Since September 2022, I have been a post-doctoral researcher in Applied Mathematics at CERMICS—École Nationale des Ponts et Chaussées (France) where I have been developing, in collaboration with Prof. Aurélien Alfonsi, a solution theory for Lévy-driven stochastic Volterra integral equations.
I obtained my Doctor of Philosophy at LPSM—Université Paris Cité in December 2021 where I investigated, under the supervision of Prof. Claudio Fontana and in collaboration with Prof. Alessandro Gnoatto, financial applications of Continuous-state Branching processes with Immigration (henceforth CBI).
I then moved to Università di Padova (Italy) where I worked from 2021 to 2022 as an assegnista di ricerca and where I researched, alongside Prof. Claudio Fontana and Prof. Alessandro Gnoatto, the theoretical aspects of CBI-time-changed Lévy processes.
Broadly speaking, my research interests have been oscillating between financial applications of stochastic processes (mostly my doctoral research) and theoretical aspects of the latter (i.e. my post-doctoral research to this day). More particularly, I currently demonstrate interests in the following more specific avenues of research:
- Resolution of stochastic Volterra integral equations driven by Lévy-type processes.
- Stochastic time changes, their theoretical aspects and applications to financial modeling.
- Path-dependent stochastic equations and their applications to the modeling of equity volatility.
- The mathematical aspects of Deep Learning and their applications to Mathematical Finance.
- Rough Path Theory and the construction of signature-based financial models with jumps.
Publications and preprints
- Multiple yield curve modeling with CBI processes, with C. Fontana and A. Gnoatto, Mathematics and Financial Economics, 15:579–610, 2021.
- CBI-time-changed Lévy processes for multi-currency modeling, with C. Fontana and A. Gnoatto, Forthcoming in Annals of Operations Research, 2022.
- CBI-time-changed Lévy processes, with C. Fontana and A. Gnoatto, submitted, 2022.
- 12th European Summer School in Financial Mathematics in Padova (Italy), September 2019, contributed talk: Multiple yield curve modeling with CBI processes.
- Brown Bag Seminar, University of Verona (Italy), October 2019, talk: Multiple yield curve modeling with CBI processes.
- 13th European Summer School in Financial Mathematics in Vienna (Austria), September 2020, contributed talk: CBI-time-changed processes for multi-currency modeling.
- QFW2021, XXII Workshop on Quantitative Finance in Verona (Italy), January 2021, poster: CBI-time-changed processes for multi-currency modeling (online).
- London–Paris Bachelier Workshop in Financial Mathematics, March 2021, poster: Multiple yield curve modeling with CBI processes (online).
- SIAM Conference on Financial Mathematics (FM21) in Philadelphia (U.S.), June 2021, invited talk: Multiple yield curve modeling with CBI processes (online).
- 10th General AMaMeF Conference in Padova (Italy), June 2021, contributed talk: CBI-time-changed processes for currency modeling (online).
- Seminario dottorato, Università di Padova (Italy), December 2021, talk: Mathematical finance: a tale of stochastic processes.
- QFW2022, XXIII Workshop on Quantitative Finance in Rome (Italy), April 2022, talk with discussion: CBI-time-changed processes for currency modeling.
- 11th World Congress of the Bachelier Finance Society in Hong Kong, June 2022, contributed talk: CBI-time-changed processes for currency modeling (online).
- 10th International Conference on Lévy processes in Mannheim (Germany), July 2022, contributed talk: CBI-time-changed Lévy processes.
- Groupe de Travail Méthodes Stochastiques et Finance, CERMICS–ENPC (France), November 2022, talk: CBI-time-changed Lévy processes.
Teaching and supervision
- Tutoring of Mathematical Finance (30 hours) at graduate level at Univeristà di Padova (2021).
- Supervision of a research project involving master’s students on option valuation using the FFT at CERMICS–ENPC (2022–2023).
- Regular substitute for the Probability course at undergraduate level at CERMICS–ENPC (2022–2023).
For further information, you can reach me at email@example.com