University of Geneva - Swiss Finance Institute
Fabio Trojani
Conferences and Seminars
Model-Free International SDFs in Incomplete Markets
ASSA Annual Meeting, Atlanta, 2019. 12th Paris December Finance Conference, 11th Annual SOFIE Conference, Lugano, European Financial Management Association Meeting, Milano, European Finance Association Annual Meeting, Warsaw, European Meeting of the Econometric Society, Cologne, North American Winter Meeting of the Econometric Society, Philadelphia, 2018. 10th Annual SOFIE Conference, New York, IF Annual Conference in International Finance, London, 2017.
Big Risk
11th Annual SOFIE Conference, Lugano, 2018.
Arbitrage Free Dispersion
Keynote Speach, Asset Pricing Workshop, York, Pre-Conference Lecture, 11th Annual SOFIE Conference, Lugano, North American Summer Meeting of the Econometric Society, 2018, 9th Annual SOFIE Conference, Hong Kong, Econometric Society European Meeting, Geneva, 2016. Second International Workshop in Financial Econometrics, Salvador, Brazil; SFI Research Day, Gerzensee, 2015. Seminars: Stockholm School of Economics, Northwestern University, 2015; University of Geneva, Bocconi University, 2016; Luxembourg School of Finance, ESSEC Business School 2018.
(Almost) Model-Free Recovery
Western Finance Association, Whistler, 2017. 9th Annual SOFIE Conference, Hong Kong, SFI Research Days, Gezensee, 2016. Seminars: Morgan Stanley, New York, Brown University, Boston University, University of Toronto, 2015. EDHEC Business School, Nice, University of Zurich, 2016.
From Data Science to Hedge Fund Performance
Swiss Asset Management Day, Pfäffikon, Switzerland, 2016. Invited talk at Sahara Club Kuwait, sponsored by the Global Center, College of Business Administration, Kuwait City, 2015.
Fear Trading
AFA Annual Meeting, San Francisco, European Summer Symposium in Financial Markets, Gerzensee, 2016. AFFI Annual Meeting, Paris, World Congress of the Econometric Society, Montreal, 8th Annual SOFIE Conference, Aarhus, European Summer Symposium in Financial Markets, Gerzensee, SFI Research Day, Gerzensee, 2015.
Divergence, Fear and the Price of Uncertainty
9th Annual SOFIE Conference, Hong Kong, 2016. 2nd Empirical Finance Workshop ESSEC, Paris, SFI Resarch Day, Gerzensee, 2015. Seminars: Rutgers University, University of Amsterdam BS, London School of Economics, Saïd Business School, Oxford, University of Geneva, University Bocconi, EPFL Lausanne 2015.
Realized Divergence: Definition, Properties, Trading and Modelling
SoFIE Annual Meeting, Toronto, 2014, Invited Speaker.
The Price of the Smile and Variance Risk Premia
EFA Annual Meeting, Oslo, 8th Annual SOFIE Conference, Hong Kong, Workshop on Forecasting and Financial Markets, Erasmus University, Rotterdam, 2016. 13th International Paris Finance Meeting, Paris, AFFI Annual Meeting, Paris, European Summer Symposium in Financial Markets, Gerzensee, 2015. Bachelier World Congress, Brussels, SoFIE Workshop on Skewness, Heavy Tails, Market Crashes and Dynamics, Cambridge, Workshop on Measuring and Modelling Financial Risk with High frequency Data, Florence, 2014. Seminars: University of Geneva 2014, Banque de France, University Bocconi 2015.
The dynamics of option pricing and the price of volatility; A model of dependent risks and unspanned skewness
Seminars: Luxembourg School of Finance, 2013.
Hedge-fund analysis and performance valuation
SFI Ticino Conference, Finance at USI: Insights for investors, Lugano 2013.
Changes You Can Deal With? Robust Hedge Funds Exposure and Alpha
5th Annual Hedge Fund Research Conference, Paris, 2013.
Dividend Growth Predictability and the Price Dividend Ratio
EFA Annual Meeting, Vienna, 2015. Seminars: Imperial College Business School, London, Bocconi University, Milan, 2013.
Predictability Hidden by Anomalous Observations
EFA Annual Meeting, Vienna, 2015. Financial Econometrics Conference, Toulouse, 6th Annual SoFIE Conference, Singapore, Econometric Society European Meeting, Gothenburg, 2013, European Summer Symposium in Financial Markets, Gerzensee, Econometric Society European Meeting, Malaga, 2012. Seminars: University of Frankfurt, University Bocconi, University of Geneva, University of Zurich, Imperial College Business School, 2012; Oxford-Mann Institute, Banque de France 2013; College of Business Administration, Kuwait City, 2015.
Incorporating Correlation Risk and Robustness in Hedge Fund Selection
6th Annual Meeting of the Swiss Finance Institute, Convention Point, SIX Group, Zurich, 2011.
Predictable Risks and Predictive Regression in Present Value Models (with Ilaria Piatti):
Western Finance Association, Las Vegas, 2012. European Finance Association, Stockholm, Econometric Society European Meeting, Oslo, II Workshop on Games and Decisions in Reliability and Risk, Belgirate, Workshop on Financial Econometrics, University Bocconi, Milano, European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2011. Seminars: IE Business School, Madrid, Warwick Business School, 2011.
Higher Order Infinitesimal Robustness, (with D. La Vecchia and E. Ronchetti):
Econometric Society European Meeting, Oslo, International Conference on Robust Statistics, Vallalolid, 2011. Seminars: London School of Economics, 2012.
Learning and Rare Disasters in the Lucas Orchard (with A. Buraschi and P. Porchia):
American Finance Association, Denver, 2011, European Finance Association, Frankfurt, 2010.
Three Make a Dynamic Smile: Unspanned Skewness and Interacting Volatility Components in Option Valuation (with P. Gruber and C. Tebaldi):
Bachelier Society Meeting, Toronto, European Finance Association, Frankfurt, European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2010. Seminars: University Bocconi, EPFL Lausanne, 2010, University of Bonn, University of Manchester, 2011.
Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much (with J. Wrampelmeyer and C. Wiehenkamp):
European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2010. Seminars: University of Geneva, 2010.
'When There Is No Place to Hide': Correlation Risk and the Cross-Section of Hedge Fund Returns (with A. Buraschi and R. Kosowski):
American Finance Association, San Francisco, 2010, European Finance Association, Stockholm, 2011.
Comovement and Volatility Risk Premia (with A. Buraschi and A. Vedolin):
American Finance Association, San Francisco, 2010.
Asset Pricing with Matrix Affine Jump Diffusions (with M. Leippold):
Financial Econometrics Conference, Tanaka Business School, London, Summer Symposium in Financial Markets (ESSFM), Gerzensee (evening session), NCCR FINRISK Research Day, Gerzensee, 2008. Finance Seminars: National Center of Research (CNR), Milano, 2009. NYU Stern, University of Zurich, 2008.
Multivariate Pricing of Capital Structure Derivatives with Stochastic Smiles and Skews (with J. Wunsch):
NCCR FINRISK Research Day, Gerzensee, 2008.
Credit spreads, Stock Options and Equity Returns when Investors Disagree (with A. Buraschi and A. Vedolin):
European Summer Symposium in Financial Markets, Gerzensee, European Finance Association Athens, European Winter Finance Summit, Hemsedal, American Finance Association, New Orleans, 2008, Swiss Society of Economics and Statistics, St. Gallen, SFI Conference on Portfolio Management and Derivatives, Lugano, 2007. Finance Seminars: University of Mannheim, 2009. London School of Economics, University of Zurich, Baruch College, NY, 2008, University Bocconi, 2007.
Correlation Risk and the Term Structure of Interest Rates (with A. Buraschi and A. Cieslak):
Adam Smith Asset Pricing Workshop,London, Western Finance Association, Montana, European Finance Association, Lubjana, Swiss Society of Economics and Statistics, St. Gallen, Financial Econometrics Conference, London, 2007. Finance Seminars: University of Munich, NCCR-FINRISK research day, Gerzensee, 2007.
Infinitesimal Robustness for Diffusions (with D. La Vecchia):
Workshop on Quantitative Finance, Rome, International Workshop on Computational and Financial Econometrics, Neuchatel, SSES Annual Meeting, Lausanne, 2008.
Robust Subsampling (with L. Camponovo and O. Scaillet):
Workshop on Quantitative Finance, Rome, International Workshop on Computational and Financial Econometrics, Neuchatel, International Conference on Robust Statistics, Buenos Aires, 2008, European Meeting of the Econometric Society, Conference on New Developments in Econometrics and TimeSeries, Brussel, 2011.
Correlation Risk and Optimal Portfolio Choice (with A. Buraschi and P. Porchia):
American Finance Association, New Orleans, 2008, European Financial Management, Vienna, Eastern Finance Association, New Orleans, Swiss Society of Economics and Statistics, St. Gallen, 2007, European Finance Association, EFA Symposium on Asset Allocation, Zurich, 2006. Finance Seminars: University of Lausanne, University of Lugano, NCCR-FINRISK
Robust Semiparametric Bootstrap Methods for Value at Risk Prediction under GARCH-type Volatility Processes (with L. Mancini):
Statistics Seminar, University of Geneva, 2005; University of Bruxelles, 2006.
General Analytical Solutions for Merton's-Type Consumption-Investment Problems (with R. Ferretti):
World Congress of the Econometric Society, London, 2005.
Learning and Asset Prices under Ambiguous Information (with M. Leippold and P. Vanini):
Finance Seminars: University of Frankfurt, ETH Zurich, University of Basle, 2005; University of St. Gallen, University of Konstanz, 2004. Economics Seminar, University of Venice, 2004. CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2004.
Historical Yield Curve Scenarios Generation with Functional Gradient Descent (with F. Audrino):
Bachelier Finance Society, third World Congress, Chicago, 2004 Eastern Finance Association, Groton, Connecticut, 2004.
Robust GMM Tests for Structural Breaks (with P. Gagliardini and G. Urga):
Computational Management Science Conference and Workshop on Computational Econometrics and Statistics, Neuchâtel, Switzerland, 2004. Econometrics Seminar, University of Geneva, 2004.
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models (with E. Ronchetti and L. Mancini):
European Meeting of the Econometric Society.
Robust Efficient Method of Moments (with C. Ortelli):
European Meeting of the Econometric Society, Stockholm, 2003, International Workshop on Econometric Time Series Analysis - Methods and Applications, Linz, Austria, 2003, International Conference on Robust Statistics, Antwerp, the Netherlands, 2003. Econometrics Seminars: Ente Einaudi, Rome, London School of Economics, IGIER, Università Bocconi, 2003.
Equilibrium Asset Pricing with Time Varying Pessimism (with A. Sbuelz):
European Finance Association, Glasgow, 2003, European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics, Nice, 2003, CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002.
Equilibrium Impact of Value at Risk Regulation (with M. Leippold and P. Vanini):
German Finance Association, Mainz, Germany, 2003, best conference paper award, International Workshop on Risk and Regulation, Collegium Budapest, 2003.
Saddlepoint Approximations and Test Statistics for Accurate Inference in overidentified Moment Conditions Models (with E. Ronchetti):
European Meeting of the Econometric Society, Stockholm, 2003, International Conference on Current Advances and Trends in Nonparametric Statistics, Crete, 2002, Econometrics Seminar, Ente Einaudi, Rome, 2003. Seminar in Probability and Statistics, University of Pavia, Italy, 2002
Ambiguity Aversion, Bond Pricing and the non-Robustness of Some Affine Term Structures (with P. Gagliardini and P. Porchia):
European Finance Association, Moscow, 2005European Finance Association, Glasgow, 2003, CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2003, European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics, Nice, 2003, Finance Seminars: ETH Zurich, 2005; University of St. Gallen, Stockholm School of Economics, 2003, NCCR-FINRISK research day, Bern, 2003
Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets (with F. Audrino):
Econometric Symposium on New Frontiers in Financial Volatility Modelling, Florence, 2003
Risk, Robustness and Knightian Uncertainty in Continuous-Time, Heterogenous Agents, Economies (with P. Vanini):
European Finance Association, Berlin, 2002, CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002, Workshop on Knightian Uncertainty, City University Business School, London, 2002. Finance Research Seminars: University of Verona, Italy, 2003; University of Torino, Italy, 2002. Statistics and Probability Research Seminar, University of Insubria, Varese, Italy, 2002.
Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust decision Making (with P. Vanini):
CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002.
A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities (with M. Leippold and P. Vanini):
CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland, 2002. Finance Seminars: BNP Paribas, London, University of Geneva, 2002.