Current Position

Associate Professor

Department of Economics, University of Verona.

Positions held

Tenure Track Assistant Professor (RTDB), Department of Economics, University of Verona.

Temporary Assistant Professor (RTDA), Department of Economics, University of Verona.

CFM research fellowship, Mathematics Department, Imperial College London.

Post-doc research fellowship, Mathematics Department (Mathematical and Computational Finance Group), University of Oxford.

Nomura research fellowship, Mathematics Department (Mathematical and Computational Finance Group), University of Oxford .

Education

Master of Science in Applied Mathematics, Università di Roma "La Sapienza".

Bachelor in Mathematics, Università di Roma "La Sapienza".

PhD thesis

ITN SADCO Marie-Curie fellowship, FR7 EU program & INRIA-Saclay Île de France.

On some stochastic control problems under state constraints.

Prof. Hasnaa Zidani, Prof. Olivier Bokanowski

Selected conference and seminar talks

  • Workshop "Deep Learning for PDEs", LSE, London, UK.

  • Workshop "New directions in stochastic control", Imperial College, London, UK.

  • Third Italian Meeting on Probability and Mathematical Statistics, Bologna, Italy.

  • Conference "Theory and numerics of Mean Field Games and Hamilton-Jacobi equations", Roma, Italy.

  • Control and Optimisation Seminars, Imperial College, UK, (online).

  • Probability and Finance Seminar, Università degli Studi di Padova, Italy, (online).

  • Numerical Analysis Seminar, Nottingham, UK, (online).

  • Energy Finance Italia, Rome, Italy.

  • Quantitative Finance Workshop, Naples, Italy.

  • Workshop on Control of State-Constrained Dynamical Systems, Valparaiso, Chile.

  • Mathematics seminar, Universidad Técnica Federico Santa María, Valparaiso, Chile.

  • 43rd Annual Meeting of the Italian Association for Mathematics Applied to Economic and Social Sciences (AMASES), Perugia, Italy .

  • International Conference on Computational Finance, A Coruna, Spain.

  • Stochastic Finance Seminar, University of Warwick, UK.

  • Workshop in Financial Mathematics, Università di Padova, Italy.

  • Stochastic Modeling and Financial Applications, Università di Verona, Italy Workshop, Stochastic Control and Applications, Università di Verona, Italy

  • Risk & Stochastic Conference, LSE, UK.

  • Workshop, Stochastic analysis and Applications, University of Santiago, Chile.

  • Mathematical and Computational Finance Seminar, University of Oxford, UK.

  • Verona-Paris Conference on Stochastic Modeling, Università di Verona, Italy.

  • Numerical Analysis Seminar, University of Oxford, UK.

  • Mathematical Finance Seminar, Politecnico di Milano, Italy.

  • International Conference on Computational Finance, Lisbon, Portugal.

  • Workshop Numerical methods for optimal control problems, Rome, Italy.

  • Risk & Stochastics and Financial Mathematics Seminar, LSE, UK.

  • Workshop, Numerical Methods for HJ equations in Optimal Control, Linz, Austria.

  • Workshop Analysis and Applications of Stochastic Systems, Rio de Janeiro, Brasil.

  • Numerical Analysis Seminar, University of Durham, UK.

  • 5th Chilean Workshop on Numerical Analysis of PDEs, Conception, Chile.

  • 9th Oxford-Princeton Workshop on Financial Mathematics, Princeton, USA.

  • Mathematical & Computational Finance Seminar, Oxford University, UK.

  • Workshop, New Perspectives in Optimal Control and Games, Rome, Italy.

  • Differential Numerical Modeling Seminar, Università di Roma "La Sapienza", Italy.

  • Probability Seminar, Evry University, France.

  • Probability, Statistics and Control Seminar, ENSTA ParisTech, France.

Teaching Experience

  • Asset Pricing Models, Lectures, Università di Verona, MSc in Banking and Finance.

  • Computational Methods for Finance, Università di Verona, MSc in Banking and Finance.

  • Probability theory, Lectures, Università degli studi di Padova, PhD in Statistics.

  • Mathematical Models for Business and Economics (Differential Equations). Lectures, Università di Verona, MSc in Economics.

  • Mathematics (optimization). Lectures, Università di Verona, PhD in Business and Economics.

  • Finite difference methods. Lectures, University of Oxford, MSc in Mathematical and Computational Finance.

  • Calculus (1st year), Calculus of variations (2nd year). Tutorials, St Catherine’s College, University of Oxford.

  • Probability (1st year), Differential Equations (2nd year). Tutorials, St Catherine’s College, University of Oxford.

  • Introduction to Stochastic control (Prof. Xunyu Zhou). Tutorials, University of Oxford, MSc in Mathematical and Computational Finance.

  • SADCO-WIAS Young researchers Workshop, Berlin, Germany, 29-31 January 2014. Mini-course on Stochastic Optimal Control.

  • Numerical methods for PDEs in finance (Prof. Olivier Bokanowski). Tutorials, ENSTA ParisTech, Paris, France.

Supervisions

  • Co-supervision of the PhD thesis of Julen Rotaetxe “Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations”.

Administration and Collective responsibilities

  • Co-organizer of the “XXII Quantitative Finance Workshop” (online), 2021.

  • Associate Editor for the Journal of Computational Finance (2018-present).

  • Co-organizer of the special session “Modeling and Computational Methods for Financial Applications” at the Conference ORCOS (Viennese Conference on Optimal Control and Dynamic Games), TU Wien, Austria, 2018.

  • Co-organizer of the Mathematical Finance internal seminar, University of Oxford, 2017.

  • Co-organizer of the SADCO ‘Doctoral Days’ at ENSTA ParisTech, 2014.

  • Referee for the journals: SIAM Journal on Control and Optimization, SIAM Journal on Scientific Computing, Journal of Optimization Theory and Applications, Communications on Pure and Applied Analysis, Applied Mathematics and Optimization, Numerische Mathematik, IMA J. Numerical Analysis, et al.

Awards

  • Abilitazione Scientifica Nazionale II fascia, settori 01/A3 (Analysis and Probability), 13/D4 (Mathematical Models for Economics) 2020-2029

  • Qualification aux fonctions de Maître de Conférences (French system) 2016-2019

  • INDAM (Italian Institute of High Mathematics) grant for young researchers, group GNCS (Group on Numerics and Computer Science) 2016

  • Financial support award for the participation to the conference HYP2014, Rio de Janeiro, Brazil, 28 July- 1 August 2014.

  • ITN Marie-Curie SADCO 3 years fellowship.

Languages

Italian: mother tongue

English: advanced

French: advanced

Spanish: beginner