The projects of Sebastiano Vitali study applications of Stochastic Optimization with specific focus to ALM problems for insurances and banks. The publications cover the areas of Derivatives, Asset and Liability Management, Insurance and Pension Funds, Stochastic Optimization and its applications in Finance.
Simulation Tool for Asset-Liability Management Company (in cooperation with Allianz)
ALM model for a Property&Casualty Fund (in cooperation with Allianz)
ALM model for a Pension Fund (in cooperation with UBI Bank)
Stochastic Dominance applied to Financial Problems (purely research project)
Nested Distance for Stochastic Optimization (purely research project)
Option Implied Volatility and State Price Density (purely research project)
Stochastic Optimization in Energy Capacity Expansion Problems (purely research project)
Grigis F., Ortobelli Lozza S., Vitali S. (2025) Computing agents' reputation within a network, Games and Economic Behavior, DOI 10.1016/j.geb.2025.01.002
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 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
Vitali S., Dominguez, R., Moriggia V. (2020) Comparing stage-scenario with nodal formulation for multistage stochastic problems, 4OR, DOI 10.1007/s10288-020-00462-x
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
Consigli G., Moriggia V., Vitali S. (2020) Long-term individual financial planning under stochastic dominance constraints, Annals of Operations Research, 292, 973-1000, DOI 10.1007/s10479-019-03253-8
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
Vitali S. (2018) Multistage multivariate nested distance: an empirical analysis, Kybernetika, 54(6), 1184 - 1200, DOI 10.14736/kyb-2018-6-1184
Consigli G., Moriggia V., Vitali S., Mercuri L. (2018) Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming, Computational Management Science, 15(3), 599 - 632, DOI 10.1007/s10287-018-0328-7
Kopa M., Moriggia V., Vitali S. (2018) Individual optimal pension allocation under stochastic dominance constraints, Annals of Operations Research, 260(1-2), 255 - 291, DOI 10.1007/s10479-016-2387-x
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
Ortobelli S., Petronio F., Vitali S. (2018) Price and market risk reduction for bond portfolio selection in BRICS markets, Investment Management and Financial Innovations, Vol. 15, No. 1, pp. 120-131.
Vitali S., Moriggia V. (2018) Pension fund ALM models with stochastic dominance, Proceedings of the 11th International Conference Financial Management of Firms and Financial Institutions, VŠB-Technická Univerzita Ostrava, pp. 915 - 922
Vitali S., Moriggia V., Kopa M. (2017) Optimal pension fund composition for an Italian private pension plan sponsor, Computational Management Science, 14(1), 135 - 160, DOI: 10.1007/s10287-016-0263-4
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
Vitali S., Kopa M., Tichý T. (2017) State price density estimation for options with dividend yields, Central European Review of Economic Issues, Vol. 20, N. 3, pp. 81-90
Cirelli S., Vitali S., Ortobelli S., Moriggia V. (2017) A conservative discontinuous target volatility strategy, Investment Management and Financial Innovations, Vol. 14, No. 2-1, pp. 176-190
Alzalg B., Maggioni F., Vitali S. (2016) Homogeneous Self-dual Methods for Symmetric Cones under Uncertainty, Far East Journal of Mathematical Sciences, Vol. 99, No. 11, pp. 1603 - 1632
Kopa M., Tichý T., Vitali S. (2016) The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth, Proceedings of the 10th International Scientific Conference Financial management of Firms and Financial Institutions, pp. 1405 - 1409
Caviezel V., Falzoni A. M., Vitali S. (2016) Esperienza ERASMUS: motivazioni e timori prima della partenza, Statistica & Società, SIS, Vol. 5, No. 1-2
Bertocchi M., Moriggia V., Torricelli C., Vitali S. (2015) The pricing of convertible bonds in the presence of structured conversion clauses: the case of Cashes, International Journal of Financial Engineering and Risk Management, Vol. 2, No. 2, pp. 73 - 86
Tichý T., Kopa M., Vitali S. (2015) The bandwidth selection in connection to option implied volatility extraction, Proceedings of the 12th International Conference Liberec Economic Forum, pp. 201 - 208
Kopa M., Tichý T., Vitali S. (2015) On the implied volatility extraction and the selection of suitable kernel, Proceedings of International Conference on Computer Science and Intelligent Communication, pp. 456 - 459
Caviezel V., Falzoni A. M., Vitali S. (2015) L’esperienza ERASMUS: la valutazione degli studenti dell’Università di Bergamo, Induzioni, Vol. 51, pp. 97 - 108
Vitali S., Moriggia V., Kopa M. (2015) Pension Fund Optimal Allocations, Working papers of the Department of Management, Economics and Quantitative Methods of the University of Bergamo, Quantitative Methods Series, Vol. 1
Tichý T., Kopa M., Vitali S. (2014) On the pricing of illiquid options with Black-Scholes formula, In Culik, M. (ed.): Proceedings of International Conference Managing and Modelling of Financial Risks, VŠB-Technická Univerzita Ostrava, pp. 807 - 815
Ortobelli S., Vitali S., Cassader M. (2014) Reward and risk in the fixed income markets, Proceedings of 14th International Conference on Finance and Banking, pp. 329 - 340
Criscuolo A., Gnudi A., Vitali S. (2013) Un’esperienza di learning week per il recupero di competenze nello studio dell’analisi matematica mediante l’uso del software GeoGebra, Working papers of the Department of Management, Economics and Quantitative Methods of the University of Bergamo, Quantitative Methods Series
Gnudi A, Vitali S. (2023) Elementi di Matematica , Giappichelli, ISBN: 979-12-211-0292-5
Maciak M., Pešta M., Vitali S. (2020) Implied Volatility Surface Estimation via Quantile Regularization. In: Maciak M., Pešta M., Schindler M. (eds) Analytical Methods in Statistics. Springer Proceedings in Mathematics & Statistics, vol 329, Springer, 73-87, DOI 10.1007/978-3-030-48814-7\_4
Moriggia V., Vitali S. (2020) Laboratorio di Informatica - Excel, Giappichelli, ISBN:978-88-921-3273-3
Cassader M., Tichý T., Vitali S. (2019) Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints, Series on Advanced Economic Issues, VSB - Ostrava, ISBN: 978-80-248-4364-3
Vitali, S. (2018) Pension Fund Management in a Stochastic Optimization Framework, Series on Advanced Economic Issues, VSB - Ostrava, ISBN: 978-80-248-4268-4
Consigli G., Moriggia V., Benincasa E., Landoni G., Petronio F., Vitali S., di Tria M., Skoric M., Uristani A. (2018) Optimal Multistage Defined-Benefit Pension Fund Management. In: Consigli G., Stefani S., Zambruno G. (eds) Handbook of Recent Advances in Commodity and Financial Modeling. International Series in Operations Research & Management Science, vol 257, Springer, pp. 267 -296
Caviezel V., Falzoni A. M., Vitali S. (2017) Motivations and expectations of students’ mobility abroad: a mapping technique. In: Mola, F., Conversano, C., Vichi, M. (eds) Classification, (Big) Data Analysis and Statistical Learning. International Series in Studies in Classification, Data Analysis, and Knowledge Organization, Springer International Publishing