CAREFIN is a research structure created by Università Bocconi, Italy’s leading business and economics school. Located on-campus in Milan, it encompasses and enhances the activities of three former Bocconi research bodies, Newfin, Cerap and Pension Forum. CAREFIN has a strong commitment to delivering rigorous material that is both well-grounded in financial research and highly geared towards real-life applications. Leveraging ongoing dialog with the financial industry, professional associations, regulators and policy makers, the Centre uses advanced analytical tools to investigate the opportunities and threats posed by new financial products, markets and brokerage models.
We propose a new modeling framework for the valuation of European options, in which dynamic short and long run volatility components drive the smile dynamics.
After shortly presenting an overview of the Italian pension system peculiarities, the paper focuses on the reasons for private pension schemes not being in strong demand.
