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CLAUDIO TEBALDI

CLAUDIO TEBALDI
Associate Professor
Department of Finance
Scientific Director - Bocconi Algorand Fintech Lab

Courses a.y. 2022/2023

11618 RISK IN FINANCIAL PORTFOLIOS
11877 ADVANCED DERIVATIVES
20135 TEORIA DELLA FINANZA / THEORY OF FINANCE
20245 ADVANCED DERIVATIVES

Courses previous a.y.

Most of my teaching activities are within courses of quantitative methods for finance and economics. My classes are populated by international students with very diverse cultural backgrounds, ranging from young, highly proficient STEM students to expert business executives. Active participation is the key for a successful learning experience, so during my classes I promote and incentivize discussion and interaction. I see the whole education process as a sequence of focused problem-solving activities. I rely heavily on information technology to ease the hurdles created by quantitative methods. When possible, I try to keep my teaching well aligned with the international research agenda. 


Biographical note

I have been an Associate Professor at Bocconi University since 2011. I have held the National Qualification to Full Professorship in Quantitative Methods for Economics, Finance, and Insurance since 2015. I have received international prizes for my research: Best Paper in Derivatives for the NFA 2019 and the Best Paper of the Swiss Econometrics and Finance Society meeting 2007. I serve as Managing Editor the journal Quantitative Finance. I have been invited by and visit on a regular basis many private and public research and policy institutions including UCLA, NYU, NORDITA, the University of Copenhagen, the Federal Reserve Board, ECB Deutsche Bundesbank, EC Directorate for Financial Affairs, and Bloomberg.


Research interests

My research interests are interdisciplinary. In the area of financial economics, they are mainly focused on assets, derivative pricing, and risk management. In the area of mathematical and physical sciences, my research is focused on complexity theory and collective phenomena. You might wonder what these topics have in common: adoption of new information technologies is reshaping the economy and the behavior of financial markets is becoming more and more similar to that of the ‘complex systems’ we observe in nature. The goal of my research is twofold: first, showing that properly framed, simple economic principles produce a credible description of these collective outcomes. Second, identifying robust and efficient decision rules and regulation approaches relying on advanced statistical methods (e.g., machine learning or big data analysis) to help individuals facing this risky environment.


Working papers


Selected Publications

Erio Castagnoli; Giacomo Cattelan; Fabio Maccheroni; Claudio Tebaldi; Ruodu Wang
Star-shaped Risk Measures
Operations Research, 9999

Tebaldi, Claudio
Financial Contagion in Network Economies and Asset Prices
Conditionally accepted Management Science, 2022


Claudio Tebaldi; Fabio Trojani; Peter Gruber
The Price of the Smile and Variance Risk Premia
Management Science, 2020

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; Tebaldi, Claudio
A persistence-based Wold-type decomposition for stationary time series
Quantitative Economics, vol. 11: 203-230, 2020

Berardi, Andrea; Tebaldi, Claudio; Trojani, Fabio
Consumer protection and the design of the default option of a pan-European pension product
Swiss Finance Institute Research Paper Series, 2019

Bandi, Federico M.; Perron, Benoit; Tamoni, Andrea; Tebaldi, Claudio
The scale of predictability
Journal of Econometrics, 2019

Di Virgilio, Domenica; Ortu, Fulvio; Severino, Federico; Tebaldi, Claudio
Optimal asset allocation with heterogeneous persistent shocks and myopic and intertemporal hedging demand
in: Behavioral Finance: The Coming of Age, Venezia, I. (ed.), London, World Science Publishing, 2019

Bisetti, Emilio; Favero, Carlo A.; Nocera, Giacomo; Tebaldi,claudio
A multivariate model of strategic asset allocation with longevity risk
Journal of Financial and Quantitative Analysis, 2017

Tebaldi, Claudio; Veronesi, Pietro
Risk-neutral pricing: Monte Carlo simulations
Handbook of Fixed-Income Securities, 2016

Tebaldi, Claudio; Veronesi, Pietro
Risk-neutral pricing: trees
Handbook of fixed-income securities, 2016

Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio
Long-run risk and the persistence of consumption shocks
The Review of Financial Studies, 2013

Castagnoli, Erio; G. Favero; Tebaldi, Claudio
One-Penny Arbitrages, or: A Free Snack without a Free Lunch.
Journal of Applied Computer Science & Mathematics, 2011

L. Perissinotto; Tebaldi, Claudio
A "coherent state transform" approach to derivative pricing
International Journal of Theoretical and Applied Finance, 2009

M. Grasselli; Tebaldi, Claudio
Solvable affine term structure models
Mathematical Finance, 2008

J. Da Fonseca; M. Grasselli; Tebaldi, Claudio
A multifactor volatility Heston model
Quantitative Finance, 2008

J. Da Fonseca; M. Grasselli; Tebaldi, Claudio
Option pricing with Correlation Risk
Review of Derivatives Research, 2007

Tebaldi, Claudio; Martino Grasselli
On the relation between the Stochastic Jacobian and the Riccati ODE in Affine Term Structure Models
World Meeting of the Bachelier Finance Society, Chicago 2004, 2004

Eduardo S. Schwartz; Claudio Tebaldi
Illiquid assets and optimal portfolio choice
NBER Working Paper Series, 2006

Tebaldi C.
Hedging using simulation: A least squares approach
Journal of Economic Dynamics & Control, 2005



Tebaldi, Claudio; M. De Menech; A. L. Stella
Multifractal scaling in the Bak-Tang-Wiesenfeld sandpile and edge events
Physical Review Letters, 1999

M. De Menech; Tebaldi, Claudio; A. Stella
Rare events and breakdown of simple scaling in the Abelian sandpile model
Physical Review E, 1998

G. Caldarelli; Tebaldi, Claudio; A. L. Stella
Branching processes and evolution at the ends of a food chain
Physical Review Letters, 1996

A. L. Stella; Tebaldi, Claudio; G. Caldarelli
Self-organized critical scaling at surfaces
Physical Review E, 1995