Quantitative Finance

Research activity in the field of quantitative finance has its roots in two macro-areas: credit risk and the management of equity and bond portfolios. Within the line of research linked to credit risk, are developed studies relating to: (i) new credit scoring models that include the correlation between default and temporal dynamics of insolvency probabilities; (ii) innovative simulation techniques for estimating the probability of rare events in credit portfolios; (iii) new models for measuring the systemic risk of sovereign debt; (iv) pricing of complex derivative instruments for the coverage of insolvency risks. Within the research field related to the techniques for the management of equity and bond portfolios, are developed studies relating to: (i) variance reduction techniques for parallel simulation applied to the estimation of the risk of large portfolios; (ii) analytical techniques for the calibration of models for the evolution of equity returns in the presence of stochastic volatility; (iii) new methodologies for the evaluation of equity portfolios in the static and dynamic case; (iv) assessment of model risk in the context of quantifying the risk of a financial portfolio; (v) development of stochastic models for the term structure of interest rate in order to estimate the relationships between yield curves, macroeconomic variables and the implicit structure of risk premia.
Maria Flora
Research Assistants
Bruno Giacomello
Associate Professor
Alessandro Gnoatto
Full Professor
Marco Minozzo
Associate Professor
Athena Picarelli
Associate Professor
Roberto Renò
Full Professor
Roberto Ricciuti
Associate Professor
Francesco Rossi
Temporary Professor
Research interests
Topic People Description
Corporate Finance and Governance (see  JEL classification)
JEL G34 - Mergers; Acquisitions; Restructuring; Corporate Governance Bruno Giacomello
Roberto Ricciuti
Analysis of the conposition of the Board of Directors, diversity and efficacy. Effects of interlocking directorships. Analysis of the effects of regulatory and legislative reforms.
General Financial Markets (see  JEL classification)
JEL G11 - Portfolio Choice; Investment Decisions Bruno Giacomello
Roberto Renò
This reseach field studies optimal investment and consumption using financial assets and insurance policies. Both methodological (modelling and calibration) and practical (impact on short and long term behavior) aspects are investigated.
JEL G12 - Asset Pricing; Trading volume; Bond Interest Rates Bruno Giacomello
Roberto Renò
Research on asset pricing focuses on two main topics: modelling interest rates, with the aim of pricing bonds and derivatives, and modelling stocks, to study the main factors which determine their price variation.
JEL G13 - Contingent Pricing; Futures Pricing Alessandro Gnoatto
Roberto Renò
Evaluation models in the financial field, with applications to the pricing of derivative products (plain-vanilla and exotic), to their coverage, and to the analysis of the associated risks.
Mathematical finance (see  MSC classification)
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.
Projects
Title Managers Sponsors Starting date Duration (months)
High Frequency Liquidity Roberto Renò Ricerca di Base di Ateneo 2015 1/1/17 24
Facing credit risk: a mathematical approach to risk measures and their management Immacolata Oliva Post-doc 9/1/15 36
Does it promote economy and well-being? The impact of teleworking on environment and labour market outcomes Federico Perali, Eleftherios Giovanis Commissione Europea (Marie Curie fellowship) 6/1/15 24
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