ETH Zürich
Department of Mathematics
RiskLab
Rämistrasse 101, 8092, Zürich
Office: HG F 42.1
Email: {firstname}.{lastname}@math.ethz.ch
Embedded Files
Gabriele Visentin
Gabriele Visentin
I am a postdoctoral researcher at the Department of Mathematics of ETH Zürich in the RiskLab group.
My research interests:
Machine Learning applied to finance and insurance
Robust optimization in causal models (e.g. portfolio optimization in causal factor models)
Neural Optimal Transport and Wasserstein barycenters for fair regression and fair insurance pricing
Generative models for stress testing of high-dimensional equity/forex/credit portfolios
ML-based calibration of market-implied risk measures from bid/ask spreads
Analytical techniques for large credit portfolio losses
Mod-Poisson approximation schemes for CDO pricing
Beyond mixture models: concentration inequalities and large deviations theory for Markov Random Fields (MRFs)
Counterparty risk and CVA in financial networks
Propagation of losses and risks on financial networks (impact of climate change on EU balance sheets)
Continuous-time, endogenous valuation in financial networks (network CVA)
My teaching experience is in Machine Learning, Probability Theory and Financial Mathematics. Find out more in the Teaching section.
Here is my CV. You can also find me on LinkedIn, GitHub and Google Scholar!
Research experience
Research experience
2022-now - Researcher in Mathematics and Machine Learning for Finance and Insurance
ETH Zurich, Department of Mathematics, RiskLab
Education
Education
2017-2022 - PhD in Mathematics
University of Zurich, Department of Mathematics2015-2016 - Research Assistant
University of Zurich, Department of Banking and Finance2013-2015 - Master in Physics for Complex Systems
University of Turin2010-2013 - Bachelor in Physics
Roma Tre University
Skills
Skills
Programming languages: Python, R, Matlab.
Frameworks: PyTorch, TensorFlow.
ML paradigms: generative modelling, causal learning, unsupervised learning, time-series modelling.
Models: Custom designs of normalizing flows, diffusion models, energy-based models, transformers for time-series, RNNs/LSTMs/TCNs, GNNs, DGNNs.
Papers
Papers
- G. Visentin, P. Cheridito
Computing Optimal Transport Maps and Wasserstein Barycenters Using Conditional Normalizing Flows
42nd International Conference on Machine Learning, 2025 [pdf OpenReview arXiv] - S. Battiston, A. Mandel, I. Monasterolo, F. Schütze, G. Visentin
A climate stress-test of the financial system.
Nature Climate Change, 7(4), 283-288, 2017 [journal]
Grants and awards
Grants and awards
- Walter Saxes Insurance Prize 2023, ETH Zurich, for my PhD thesis Essays on Portfolio Credit Risk.
- University of Zurich research grant Nr. FK-19-088 (CHF 60'000) for the project: Systemic Risk in Financial Networks.
Service
Service
- Referee for academic journals:
- Mathematical Finance
- Journal of Financial Stability
- IMA Journal of Mathematical Control and Information
- Finance Research Letters
- IEEE Conference on Decision and Control
- Professional affiliations:
Affiliated researcher of the ETH AI Center
Member of the Bachelier Finance Society
Conferences
Conferences
Jul 2025 - Poster presentation at ICML 2025, Vancouver.
Jun 2025 - Contributed talk at 2025 RiskLab/BoF/ESRB Conference on AI and Systemic Risk Analytics, Bank of Finland, Helsinki.
Feb 2025 - Invited talk at the Applied Machine Learning Days (AMLD) EPFL 2025, EPFL, Switzerland.
Jan 2025 - Invited talk at IMS Young Mathematical Scientists Forum, National University of Singapore.
Oct 2024 - Invited talk at Seminar in Data Science and Mathematical Modelling, University of Zurich.
Jul 2024 - Invited talk at PhD Research Seminar Series, INCAE Business School, Costa Rica.
Jul 2024 - Contributed talk at 12th Bachelier Finance Society Congress, Rio de Janeiro.
Dec 2023 - Invited talk at SigmaQAnalytics, Zurich.
Jul 2023 - Contributed talk at the 7th International Conference Mathematics in Finance, South Africa.
Jun 2023 - Contributed talk at the MathRisk Conference on Numerical Methods in Finance, Udine.
Dec 2022 - Invited talk at SigmaQAnalytics, Zurich.
Dec 2022 - Seminar talk at the Talks in Financial and Insurance Mathematics, ETH Zurich.
Nov 2022 - Invited talk at the UZH-Roche Workshop, University of Zurich.
Nov 2021 - Invited talk at the Bernoullis Tafelrunde, University of Basel.
Jul 2021 - Invited talk at SwissQuant, Zurich.
Mar 2021 - Invited talk at the Roche-UZH Stochastic Modelling Seminar, Zurich.
Jul 2020 - Seminar talk at the Department of Physics seminar series, University of Zurich.
Jun 2020 - Invited talk at SwissQuant, Zurich.
Nov 2019 - Seminar talk at the Graduate Probability Seminar, University of Zurich.
Dec 2018 - Contributed talk at the Quantitative Methods in Finance Conference 2018, University of Technology Sydney.
Apr 2017 - Contributed talk at the Young Researcher Workshop on Robust Mathematical Finance, ETH Zurich.
Sep 2016 - Contributed talk at the Conference on Complex Systems, Amsterdam.
Jul 2016 - Contributed talk at the Lipari Summer School on Computational Complex and Social Systems, Lipari.
Jan 2016 - Contributed talk at the NetSciX Network Science Conference, Wroclaw.
Page updated
Google Sites
Report abuse