Curriculum vitae et studiorum of Giorgio Ferrari - Memotef - Sapienza

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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. 2
• 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 . 3
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Curriculum vitae et studiorum of Giorgio Ferrari - Memotef - Sapienza

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