Ofelia Bonesini

Research Associate in Mathematics

November 2022 - Present

Imperial College London

Department of Mathematics

obonesin@ic.ac.uk

Research Interests

Mean field games and N-player games; Numerical Probability methods, Stochastic control problems, Volterra Equations, Rough Paths and Signature Methods: application to Finance and to Energy Finance.

Published or Accepted Papers

R. Aïd, O. Bonesini, G. Callegaro and L. Campi. A McKean-Vlasov Game of Commodity Production, Consumption and Trading. Published in Applied Mathematics and Optimization, 86(40), 2022. [ABCC2021]
O. Bonesini, G. Callegaro and A. Jacquier. Functional quantization of rough volatility and applications to the VIX. Published in Quantitative Finance, 2023.[BCJ2021]

Preprints

O. Bonesini, A. Jacquier and C. Lacombe. A theoretical analysis of Guyon’s toy volatility model. Preprint 2022. Submitted. [BJL2022]
O. Bonesini, L. Campi and M. Fischer. Correlated Equilibria and Mean Field Games in progressive strategies. Preprint 2022. Submitted. [BCF2022]
O. Bonesini, A. Jacquier and A. Pannier. Rough volatility, path-dependent PDEs and weak rates of convergence. Preprint 2023. Submitted. [BJP2023]
O. Bonesini, G. Callegaro, M. Grasselli and G. Pagès. From elephant to goldfish (and back): memory in stochastic Volterra processes. Preprint 2023. Submitted. [BCGP2023]
O. Bonesini and A. Jacquier. $X-PDE for X in {BS, FBS, P}: a rough volatility context. Preprint 2023.[BJ2023]

Ongoing Research

R. Aïd, O. Bonesini, G. Callegaro and L. Campi. Bayesian Persuasion. In preparation.
O. Bonesini, I. Gasteratos, A. Jacquier and E. Rossi-Ferrucci. Rough paths for multi-factor rough volatility models. In preparation.
O. Bonesini, A. Jacquier and A. Muguruza. Risk premium and rough volatility. In preparation.

Co-authors

Seminars and Communication at Conferences

Presentation of paper [BCF2022](invited speaker) at the Workshop "Optimal control problems and mean field games in life sciences and economics", University of Padova (Italy), 30 November-1 December 2023.
Presentation of paper [BCF2022](invited speaker) at the Stochastic and Finance Seminar, Warwick University (UK), 25 October 2023.
Presentation of paper [BJP2023](junior invited speaker) at the London-Paris Bachelier Workshop, Imperial College London (UK), 18 September 2023.
Presentation of paper [BJP2023] (invited speaker) at the Stochastics around Finance Workshop, Kanazawa (Japan), 28-30 August 2023.
Presentation of paper [BJL2022] (invited speaker, organized session) at the X International Congress on Industrial and Applied Mathematics (ICIAM 2023), Waseda University, Tokyo (Japan), 20-25 August 2023.
Presentation of paper [BJL2022] (invited speaker) at the Florence-Paris workshop on Statistics of Random Processes and Its Applications to Financial Econometrics, University of Florence, Florence (Italy), 10-11 July 2023.
Presentation of paper [BCF2022] (contributed talk) at the Stochastic Control and Financial Engineering Workshop, Princeton (New Jersey, U.S.), 20-23 June 2023.
Presentation of paper [ABCC2021] (contributed talk) at the Women in Mathematical Finance Workshop, Rutgers University, New Brunswick (New Jersey, U.S.), 12-13 June 2023.
Presentation of paper [BJL2022] (invited speaker, organized session) at the SIAM Conference on Financial Mathematics and Engineering (FM23), Philadelphia (Pennsylvania, U.S.), 6-9 June 2023.
Presentation of paper [BJP2023] (invited speaker, organized session), at the "Volatility is rough. Now what?" Workshop, Sabhal Mòr Ostaig, Isle of Skye (Scotland), 22-26 May 2023.
Presentation of paper [BCF2022] (contributed talk) at the Control \& Optimisation Pisa 2023 Conference, Pisa (Italy), 8-10 May 2023.
Presentation of paper [BJP2023] (invited speaker) at Financial Mathematics and Stochastic Analysis Seminars, University of Padova (Italy), 29 March 2023.
Presentation of paper [BCF2022] (invited speaker) at LPSM Mathématiques Financières et Actuarielles, Probabilités Numériques Seminars, LPSM, Paris (France), 9 March 2023.
Presentation of paper [BJP2023] (invited speaker) at Finance and Stochastics Seminars, Imperial College London (United Kingdom), 21 February 2023.Presentation of paper [BCF2022](contributed talk) at the III Junior female researchers in probability Workshop, TU Berlin (Germany), 5-7 October 2022.
Presentation of paper [BCF2022] (invited speaker, organized session) at the XLVI A.M.A.S.E.S. Annual Conference, Palermo (Italy), 22-24 September 2022.
Presentation of paper [BJL2022] (contributed talk) at the VI London-Paris Bachelier Workshop on Mathematical Finance, Henri Poincar´e Institute, Paris (France), 15-16 September 2022.
Presentation of paper [BCF2022] (invited speaker, organized session) at the XIX ISDG Symposium, University of Porto (Portugal), 25-29 July 2022.
Presentation of paper [BCF2022] (invited speaker, organized session) at the III Italian meeting in Probability and Statistics, University of Bologna (Italy), 13-16 June 2022.
Presentation of paper [ABCC2021] (contributed talk) at Stochastic Games and Martingale Optimal Transport, University of Milan (Italy), 5-6 May 2022.
Presentation of paper [ABCC2021] (contributed talk) at the XXIII Workshop on Quantitative Finance, University of Roma Tor Vergata (Italy), 31 March - 1 April 2022.
One-hour lecture on Correlated Equilibria and Mean Field Games and presentation of paper [BCF2022] as a talk in the Graduate Seminars cycle, University of Padova (Italy), 23 February 2022.
Presentation of paper [BCJ2021] as a talk in the cycle of seminars "Advanced Stochastic Modelling", University of Vienna (Austria), online, 11 January 2022.
Presentation of paper [ABCC2021] (junior invited speaker) at the I Florence-Paris Workshop on Mathematical Finance, Florence (Italy), 27-29 October 2021.
Presentation of paper [ABCC2021] (contributed talk) at the XLV A.M.A.S.E.S. Annual Conference, Reggio Calabria (Italy), online, 13-18 September 2021.
Presentation of paper [ABCC2021] (with discussant) at the X International Ruhr Energy Conference (10th INREC 2021), Essen (Germany), online, 15-16 September 2021.
Presentation of paper [ABCC2021] (contributed talk) at the XIV European Summer School in Financial Mathematics, ICMS, Edinburgh (Scotland), online, 30 August - 3 September 2021.
Presentation of paper [BCJ2021](contributed talk) at the SIAM Conference on Financial Mathematics and Engineering (FM21), Philadelphia (Pennsylvania, U.S.), online, 1-4 June 2021.
Presentation of paper [BCJ2021] (poster session) at the London-Paris Bachelier online Workshop in Financial Mathematics, 11-12 March 2021.
Presentation of paper [BCJ2021] (with discussant) at the XXII Workshop on Quantitative Finance, University of Verona (Italy), online, 28-29 January 2021.
One-hour lecture and presentation of paper [BCJ2021] for the Ph.D. course Numerical methods for Probability (24 h), University of Padova (Italy), online, 15 December 2020.