## Matteo Basei

Quant researcher in financial mathematics

**EDF R&D, Paris**

Welcome to my webpage!

I am a quant researcher and project manager at EDF R&D, with industrial and academic experience in mathematical finance and energy market modeling

## In a nutshell

**Present position. ** Quantitative researcher and project manager at EDF R&D, working on: stochastic models and data analysis in energy markets, risk management, machine learning, derivative pricing, Python coding

**Research interests**. Stochastic control and games, machine learning, energy markets and derivatives

**Contact**. You can contact me at *matteo31415 (usual symbol) gmail (dot) com*

## Curriculum

Most recent positions

- Quantitative researcher (since Oct2019) and project manager (since Sep2020)**EDF R&D, Paris**- Post-doc researcher (Prof. X. Guo) - Sep2017 / Aug2019**University of California, Berkeley**

Education

- University of Padua, Italy - Jan2013 / Dec2015**Ph.D. in Computational Mathematics****MS in Probability and Finance**- University of Padua, Italy - Sep2010 / Jul2012**MS in Mathematics**

For more details, please see my

*LinkedIn*page**here**

## Published papers

M. Basei, X. Guo, A. Hu, Y. Zhang,

, to appear in**Logarithmic regret for episodic continuous-time linear-quadratic reinforcement learning over a finite-time horizon***Journal of Machine Learning Research (JMLR)*[ArXiv]

*We study finite-time horizon continuous-time linear-quadratic reinforcement learning problems in an episodic setting, where both the coefficients in the SDE are unknown to the controller. We propose a least-squares algorithm and establish a logarithmic regret bound of order O((ln M)(ln ln M)), with M being the number of learning episodes.*

M. Basei, H. Cao, X. Guo,

, Math. Oper. Res. 47 (2022), no. 1, 341-366 [ArXiv][Article]**Nonzero-sum stochastic games and mean-field games with impulse controls**

*We consider nonzero-sum N-player stochastic games with impulse controls. Then, we consider the limit situation $N \to \infty$, i.e., mean-field games with impulse controls. Under appropriate conditions, the MFG is an $\epsilon$-NE approximation to the N-player game, with $\epsilon=\frac{1}{\sqrt{N}}$. As an example, we propose a cash management problem. *

R. Aïd, M. Basei, H. Pham,

, Math. Methods Oper. Res. 91 (2020), 269-310 [ArXiv] [Article]**A McKean-Vlasov approach to distributed electricity generation development**

*Consumers satisfy their electricity demand by self-production (solar panels) and centralized production (energy companies). We consider the point of view of a consumer, an energy company, a social planner: we characterize the production strategies which minimize the costs and look for an equilibrium price.*

R. Aïd, M. Basei, G. Callegaro, L. Campi, T. Vargiolu,

**Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications**Math. Oper. Res. 45 (2020), no. 1, 205-232 [ArXiv] [Article]**,**

*We consider a general nonzero-sum impulse game with two players. The main contribution is a verification theorem which provides a suitable system of quasi-variational inequalities for the value functions. As an application, we consider a one-dimensional example and provide explicit expressions for a Nash equilibrium.*

M. Basei,

, Math. Methods Oper. Res. 89 (2019), no. 3, 355-383 [ArXiv] [Article]**Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates**

*We consider a retailer who buys energy in the wholesale market, resells it to final consumers, and looks for the price strategy maximizing his profit. We formulate a suitable infinite-horizon stochastic impulse control problem, characterize an optimal price strategy, and provide asymptotic estimates for the action region.*

M. Basei, H. Pham,

**A weak martingale approach to linear-quadratic McKean-Vlasov stochastic control problems****,**

*We propose an original approach to solve linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow some coefficients to be stochastic. We illustrate our results through an application to the production of an exhaustible resource. *

M. Basei, A. Cesaroni, T. Vargiolu,

**Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem***,*SIAM J. Finan. Math. 5 (2014), no. 1, 581–608 [Article]

*We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton–Jacobi–Bellman equation. The case of contracts with strict constraints gives rise to a control problem with nonstandard state constraints. *

## Teaching

[responsible instructor, in English]

(45 students), Spring 2019, Master of Engineering (MEng),**Financial engineering systems I**

*Markov chains, Poisson and Hawkes processes, Markov decision processes (dynamic programming, value iteration, Q-learning*

[responsible instructor, in English]

(65 students), Fall 2018, Master of Engineering (MEng),**Introduction to financial engineering**

*Introduction to finance (interest rates, financial instruments, arbitrage), discrete-time models (Markowitz problem, binomial model, no-arbitrage pricing), continuous-time models (stochastic calculus, martingales, Ito’s lemma, Black-Scholes model), Monte Carlo methods*

[exercises, in French]

(48h, 25 students), Spring 2017, Master 1 ISIFAR, Université Paris Diderot**Financial mathematics**

*Interest rates, financial instruments, no-arbitrage assumption, discrete-time martingales, binomial model, no-arbitrage pricing, American options*