Mathematical finance

Maria Flora
Research Assistants
Bruno Giacomello
Associate Professor
Marco Minozzo
Associate Professor
Athena Picarelli
Temporary Assistant Professor
Francesco Rossi
Temporary Professor
Research interests
Topic People Description
MSC 91G10 - Portfolio theory Francesco Rossi
Portfolio theory
MSC 91G70 - Statistical methods, econometrics Marco Minozzo
Statistical and econometric methods for the analysis and modelling (data science) of economic and social data; machine learning techniques for the analysis of large data bases; development of statistical software.
MSC 91G80 - Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems) Maria Flora
Bruno Giacomello
Athena Picarelli
Among the main applications of stochastic optimal control theory one finds mathematical finance. Indeed, many decision problems are formulated in terms of optimization on continuous-time stochastic models. We find typically: hedging problems, portfolio optimization, risk management and optimal stopping.