Academic Faculty

Research Fields

Option pricing, Financial modeling, Stochastic processes

Education

Ph.D., Finance, Bocconi University, Milan, Italy, March 2013.

Master of Quantitative Finance and Risk Management (MAFINRISK), Bocconi University, Milan, Italy, July 2006.

Graduate in Business Administration, Bocconi University, Milan, Italy, March 2005.

Conference & Seminars

2013 - World Finance & Banking Symposium, Beijing. 

2012 - 3rd World Finance Conference, Rio de Janeiro.

2012 - FMA European Conference Doctoral Student Consortium, Istanbul

Working Papers

Local volatility and nonstationarity in pricing options.

Nonstationarity in pricing options: the sub-fractional Brownian motion.

Infinite-variance and self-similarity in option prices (joint with P. Muliere).

Jumps and discontinuities through Poisson random measures (joint with P. Muliere).

A Bayesian nonparametric test on the fractal structure of financial markets.