Courses a.y. 2024/2025

Biographical note

I graduated from the Scuola Normale Superiore in Pisa with a Ph.D. in Financial Mathematics. I also hold a degree in Mathematics from University of Udine. I joined Bocconi University right after my doctorate, and since then I have been teaching undergraduate, graduate, and Ph.D. courses in Calculus, Quantitative Finance, Derivatives Pricing, Numerical Methods for Finance, and Continuous-Time Finance.


My research interests are in Quantitative Finance. I am a research fellow at IGIER and Baffi Carefin.


I have been the Director of the MSc in Finance since 2022/23.

Research interests

My research area is quantitative finance, with a special focus on asset/derivatives pricing, asset allocation, and optimal stopping. I have published in several academic journals, including Economic Theory, Journal of Economic Dynamics and Control, Management Science, Quantitative Finance, and Review of Derivatives Research. I act as referee for a number of academic publications. 

Working papers

Battauz, Anna; De Donno, Marzia; Sbuelz Alessandro
American options with liquidation penalties

Selected Publications

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
On the exercise of American quanto options

Battauz, Anna; Rotondi, Francesco
American options and stochastic interest rates

Battauz, Anna; De Donno, Marzia; Gajda, Janusz; Sbuelz, Alessandro
Optimal exercise of American put options near maturity: a new economic perspective
Review of Derivatives Research, Forthcoming

Battauz, Anna; Gatti, Stefano; Prencipe, Annalisa; Viarengo, Luca
Earnouts: the real value of disagreement in mergers and acquisitions
European Financial Management, Volume 27, Issue 5, Pages 981-1024, November, 2021

Battauz, Anna; Sbuelz, Alessandro
Non-myopic portfolio choice with unpredictable returns: the jump-to-default case
European Financial Management, 2018

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
Reaching nirvana with a defaultable asset?
Decision in Economics and Finance, 2017

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
Kim and Omberg revisited: the duality approach
Journal of Probability and Statistics, 2015

Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
Envelope theorems in Banach lattices and asset pricing
Mathematics and Financial Economics, 2015

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
Real options and American derivatives: the double continuation region
Management Science, 2015

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
Real Options and American Derivatives: The Double Continuation Region

Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
Intertemporal asset pricing and the marginal utility of wealth
Journal of Mathematical Economics, 2011

Battauz, Anna; Ortu, Fulvio
Dynamic versus one-period completeness in event-tree security markets
Economic Theory, 2007

Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Journal of Economic Dynamics & Control, 2006

Battauz, Anna; Pratelli, M.
Optimal stopping and American options with discrete dividends and exogenous risk
Insurance Mathematics & Economics, 2004

Battauz, Anna; Beccacece, Francesca
Dividend and Uncertainty: Evidence from the italian market
Internal Journal of Theoretical and Applied Finance, 2004

Battauz, Anna
Quadratic hedging for asset derivatives with discrete stochastic dividends
Insurance Mathematics & Economics, 2003

Battauz, Anna
Change of numeraire and American options
Stochastic Analysis and Applications, 2002