Courses a.y. 2022/2023
11582 THE R LANGUAGE
20188 QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 1
20247 APPLIED NUMERICAL FINANCE
30560 MATHEMATICAL MODELLING FOR FINANCE
40945 CONTINUOUS TIME FINANCE
Courses previous a.y.
I graduated from the Scuola Normale Superiore in Pisa with a Ph.D. in Financial Mathematics. I also hold a degree in Mathematics from University of Udine. I joined Bocconi University right after my doctorate, and since then I have been teaching undergraduate, graduate, and Ph.D. courses in Calculus, Quantitative Finance, Derivatives Pricing, Numerical Methods for Finance, and Continuous-Time Finance.
My research interests are in Quantitative Finance. I am a research fellow at IGIER and Baffi Carefin.
I have been the Director of the MaFinRisk program (Specialized Master in Quantitative Finance and Risk Management) since 2020/21.
My research area is quantitative finance, with a special focus on asset/derivatives pricing, asset allocation, and optimal stopping. I have published in several academic journals, including Economic Theory, Journal of Economic Dynamics and Control, Management Science, Quantitative Finance, and Review of Derivatives Research. I act as referee for a number of academic publications.
American Options and Stochastic Interest Rates
On the Exercise of American Quanto Options
Optimal exercise of American put options near maturity: a new economic perspective
Review of Derivatives Research, Forthcoming
Earnouts: the real value of disagreement in mergers and acquisitions
European Financial Management, Volume 27, Issue 5, Pages 981-1024, November, 2021
Non-myopic portfolio choice with unpredictable returns: the jump-to-default case
European Financial Management, 2018
Reaching nirvana with a defaultable asset?
Decision in Economics and Finance, 2017
Kim and Omberg revisited: the duality approach
Journal of Probability and Statistics, 2015
Envelope theorems in Banach lattices and asset pricing
Mathematics and Financial Economics, 2015
Real options and American derivatives: the double continuation region
Management Science, 2015
Real Options and American Derivatives: The Double Continuation Region
Intertemporal asset pricing and the marginal utility of wealth
Journal of Mathematical Economics, 2011
Dynamic versus one-period completeness in event-tree security markets
Economic Theory, 2007
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Journal of Economic Dynamics & Control, 2006
Optimal stopping and American options with discrete dividends and exogenous risk
Insurance Mathematics & Economics, 2004
Dividend and Uncertainty: Evidence from the italian market
Internal Journal of Theoretical and Applied Finance, 2004
Quadratic hedging for asset derivatives with discrete stochastic dividends
Insurance Mathematics & Economics, 2003
Change of numeraire and American options
Stochastic Analysis and Applications, 2002