Facebook pixel
Info
Foto sezione
Logo Bocconi

FRANCESCO CORIELLI

FRANCESCO CORIELLI
Associate Professor
Department of Finance

Courses a.y. 2023/2024

11927 MACHINE LEARNING IN FINANCE: AN OVERVIEW
20191 FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 1
20902 FINTECH AND MACHINE LEARNING FOR FINANCE
40406 ADVANCED ECONOMETRICS 4

Courses previous a.y.

I have taught many courses: Statistics, Econometrics, Quantitative Methods for Trading, Econometrics for Finance, and Machine Learning. In all of these courses, in full agreement with Bocconi University teaching philosophy, my first objective is to offer students a simple but rigorous treatment of the topic of the course. I strongly believe that a little of simple, correct, and deep knowledge is very useful.

Imprecise concepts and vague “stories” and “anecdotes,” are, maybe, at first sight fascinating and alluring, but in practice useless and potentially lead to errors. As opposed to this: practical examples are of fundamental importance if accompanied by the required basic knowledge required for a real understanding of “what is happening.”

Learning with detail and precision requires detail and completeness in teaching materials. I always try to help my students in this, by providing detailed and complete study materials and I am always available to answer their questions.


Biographical note

I graduated in Economics from Bocconi University in 1983. I was an Assistant Professor of Mathematical Statistics from 1989 to 1998 and an Associate Professor of Mathematical Statistics from 1998 to 2010. Since 2010, I have been an Associate Professor of Mathematics for Finance, Economics, and Insurance.


Research interests

My main research interest has always been concentrated on the consequences of the use of “false” models in statistics and in finance. This is a classic topic, usually considered under two points of view:

  1. Robustness: where conclusions of a model resist misspecification
  2. Embedding and extension of the model

I did research in both directions, in particular in fields where models use the language of partial differential equations. In the first direction, I applied energy inequalities to check robustness of misspecified models for diffusions. In the second direction, I contributed to papers applying the parametrix series method to the approximation of non-solvable models.

More recently, I am trying to apply canonical correlation (in a suitably extended version) to the study of the “correlation” between the semantics of message exchanges scraped from the Internet and the evolution of certain characteristics of financial prices.


Working papers

Corielli, Francesco; Carta Paolo
On analytic perturbations of the B&S PDE

Corielli, Francesco
Approximation tools for PDE solutions and applications in finance

Corielli, Francesco
The saga of the regression Beta: the cautionary tale of the most misunderstood statistical concept

Corielli, Francesco
Puzzling out what matters most in ESG ratings

Selected Publications

Corielli, Francesco; Caselli, Stefano; Gatti, Stefano; Buscaino, V.
Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants
European Financial Management, 2012

Corielli, Francesco; Gatti, Stefano; Steffanoni, A.
Risk Shifting Through Nonfinancial Contracts. Effects on Loan Spreads and Capital Structure of Project Finance Deals
Journal of Money, Credit, and banking, vol. 42, 2010

Corielli, Francesco; Paolo Foschi; Andrea Pascucci
Parametrix approximation of diffusion transition densities
Siam Journal on Financial Mathematics, 2010

Corielli, Francesco
Hedging with Energy
Mathematical Finance, 2006

Marcellino, Massimiliano; Corielli, Francesco
Factor based index tracking
Journal of Banking & Finance, 2006

Corielli, Francesco
Model error analysis methods
Statistica Applicata, vol. 4/2006, 2006

Corielli, Francesco; Buraschi, A.
Risk management implications of time inconsistency: model updating and recalibration of no-arbitrage models
Journal of Banking & Finance, vol. 29, 2005

Corielli, Francesco; Meucci A.
“Pitfalls in linear models for style analysis”
Statistical Methods & Applications, 2004

Corielli, Francesco
"LAWS OF LARGE NUMBERS"IN CONTINUUM ECONOMIES
Decisions, Games and Markets, 1997

Corielli, Francesco
A note on the decidability of de Finetti's coherence
Theory and Decision, 1995