Curriculum Vitae - Swiss Finance Institute | EPFL

Personal data
Curriculum Vitae
Loriano Mancini
Last update: January 17, 2012
Born March 23, 1975; Italian; Married; one child; Swiss working permit C
Webpage: http://sfi.epfl.ch/mancini.html
E-mail: loriano.mancini@epfl.ch
Education
2004 Ph.D. in Economics and Finance (summa cum laude), University of Lugano,
Switzerland, thesis: “Robust statistical procedures for location and scale dynamic mo-
dels with applications to risk management”, advisors: Prof. E. Ronchetti, University of
Geneva, and Prof. F. Trojani, University of Lugano
1999 Diploma in Economics (cum laude), University of Perugia, Italy, dissertation in
Finance: “Static hedging of exotic options”
Academic appointments
Grants
September 2009– Assistant Professor of Finance at the Swiss Finance Institute at EPFL
(tenure track), Switzerland
2007–2009 Assistant Professor of Finance at the Swiss Banking Institute, University of
Zurich, Switzerland
2005–2007 Senior Researcher (Oberassistent) at the Swiss Banking Institute, University
of Zurich, Switzerland
2004–2005 Research Fellow at the Department of Operations Research and Financial
Engineering, Princeton University, USA (Prof. Y. Aït-Sahalia and Prof. J. Fan)
2002–2003 Teaching Assistant for the undergraduate course in Financial Derivatives,
Faculty of Economics, University of Lugano, Switzerland (Prof. G. Barone-Adesi)
2008–2011 Swiss National Science Foundation, “ProDoc Financial Econometrics”, with
Marc Paolella
2007–2009 Swiss National Science Foundation, “Nonparametric model risk detection”,
with Rajna Gibson
Languages
English (fluent), Italian (native), French (basic)
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Papers
• “Optimal conditionally unbiased bounded-influence inference in dynamic location
and scale models,” Journal of the American Statistical Association, 2005, Vol. 100,
628–641 (with Elvezio Ronchetti and Fabio Trojani)
• “A GARCH option pricing model with filtered historical simulation,” Review of
Financial Studies, 2008, Vol. 21, 1223–1258 (with Giovanni Barone-Adesi and
Robert Engle)
• “Out of sample forecasts of quadratic variation,” Journal of Econometrics, 2008,
Vol. 147, 17–33 (with Yacine Aït-Sahalia)
• “Option pricing with model-guided nonparametric methods,” Journal of the Amer-
ican Statistical Association, 2009, Vol. 104, 1351–1372 (with Jianqing Fan)
• “Robust Value at Risk prediction,” Journal of Financial Econometrics, 2011, Vol.
9, 281–313 (with Fabio Trojani)
• “Systemic risk and sentiment,” Handbook on Systemic Risk edited by J.-P. Fouque
and J. Langsam, forthcoming (with Giovanni Barone-Adesi and Hersh Shefrin)
• “Liquidity in the foreign exchange market: Measurement, commonality, and risk
premiums,” SSRN working paper, 2009 (with Angelo Ranaldo and Jan Wram-
pelmeyer)
• “Detecting informed trading activities in the options markets,” SSRN working
Research awards
Teaching
paper, 2010 (with Marc Chesney and Remo Crameri)
“Liquidity in the foreign exchange market: Measurement, commonality, and risk pre-
miums,” with A. Ranaldo and J. Wrampelmeyer: Outstanding Paper in International
Finance award at the Eastern Finance Association (EFA) Annual Meeting 2010, Miami
“A GARCH option pricing model with filtered historical simulation,” with G. Barone-
Adesi and R. Engle: Best Paper in Quantitative Finance at the Quantitative Methods
in Finance Conference (QMF) 2005, Sydney
2009– Econometrics and Advanced Topics in Financial Econometrics at the Master in
Financial Engineering, EPFL
2008 Undergraduate course in Asset Pricing (with M. Chesney) and PhD course in
Financial Econometrics, University of Zurich
2007 Undergraduate course in Asset Pricing (with M. Chesney), University of Zurich
PhD students
Jan Wrampelmeyer (defended in 2/2011); Mustafa Karaman; Emmanuel Leclercq (co-
supervisor D. Filipović)
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Conferences and seminars
2012 American Economic Association meetings, Chicago, U.S. (by coauthor)
2011 Princeton-Lausanne Workshop, Lausanne, Switzerland; Tinbergen Institute, Am-
sterdam, Netherlands
2010 Brown Bag Lunch Seminar, EPFL; Swiss Finance Institute 5th Annual Meetings,
Zurich, Switzerland (invited); “ICORS”, Prague, Czech Republic, (invited); “Statistic
and Finance”, Evry, France, (invited)
2009 “Computational Management Science”, Geneva, Switzerland
2008 EPFL; Risk Day ETH Zurich; “SoFiE Inaugural Conference” at New York Uni-
versity, NY; University of St. Gallen; “Workshop on Quantitative Finance”, Rome,
Italy
2007 “Quantitative Methods in Finance”, Sydney, Australia; “Model Validation, Pre-
dictive Ability and Model Risk”, CREST, France, (invited); S.Co. 2007, Venice, (in-
vited); FinRisk Research Day 2007, Gerzensee; Financial Management Association,
Barcelona; Université Libre de Bruxelles; Eastern Finance Association, New Orleans;
Cass Business School, London; Financial Management Association, Barcelona; “Work-
shop on Quantitative Finance”, Venice, Italy; University of Lugano; University of
Geneva; “Swiss Society of Economics and Statistics Annual Meeting”, St. Gallen,
Switzerland
2006 “Annual Meeting of the European Finance Association”, Zurich, Switzerland;
London School of Economics; Annual AFFI meeting, Paris; “International Symposium
on Financial Engineering and Risk Management”, Xiamen University, China, (invited);
“Microstructure of Financial and Money Markets”, CREST, France; “Swiss Society
of Economics and Statistics Annual Meeting”, Lugano, Switzerland; “Risk Measures
& Risk Management for High-Frequency Data”, EURANDOM, The Netherlands, (in-
vited); “Workshop on Quantitative Finance”, Perugia, Italy; “Risk Management: From
Basel II to Basel III”, Ascona, Switzerland
2005 “Risk Management and Quantitative Approaches in Finance”, Florida; “Stochas-
tic Analysis Seminars” (February 9, 14 and 16), Princeton University
2004 “European Meeting of the Econometric Society”, University of Carlos III, Spain;
“Computational Management Science Conference”, Neuchâtel, Switzerland; “Workshop
on Quantitative Finance”, Siena, Italy
2003 “Workshop on Econometric Time Series Analysis”, Linz, Austria
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References
Prof. Yacine Aït-Sahalia, Bendheim Center for Finance, Princeton University, 26 Pro-
spect Avenue, Princeton, NJ 08540-5296. E-mail: yacine@princeton.edu
Prof. Giovanni Barone-Adesi, Institute of Finance, University of Lugano, Via Buffi 13,
CH-6900 Lugano, Switzerland. E-mail: giovanni.baroneadesi@usi.ch
Prof. Robert Engle, Stern School of Business, New York University, 44 West Fourth
Street, New York, NY 10012-1126. E-mail: rengle@stern.nyu.edu
Prof. Jianqing Fan, Department of Operations Research & Financial Engineering, Prince-
ton University, Sherrerd Hall, Princeton, NJ 08544. E-mail: jqfan@princeton.edu
Prof. Elvezio Ronchetti, Department of Econometrics, University of Geneva, Blv. Pont
d’Arve 40, CH-1211 Geneva, Switzerland. E-mail: elvezio.ronchetti@metri.unige.ch
Prof. Fabio Trojani, Institute of Finance, University of Lugano, Via Buffi 13, CH-6900
Lugano, Switzerland. E-mail: fabio.trojani@usi.ch
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