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Faculty & Research

Portrait of Dr Gianluca Fusai

Dr Gianluca Fusai

Reader in Mathematical Finance

Faculty of Finance

Contact

Visit Gianluca Fusai

Room BR5086, Bunhill Row

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Postal Address

Cass Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

Background

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.

Qualifications

BSc in Economics, MSc in Statistics and Operational Research and PhD in Finance.

Languages

French and Italian.

Expertise

Primary Topics

  • Commodities
  • Risk Management
  • Mathematical & Quantitative Methods
  • Simulation Methods
  • Financial Engineering
  • Futures & Options
  • Asset Pricing
  • Mathematical Finance
  • Quantitative Finance
  • Derivatives
  • Fixed-Income Investments
  • Investment Theory
  • Bond Markets
  • Risk Modelling

Research

Deafault risk premium
Counterparty Credit Risk
Interest rate modelling and pricing of swaptions
Commodity markets and pricing of basket and spread options

Research Topics

Credit Risk and Counterparty Risk
Counterparty Credit Risk (CCR) is the risk that the counterparty of an OTC deal will default before the maturity of the contract. The Credit Value Adjustment (CVA) tries to measure the expected loss due to missing the remaining payments
Model Risk in Derivative Pricing
How calibration error can affect the reliability of exotic derivative prices
Default Risk Premium
How to estimate a corporate structural model, by using data from credit and stock market, and reconstruct the dynamics of the market value of assets and debt, and the default boundary, for a sample of non-financial firms
Efficient Pricing of Basket Options
Closed form lower and upper bounds on the prices of basket options for a general class of continuous-time financial models.
Efficient Pricing of Swaptions
Efficient pricing of European-style swaptions for a wide class of interest rate models
Name
Anna Maria Gambaro
Attendance
Jan 2014 – present, full-time
Thesis Title
Swaption Pricing in Multifactor Affine Models
Role
1st Supervisor
Name
Angela Loregian
Attendance
Jan – Dec 2013, full-time
Thesis Title
Multivariate Levy Models
Role
1st Supervisor
Name
Raffaele Corvino
Attendance
Oct 2012 – present, full-time
Thesis Title
Credit RiskCredit Risk
Role
1st Supervisor
Name
Ruggero Caldana
Attendance
Jan 2009 – Dec 2012, full-time
Thesis Title
Interconnecting Power Markets and Derivative Pricing
Role
1st Supervisor
  1. Fusai, G. and Kyriakou, I. (2016). General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options. Mathematics of Operations Research, 41(2), pp. 531–559. doi:10.1287/moor.2015.0739.

Book

  1. Fusai, G. and Roncoroni, A. (2008). Implementing Models in Quantitative Finance: Methods and Cases. Springer. ISBN 978-3-540-22348-1.

Chapters (11)

  1. Fusai, G. and Ballotta, L. (2016). Introduction to Portfolio Value-at-Risk. In Kaminski, V. (Ed.), Managing Energy Price Risk (pp. 641–682). Riskbook
  2. Ballotta, L., Fusai, G. and Marena, M. (2016). Introduction to Default Risk and Counterparty Credit Modelling. In Kaminski, V. (Ed.), Managing Energy Price Risk (pp. 683–754). Riskbook ISBN 978-1-78272-209-0.
  3. Ballotta, L. and Fusai, G. (2015). An introduction to stochastic calculus with Matlab examples. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (pp. 557–557). John Wiley & Sons. ISBN 978-0-470-74524-3.
  4. Ballotta, L. and Fusai, G. (2015). A Quick Review of Distributions Relevant in Finance with Matlab Examples. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (pp. 967–967). John Wiley & Sons. ISBN 978-0-470-74524-3.
  5. Fusai, G., Marena, M. and Quaglini, C. (2015). Pricing Commodity Swaps with Counterparty Credit Risk: The Case of Credit Value Adjustment. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products Structuring, Trading and Risk Management Wiley. ISBN 978-0-470-74524-3.
  6. Marena, M., Fusai, G. and Longo, G. (2015). Asian Options: Payoffs and Pricing Models. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products Structuring, Trading and Risk Management John Wiley & Sons. ISBN 978-0-470-66250-2.
  7. Fusai, G. (2010). Lookback Options. In Cont, R. (Ed.), Encyclopedia of Quantitative Finance, (4 Volumes) Wiley. ISBN 978-0-470-05756-8.
  8. Fusai, G. (2010). Corridor Options. In Cont, R. (Ed.), Encyclopedia of Quantitative Finance (4 Volumes) Wiley. ISBN 978-0-470-05756-8.
  9. Fusai, G., Marena, M. and Recchioni, C. (2009). Levy Processes and Option Pricing by Recursive Quadrature. In Hurlington, C.W. (Ed.), Chapter in book Economic Dynamics: Theory, Games and Empirical Studies ISBN 978-1-60456-911-7.
  10. Fusai, G. (1998). Introduction to Brownian Motion and its Financial Applications. In Erzegovesi, L. (Ed.), Financial Engineering: Principles and applications in the debt and currency markets (pp. 104–116).
  11. Fusai, G. (1993). The Term Structure of Interest Rates and Mathematical and Statistical Appendix. In Erzegovesi, L. (Ed.), Forward and Futures on bond Il Sole 24h Libri.

Conference Papers and Proceedings (8)

  1. Ballota, L., Fusai, G., Kyriakou, I., Pouliasis, P. and PAPAPOSTOLOU, N. (2017). Non-parametric and semi-parametric modelling of weather variables and cost-revenue analysis of ski resort establishments. The 3rd Symposium on Quantitative Finance and Risk Analysis (QFRA 2017) 15-16 June, CORFU, GREECE.
  2. Fusai, G., Germano, G. and Marazzina, D. (2012). Pricing Credit Derivatives in a Wiener-Hopf Framework. 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012) 1-3 December, Oviedo, Spain.
  3. Marena, M., Marazzina, D. and Fusai, G. (2008). Option pricing, maturity randomization and grid computing. IPDPS 2008 - 22nd IEEE International Parallel and Distributed Processing Symposium 14-18 April, Miami, Florida, USA.
  4. Fusai, G., Goia, A. and May, C. (2004). Functional Regression Tools for Peak Loading Forecasting. CLADAG 2005 - Conferenza della CLAssification and Data Analysis Group of the Italian Statistical Society 6 Jun 2005 – 8 Jun 2005, Parma.
  5. Fusai, G., Longo, G., Marena, M. and Vulcano, A. (2002). Probabilistic Techniques for Contingent Claims Evaluation. International Conference on Computational Finance Auronzo di cadore.
  6. Fusai, G. and Tagliani, A. (1999). Discretely Sampled Asian Options - Part I: The Model and the Numerical Analysis. XXIII Amases Conference (The Italian Association of Mathematics Applied to Economic and Social Sciences) 8-11 September, Universita della Calabria.
  7. Fusai, G. (1996). Term Structure and Inflation Targeting. XX AMASES Conference (Italian Association of Mathematics Applied to Economic and Social Sciences)) 5-7 September, Urbino.
  8. Fusai, G. (1992). An Observation on Two Moment Decision Models and Expected Utility Maximization. XVI Amases Conference (Associazione per la matematica applicata alle Scienze economiche e Sociali) 10-13 September, Treviso.

Journal Articles (34)

  1. Gambaro, A.M., Caldana, R. and Fusai, G. (2017). Approximate pricing of swaptions in affine and quadratic models. Quantitative Finance pp. 1–21. doi:10.1080/14697688.2017.1292043.
  2. Caldana, R., Fusai, G. and Roncoroni, A. (2017). Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. European Journal of Operational Research, 261(2), pp. 715–734. doi:10.1016/j.ejor.2017.02.016.
  3. Alizadeh, A.H., Adland, R. and Fusai, G. (2017). A New Ship Valuation Model based on Spread Option Pricing Approach. .
  4. Fusai, G., Germano, G. and Marazzina, D. (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), pp. 124–134. doi:10.1016/j.ejor.2015.11.027.
  5. Fusai, G. and Kyriakou, I. (2016). General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options. Mathematics of Operations Research, 41(2), pp. 531–559. doi:10.1287/moor.2015.0739.
  6. Caldana, R., Fusai, G., Gnoatto, A. and Grasselli, M. (2016). General closed-form basket option pricing bounds. Quantitative Finance, 16(4), pp. 535–554. doi:10.1080/14697688.2015.1073854.
  7. Ballotta, L. and Fusai, G. (2015). Counterparty credit risk in a multivariate structural model with jumps. Finance, Revue de l'Association Française de Finance, 36(1), pp. 39–74.
  8. Caldana, R., Cheang, G.H.L., Chiarella, C. and Fusai, G. (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), pp. 99–103. doi:10.1080/1350486X.2014.937564.
  9. Sesana, D., Marazzina, D. and Fusai, G. (2014). Pricing exotic derivatives exploiting structure. European Journal of Operational Research, 236(1), pp. 369–381. doi:10.1016/j.ejor.2013.12.009.
  10. Caldana, R. and Fusai, G. (2013). A general closed-form spread option pricing formula. Journal of Banking and Finance, 37(12), pp. 4893–4906. doi:10.1016/j.jbankfin.2013.08.016.
  11. Fusai, G. and Potgieter, L. (2013). Cutting EdgE Sovereign Credit Risk in a Hidden Markov Regime- Switching Framework. Part 2. Journal of Financial Transformation, 38 .
  12. Fusai, G. (2013). Asian options with jumps. Argo Newsletter: New Frontiers in Practical Risk Management,, 1(1), pp. 47–56.
  13. Potgeiter, L. and Fusai, G. (2013). Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: methodology. Journal of Financial Transformation, 37, pp. 99–109.
  14. Fusai, G., Marazzina, D., Marena, M. and Ng, M. (2012). Z -Transform and preconditioning techniques for option pricing. Quantitative Finance, 12(9), pp. 1381–1394. doi:10.1080/14697688.2010.538074.
  15. Fusai, G., Marazzina, D. and Marena, M. (2011). Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM Journal on Financial Mathematics, 2(1), pp. 383–403. doi:10.1137/09076115X.
  16. Goia, A., May, C. and Fusai, G. (2010). Functional clustering and linear regression for peak load forecasting. International Journal of Forecasting, 26(4), pp. 700–711. doi:10.1016/j.ijforecast.2009.05.015.
  17. Fusai, G., Marazzina, D. and Marena, M. (2010). Option pricing, maturity randomization and distributed computing. Parallel Computing, 36(7), pp. 403–414. doi:10.1016/j.parco.2010.03.002.
  18. Green, R., Fusai, G. and Abrahams, I.D. (2010). The wiener-hopf technique and discretely monitored path-dependent option pricing. Mathematical Finance, 20(2), pp. 259–288. doi:10.1111/j.1467-9965.2010.00397.x.
  19. Fusai, G., Marena, M. and Roncoroni, A. (2008). Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. Journal of Banking and Finance, 32(10), pp. 2033–2045. doi:10.1016/j.jbankfin.2007.12.024.
  20. Fusai, G. and Meucci, A. (2008). Pricing discretely monitored Asian options under Lévy processes. Journal of Banking and Finance, 32(10), pp. 2076–2088. doi:10.1016/j.jbankfin.2007.12.027.
  21. Fusai, G., Roncoroni, A. and Marena, M. (2008). A Note on the Analytical Pricing of Commodity Asian-Style Options under Discrete Monitoring. Journal of Banking and Finance, 32, pp. 2033–2045.
  22. Green, R., Abrahams, I.D. and Fusai, G. (2007). Pricing financial claims contingent upon an underlying asset monitored at discrete times. Journal of Engineering Mathematics, 59(4), pp. 373–384. doi:10.1007/s10665-007-9176-0.
  23. Atkinson, C. and Fusai, G. (2007). Discrete extrema of Brownian motion and pricing of exotic options. The Journal of Computational Finance, 10(3), pp. 1–43. doi:10.21314/JCF.2007.174.
  24. Fusai, G. and Recchioni, M.C. (2007). Analysis of quadrature methods for pricing discrete barrier options. Journal of Economic Dynamics and Control, 31(3), pp. 826–860. doi:10.1016/j.jedc.2006.03.002.
  25. Fusai, G. (2006). Grid Based Full Portfolio Revaluation for VaR Computation. Proceedings of Science 1st International Workshop on Grid Technology for Financial Modeling and Simulations .
  26. Fusai, G., Abrahams, I.D. and Sgarra, C. (2006). An exact analytical solution for discrete barrier options. Finance and Stochastics, 10(1), pp. 1–26. doi:10.1007/s00780-005-0170-y.
  27. Fusai, G. (2004). Pricing Asian options via Fourier and Laplace Transforms. Journal of Computational Finance, 7(3) .
  28. Fusai, G. and Meucci, A. (2003). Assessing Views. Risk Magazine, 13(3) .
  29. D’Amico, M., Fusai, G. and Tagliani, A. (2002). Valuation of exotic options using moments. Operational Research, 2(2), pp. 157–186. doi:10.1007/BF02936326.
  30. Fusai, G., Tagliani, A. and Sanfelici, S. (2002). Practical Problems in the Numerical Solution of PDE's in Finance. Rendiconti per gli Studi Economici Quantitativi, 2001, pp. 105–132.
  31. Fusai, G. and Tagliani, A. (2002). An Accurate Valuation of Asian Option using Moments. International Journal of Theoretical and Applied Finance, 5(2), pp. 147–69.
  32. Fusai, G. and Luciano, E. (2001). Dynamic value at risk under optimal and suboptimal portfolio policies. European Journal of Operational Research, 135(2), pp. 249–269. doi:10.1016/S0377-2217(01)00039-X.
  33. Fusai, G. and Tagliani, A. (2001). Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring. Journal of Computational Finance, 5(1), pp. 1–37.
  34. Fusai, G. (2000). Corridor options and arc-sine law. Annals of Applied Probability, 10(2), pp. 634–663.

Report

  1. Fusai, G., Amerio, E. and Vulcano, A. (2003). Pricing of Implied Volatility Derivatives. University of Warwick.

Theses/Dissertations (3)

  1. Fusai, G. GARCH Models and Volatility Forecast in the Option Market. (Master's Thesis)
  2. Fusai, G. Applications of Laplace Transform for Evaluating Occupation Time Options and Other Derivatives. (PhD Thesis)
  3. Fusai, G. Inflation Targeting and Term Structure of Interest Rates. (PhD Thesis)

Working Papers (2)

  1. Ballotta, L., Fusai, G. and Marazzina, D. (2015). Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps..
  2. Loregian, A., Ballotta, L. and Fusai, G. (2015). Multivariate LLvy Models by Linear Combination: Estimation..

Other (8)

  1. Fusai, G., Atkinson, C. and Marena, M. (2011). Pricing Hybrid Products via Fourier Transforms.
  2. Fusai, G., Sesana, D. and Marazzina, D. (2011). Pricing Exotic Derivatives under CEV process Exploiting Structure.
  3. Fusai, G. and Zanotti, G. (2011). New Efficient Frontier: can structured products really improve the risk return profile?
  4. Fusai, G., Billi, M. and Bedendo, M. (2011). Implicit costs in the Italian retail market of structured bonds.
  5. Fusai, G., Germano, G. and Marazzina, D. (2011). Fast option methods via Wiener-Hopf technique.
  6. Fusai, G. (2011). Estimation Risk and Value at Risk Computation.
  7. Fusai, G. and Santoli, M. (2011). Bounds for pricing Asian options under non-Gaussian dynamics.
  8. Fusai, G., Longo, G. and Marina, M. (2006). Value at Risk: A Comparison between Delta-Gramma Approximation and MC Simulation using a Grid Architecture.

Consultancy

  1. BNP Paribas Calyon Italia (Private Sector) (Jan 2010 – Dec 2012)
    Construction of a complete engine for calibration, simulation and pricing of complex hybrid financial products.

Editorial Activities (7)

  1. Finance Research Letters, Referee, 2015 – present.
  2. European Journal of Operations Research, Referee, 2014 – present.
  3. Journal of Banking and Finance, Referee, 2013 – present.
  4. Journal of Futures Markets, Referee, 2012 – present.
  5. Quantitative Finance, Referee, 2011 – present.
  6. Operations Research, Referee, 2011 – present.
  7. Mathematical Finance, Referee, 2008 – present.

Events/Conferences (19)

  1. Bachelier World Conference, July 2016, New York. New York (2016).
    Paper: General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
    Author: G. Fusai
    Co-authors: I. Kyriaokou
  2. Energy and Commodity World Conference. (Conference) Paris (2016).
    Paper: A Structural Model for CVA computation with wrong way risk
    Author: L. Ballotta
    Co-authors: Fusai, G.; Marazzina, D.
  3. (Seminar) Banca IMI, Milan (2015). Invited speaker.
    Paper: A Structural Model for CVA computation with wrong way risk
    Author: Fusai G. (invited)
    Co-authors: L. Ballotta and D. Marazzina
  4. (Seminar) Nomura Centre for Mathematical Finance, Department of Mathematics, Oxford University (2015). Invited speaker.
    Paper: A Structural Model for CVA computation with wrong way risk
    Author: Fusai G.
    Co-authors: L. Ballotta and D. Marazzina
  5. Quant 12 Workshop, 26-27th November 2015. (Conference) EMLYON Business School, Lyon, France (2015). Invited speaker.
    Paper: A Structural Model for CVA computation with wrong way risk
    Author: Fusai G.
    Co-authors: L. Ballotta and D. Marazzina
  6. 2014 Conference - 2014 Conference - Bachelier Finance Society, 8th World Congress. (Conference) Brussels, Belgium (2014).
    Paper: Pricing Basket Options in non-Gaussian models
    Author: Caldana R.
    Co-authors: Gnoatto, A. , Fusai G., Grasselli, M.
  7. 2014 Conference - 8th Conference in Actuarial Science & Finance. (Conference) Samos, Greece (2014).
    Paper: General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
    Author: Kyriakou I.
    Co-authors: Fusai G.
  8. 2014 Conference - Bachelier Finance Society, 8th World Congress. (Conference) Brussels, Belgium (2014).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L.
    Co-authors: Fusai G.
  9. 2014 Conference - Financial Engineering and Banking Society (FEBS) Conference. (Conference) University of Surrey, UK (2014).
    Paper: Multivariate L evy models by linear combination: estimation
    Author: Loregian A.
    Co-authors: Fusai G., Ballotta L.
  10. Summer School on Risk Management. (Conference) Rome (2014). Invited speaker.
    Paper: Counterparty Credit Risk with Jumps
    Author: Fusai G.
    Co-authors: Laura Ballotta
  11. Financial Engineering Workshops. (Conference) Cass Business School (2013). Organising Committee.
  12. 2013 Conference - 30th International Conference of the French Finance Association (AFFI). (Conference) Lyon, France (2013).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L.
    Co-authors: Fusai G.
  13. 2013 Conference - 3rd International Conference of the Financial Engineering and Banking Society (FEBS). (Conference) Paris, France (2013).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L.
    Co-authors: Fusai G.
  14. Workshop in honor of Erio Castagnoli's 70th birthday. (Workshop) Universita L. Bocconi, Milano (2013). Invited speaker.
    Paper: Estimation risk and option pricing: Why to use the Black-Scholes formula
    Author: Fusai G.
    Co-authors: Marco Materazzi
  15. (Seminar) Prometeia, Bologna (2013). Invited speaker.
    Paper: A Structural model for CVA computation with wrong way
    Author: Fusai G
    Co-authors: Laura Ballotta
  16. XIV Workshop on Quantitative Finance. (Conference) Rimini (2013). Organising Committee.
  17. Counterparty credit risk and credit valuation adjustment: Quantitative and regulatory framework. (Conference) Cass Business School (2013). Chair and Organising Committee.
  18. 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012). (Conference) Oviedo, Spain (2012).
    Paper: Pricing credit derivatives in a Wiener-Hopf framework
    Author: Fusai G
    Co-authors: D. Marazzina and G. Germano
  19. (Conference) Marburg University, Germany (2011). Invited speaker.
    Paper: New Efficient Frontier: can structured products really improve the risk return profile?.
    Author: Fusai G.
    Co-authors: G. Zanotti

Media Appearance

  1. Cass Business School's Fusai on commodity risk return-trade offs. (2012) www.automatetrader.net (website).