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Module C - Risk Management

Project C2 - Volatility and Stability in Financial Markets

From a modelers perspective, changes in interest rates and volatilities, respectively, are two of the most challenging risks in financial markets. Both of these risk factors have a complex term structure, and their changes are related to a number of variables.

Researchers in the "Volatility and Stability in Financial Markets" group address the challenge of developing reliable and precise models for the change of interest rates and volatilities, and the pricing of derivatives on those risk factors. Examples include GARCH modeling with time-varying regime-dependent mean and variance, direct estimation of conditional percentiles of distributions, as well as modeling of options using Filtered Historical Simulation.

Current models do not capture interest rates or volatility in a comprehensive way that is satisfactory to academics or practitioners. This lack of adequate models presents an obstacle not just to direct prediction of interest rates and volatilities but also to the valuation of related financial instruments and their risk management.

The "Volatility and Stability in Financial Markets" group comprises mainly mathematicians and statisticians highly skilled in mathematical finance and econometrics. Their work is both theoretical and empirical, often in collaboration with other researchers at highly renowned institutions abroad as well as with practitioners.

Note: The FINRISK project C2 has been successfully completed by October 31, 2012. Part of this research strand will be continued within the Swiss Finance Institute.

Research Team

Prof. Giovanni Barone-Adesi
+41 58 666 47 53
University of Lugano
Senior Researchers and Post Docs
Dr. Fulvio Corsi +41 58 666 42 43 fulvio.corsi@usi.ch
Prof. Loriano Mancini +41 21 693 01 07 loriano.mancini@epfl.ch
Prof. Antonio Mele +41 58 666 44 98 antonio.mele@usi.ch
Prof. Antonietta Mira +41 58 666 47 89 antonietta.mira@usi.ch
Doctoral Students
Matteo Borghi matteo.borghi.1@usi.ch
Moreno Brughelli moreno.brughelli@usi.ch
Sofia Cazzaniga sofia.cazzaniga@usi.ch
Stefano Peluso stefano.peluso@usi.ch
Reza Solgi reza.solgi@usi.ch
Volodymyr Vovchak volodymyr.vovchak@usi.ch
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  The National Centres of Competence in Research (NCCR) are a research instrument of the
Swiss National Science Foundation.