and filtration, change of probability measure.

The third part offers two concrete examples where the application of the probabilistic instruments described above has taken place; the first example is concerned with the difference in pricing quanto plain-vanilla products in a Local volatility vs a Black-Scholes model. The second example is concerned with different pricing techniques of the Passport Option.

The fourth and last part of the lecture aims at describing the informatical and algorithmical aspects of quant job: numerical algorithms for solving PDE, adjoint algorithmic differentiation and new web-backed protocol as the Bitcoin protocol will provide some examples that underline the role of informatics in quantitative finance.

Whenever possible, job-interview and practitioner-style questions will be given to the audience in order to stress as much as possible the links between theory and practice in finance, mathematics and informatics.

[编辑]：孙颖