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FRANCESCO ROTONDI

FRANCESCO ROTONDI
Lecturer
Department of Finance

Courses a.y. 2022/2023

10218 PROBABILITY AND STOCHASTIC CALCULUS
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

Fontana, Claudio; Rotondi, Francesco
Valuation of general GMWB annuities in a low interest rates environment
2022

Rotondi, Francesco
On the efficient valuation of barrier options under interest rate risk
2021

Selected Publications

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

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