Courses a.y. 2024/2025
Biographical note
I am a Tenured Lecturer in the Department of Finance at Bocconi University in Milan (IT), in the Mathematical Methods of Economic, Finance and Actuarial Sciences Scientific Sector.
At Bocconi University, I am the Assistant to the Director of the MSc Finance, Prof. A. Battauz.
I am also a Coordinator of the MaFinRisk, the Specialized Master in Quantitative Finance and Risk Management.
I have been a postdoctoral researcher at the Department of Mathematics at the University of Padova (IT) in the same sector.
I hold a B.Sc. in Mathematics from the University of Padova (IT), a double-degree M.Sc. in Quantitative Finance from the University of Bologna (IT) and the Ludwig Maximilian University of Munich (DE), and a Ph.D. in Economics and Finance from Bocconi University.
Research interests
My research area is quantitative finance with a focus on asset/derivatives pricing, empirical finance, and econometrics.
Working papers
Flexibility and uncertainty: the optimal management of a gas-fired turbine
2023
A hidden Markov model for statistical arbitrage in international crude oil futures market
2023
Effective binomial discretizations of bivariate diffusion processes
2024
Linking futures and options pricing in the European natural gas market
2024
Selected Publications
Optimal liquidation policies of redeemable shares
Computational Management Science, 2024
Valuation of general GMWB annuities in a low interest rate environment
Insurance: Mathematics and Economics, 2023
Arbitrage theory in discrete and continuous time
Egea, 2023
American options and stochastic interest rates
Computational Management Science, 2022
On horizon-consistent mean-variance portfolio allocation
Annals of Operations Research, 2022
American options on high dividend securities: a numerical investigation
Risks, 2019