Reader in Mathematical Finance
Gianluca is a Reader in Mathematical Finance. He holds a PhD in Finance from Warwick Business School, an MSc in Statistics and Operational Research from the University of Essex and a BSc in Economics from Bocconi University. His research interests focus on Financial Engineering, Numerical Methods for Finance, Portfolio Selection, and Energy Markets. He has published extensively on these topics in Mathematical Finance, Finance and Stochastics, Quantitative Finance, Journal of Banking and Finance, Journal of Computational Finance, Risk, Annals of Applied Probability and the International Journal of Theoretical and Applied Finance. Gianluca has co-authored the textbook ‘Implementing Models in Quantitative Finance’ (Springer Finance) and has worked as a consultant in the public and private sectors. Gianluca also currently holds a position in Financial Mathematics at the Università del Piemonte Orientale.
BSc in Economics, MSc in Statistics and Operational Research and PhD in Finance.
French and Italian.
Deafault risk premium
Counterparty Credit Risk
Interest rate modelling and pricing of swaptions
Commodity markets and pricing of basket and spread options