Curriculum vitae et studiorum of Giorgio Ferrari - Memotef - Sapienza

Curriculum vitae et studiorum of
Giorgio Ferrari
Personal Details
Date of birth: 17/12/1984
Place of birth: Roma, Italy
Citizenship: Italian
Office: Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza,
Facoltà di Economia, ‘La Sapienza’ Università di Roma,
Via del Castro Laurenziano 9, 00161 Roma, Italy
Office phone: +39 0649766903
Email: giorgio.ferrari@uniroma1.it
Education
October 2008 - October 2011 Ph.D. Student in Mathematics for Economic-Financial
Applications, Dipartimento di Metodi e Modelli per l’Economia,
il Territorio e la Finanza, ‘La Sapienza’ University of Rome.
Supervisors: Prof. Maria B. Chiarolla and Prof. Frank Riedel
Ph.D. Defense Date: 17 /02/ 2012
May 2010 - December 2010 Visiting Ph.D. Student at the Institute of Mathematical
Economics IMW, Bielefeld University, Germany.
Supervisor: Prof. Frank Riedel.
October 2006 - September 2008 M. Sc. in Mathematical Physics (Laurea Specialistica),
Dipartimento di Fisica, ‘La Sapienza’ University of Rome.
Supervisor: Prof. Carlo Marchioro
Graduating Date: 26 /09/ 2008
Final Mark: Summa cum laude.
October 2003 - October 2006: B. Sc. in Physics (Laurea Triennale), Dipartimento di Fisica,
‘La Sapienza’ University of Rome.
Supervisor: Prof. Paolo Maria Santini
Graduating Date: 02/10/2006
Final Mark: Summa cum laude.
September 1998 - July 2003 Diploma at classical High School (Diploma di Maturità classica),
Liceo Ginnasio Statale ‘Pilo Albertelli’, Roma, Italy.
Final Mark: 100/100.
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Fellowships and Awards
• Winner of the scholarship ‘Percorso di Eccellenza’ (Excellent Student Program) sponsored
by the Faculty of Mathematical, Physical and Natural Sciences of ‘La Sapienza’ University
of Rome for the academic year 2007/2008.
• Winner of a Ph.D. scholarship in Mathematics for Economic-Financial Applications at
‘Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza’, Faculty of
Economics, ‘La Sapienza’ University of Rome (October 2008).
• Winner of a Ph.D. position in Mathematics at ‘Dipartimento di Matematica G. Castelnuovo’,
‘La Sapienza’ University of Rome (October 2008).
Favourite Fields of Research
Singular Stochastic Optimal Control problems;
Stochastic Optimal Stopping problems;
Stochastic Processes with financial and economic applications;
Deterministic and Stochastic Optimal Control;
Malliavin Calculus with financial applications;
Dynamical Systems.
Attended Workshops, Conferences and Schools
• 7th Workshop on Bayesian Nonparametric:
Collegio Carlo Alberto, Moncalieri, 21st-25th June 2009
• Alumni Workshop 2009:
Faculty of Economics, ‘La Sapienza’ University of Rome, 26th June 2009
• Summer School ‘Economic Growth: Mathematical Dimension’:
Lomosonov Moscow State University, 5th-12th July 2009
Attended Lecture:
‘Infinite Horizon Optimal Control with application to Economics’ by S.M. Aseev
Final Grade: A (Russian Grade: 5/5)
• Summer School in Financial Mathematics:
University of Ljubljana, 7th-20th September 2009
Attended Lectures:
1. ‘How Finanacial mathematics is used in practice’ by P.S. Hagan ;
2. ‘Credit Risk’ by M. Jeanblanc ;
3. ‘Optimal Stopping for American Options’ by D. Lamberton ;
4. ‘Portfolio Theory’ by G. Brumen ;
5. ‘Financial Econometrics’ by E. Zakrajsec ;
6. ‘Brownian motion and introduction to stochastic integration’ by A. Mijatovic.
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• Spring School ‘Stochastic Control in Finance’:
Université de Bretagne Occidentale - ITN, Roscoff, 8th-17th March 2010
Attended Lectures:
1. ‘Repeated games with incomplete information and Finance’ by B. De Meyer ;
2. ‘Optimal switching problems’ by Said Hamadene ;
3. ‘Hamilton-Jacobi-Bellman equations in infinite dimensions’ by M. Fuhrman and F.
Gozzi ;
4. ‘Hamilton-Jacobi-Bellman equations in financial models with transactions costs’ by
Y. Kabanov ;
5. ‘Stochastic Integration with respect to the fractional brownian motion and some
applications to SDEs’ by J.A. Leon Vasquez ;
6. ‘2 Persons zero-sum stochastic differential games’ by J. Li and R. Buckdahn ;
7. ‘Actuarial models and their connection with Finance’ by J. Ma ;
8. ‘G-Expectation in stochastic control and Finance’ by S. Peng ;
9. ‘Linear-Quadratic optimal stochastic control and its applications to Finance’ by S.
Tang.
• Summer School ‘Stochastic Finance’:
University of Ulm - Ulm, 20th-24th September 2010
Attended Lectures:
1. ‘Optimal stopping with local times’ by A. Shiryaev ;
2. ‘First passage in stochastic volatility models with jumps: applications in financial
markets’ by A. Mijatovic ;
3. ‘Markov decision processes with applications to Finance’ by U. Rieder ;
4. ‘Duality methods in robust utility maximization’ by A. Gushchin ;
5. ‘Introduction to energy markets’ by R. Kiesel ;
6. ‘Understanding the behavior of credit correlations under stress’ by M. Kalkbrener ;
7. ‘One-dimensional and multi-dimensional coherent risk measures’ by A. Kulikov .
• Fifth EBIM Doctoral Workshop on Economic Theory:
Institute of Mathematical Economics IMW, Bielefeld University, 18th-19th November 2010
• Third Research Day:
Faculty of Economics, ‘La Sapienza’ University of Rome, 22nd February 2011
• 14th ASMDA International Society Conference:
Faculty of Economics, ‘La Sapienza’ University of Rome , 7th-10th June 2011
• Workshop on Stochastic Methods in Financial Markets:
Faculty of Mathematics and Physics, Ljubljana University, 26th-27th August 2011
• Fourth European Summer School in Financial Mathematics:
ETH, Zurich, 5th-9th September 2011
Attended Lectures:
1. ‘Statistical Models for Finance’ by J. Jacod and P. Embrechts ;
2. ‘Stochastic Control Methods in Finance’ by M. Soner .
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• XXXV Convegno AMASES:
University of Pisa, Pisa, 15th-17th September 2011
• Sixth EBIM Doctoral Workshop on Economic Theory:
Institute of Mathematical Economics IMW, Bielefeld University, 5th-7th December 2011
• XIII Workshop on Quantitative Finance:
University of L’Aquila, 26th-27th January 2012
Papers presented at Conferences, Workshops and Schools
• M.B. Chiarolla, G. Ferrari, F. Riedel : ‘Generalized Kuhn-Tucker Conditions for Stochastic
Irreversible Investments with Limited Resources’, presented at ‘14th ASMDA International
Society Conference’, Rome, June 7-10, 2011.
• M.B. Chiarolla, G. Ferrari, F. Riedel : ‘Generalized Kuhn-Tucker Conditions for Stochastic
Irreversible Investments with Limited Resources’, presented at ‘Workshop on Stochastic
Methods in Financial Markets’, Ljubljana, August 26-27, 2011.
• M.B. Chiarolla, G. Ferrari, F. Riedel : ‘Generalized Kuhn-Tucker Conditions for Stochastic
Irreversible Investments with Limited Resources’, presented at ‘Fourth European Summer
School in Financial Mathematics’, Zurich, September 5-9, 2011.
• M.B. Chiarolla, G. Ferrari, F. Riedel : ‘Generalized Kuhn-Tucker Conditions for Stochastic
Irreversible Investments with Limited Resources’, presented at ‘XXXV Convegno AMASES’,
Pisa, September, 15-17 2011.
• M.B. Chiarolla, G. Ferrari : ‘Identifying the Free Boundary of a Stochastic, Irreversible
Investment Problem via the Bank-El Karoui Representation Theorem’, presented at ‘Sixth
EBIM Doctoral Workshop on Economic Theory’, Bielefeld, December 5-7, 2011.
• L. Caramellino, G. Ferrari, R. Piersimoni: ‘Power Series Representations for European
Option Prices under Stochastic Volatility Models’, presented at ‘XIII Workshop on Quantitative
Finance’, L’Aquila, January 26-27, 2012.
Publications and Working Papers
• M.B. Chiarolla, G. Ferrari : ‘Identifying the Free Boundary of a Stochastic, Irreversible
Investment Problem via the Bank-El Karoui Representation Theorem’, arXiv:1108.4886,
submitted to SIAM Journal on Control and Optimization, 2011.
• L. Caramellino, G. Ferrari, R. Piersimoni : ‘Power Series Representations for European
Option Prices under Stochastic Volatility Models’, arXiv:1105.0068v1, preprint 2011.
• M.B. Chiarolla, G. Ferrari, F. Riedel : ‘Generalized Kuhn-Tucker Conditions for N-Firms
Stochastic Irreversible Investment under Limited Resources’, preprint 2011.
• P. Buttà, G. Ferrari, C. Marchioro : ‘Speedy Motions of a Body Immersed in an Infinitely
Extended Medium’, Journal of Statistical Physics, Volume 140, Issue 6 (2010), pp. 1182-1194.
• G. Ferrari, D. Dell’ Arciprete : ‘Lecture Notes on Nonlinear Waves and Solitons’ on
http : //www.phys.uniroma1.it/DipW eb/web disp/d3/dispense/DegasperisF isT eo.pdf,
March 2008.
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Master Thesis students
• Co-supervisor (with Prof. Lucia Caramellino) of Roberta Piersimoni, Master Thesis in
Applied Mathematics: ‘Un approccio in serie di potenze per il calcolo del prezzo di opzioni
europee in modelli a volatilità stocastica’, Department of Mathematics, University of Rome
‘Tor Vergata’, December 2010.
Ph.D. Courses attended
• ‘Probability’ by B. Liseo, Faculty of Economics, ‘La Sapienza’ University of Rome ;
• ‘Statistics’ by B. Liseo, Faculty of Economics, ‘La Sapienza’ University of Rome ;
• ‘Microeconomic Theory’ by L. Ventura and L. Spinesi, Faculty of Economics, ‘La Sapienza’
University of Rome ;
• ‘Macroeconomic Theory’ by G. Rodano, Faculty of Engineering, ‘La Sapienza’ University
of Rome ;
• ‘Econometrics’ by M. Franchi, Faculty of Economics, ‘La Sapienza’ University of Rome ;
• ‘Elements of Probability: Brownian Motion and Stochastic Differential Equations’
by A. Calzolari and P. Baldi, Department of Mathematics, University of Rome ‘Tor
Vergata’ ;
• ‘Calculus of Variations’ by R. Peirone, Department of Mathematics, University of Rome
‘Tor Vergata’ ;
• ‘Mathematical Models for Financial Markets’ by L. Caramellino, Department of Mathematics,
University of Rome ‘Tor Vergata’ ;
• ‘Random Evolutions with Locally Independent Increments on increasing time intervals’ by
V.S. Koroliuk, Institute of Mathematics, University of Kiev .
Language skills
Italian : Mother Tongue.
English : Good knowledge, verbal and written.
French : Fair knowledge, verbal and written.
German : Basic knowledge, verbal and written.
Computer skills
Operating systems: Windows, Linux.
Softwares: Microsoft Office, Open Office, LaTex.
Programming Languages: C, HTML.
Scientific Softwares: Origin, Mathematica, R, Gnuplot.
Teaching Activities
• October 2009-December 2009 : Teaching Assistant for the course ‘Mathematics I’,
Prof. A. Blasi, Faculty of Economics, ‘La Sapienza’ University of Rome.
• October 2011-December 2011 : Teaching Assistant for the course ‘Mathematics I’,
Prof. A. Blasi, Faculty of Economics, ‘La Sapienza’ University of Rome.
• October 2011-December 2011 : Teaching Assistant for the course ‘Stochastic Processes
with Financial Applications’, Prof. M. Scarsini, Faculty of Economics, University of Rome
‘Luiss Guido Carli’.
Personal Interests
Archeology, Classical Literature, History, Music, Art, Food, Wine, Nature and Wildlife.
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