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
Selected Publications
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