Sebastiano Vitali is Associate Professor at University of Bergamo. Previously, he was Assistant Professor with tenure track at Charles University and Adjunct Professor at University of Modena and Reggio Emilia.

He got a Ph.D. in Economics, Applied Mathematics and Operations Research in 2015 at University of Bergamo (supervisor: Prof. Vittorio Moriggia, University of Bergamo; external supervisor: Prof. Jitka Dupacova, Charles University). Previously, he got a post-Master degree in Private Banking at University Cattolica del Sacro Cuore in cooperation with Il Sole 24 Ore Business School. 

Here the extended Curriculum Vitae.

Research and selected publications

The research of Sebastiano Vitali covers the areas of Asset and Liability Management, Insurance and Pension Funds, Derivatives, Stochastic Optimization and its applications in Finance and Energy.

Selected publications:

• Dominguez R., Carrion M., ,Vitali S. (2024) Investments in transmission lines and storage units considering second-order stochastic dominance constraints, Energy Economics, DOI 10.1016/j.eneco.2024.107607

• Maciak, M., Vitali, S. (2024) Using interpolated implied volatility for analysing exogenous market changes. Computational Management Science 21, 25, DOI https://doi.org/10.1007/s10287-024-00505-2

• Kopa M., Moriggia V., Vitali S. (2023) Multistage stochastic dominance: an application to pension fund management, Annals of Operations Research, DOI 10.1007/s10479-023-05658-y

• Vitali S., Kopa M., Giana G. (2023) Implied volatility smoothing at COVID‑19 times, Computational Management Science, 20, 32, DOI 10.1007/s10287-023-00465-z 

• Drabek Z., Kopa M., Maciak, M., Pesta M., Vitali S., (2023) Investment disputes and their explicit role in option market uncertainty and overall risk instability, Computational Management Science, 20, 15, DOI 10.1007/s10287-023-00447-1 

• Dominguez R., Vitali S., Carrion M., Moriggia V. (2021) Analysing decarbonizing strategies in the European power system applying stochastic dominance constraints, Energy Economics, 101, 105438, DOI 10.1016/j.eneco.2021.105438

• Vitali S., Dominguez, R. (2021) Multi-chronological Hierarchical Clustering to Solve Capacity Expansion Problems with Renewable Sources, Energy, 227, 120491, DOI 10.1016/j.energy.2021.120491

• Vitali S., Moriggia V. (2021) Pension fund management with investment certificates and stochastic dominance, Annals of Operations Research, 299(1), 273-292, DOI 10.1007/s10479-020-03855-7 

• Horejšová M., Vitali S., Kopa M., Moriggia V. (2020) Evaluation of scenario reduction algorithms with nested distance, Computational Management Science, 17, 241-275, DOI 10.1007/s10287-020-00375-4 

• Moriggia V., Kopa, M., Vitali S.(2019) Pension fund management with hedging derivatives, stochastic dominance and nodal contamination, Omega, 87, 127-141, DOI 10.1016/j.omega.2018.08.011

• Ortobelli S., Vitali S., Cassader M., Tichý T. (2018) Portfolio selection strategy for the fixed income markets with immunization on average, Annals of Operations Research, 260(1-2), 395 - 415, DOI 10.1007/s10479-016-2182-8

• Kopa M., Vitali S., Tichý T., Hendrych R. (2017) Implied volatility and state price density estimation: arbitrage analysis, Computational Management Science, 14(4), 559 - 583, DOI 10.1007/s10287-017-0283-8

Here more information about research projects and publictions.

Teaching activity