The courses taught by the Visiting Professors in the framework of the "MUR Excellence Grant program" are meant to be attended by all the PhD students, particularly the 2nd and 3rd year PhD students, and the interested researchers and professors of the Department.
No exams will be scheduled.

Research questions and meetings with the Visiting Professors are strongly encouraged.

Fall Term 2024

from September 23 to October 4, 2024
Introduction to High-Frequency Financial Econometrics
Alexey Kolokolov (Alliance Manchester Business School, UK)

The course provides an introduction to high frequency financial econometrics with emphasis on understanding the core theory and its applications. Topics
include financial price modelling in continuous time (jump diffusions, semimartingales), volatility estimation and forecasting using high-frequency data
and overview of recent developments, such as measurement errors (noise) and inference for the drift. The primary focus is on understanding and
applying the main theorems with the ideas made understandable by application to observed data at realistic frequencies. The objective of this course is explaining the main ideas of the theory and relevant mathematical concepts intuitively to render financial econometrics more accessible for a broader audience.

from October 7 to 18, 2024
Introduction to Information Design
Daniele Condorelli (U. of Warwick, UK)

The course introduces students to the ideas and methods of the growing field of information design. It comprises 4 ninety-minute lectures and is tailored to graduate students with prior knowledge of basic probability and game theory.

from October 21 to 31, 2024
The Fragility of Liberal Democracy
Gabriele Gratton (UNSW Business School, Australia)

This course covers some theoretical and empirical techniques at the frontier of dynamic political economy. The theoretical focus is on dynamic information design and incomplete contracts; the empirical focus is mainly on online survey experiments. The common thread motivating the course is the study of the limits of democratic stability, with a particular attention to liberal elements of democratic constitutions.

from November 25 to December 6, 2024
Distributive Justice and Liberal Principles
Roberto Veneziani (Queen Mary University of London, UK)

Introduction to the axiomatic method. Liberal principles of Non-Interference: treading a fine line between possibility and impossibility. Liberal principles of Non-Interference: allocating opportunities and threshold approaches to justice. 

from December 9 to 20, 2024
Causal Inference under Interference
Laura Forastiere (Yale University, USA)

1. Spillover and Interference on Clusters: Randomized Experiments and Observational Studies.
2. Spillover and Interference on Social Networks: Randomized Experiments and Observational Studies.
3. Diffusion and Peer Influence on Social Networks.

from December 13 to 24, 2024, tbc
The Global Transport Revolution: origins, diffusion, and impacts
Daniel E. Bogart (U. of California-Irvine, USA)

Brief description here, when available.

Spring Term 2024

April 18 - May 17, 2024
Stochastic volatility modeling and fractional Brownian motion
Elisa Alòs Alcade (Universitat Pompeu Fabra, Barcelona)

1. The option pricing problem: Derivatives: forwards and futures. Non-arbitrage prices. 2. The Black-Scholes formula: The Black-Scholes price and the Black-Scholes model. Spot and implied volatilities: the implied volatility surface. 3. The volatility process: Spot volatilities. Local volatilities and Dupire formula. Stochastic volatilities Stochastic volatility models: The Heston and the SABR models. 4. The fractional Brownian motion: Long-memory and short-memory Gaussian processes. The fractional Brownian motion and its main properties. 5. Models based on the fractional Brownian motion: Rough volatilities and the implied volatility surface. Volatility derivatives under rough models.

April 9 - 18, 2024
A crash course in Economic History
James Fenske (University of Warwick)

Lectures covering the Great Divergence, the Industrial Revolution, and the Great Depression. Discussion of Delong’s "Slouching Towards Utopia: An Economic History of the Twentieth Century”.