Profile

I graduated in (Applied) Mathematics from the University of Padua in 1990 under the supervision of Prof. W.J. Runggaldier. My "laurea" thesis was on option pricing under a jump diffusion model. I then worked as a teacher in several secondary schools while continuing my research activity. In September 1993, I started a Ph.D. program in Mathematical Finance at the Tinbergen Institute of Rotterdam, under the supervision of  Prof. Dr. A.C.F. Vorst from the Erasmus University. My Ph.D. studies were financed by N.W.O., the Dutch Organization for Scientific Research, and by the University of Padua. The Ph.D. program led to the thesis on "Claim Pricing and Hedging under Market Imperfections", which was successfully defended in September 1996. The research carried out during my Ph.D., including the joint works with J.M. Moraleda on interest rate modeling, led to several scientific results, which have been published on journals and books such as Mathematical Finance, Applied Mathematical Finance, European Journal of Operational Research, European Journal of Finance and Mathematics of Derivative Securities.

In december 1996 I started a new job as a financial modelist at the Risk Management department of Cariplo Bank, Milan.  My tasks as a modelist included: i) market risk evaluations and measurement; ii) study and implementation of interest rate models; iii) pricing of exotic products;  iv) curve fitting and development of a model for the coupon stripping, in particular. In October 1998, I left Cariplo for Banca IMI, were I am currently head of the Financial Models group, a team of advanced modelists providing quantitative support to the bank's desks of equity, interest rate and forex options. A list of my main tasks at Banca IMI can be found here. In July 2000 I was offered the Chair in Mathematics of Finance at the University of New South Wales in Sydney (which I had to decline).

My scientific interest in Banca IMI mainly concerned the interest rate modelling for pricing and hedging derivatives (in theory and practice) and the pricing of the "smile"effect  in implied volatility structures. In particular, I have investigated: i) analytically tractable asset price dynamics that lead to smiles/skews in the implied volatility structure; ii) the calibration of several versions of the BGM model to market data; iii) an uncertain-volatility model for pricing and hedging (especially) in the FX market; iv) the pricing of inflation-linked derivatives; iv) analytically tractable extensions of the LIBOR market model; v) the pricing of hybrid products.
Some related results have been collected in papers, most of which jointly written with my colleague Damiano Brigo, which appeared in Quantitative Finance, Finance and Stochastics, Risk Magazine, International Journal of Theoretical & Applied Finance. I and Damiano have also written a book entitled "Interest rate models: theory and practice", published by Springer Finance in July 2001 (2nd edition in 2006). Please click here to view the book's cover page, table of contents and some sample sections.

In February 2008 I joined the Quantitative Financial Research team at Bloomberg, first as a consultant in Lugano, Switzerland, and then full time in the New York office. I am currently responsible for the research in interest rates and inflation models.