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.
Since my very first steps in the academic world, my research interests have never ceased to evolve but broadly speaking, they have been gravitating around 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 firstname.lastname@example.org