3 papers in the archive (2025), average empirical rigor 4.3/10, average math complexity 8.5/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Stochastic Control & Optimal Stopping, Volatility Modeling & Forecasting, Options & Derivatives Pricing, Insurance & Actuarial Risk.
Frequent co-authors: Katia Colaneri (1), Alessandra Cretarola (1), Daniele Mancinelli (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We study the problem of designing and hedging unit-linked life policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. Offering these products poses two key challenges: constructing a green investment fund and developing a hedging strat
This Ph.D. thesis explores approximations and regularity for the Heston stochastic volatility model through three interconnected works. The first work focuses on developing high-order weak approximations for the Cox-Ingersoll-Ross (CIR) process, essential for financial modelling but challenging due
We present here some results for the PDE related to the logHeston model. We present different regularity results and prove a verification theorem that shows that the solution produced via the Feynman-Kac theorem is the unique viscosity solution for a wide choice of initial data (even discontinuous)