Courses a.y. 2023/2024

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

Rotondi, Francesco
Efficient valuation of barrier options under equity and interest rate risks

Betolosi, Cristina; Rotondi, Francesco
Flexibility and uncertainty: the optimal management of a gas-fired turbine

Fanelli, Viviana; Fontana, Claudio; Rotondi, Francesco
A hidden Markov model for statistical arbitrage in international crude oil futures market

Battauz, Anna; Rotondi, Francesco
Optimal liquidation policies of redeemable shares

Rotondi, Francesco
Seasonality and Spikes in the European natural gas market

Rotondi, Francesco
Effective binomial discretizations of bivariate diffusion processes

Selected Publications

Fontana, Claudio; Rotondi, Francesco
Valuation of general GMWB annuities in a low interest rate environment
Insurance: Mathematics and Economics, 2023

Battauz, Anna; Ortu, Fulvio; Rotondi, Francesco
Arbitrage theory in discrete and continuous time
Egea, 2023

Battauz, Anna; Rotondi, Francesco
American options and stochastic interest rates
Computational Management Science, 2022

Cerreia-Vioglio, Simone; Ortu, Fulvio; Rotondi, Francesco; Severino, Federico
On horizon-consistent mean-variance portfolio allocation
Annals of Operations Research, 2022

Rotondi, Francesco
American options on high dividend securities: a numerical investigation
Risks, 2019