Guido Gazzani

  1. Home
  2. Department
  3. People
  4. Guido Gazzani
default
Position
Temporary Assistant Professor
Academic sector
STAT-04/A - Mathematical Methods for Economy, Finance and Actuarial Sciences
Research sector (ERC-2024)
PE1_13 - Probability

PE1_22 - Application of mathematics in industry and society

SH1_4 - Finance; financial markets

Telephone
045 8028340
E-mail
guido|gazzani*univr|it <== Replace | with . and * with @ to have the right email address.
Personal web page
https://homepage.univie.ac.at/guido.gazzani/
Curriculum
  • pdf   CV   (pdf, en, 197 KB, 16/01/25)

Guido Gazzani è un Ricercatore a Tempo Determinato (RTDA) presso il dipartimento di Scienze Economiche dell'Università di Verona. 

Ha conseguito laura triennale e specialistica in matematica in Italia e successivamente il dottorato di ricerca in Statistica e Ricerca Operativa con enfasi in Matematica Finanziari presso l'Università di Vienna (UniWien).
Successivamente ha ottenuto un contratto di post-dottorato di 1 anno presso l'École nationale des ponts et chaussées dove ha lavorato con Prof. J. Guyon e un contratto di post-dottorato presso l'Università di Verona dove ha lavorato con Prof. R. Renò.
I suoi interessi di ricerca includono la ricerca di strutture universali con particolare interesse per i processi detti signature, la finanza computazionale con enfasi in prezzamento efficiente di derivati e la modellizzazione della volatilità.

Modules

Modules running in the period selected: 2.
Click on the module to see the timetable and course details.

Course Name Total credits Online Teacher credits Modules offered by this teacher
Master’s degree in Banking and Finance Asset Pricing Models (2024/2025)   9  eLearning 1.34 
Ph.D. in Economics and Finance Finanza Matematica (2024/2025)   5  eLearning 2 

Di seguito sono elencati gli eventi e gli insegnamenti di Terza Missione collegati al docente:

  • Eventi di Terza Missione: eventi di Public Engagement e Formazione Continua.
  • Insegnamenti di Terza Missione: insegnamenti che fanno parte di Corsi di Studio come Corsi di formazione continua, Corsi di perfezionamento e aggiornamento professionale, Corsi di perfezionamento, Master e Scuole di specializzazione.
Research interests
Topic Description Research area
JEL G12 - Asset Pricing; Trading volume; Bond Interest Rates 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. Quantitative Finance
General Financial Markets
JEL G13 - Contingent Pricing; Futures Pricing 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. Quantitative Finance
General Financial Markets
MSC 60L10 - Signatures and data streams The field of Signatures and data streams in Rough Analysis focuses on mathematical structures that efficiently capture the information contained in signals or temporal data. Signatures are fundamental tools in Rough Path Theory providing a compact and information-rich numerical representation of data trajectories regardless of their irregularity. By using signatures one can characterize the temporal evolution of a signal without losing essential information facilitating analysis prediction and machine learning on continuous data streams. This approach has applications in finance (for price modeling) natural language processing biomedicine and many other areas where data are sequential or temporal in nature. Quantitative Methods for Economics
Probability theory and stochastic processes
MSC 65C20 - Models, numerical methods Numerical approaches for solving mathematical models in applied sciences. Quantitative Methods for Economics
Probabilistic methods, simulation and stochastic differential equations
MSC 91B70 - Stochastic models Stochastic modelling in economics and finance, focusing on dynamic systems that evolve over time under uncertainty; development of probabilistic frameworks for market behavior, risk assessment, and decision-making; applications of stochastic processes and stochastic control to model temporal variations and optimize strategies. Quantitative Methods for Economics
Mathematical economics
MSC 91G20 - Derivative securities Financial instruments whose value derives from underlying assets. Quantitative Finance
Mathematical finance
MSC 91G60 - Numerical methods (including Monte carlo methods) Computational techniques used in financial mathematics, including Monte Carlo simulations. Quantitative Finance
Mathematical finance



Guido Gazzani
Office Collegial Body
Economics Department Council - Department Economics
Share