FRANCESCO ROTONDI
Courses a.y. 2022/2023
12139 COMPUTATIONAL METHODS AND MACHINE LEARNING
12142 SELECTED TOPICS IN DATA-DRIVEN INVESTMENTS
20188 QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 1
20189 QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 2
20191 FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 1
20192 FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 2
20247 APPLIED NUMERICAL FINANCE
30560 MATHEMATICAL MODELLING FOR FINANCE
40945 CONTINUOUS TIME FINANCE
Biographical note
I am a Lecturer in the Department of Finance at Bocconi University in the Mathematical Methods of Economic, Finance and Actuarial Sciences Scientific Sector. I am also a postdoctoral researcher in the Department of Mathematics at the University of Padova 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.
About
I am the Assistant to the Director, Professor Battauz, of the MaFinRisk program (Specialized Master in Quantitative Finance and Risk Management) since a.y. 2020/21.
Research interests
My research area is quantitative finance with a focus on asset/derivatives pricing, empirical finance, and econometrics.
Working papers
Valuation of general GMWB annuities in a low interest rates environment
2022
On the efficient valuation of barrier options under interest rate risk
2021
Selected Publications
On horizon-consistent mean-variance portfolio allocation
Annals of Operations Research, 2022
American options and stochastic interest rates
Computational Management Science, 2022
American options on high dividend securities: a numerical investigation
Risks, 2019, 7(2), 59, 2019