Curriculum Luca Di Persio · Curriculum Luca Di Persio PERSONAL DATA Name Di Persio Luca Address...

Curriculum vitae Luca Di Persio

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Curriculum Luca Di Persio

PERSONAL DATA

Name Di Persio Luca

Address Via Marconi, 28 - 38052 Caldonazzo – Trento, Italy

Tel. +39 45 8027968 mobile: +39 3397922014

Fax +39 45 8027068

E-mail [email protected] – [email protected]

Personal webpage http://www.di.univr.it/?ent=persona&id=8773&lang=en

Citizenship Italian

Date of birth 30/08/1972

WORK EXPERIENCE

Assistant Professor

National Scientific Italian Abilitation (ASN) as Associate Professor obtained: August 2017

• Date (from - to) 2012 - on going [ RTDb from 1st of October 2017 ]

• Employer name and address University of Verona – Department of Computer Science

Strada le Grazie 15 I-37134 Verona Italy

• Duty type

ASSISTANT PROFESSOR OF PROBABILITY, STOCHASTIC PROCESSES AND

MATHEMATICAL FINANCE: responsible of the Mathematical Finance path within the Master degree in Mathematics. Courses taught: Probability, Stochastic Processes, Time Series Analysis, SDEs, Interacting Particle Systems (IPS) and applications to social/economic frameworks, Mathematical Finance.

Member of the PhD School in Mathematics, jointly carried on by the Mathematics Department of the University of Trento and by the College of Mathematics within the Department of Computer Science of the University of Verona

Coordinator for the College of Mathematics, within the Department of Computer Science of the University of Verona, for the Erasmus exchange programmes with the Universities of: Bielefeld, München, Oslo, Wuppertal.

Supervisor for the following PostDoc projects: “Equazioni differenziali stocastiche con salti in finanza matematica: applicazioni al prezzaggio, copertura, e problemi collegati alle misure di rischio” (1/7/2015-20/6/2015, Mat/06 – grant obtained by Immacolata Oliva); “Equazioni differenziali stocastiche con ritardo con salti: applicazioni al prezzaggio e al rischio di credito” ( 1/3/2016 – 28/2/2017, Mat/06- grant obtained by Viktor Bezborodov) ; “Sviluppo di controllori per sistemi stocastici switching e loro implementazione” (1/3/2017-ongoing – grant obtained by Viktor Bezborodov)

Research activities:

My research activity is mainly focused on the following topics:

• Stochastic (Partial) Differential Equations [ S(P)DEs for short]

• Infinite dimensional analysis for S(P)DEs

• Stochastic optimisation

• Forward-backward S(P)DEs

• Malliavin calculus and its applications in Finance

• Ambit stochastics and related financial applications

• IPS, mean field games and applications in Finance

mailto:[email protected]


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• Regime switching analysis in Finance

• Time series analysis

• Numerical methods in finance

• Neural Networks, Genetic algorithms and applications All the aforementioned lines of research have been and will be frequently applied to concrete problems arising from the theory of modern mathematical finance, e.g. concerning the study of interacting banks systems (mean field theory), pricing and hedging problems in presence of Lévy noise (S(P)DEs theory and Malliavin calculus analysis), forecasting energy markets (ambit processes and regime switching analysis), market contagion and market crashes (interacting systems from the IPS point of view), financial time series (PCA, multivariate statistical analysis, etc.), computations of relevant financial indexes by efficient numerical schemes (quantisation approach, Gibbs sampling, Polynomial Chaos Expansion methods, etc.), portfolio optimisation (stochastic optimisation, Eckaland variational principle), high frequency trading ( by mean of Neural Networks, Genetic Algorithms, etc.) .

• Date (from - to) April 2017 - ongoing

• Work type Cofounder and Head of Research and Development unit of High Performance Analytics (HPA), website: www.HPA8.com

• Date (from - to) From February 2008 To December 2010

• Project Goal Three years grant financed by Provincia Autonoma di Trento

NEST Project (Stochastic Neurobiology) realized in collaboration with the Math.Dep.University of Trento–Scientific Coordinator: Prof. Sergio Albeverio (IAM-HCM Bonn). Goal: analyze stochastic perturbed deterministic model for neuronal activities, e.g., Hodgkin-Huxley and FitzHugh-Nagumo models to better understand the behaviour of concrete neuronal networks.

• Date (from - to) 03/2007 – 01/2008

• Employer name and address

• Project goal

Grant funded by the Stochastic Processes Group, University of Trento, Department of Mathematics – V. Sommarive,14,38123 (TN)

Project title: Feynman Path integrals using Probabilistic Methods. under the supervision of Prof. Luciano Tubaro: use of probabilistic techniques to enlarge the set of problems treated by rigorous infinite dimensional integrals

• Date (from - to)


11/2006 – 12/2006

Grant funded by SFB611-Projekt - Bonn University. Probability and Stochastic Analysis Department, Endenicher Allee 60, D-53115 Bonn

• Project Goal Project title: Singular Phenomena and Scaling in Mathematical Models: investigate rigorous mathematical approach to singular phenomena in Physics and Biology



03/2006 – 08/2006

European grant funded by the University of Bonn, Probability and Stochastic Analysis Department, Endenicher Allee 60, D-53115 Bonn

• Project Goal Project title: Quantum probability and applications to Physics, Information Theory and Biology: infinite dimensional probability approach to technological aspects at the edge between Biology and Information Theory



03/2002 – 08/2002

Post Master Degree grant, funded by the University of Rome III, Math. Dept.,L.go S.Leonardo Murialdo, 00146, Roma

• Project Goal Research project on Random Walk in Random Media also implementing numerical simulation under the supervision of Prof. Alessandro Pellegrinotti and in collaboration with Prof. Carlo Boldrighini (University of “La Sapienza”, Rome) and Prof. Y.G. Sinai (Princeton University)

http://www.hpa8.com/


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• Academic Years From 2005/2006 to 2008/2009

• Employer name and address University of Trento - Sciences Faculty, Math. Dept., V. Sommarive 14, 38123 (TN)

• Duty type National grant for the design and implementation of laboratories for the secondary schools within the project Stochastic Phenomena and Applications in Physics funded by the Italian National Program Scientific Degrees. Extensive use of statistical and mathematical packages

TEACHING

University of Verona

• Academic Year From 2011/2012 To 2016/2017

• Employer name and address Dept. of Computer Science, Strada le Grazie 15, 37134 Verona

• Duty type

Recent Teaching activities

➢ 2017-2018 Academic Year

• Stochastic Processes 52 hours

• Mathematical Finance 20 hours

• Stochastic Differential Equations 48 hours


• Stochastic Processes: 40 hours

• Mathematical Finance: 20 hours

• Interacting Particle Systems: 8 hours team teaching with Prof. Yuri Kondratiev (Bielefeld University)

• Advanced Quantitative Methods for Mathematical Finance: 24 hours

• Multivariate Statistics: 12 hours team teaching with prof. Lucian Maticiuc (Iona Cuza University)

• Stochastic Differential Equation: 12 hours team teaching with prof. Viorel Barbu (IASI, Romania)

• Stochastic control and portfolio optimization: 4 hours team teaching with prof. Luciano Campi (LSE - London)

• Stochastic analysis and applications to economics, social and biological sciences: 12 hours team teaching with prof. Sergio Albeverio (IAM-Bonn, IZKS, CERFIM)




• Interacting Particle Systems with applications in Finance: 8 hours team teaching with Prof. Yuri Kondratiev (Bielefeld University)

• Lévy processes with applications in financial modeling: 4 hours team teaching with Prof. Giulia Di Nunno (Oslo University)

• A primer on stochastic control and portfolio optimization: 4 hours team teaching with Prof. Luciano Campi (LSE - London)

• Advanced Quantitative Methods for Mathematical Finance: 24 hours

• Stochastic Differential Equation: 16 hours team teaching with prof. Yuliya Mishura (Kyiv University)

• Multivariate Statistics: 12 hours team teaching with prof. Lucian Maticiuc (Iona Cuza University)


• Probability: 40 hours


• Interacting Particle Systems with Applications in Finance: 8 hours team


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teaching with Prof. Jan Swart (UTIA-ASCR

• Interest rate options: 8 hours team teaching with Prof. Carl Chiarella (Sidney University)

• Stochastic Differential Equations: 16 hours team teaching with Prof. Viorel Barbu (Iasi University)

• Multivariate Statistics: 12 hours team teaching with Prof. Lucian Maticiuc (Iona Cuza University)


• Probability: 40 hours


• Introduction to Lévy processes with applications in financial modelling: 8 hours team teaching with Prof. Giulia Di Nunno (Oslo University)

• Girsanov and Feyman-Kac theorems with applications to SDEs: 12 hours team teaching with Prof. Sergio Albeverio (IAM-Bonn, IZKS, CERFIM)


• Probability: 48 hours (theory) + 12 hours (exercises)


• Mathematical Finance: 20 hours Past didactical activities (before obtaining the Assistant Professor position at Verona University)

➢ Lecturer for Probability, Bachelor degree in Applied Mathematics - a. y. 2011/2012

➢ Lecturer for Probability and Statistics, Bachelor degree in Informatics - a. y. 2011/2012

➢ Seminars cycle at CIFREM (International PhD School in Economics – University of Trento), 2/10/2007 – 5/10/2007

➢ Seminars cycle at CIFREM (International PhD School in Economics – University of Trento), 5/11/2007 – 26/11/2007

University of Trento


• Employer name and address University of Trento

Sciences Faculty, Math. Dept., V. Sommarive 14, 38123 (TN)

Engineering Faculty, V. Mesiano 77, 38100 (TN)

Cognitive Sciences Faculty, C.so Bettini 84, 38068 (TN)

Economics Faculty, V. Inama, 5, 38122 Trento

• Duty type

➢ Lecturer: Mathematical Finance, Master degree in Mathematics - from 2010/11 to 2012/13

➢ Teaching Assistant: Probability and Statistics, Bachelor degree in Informatics - from 2003/2004 to 2012/13

➢ Teaching Assistant: Mathematical Models and Statistics, Bachelor degree in Engineering - a. y. 2011/12

➢ Lecturer_ Probability, Bachelor degree in Cognitive Sciences - from 2009/2010 to 2011/12

➢ Teaching Assistant: Probability and Statistics, Bachelor degree in Informatics - from 2003/2004 to 2012/13

➢ Lecturer for Probability, Bachelor degree in Cognitive Sciences - from 2009/2010 to 2011/2012

➢ Lecturer: Stochastic Processes, Master degree in Mathematics- 2008/09

➢ Lecturer: Introduction to Probability and Stochastic Processes, International PhD School in Economics - 2007/08

➢ Teaching Assistant: Calculus II, Bachelor degree in Engineering -. 2007/2008


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University of Bozen


• Employer name and address University of Bozen, Economics Faculty, Piazza Università 1, 39100 (BZ)

• Duty type

➢ Teaching Assistant: Statistics B, Bachelor degree in Economics - 2010/2011

➢ Lecturer:Mathematics of FinanceA, Master degree in Economics - 2010/2011

➢ Teaching Assistant: Mathematics of FinanceB, Master degree in Economics - 2009/11

University of Rome III

• Academic Year From 2000/2001 to 2001/2002

• Employer name and address University of Rome III

Department of Mathematics - Largo S.Leonardo Murialdo, 00146, Roma

• Duty type

➢ Teaching Assistant for Mathematical Physics Foundations, Master degree in Mathematics - a. y. 2001/2002

➢ Teaching Assistant for Hamiltonian formalism, Master degree in Mathematics - a. y. 2001/2002

➢ Teaching Assistant for Qualitative theory of Motion, Master degree in Mathematics - a. y. 2001/2002

➢ Teaching Assistant for Probability, Bachelor degree in Mathematics - from 2000/2001 to 2001/02

➢ Teaching Assistant for Ordinary Differential Equations, Master degree in Mathematics - 2000/01

PhD, MASTER AND BACHELOR STUDENTS FOLLOWED

University of Verona and University of Trento


• Employer name and address University of Verona – Department of Computer Science

Strada le Grazie 15 I-37134 Verona Italy

University of Trento

Sciences Faculty, Math. Dept., V. Sommarive 14, 38123 (TN)

• Duty type

Scientific responsible for 5 students of the PhD program in Mathematics, jointly developed by the Mathematics Department of the University of Trento and the Computer Science Department of the University of Verona.

Supervisor of

25 Bachelor students

30 Master students

5 Ph.D. students

MEMBERSHIPS

• Date Since 2003

• Scientific association GNAMPA - Gruppo Nazionale per l'Analisi Matematica, la Probabilità e le loro Applicazioni (National Group for Analysis, Probability and their Applications)

• Date Since 2013

• Scientific association A.M.A.S.E.S. - Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (Italian Association for Applied Mathematics, Economical and Social Sciences)

• Date Since 2013

• Scientific association Bernoulli Society


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COORDINATOR OF FINANCED PROJECTS

• Period 29/3-31/12 2016

• Funded by Befree

• Duty type Scientific supervisor for “Stochastic approach for forecasting and hedging in energy markets"

• Period 18/11/2016 – 31/7/2017

• Funded by Sinergetica

• Duty type Scientific supervisor for “Energy markets management by stochastics methods"

• Period 12/1/2017 - 30/9/2017

• Funded by Fairmat

• Duty type Scientific supervisor for “Advanced numerical methods for financial forecasting"

• Period 1 year

• Funded by GNAMPA

• Duty type Scientific supervisor for “Stochastic Partial Differential Equations and Stochastic Optimal Transport with Applications to Mathematical Finance" (2016)

• Period 15 days


• Duty type Joint project on "Stochastic optimal transport and applications" with prof. Rémi Lassale (Paris Jussieu) (2016)

MEMBER OF FINANCED PROJECTS

• Period 13 March – 9 April 2018

• Funded by CIRM-FBK-UNITN-INdAM

• Duty type Member of the project Research in Pairs:” Path dependent partial differential equations with nonlinear boundary conditions”, with Lucian Maticiuc (“Gheorghe Asachi” Technical University) and Adrian Zalinescu (“O. Mayer” Institute of Mathematics Romanian Academy, Iaşi)

• Period 1 year


• Duty type Metodi di controllo ottimo stocastico per l’analisi di problem debt management, coordinator Dr. A. Marigonda (2017)

• Period 1 year


• Duty type Research member of the project “Set valued theory and applications to optimal transport and finance”, coordinator Dr. A. Marigonda (2015)

• Period 1-8 November 2015

• Funded by CIRM-FBK-UNITN

• Duty type Member of the project Research in Pairs McKean-Vlasov dynamics with Lévy noise with applications to systemic risk, joint with Prof. Luciano Campi- LSE, London, financed by CIRM-FBK-UNITN (2015)


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• Period Starting in 2013 - total duration:18 months

• Funded by King Fahd University of Petroleum & Minerals

• Duty type Research member within the "Invariant measures for stochastic differential equations driven by Lévy noise", project, principal investigator Prof. S. Albeverio, financed by King Fahd University of Petroleum & Minerals (2013-2014)

• Period 9-15 March 2014; 12-14 November 2014

• Funded by CIRM-FBK-UNITN

• Duty type Research member and proposer of the Research in Pairs Explicit invariant measures for stochastic differential equations driven by Lévy noise and applications project, joint with Prof. Sergio Albeverio- IAM-HCM Bonn, financed by CIRM-FBK-UNITN (2013-2014)

• Further (old) projects ➢ Member of “Stochastic Processes group”, 2003/06 Math. Dep. Univ. of Trento

➢ Former member of the EU-Projekt Quantum probability with applications to Physics, Information Theory and Biology

➢ Former member of the SFB611-Projekt Singular Phenomena and Scaling in mathematical Models

➢ Former member of the Cluster of Excellence: Mathematics: Foundations, Models, Applications, Mathematics Department, University of Bonn

➢ PRIN - Progetti di Rilevante Interesse Nazionale (Projects of Relevant National Interest) - funded by MIUR (Ministero dell'Istruzione, dell'Università e della Ricerca - Ministry of Education, University and Research) - various projects within the Probability newtork supervised (during years) by professors: B. Da Prato (Univ. of Pisa), L. Tubaro (Univ. of Trento), M. Fuhrman (Univ. of Milan), L. Lunardi (Univ. of Parma)

REFEREE /MEMBER EDITORIAL BOARD

• Name of Journal “Scienze e Ricerche” journal

• Duty type Member of the editorial board

• Name of Journal “Smart green applications: from renewable energies management to intelligent transportation systems” - Special Issue Energies Journal (ISSN: 1996-1073)

• Duty type Special Issue Editor

• Name of Journal ➢ AMS

➢ Automatica

➢ Expert Systems With Applications

➢ Journal of Mathematics Research

➢ Rivista di Matematica della Università di Parma

➢ International Journal of Applied Mathematics

➢ Int. Journal of Mathematical Models and Methods in Applied Sciences

➢ Transactions on Mathematics

➢ Journal of Inequalities and Applications

• Duty type Referee


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GIVEN TALKS (AS SPEAKER)

• Conference and date ➢ Mean field games with controlled jumps and applications in Finance, Symmetries and Invariance in Stochastic Dynamics, 17-19 September 2017

➢ Stochastic models for wind energy markets, Frontiers of Interdisciplinary Mathematics, 9-11 May 2017

➢ Polynomial Chaos Expansion approach to Financial Modelling, 22 August 2016, CCMA Luncheon Seminar - Department of Mathematics, Penn State University

➢ Mean-Field Games with Controlled Jumps, 22 August 2016, Computational and Applied Mathematics Colloquium, - Department of Mathematics, Penn State University

➢ Bank contagion: the spread of defaults, NOLASC'15, Non-Linear Analysis, Non-Linear Systems and Chaos, Conference, 7-9 November 2015, Rome

➢ Polynomial chaos expansion approach to financial modelling, 7th General AmaMeF and Swissquote Conference (7-10, September 2015 - Lausanne)

➢ Maximum likelihood approach to Markov Switching models, AICT 2015 (June 27-29, 2015 -Salerno)

➢ Geometric mechanics, Variational and Stochastic methods (3-6, June 2015 - Lausanne)

➢ Växjö-Trento (Sweden-Italy) Afternoon on Control, Stochastic Processes and Financial Mathematics, 10 March 2015, Trento

➢ Interacting particle systems in thermodynamic models (26-30, January, 2015, L'Aquila)

➢ Stochastic Partial Differential Equations and Applications-IX (6-11, Jan.,2014-Levico)

➢ Italien-German training for stochastic modelling of financial crisis (9-16, December 2013, Wuppertal)

➢ The Challenging CCR evaluation problem: the BLT approach for some Exotic options, with M. Bonollo and I. Oliva, 39th AMASES meeting, 10-12 September 2015

➢ Polynomial Chaos Expansions approach to Interest rate models, with M. Bonollo and G. Pellegrini, 39th AMASES meeting, 10-12 September 2015

➢ Stochastic functional delay differential equations with jumps and applications to option pricing, with F. Cordoni, Dublin, 15, May 2015

➢ Stochastic delay differential equations with Lévy noise and applications to Mathematical Finance, with F. Cordoni, during the Sweden-Italy workshop Afternoon on Control, Stocahstic Processes and Financial Mathematics, 10th of March 2015, Trento

➢ A Quantization Approach to the Counterparty Credit Exposure Estimation, with I. Oliva, M. Bonollo and A. Semmoloni, XVI workshop on Quantitative Finance, 29-30, January, 2015, Parma

➢ Stochastic delay differential equations with jumps and applications in mathematical finance, with F. Cordoni, XVI workshop on Quantitative Finance, 29-30, January 2015, Parma

➢ Execution strategy in liquidity framework: optimality conditions, with C. Benazzoli, Dependence in Risk Measurement and Risk Management, 18-19, December, 2014, Firenze

➢ Small noise asymptotic expansion for the infinite dimensional Van der Pol oscillator, 8th International Conference on Applied Mathematics, Simulation, Modelling, 22 November 2014

➢ Multiscale asymptotics for stochastic volatility models, Stochastic Partial Differential Equations and Applications – IX, 6-11 January 2014

➢ SDDEs and applications to pricing and hedging, with I. Oliva and F. Cordoni, Dependence in Risk Measurement and Risk Management, 18-19, December 2014, Firenze


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➢ Optimal execution strategy in liquidity framework under exponential market impact, with C. Benazzoli during the Euro Working Group for Commodities and Financial Modelling conference, 4-6, December 2014, Milano

➢ Stochastic delay differential equations with jumps and applications to pricing and hedging, with I. Oliva, Recent advances in Mathematical Finance, 21-22, September 2014, Padova

➢ Laplace and Crystals, Kolmogorov equations conference, Pisa 8-11 January 2009

➢ Small noise asymptotic expansions for SPDE's with dissipative polynomially bounded non-linearity, “First Pat-CRS NeST Project Neurostochastics”, Math Dept. University ofTrento, 23-25 November 2009


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ORGANISED WORKSHOPS

• Period 2nd Semester 2017/2018 academic year

• Conference title Verona-Paris Stochastic Modelling Semester, VPSMS’18

• Venue University of Verona – Department of Computer Science

• WebSite http://vpsms2018.org/

• Period December 18-21, 2017

• Conference title Opening Conference VPSMS2018


• web site http://vpsms2018.org/event/opening-conference/

• Period October 23-24, 2017

• Conference title Launch-Meeting VPSMS2018


• web site http://vpsms2018.org/event/launch-meeting/

• Period April 21-25, 2017

• Conference ICCMSE 2017 -Computational Methods in Science and Engineering

• Venue Thessaloniki, Greece

• web site http://www.iccmse.org/sites/default/files/Leaflet_ICCMSE_2017.pdf

• Period September 4-11, 2016

• Workshop title Modelling Week


• web site http://profs.scienze.univr.it/caliari/phdmw/

• Period 5 - 6 October 2015

• Workshop title Stochastics and Symmetry: theory and applications from Mechanics to Finance.

• Venue Università Statale di Milano

• web site http://users.mat.unimi.it/users/ugolini/workshop2015/

• Period 23 October 2015

• Workshop title Stochastic symmetries: a breakthrough to Financial innovations


• web site http://www.di.univr.it/?ent=iniziativa&id=6202&lang=it

• Period 10 April 2015

• Workshop title Industrial Mathematics Workshop (IM1) (sponsored by Department of Computer Science, University of Verona and IASON Ltd.)


• web site http://www.di.univr.it/dol/main?ent=iniziativa&convegno=1&id=5905

• Period 24 January 2012

• Workshop title MatFinTn2012

• Venue University of Trento – Department of Mathematics


• Workshop title Second workshop on Stochastic Neurobiology


http://vpsms2018.org/event/opening-conference/

http://profs.scienze.univr.it/caliari/phdmw/

http://users.mat.unimi.it/users/ugolini/workshop2015/

http://www.di.univr.it/?ent=iniziativa&id=6202&lang=it

http://www.di.univr.it/dol/main?ent=iniziativa&convegno=1&id=5905


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• Period 25-31 January 2010

• Workshop title First joint CIRM-HCM Workshop

• Venue Levico Terme (University of Trento)


• Workshop title First workshop on Stochastic Neurobiology


ORGANISED MINICOURSES

• Period 2013-2017

• Teachers and courses ➢ Yuri Kondratiev, IPS and applications, May 2017

➢ Lucian Maticiuc: Multivariate Statistics and Applications in Finance, March-April 2017

➢ Luciano Campi, Mean field game and applications in Finance, March 2017

➢ Adrian Zalinescu, BSDEs with applications in Finance, March 2017

➢ Luca Di Persio (University of Verona) – Michele Bonollo (IMT Lucca), Quantitative tools for finance (Practitioners from various companies, 30 h, Spring 2016)

➢ Giulia Di Nunno (University of Oslo), Lévy processes with applications in financial modelling (2016)

➢ Luciano Campi (LSE London), A primer on stochastic control and portfolio optimization (2016)

➢ Adrian Zalinescu (University Alexandru Ioan Cuza - Iaşi), Backward Stochastic Differential Equations and Applications to Mathematical Finance (2016)

➢ Viktor Bezborodov (University of Verona), Introduction to Interacting Particle Systems and applications (2016)

➢ Yuri Kondriatiev (University of Bielefeld), Statistical dynamics of interacting particle systems (2016)

➢ Paolo Guasoni (Dublin City University), Lectures on Portfolio Choice and Asset Pricing (2015)


ORGANISED SEMINARS

• Period 2013-2016

• Speakers and seminar titles ➢ Giovanni Barone Adesi (Università della Svizzera Italiana), WTI Crude oil option implied VaR and CVaR: an empirical application (September, 2016)

➢ Alberto Bressan (The Pennsylvania State University), Noncooperative Differential Games (March, 2016)

➢ Michele Bonollo (IMT Lucca - IASON) e Luca Di Persio, Il rischio e la sua remunerazione nel portafoglio Crediti. Dal Funding al Credit VaR al Pricing dei loans (December 2015)

➢ Sergio Albeverio (University of Bonn), Symmetries and stochastic differential

http://www.di.univr.it/?ent=seminario&af=2017&ai=2014&gf=25&gi=25&id=3515&idC=70&list=PubblicazioniTitoloRisultati&mf=9&mi=9&ordine=2&rel=&lang=it

http://www.di.univr.it/?ent=seminario&af=2017&ai=2014&gf=25&gi=25&id=3515&idC=70&list=PubblicazioniTitoloRisultati&mf=9&mi=9&ordine=2&rel=&lang=it


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equations (October, 2015)

➢ Sara Pisoni (ITAS), Insurance, reinsurance and Probability: how to gain a Msc in Mathematics and live happy (April, 2015)

➢ Matteo Tesser (Fairmat), Coherent and non-coherent risk measures: a numerical approach via Least Squares Monte Carlo techniques (January, 2015)

➢ Fabio Castellaneta and Barbara Visintin (Generali group), Managing Investments for an Insurance Company (January, 2015)

➢ Michele Bonollo (IMT-Lucca), Market Risk and the FRTB (R) - Evolution? Review and Open Issues (January, 2015)

➢ Anna Fattor (Pensplan), Risk Management: reporting and related quantitative models (January, 2015)

➢ Riccardo Milano (Banca Etica) La finanza etica: una modalità economica che può aiutare l’attuale orizzonte finanziario? (December, 2014)

➢ Lucian Maticiuc (G. Asachi University), Path dependent partial differential equation with applications in Mathematical Finance (November, 2014)

➢ Luciano Campi (LSE), Utility indifference valuation for non-smooth payoffs with an application to power derivatives (July, 2014)

➢ Lucian Maticiuc (G. Asachi University), Stochastic delay systems and optimal control problems (April, 2014)

➢ Sergio Albeverio (IAM-Bonn) From integrals and asymptotics to (deterministic, stochastic, quantum) dynamical systems (March, 2014)

➢ Matteo Tesser (Fairmat), Modellizzazione quantitativa di strumenti finanziari derivati (February, 2014)

➢ Michele Bonollo (Credito Trevigiano), The Counterparty Risk Challenge; Mathematical Modeling, Algorithmic Efficiency or IT Architecure ? (December, 2013)

➢ Enrico Edoli, Introduzione ai mercati energetici in Italia, Aleph Energy (November, 2013)

➢ Diego Giovannini and Luigi Cefis (Intesa Sanpaolo), Derivative pricing and risk management (November 2013)

➢ Florian Schwienbacher and Anna Fattor, Pensplan Bolzano, (November, 2013)

➢ Birgit Rudloff (Princeton University), Risk measures for multivariate risks, (June 2013)

➢ Enrico Edoli (Aleph Energy), Pricing di contratti strutturati nei mercati energetici (May, 2013)

➢ Elena Scandola (CCB-Trento) Backward Stochastic Differential Equations with Lévy Noise in Finance (April 2013)

➢ Paola Rensi (PWC-Milano) Beyond Black and Scholes: local volatility, stochastic volatility and asymptotics (April, 2013)

➢ Alessandro Di Lorenzo (PWC-Milano), Come Solvency II cambierà la quantificazione dei requisiti di solvibilità per le compagnie assicurative (April, 2013)

➢ Giorgia Callegaro (Padova University), Portfolio optimization in a defaultable market under incomplete information (March 2013)


• Period 2016

• Speakers and seminar titles ➢ Viktor Bezborodov (Department of Computer Science, University of Verona), Asymptotic shape for continuous space birth processes

➢ Yuliya Mishura (Taras Shevchenko - National University of Kyiv, Ukraine), With Gaussian processes and between two self-similarities

➢ Luciano Campi (LSE London), On the support of extremal martingale measures



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EDUCATION

• Date From November 2002 To December 2006

• Name of the Institute Trento University – Sciences Faculty, Department of Mathematics

• Obtained degree PhD in Mathematics (advisor Prof. Luciano Tubaro)

• Date From November 2003 To December 2006

• Name of the Institute Bonn University – Mathematics Department

• Obtained degree Doctor Rerum Naturalium (advisor Prof. Sergio Albeverio)

• Obtained Rank Maximum score: Magna cum Laude

• Date From October 1996 To February 2002

Name of the Institute University of Rome III – Sciences Faculty, Department of Mathematics

• Obtained Degree Mathematics Degree

• Obtained Rank Maximum score: 110 /110 cum Laude – best possible average 30/30

• Date From September 1986 To June 1981

• Name of the Institute Technical Secondary School – “Giuseppe Armellini”, Roma

• Obtained Degree Informatics Analyst

• Obtained Rank Maximum score: 60/60

Note: due to a serious familiar mourning I have been engaged in a working activity, outside from the Academia, during the

period from 1991 to 1996


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PERSONAL SKILLS

Mother tongue Italian

Other spoken languages

English

➢ Read: excellent

➢ Write: excellent

➢ Speak: good

Organizing skills

Propensity to work in team concerning scientific as well as bureaucratic tasks. Proven skills in organizing meetings and workshops spanning from small to big dimension. Concrete capacities to prepare project and initiatives in order to obtain external funding and sponsorships, also exploiting proactive collaboration with the private sector, particularly with Banks, Insurances and Financial players in general. I have been the scientific supervisor of about 20 Bachelor degree students, 25 Master degree students, 4 PhD students and I am also responsible for three Post-Doc degree grants, one of which is in collaboration with a private society acting on the energy financial market.

Techincal skills

Good knowledge of the major software currently used under different operating systems. Proven ability to work numerically by using standard mathematical packages, e.g., Mathematica, Maple, R, etc.

Excellent knowledge of different programming languages, e.g., Pascal, C++, and not WYSIWYG text-composer, e.g., TeX, LaTeX, etc.

Theoretical skills

Expert in probability, stochastic processes, stochastic (partial) differential equations, asymptotic expansions of (probabilistic) integrals, system of interacting particles and statistics, random walk in random media, with application to, e.g., financial mathematics, biological systems, neuronal activities, networks of interacting agents, time series analysis, market forecasting, etc. Innovative publications in heterogeneous fields spanning from quantum Brownian motion to random walks in random media and asymptotic for integrals with application to physics, from quantum information to stochastic (systems of) partial differential equations (also on networks and with delay/memory effects), from Lie symmetries approach to financial modelling to numerical methods for option pricing and stochastic partial differential equations with applications in finance.

Driving License European driving license for car


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List of Publications 1. Di Persio L., Benazzoli C., Optimal Execution Strategy in Liquidity Framework Under Exponential

Temporary Market Impact. In: Consigli G., Stefani S., Zambruno G. (eds) Handbook of Recent Advances in Commodity and Financial Modeling. International Series in Operations Research & Management Science, vol 257. Springer, Cham, 2018

2. Di Persio Luca, Benazzoli Chiara, Optimal execution startegy in liquidity framework, Cogent Economics and Finance, (5) 1, 2017

3. Di Persio Luca, Albeverio Sergio, Mastrogiacomo Elisa, Smii Boubaker, Invariant measures for SDEs driven by Lévy noise: A case study for dissipative nonlinear drift in infinite dimension, COMMUNICATIONS IN MATHEMATICAL SCIENCES, vol. 15, p. 957-983, ISSN: 1539-6746, 2017

4. Di Persio Luca, Bonollo Michele, Mammi Luca, Immacolata, Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time. INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS AND COMPUTER SCIENCE, vol. 27, p. 435-447, ISSN: 1641-876X, 2017

5. Di Persio Luca, Cordoni Francesco, Gaussian Estimates on Networks with Dynamics Stochastic Boundary Conditions, Infinite Dimensional Analysis and Quantum Probability, Vol.20, Issue 1, 2017

6. Di Persio Luca, Cordoni Francesco, Oliva Immacolata, A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps, NODEA-NONLINEAR DIFFERENTIAL EQUATIONS AND APPLICATIONS, vol. 24, p. 1-36, ISSN: 1021-9722, 2017

7. Di Persio Luca, Bezborodov Viktor, Maximal irreducibility measure for spatial birth-and-death processes. STATISTICS & PROBABILITY LETTERS, vol. 125, p. 25-32, ISSN: 0167-7152, 2017

8. Di Persio L., Cecchin A., Cordoni Francesco Giuseppe, Novel approaches to the energy load unbalance forecasting in the Italian electricity market. JOURNAL OF MATHEMATICS IN INDUSTRY, vol. 7, p. 1-15, ISSN: 2190-5983, 2017

9. Di Persio Luca, Honchar Oleksandr, Recurrent Neural Networks Approach to the Financial Forecast of Google Assets, INTERNATIONAL JOURNAL OF MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 11, p. 7-13, ISSN: 1998-0159, 2017

10. Cordoni Francesco, Di Persio Luca, Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, vol. 451, p. 583-603, ISSN: 0022-247X, 2017

11. Di Persio Luca, Honchar Oleksandr , Artificial Neural Networks architectures for stock price prediction: comparisons and applications. INTERNATIONAL JOURNAL OF CIRCUITS, SYSTEMS AND SIGNAL PROCESSING, vol. 10, p. 403-413, ISSN: 1998-4464, 2016

12. Di Persio Luca, Bonollo Michele, Mammi Luca, Oliva Immacolata, Counterparty Credit Risk evaluation for Accumulator derivatives: the Brownian Local Time approach, International Journal of Economics and Management Systems, Vol.1, 2016

13. Di Persio Luca, Cordoni Francesco, A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization, International Journal of Stochastic Analysis, 2016

14. Di Persio Luca, Honchar Oleksandr, Artificial Neural Networks Approach to the Forecast of Stock Market Price Movements, International Journal of Economics and Management Systems, Vol. 1, 2016

15. Di Persio Luca, Albeverio Sergio, Mastrogiacomo Elisa, Smii Boubaker, A Class of Lévy Driven SDEs and their Explicit Invariant Measures, Potential Analysis, 2016

16. Di Persio Luca, Vukasin Jovic, Gibbs Sampling Approach to Markov Switching Models in Finance, International Journal of Mathematical and Computational Methods, Vol. 1, 2016


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17. Di Persio Luca, Honchar Oleksandr, Training neural networks for financial forecasting: backpropagation vs particle swarm optimization, Transaction on Business and Economics, Vo.13, 2016

18. Di Persio Luca, Bonollo Michele, Prezioso Luca, Implicit Trigger Price Determination for Contingent Convertible Bond, International Journal of Pure and Applied Mathematics, Vol. 106, N.3, 2016

19. Di Persio Luca, Benazzoli Chiara, Default Contagion in Financial Networks, International Journal of Mathematics and Computers in Simulation, Vol. 10, 2016

20. Di Persio Luca, Crescimanna Vincenzo, Herd Behavior and Financial Crashes: An Interacting Particle System Approach, Journal of Mathematics, 2016

21. Di Persio Luca, Frigo Matteo, Gibbs sampling approach to regime switching analysis of financial time series, Journal of Computational and Applied Mathematics, Vol. 300, 2016

22. Di Persio Luca, Pellegrini Gregorio, Bonollo Michele, Polynomial Chaos Expansion Approach to Interest Rate Models, Journal of Probability and Statistics, 2015

23. Di Persio Luca, Perin Isacco, An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market, Journal of Probability and Statistics, pp. 1 - 17, 2015

24. Di Persio Luca, Viorel Barbu, Francesco Cordoni, Optimal control of stochastic FitzHugh-Nagumo equation, International Journal of Control, pp. 1-25, 2015

25. Di Persio Luca, Cordoni Francesco, Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework, Infinite Dimensional Analysis Quantum Probability and Related Topics, Vol. 18, N. 3, pp. 155002201-155002225, 2015

26. Di Persio Luca, Frigo Matteo, Maximum Likelihood Approach to Markov Switching Models, WSEAS Transactions on Business and Economics, No. 12, pp. 239-242, 2015

27. Di Persio Luca, Oliva Immacolata, An interval of no-arbitrage prices for american contingent claims in incomplete markets, International Journal of Pure and Applied Mathematics, Vol. 103, n. 1, pp. 133-153, 2015

28. Di Persio Luca, Segala Chiara, Autoregressive approaches to import–export time series II: a concrete case study, Modern Stochastics: Theory and Applications, Vol. 2, N.1, pp. 67-93, 2015

29. Di Persio Luca, Autoregressive approaches to import–export time series I: basic techniques, Modern Stochastics: Theory and Applications, Vol. 2, N.1, pp. 51-65, 2015

30. Di Persio Luca, Cordoni Francesco, Small Noise Asymptotic Expansion for a Infinite Dimensional Stochastic Reaction-Diffusion Forced Van Der Pol Equation, International Journal of Mathematical Models and Methods in Applied Sciences, Vol. 9, pp. 202-210, 2015

31. Di Persio Luca, Cordoni Francesco, Small noise expansion for the Lévy perturbed Vasicek model, International Journal of Pure and Applied Mathematics, Vol. 98, N. 2, pp. 291-302, 2015

32. Di Persio Luca, Vettori Samuele, Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX, Journal of Mathematics, pp1-17, 2014

33. Di Persio Luca, Vettori Samuele, Explicit Solutions for Optimal Insurance Problems in Regime Switching Frameworks, Asian Journal of Fuzzy and Applied Mathematics, Vol. 2, N. 6, pp. 175-189, 2014

34. Di Persio Luca, Backward stochastic Volterra integral equation approach to stochastic differential utility, International Electronic Journal of Pure and Applied Mathematics, pp. 11-15, 2014

35. Di Persio Luca, Marchesan Michele, Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results, International Scholarly Research Notices, pp.1-10, 2014

36. Di Persio Luca, Cordoni Francesco, Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems, International Journal of Stochastic Analysis, pp. 1-11, 2014


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37. Di Persio Luca, Barban Anna, Multivariate Option Pricing with Pair-Copulas , Journal of Probability, pp. 1-11, 2014

38. Di Persio Luca, Cordoni Francesco, Lie symmetry approach to the CEV model, International Journal of Differential Equations and Applications, Vol. 13, N. 3, pp.109-127, 2014

39. Di Persio Luca, Cordoni Francesco, First order correction for the characteristic function of a multidimensional and multiscale stochastic volatility model, International Journal of Pure and Applied Mathematics, Vol. 93, N. 5, pp. 741-752, 2014

40. Di Persio Luca, Cordoni Francesco, Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model, International Journal of Applied Mathematics, Vol. 27, N.3, pp.211-223, 2014

41. Di Persio Luca, Benazzoli Chiara, Optimal execution strategy under arithmetic Brownian motion with var and es as risk parameters international, Journal of Applied Mathematics, Vol. 27, pp. 155-162,2014

42. Di Persio Luca, Marinelli Carlo, Ziglio Giacomo, Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps, Journal of Functional Analysis, Vol. 264, pp. 2784-2816, 2013

43. Di Persio Luca, Albeverio Sergio, Mastrogiacomo Elisa, Invariant measures for stochastic differential equations on networks, Spectral analysis - Differential Equations and Mathematical Physics: A Festschrift in Honour of Fritz Gesztesy's 60th Birthday, The American Mathematical Society, Vol. 87, pp.1-33, 2013

44. Di Persio Luca, Cordoni Francesco, Transition density for cir process by Lie symmetries and application to ZCB pricing, International Journal of Pure and Applied Mathematics, Vol. 88, pp. 239-246, 2013

45. Di Persio Luca, Scandola Elena, Backward Stochastic Differential Equations driven by Lévy noise with applications in Finance, Mìždisciplìnarnì Doslìdžennâ Skladnih Sistem, pp. 5-34, 2013

46. Di Persio Luca, Ziglio Giacomo, Gaussian estimates on networks with applications to optimal control, Networks and Heterogeneous Media, Vol. 6, pp. 279-296, 2011

47. Di Persio Luca, Albeverio Sergio, Mastrogiacomo Elisa, Small noise asymptotic expansions for stochastic PDE's, I. The case of a dissipative polynomially bounded non linearity, Tohoku Mathematical Journal, Vol. 63, 2011

48. Di Persio Luca, Albeverio Sergio, Some stochastic dynamical models in neurobiology: recent developments, European Communications in Mathematical and Theoretical Biology, Vol. 14, pp. 44-53, 2011

49. Di Persio Luca, Anomalous behaviour of the correction to the central limit theorem for a model of random walk in random media, Bollettino della Unione Matematica Italiana, Vol. 9(3), N.1, pp. 179-206, 2010

50. Di Persio Luca, Albeverio Sergio, Cattaneo Laura, Mazzucchi Sonia, A rigorous approach to the Feynman-Vernon influence functional and its applications I, Journal of Mathematical Physic, Vol. 48, N.10, pp.102109-102109, 2007

51. Di Persio Luca, Albeverio Sergio, Cattaneo Laura, Local invariants for a finite multipartite quantum system, Reports on Mathematical Physics, Vol. 60, N.2, pp. 167-174, 2007

52. Di Persio Luca, Asymptotic Expansions of Integrals: Statistical Mechanics and Quantum Theory, PhD Thesis / Department of Mathematics of the University of Trento co-tutelle programme with the University of Bonn, http://eprints.biblio.unitn.it/archive/00001392/01/PhDTS_n.54.pdf, 2006

http://eprints.biblio.unitn.it/archive/00001392/01/PhDTS_n.54.pdf


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Proceedings and Chapters

1. Di Persio Luca, Guida Francesco, A discrete trinomial model for the Birth and Death of stock

financial bubbles, proceeding for ICCMSE 13th International Conference of Computational Methods

in Sciences and Engineering, 2017

2. Di Persio Luca, Honchar Oleksandr, Analysis of Recurrent Neural Networks for short-term Energy

load forecasting, proceeding for ICCMSE 13th International Conference of Computational Methods

in Sciences and Engineering, 2017

3. Di Persio Luca, Benazzoli Chiara, Optimal execution strategy in liquidity framework under

exponential temporary market impact, Chapter in Handbook of Recent Advances in Commodity and

Financial Modeling, Springer, 2017

4. Di Persio Luca, Honchar Oleksandr, Bayesian convolutional networks for energy load forecasting,

Chapter in “Handbook of Energy Finance: Theories, Practices and Simulations”, to be published

by World Scientific Publishing in April-May 2018.

5. Di Persio Luca, Nicola Gugole, Stochastic volatility models: theory and applications, Special Issue of

Quantitative Finance and Economics on the topic “Volatility of Prices of Financial Assetes”, AIMS

press, 2018

Submitted papers

1. Di Persio Luca, Bezborodov Viktor, The quenched central limit theorem for a model of random walk in random environment, submitted to ESAIM: Probability and Statistics, 2017

2. Di Persio Luca, Benazzoli Chiara, Optimal execution startegy in liquidity framework, Cogent Economics and finance, 2017

3. Di Persio Luca, Barbu Viorel, Benazzoli Chiara, Mild solutions to the dynamic programming equation for stochastic optimal control problems, submitted to Automatica, 2017

4. Di Persio Luca, Cordoni Francesco, A maximum principle for a stochastic control problem with multiple random terminal times, submitted to Nonlinear Analysis: Real World Applications, 2017

5. Di Persio Luca, Albeverio Sergio, Cordoni Francesco, Asymptotic expansion for some local volatility models arising in finance I: theoretical results, submitted 2017

6. Di Persio Luca, Albeverio Sergio, Cordoni Francesco, Asymptotic expansion for some local volatility models arising in finance II:numerical schemes, submitted 2017

7. Di Persio Luca, Barbu Viorel, Benazzoli Chiara, Feedback optimal controllers for the Heston model, submitted to Applied Mathematics and Optimization, 2017

8. Di Persio Luca, Cordoni Francesco, Optimal control for the stochastic FitzHugh-Nagumo model with recovery variable, submitted to Journal of Optimization Theory and Applications (JOTA), 2017

9. Di Persio Luca, Bonollo Michele, Mangini Giovanni, Fast proxy models and Applications, submitted to The European Journal of Finance, 2016

10. Di Persio Luca, Cordoni Francesco, Maticiuc Lucian, Zalinescu Adrian, A stochastic approach to path-dependent nonlinear Kolmogorov equations via SBDEs with time-delayed generators and applications to finance, submitted to Stochastic Processes and Applications, 2016

11. Di Persio Luca, Bezborodov Viktor, Kruger Tyll, Lebid Mykola, Asymptotic shape and the speed of propagation of continuous-time continuous-space birth processes, submitted to Advances in Applied Probability, 2016

12. Di Persio Luca, Banos David Ruiz, Di Nunno Giulia, Rose Elin, Stochastic systems with memory and jumps, submitted to Journal of Differential Equations, 2016


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13. Di Persio Luca, Perin Isacco, Recent developments in ambit stochastics, submitted to Probability Surveys, 2016

14. Di Persio Luca, Cordoni Francesco, Delay stochastic differential equations approach to the pricing of path-dependent options in stochastic volatility models with jumps, submitted to Stochastics, 2017

15. Di Persio Luca, Vukasin Jovic, Jump diffusion and alfa-stable techniques for the Markov switching approach to financial time series, submitted to Journal of Computational and Applied Mathematics, 2016

16. Di Persio Luca, Bezborodov Viktor, Mishura Yuliya, Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth, submitted to Methodology & Computing in Applied Probability, 2016

17. Di Persio Luca, Dynamic convex risk measures from discrete to continuous time: a convergence approach by g-expectations in presence of Lévy noise, submitted to Infinite Dimensional Analysis and Quantum Probability, 2017

18. Di Persio Luca, Bonollo Michele, Oliva Immacolata, Semmoloni Andrea, A quantization approach to the counterparty credit exposure estimation, submitted to Quantitative Finance, 2016

Sotto la mia responsabilità, dichiaro di essere in possesso dei titoli indicati nel presente curriculum ed altresì dichiaro la veridicità di quanto ivi scritto.

14 October, 2017

Luca Di Persio ………………………………………………….

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