Teaching
(Photo by Ian Wallman)
I am currently Academic Co-Director (M1) for ESSEC | CentraleSupélec Master in Data Sciences & Business Analytics
Phd reading group, 2024/25
- November 12, 14:00, amphi A.035
Miguel Ventura, Asset Pricing with Stochastic Differential Utility, https://people.bu.edu/lepstein/files-research/DuffieEpst-RFS1992.pdf
Wenliang Min, Expected Returns and Large Language Models, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4416687
- October 8 at 13:30 in room N106, and these two papers will be presented:
Viola Simonetti, https://www.aeaweb.org/articles?id=10.1257/aer.20221338
Vaishnav Garg, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4729757
Past PhD STUDENTS
Dr. Gabriele Pompa, Deterministic Shift Extension of Affine Models for Variance Derivatives, Ph.D. in Computer Decision and System Science, curriculum: Management Science, IMT, Lucca, 2016
Dr. Manola Santilli, New Tools For Volatility Models, Ph.D. in Economic Statistics, Università di Roma "La Sapienza", 2014
Dr. Aleksey Kolokolov, Advancements in financial econometrics of detecting simultaneous jumps, measuring integrated volatility powers and covariation, Ph.D. in Econometrics and Empirical Economics, Università di Roma "Tor Vergata", 2013
Dr. Mario Dell'Era, Geometrical Approximation and Perturbative Methods for PDEs in Finance, Dottorato in Matematica per le Decisioni Economiche, Università di Pisa, 2011
Dr. Sandrine Jacob-Leal, Three Essays on Agents' Heterogenity in Financial Markets, Ph.D. in Economics, Università di Siena, 2010
Dr. Davide Pirino, Theoretical and Empirical Essays on the Dynamics of Financial and Energy Markets , Ph.D. in Physics, Università di Pisa, 2009
Dr. Antonio Mannolini, Essays on Derivatives Pricing with the Extended CIR model, Ph.D. in Economics, Università di Siena, 2007