Andrea Pascucci

Curriculum Vitae

Last update: May 8, 2013

Personal data and studies
Born in Forlì (Italy), May 5th 1969
Married, three children (Elena, Giovanni and Maria)
Degree in Mathematics cum laude from the University of Bologna (1993)
PhD in Mathematics from the University of Bologna (1999) Thesis advisor: Prof. Ermanno Lanconelli

Positions
2007-present: Associate professor of Mathematical Finance and Actuarial Mathematics (SSD SECS-S/06), University of Bologna
1998-2007: Assistant professor of Mathematical Analysis (SSD MAT/05), University of Bologna

Publications
More that 40 papers on the following topics: second order partial differential equations of degenerate parabolic type; Kolmogorov equations; stochastic differential equations; free boundary and optimal stopping problems; applications to mathematical finance; American options; Asian/path-dependent options and volatility modelling. The complete list of downloadable papers is available at
http://www.dm.unibo.it/matecofin/member.php?id=6&m=pascucci

Four books:
    PDE and Martingale Methods in Option Pricing, Bocconi & Springer Series (2010) pp. 720  
    Financial Mathematics: Theory and problems for multi-period models, (with W.J. Runggaldier) Springer (2012) pp. 288
    Calcolo stocastico per la finanza, Springer Unitext (2007) pp. 520  
    Finanza Matematica, Teoria e problemi per modelli multiperiodali, (with W.J. Runggaldier) Springer Unitext (2009) pp. 270

Consulting and industry collaborations
2012 Research contract with DSE: "Stochastic models for electricity forward prices"
2010-11 Consulting projects for the risk management team of Unipol GF: "Interest rate derivatives: calibration, pricing of models for volatility and correlation" 


Scientific activities
Director (with Sergio Polidoro) of the master programme in Mathematical Finance of the Department of Mathematics (University of Bologna)
http://www.dm.unibo.it/finanza/
Several internships (approximately 130) organized for graduate and PhD students in banks and financial institutions.

Editorships
Member of the Editorial board of  
- Journal of Advanced Studies in Finance 
- ISRN Probability and Statistics
- Journal of Mathematics
- ISRN Mathematical Analysis

 Member of the Scientific Board of ASERS Publishing.

Refereeing activities  
Mathematical Methods in the Applied Sciences, The Annals of Applied Probability, Abstract and Applied Analysis, European Journal of Applied Mathematics,  Stochastic Processes and their Applications, ISRN Probability and Statistics (2),  Journal of Differential Equations (2), Finance and Stochastics (2),  Mathematical Finance, SIAM Journal on Scientific Computing,  Journal of Mathematical Analysis and Applications (2),  Computational Statistics and Data Analysis,  Computational Economics,  Decisions in Economics and Finance (2), International Journal of Theoretical and Applied Finance (IJTAF), Proceedings of the Royal Society A, Mathematical Communications, Annals of International Society of Dynamic Games,  Journal of Computational and Applied Mathematics, Mathematical Problems in Engineering, Asia Pacific Management Review (APMR), Physics Letters A, Electronic Journal of Differential Equation,  Science in China, Series A: Mathematics, Acta Mathematica Sinica, 
Working papers del Dipartimento di Economia dell'Università Roma Tre

- Referee for the Natural Sciences and Engineering Research Council of Canada
- Referee for Italian PRIN and FIRB projects

- Reviewer for Zentralblatt MATH and MathSciNet

- Febbraio 2008: Commissario per l'esame finale del Dottorato di Ricerca in "Matematica per le Applicazioni Economiche-Finanziarie", Università degli Studi di Roma "La Sapienza"
- Ottobre 2008: referee per l'esame finale del Dottorato di Ricerca in Matematica, Università degli Studi di Bari 
- Giugno 2011: Referee for the doctorate of the Frankfurt School of Finance & Management  
- Settembre 2012: Referee for the doctorate of the Departamento de Matematicas, Universidade da Coruna, Spain
- Dicembre 2012: External Examiner for the PhD examination at the Edgeworth Centre, University College Cork, Ireland


PhD students advised
- Alessandro Carciola
- Stefano Pagliarani (Università di Padova)
- Laura Monti
- Marco Di Francesco
- Valeria Volpe

Organization of meetings and courses
- September 2012: Organizing commitee of the Conference in honor of the 70th birthday of Wolfgang J. Runggaldier, Università di Padova 
- December 2011: Scientific commitee of the Conference "Mathematical Finance and Partial Differential Equations 2011" Rutgers, The State University of New Jersey (USA)
- September 2010: Workshop "Kolmogorov equations in Physics and Finance" Co-organizer: S. Polidoro, Università di Modena e Reggio Emilia
- June 2010: Session "Models and Numerical Methods in Quantitative Finance"  in SIMAI-2010 Co-organizer: Carlos Vazquez, University of A Coruna.
- May 2008: Geometric Methods in PDE's: a conference in occasion of the 65th birthday of Ermanno Lanconelli Co-organizer: G. Citti, A. Montanari, S. Polidoro, Università di Bologna.
- May 2007, 2008 and 2009:  Spring School in Finance
- May 2004, 2005 and 2006: Spring School in Finance  Co-organizer: Francesca Biagini, Università di Bologna
- September 2004: Session "Mathematical and computational methods in finance" in SIMAI-2004 Co-organizer: S. Polidoro, Università di Bologna

Research visits
- March 2008: Umea University (Sweden), invited by professor Kaj Nystrom
- September 2008: University of La Coruña (Spain), invited by professor Carlos Vázquez Cendón
- September 2008: Korea Advanced Institute of Science and Technology (South Korea), invited by professor Geon Ho Choe

Research projects
- 2006-2009: co-investigator of the EU NEST STREP project GALA-"Geometric analysis in Lie group and applications"
-2005-2006: co-investigator of the National PRIN project "Viscosity, metric and control methods in the theory of nonlinear partial differential equations "
- 2004-2006: Director of the "Young researchers" projects of the Univesity of Bologna:
   - "Equazioni differenziali paraboliche nel mercato delle opzioni e in finanza matematica"
   - "Equazioni differenziali degeneri non ipoellittiche in finanza matematica"
   - "Esistenza e regolarità di soluzioni viscose di equazioni non-lineari degeneri"
- 2004: Director of the interdisciplinary research project INDAM "Matematica e mercati finanziari''

PhD courses
- 2012: Fourier methods in option pricing, course on “Temas Avanzados de Matemática Aplicada”,  University of A Coruña (Spain).  
- 2011: Asian options and Lévy models, course on “Temas Avanzados de Matemática Aplicada”,  University of A Coruña (Spain). 
- 2009: American options: discrete and continuous models, course on “Temas Avanzados de Matemática Aplicada IV”, within the official PhD program “Métodos Matemáticos y Simulación Numérica en Ingeniería y Ciencias Aplicadas”, jointly offered by the Universities of A Coruña, Santiago de Compostela and Vigo (Spain).  
- 2008: A short course on American options, KAIST of Daejeon (South Korea)
- 2004-05: Metodi di equazioni differenziali in finanza matematica (30 ore), Università di Bologna.

Talks
Invited talks    
- April 2013: Workshop on Large deviations and asymptotic methods in finance, Imperial College London, 9-11 April 2013, "Adjoint expansions in local Lévy models"  
- January 2013: Dipartimento di Matematica, Università di Bari, "Asymptotics for Kolmogorov equations in finance" 
- November 2012: Evolution equations, deterministic and stochastic models and applications, Trento, 26-27 November 2012, "Asymptotics for Kolmogorov equations in finance"  
- October 2012: Dipartimento di Matematica, Università di Trento, "Equazioni di Kolmogorov nella valutazione di derivati finanziari" 
- September 2012:  Conference in honor of the 70th birthday of Wolfgang J. Runggaldier, Università di Padova , "Adjoint expansions in local Lévy models" 
- September 2012: Workshop on Stochastic and PDE Methods in Financial Mathematics, Yerevan, Armenia. "Adjoint expansions in local Lévy models" 
- June 2012: Workshop on Lévy processes: approximation and applications, Paris. "Adjoint expansions in local Lévy models" 
- May 2011: Seventh Seminar on Stochastic Analysis, Random Fields and Applications, Ascona (CH). "Analytical approximation of Kolmogorov PDEs and Asian options"
- March 2011:  Frankfurt MathFinance Conference, Frankfurt (DE). "Analytical Approximation of the SABR Model with Jumps"    
- December 2010: Mathematical Finance and Partial Differential Equations, Rutgers, The State University of New Jersey (US). "Kolmogorov equations and Asian options"    
- June 2010: SIMAI-2010, Cagliari (Italy). "Free boundary problem for arithmetic Amerasian options"     
- October 2009: Workshop "Modelling and Numerical Techniques in Quantitative Finance", A Coruna (Spain)
- June 26, 2009: Colloque "EDP, analyse stochastique et simulation de processus", INRIA Sophia Antipolis (France). "Kolmogorov Equations and Analysis on Lie Groups"
- June 4, 2009: Financial and Actuarial Mathematics Group of the Vienna University of Technology "Kolmogorov equations and applications to path dependent derivatives"
- April 8, 2009: Giornata di Finanza Matematica (IMATI-CNR, Milano) "Linear SDE in option pricing"
 - November 2008: RICAM Austrian Academy of Sciences in Linz (Austria) "Kolmogorov equations and applications to path dependent derivatives"
 - September 2008: KAIST Businness School of Seoul (South Korea). "Kolmogorov equations in Finance"
 - September 2008: University of La Coruna (Spain). "American path dependent options"
 - July 2008: Workshop on Computational Methods for Pricing and Hedging Exotic Options, Warwick (UK). "Analytic valuation by parametrix approximation"
 - February 2008: Università La Sapienza, Roma. "Kolmogorov equations and Asian options"
 - October 2007: Workshop PDE Methods in Finance 2007, University of Marne-la-Vallee. "Obstacle and optimal stopping problems for American Asian options"
 - October 2007: University of Paris 13. "Kolmogorov Equations in Physics and in Finance"
 - April 2007: Convegno su Equazioni di Kolmogorov e misure invarianti, Bologna. "Problema con ostacolo ed applicazioni alle opzioni Americane path-dependent"
 - October 2006: Università de L'Aquila. "Kolmogorov Equations in Physics and in Finance"
 - June 2006: 6th AIMS International Conference, Poitiers (France). "Kolmogorov equations and option pricing"
 - June 2006: 12th International conference on Computing in Economics and Finance, Limassol (Cyprus). "Degenerate Kolmogorov equations in option pricing"
 - June 2006: Meeting on Subelliptic PDEs and applications to Geometry and Finance, Cortona. "Equations of Kolmogorov type and applications to stochastic volatility modeling"
 - September 2004: Viscosity, metric and control theoretic methods in nonlinear PDE's, Gaeta. "Equations of Kolmogorov type and applications"
 - June 2004: Conference on Elliptic and Parabolic Problems: A special tribute to the work of Haim Brezis, Gaeta. "The Moser's iterative method for a class of ultraparabolic equations"
 - June 2003: Workshop on Second Order Subelliptic Equations and Applications, Cortona.  "Optimal Harnack inequality for a class of Kolmogorov equations"
 - May 1999: Evolution equations and applications, Cortona. "A nonlinear degenerate parabolic equation in Mathematical Finance"

Other talks
- September 2011: XXXV Convegno AMASES, Pisa. "Analytical Approximation of Models with Jumps"
- September 2011: Convegno UMI, Bologna. "Equazioni di Kolmogorov nella valutazione di derivati finanziari di tipo Asiatico"
- September 2009: XXXIII Convegno AMASES, Parma. "Free boundary problem for Arithmetic Amerasian options"
- June 2008: Conference on Numerical Methods in Finance, Udine. "Parametrix approximations in finance"
- September 2007: XXXI Convegno AMASES, Lecce. "The American Asian option"
- September 2006: XXX Convegno AMASES, Trieste. "Path dependent volatility"
- October 2005: Workshop di Finanza Matematica, Politecnico di Milano. "Kolmogorov Equations in Physics and in Finance"
- September 2005: XXIX Convegno AMASES, Palermo. "Parametrix approximation of risk neutral transition densities and option valuation"
- July 2005: 2nd International Workshop on Functional Analysis Methods in Economics and Finance, Cetraro. "Parametrix approximation of risk neutral transition densities and option valuation"
- June 2005: 8th Spanish-Meeting on Financial Mathematics, Verbania. "On the calibration of the Hobson-Rogers model"
- January 2005: VI Workshop di Finanza quantitativa, Milano. "On the calibration of the Hobson-Rogers model"
- September 2004: XXVIII Convegno AMASES, Modena. "On a volatility model with dependence on the past"
- January 2004: V Workshop di Finanza quantitativa, Siena. "Analysis of an uncertain volatility model"
- September 2003: XXVII Convegno AMASES, Cagliari. "On a complete model with stochastic volatility"
- June 2002: Advances on Nonlinear PDEs, L'Aquila. "On the Cauchy problem for a non linear ultraparabolic equation"
- May 2002: SIMAI 2002, Chia (CA). "A nonlinear PDE in mathematical finance"
- June 2001: 4th European Conference on elliptic and parabolic problems, Rolduc (NL).  "On the Cauchy problem for a non linear ultraparabolic equation"
- June 2000: SIMAI 2000, Ischia (NA). "On the smoothness of viscosity solutions to a nonlinear equation of mathematical finance"
- June 1998: IV CongressoNazionale SIMAI, Messina. "Fujita type results for a class of degenerate parabolic operators"

Teaching

AA 2011-12
Financial mathematics (48 hours - 6 CFU - Laurea in Matematica)
Stochastic differential equations (48 hours - 6 CFU - Laurea magistrale in Matematica)
Actuarial And Financial Mathematics (30 hours- 6 CFU- Laurea magistrale in Quantitative Finance)
Calcolo stocastico per la Finanza (44 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)  

AA 2010-11
Financial mathematics (48 hours - 6 CFU - Laurea in Matematica)
Stochastic differential equations (48 hours - 6 CFU - Laurea magistrale in Matematica)
Matematica Finanziaria (42 hours- 6 CFU- Laurea in Scienze di Internet)
Calcolo stocastico per la Finanza (32 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)  

AA 2009-10
Mathematical Finance (16 hours - 3 CFU - Laurea in Matematica - Università di Trento)
Finanza Matematica (48 hours - 6 CFU - Laurea in Matematica)
Equazioni differenziali stocastiche (48 hours - 6 CFU - Laurea in Matematica)
Matematica Finanziaria (42 hours- 6 CFU- Laurea in Scienze di Internet)
Calcolo stocastico per la Finanza (24 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)  

AA 2008-09
Finanza Matematica (48 hours - 6 CFU- Laurea in Matematica)
Equazioni differenziali stocastiche (48 hours - 6 CFU - Laurea in Matematica)
Matematica Finanziaria (42 hours- 6 CFU- Laurea in Scienze di Internet)
Finanza Computazionale (40 hours- 6 CFU- Laurea in Scienze di Internet)
Calcolo stocastico per la Finanza (24 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)  

AA 2007-08
Finanza Matematica (48 hours - 6 CFU- Laurea in Matematica)
Equazioni differenziali stocastiche (48 hours - 6 CFU - Laurea in Matematica)
Finanza Computazionale (48 hours- 6 CFU- Laurea in Scienze di Internet)
Matematica Finanziaria (42 hours- 6 CFU- Laurea in Scienze di Internet)
Calcolo stocastico per la Finanza (24 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)

AA 2006-07
Matematica per le applicazioni economiche e finanziarie (48 hours- 6 CFU- Laurea in Matematica)
Equazioni alle derivate parziali (48 hours- 6 CFU- Laurea in Matematica)
Finanza Computazionale (48 hours- 6 CFU- Laurea in Scienze di Internet)
Matematica Finanziaria (42 hours- 6 CFU- Laurea in Scienze di Internet)
Calcolo stocastico per la Finanza (24 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)

AA 2005-06
Matematica per le applicazioni economiche e finanziarie (48 hours- 6 CFU- Laurea in Matematica)
Equazioni differenziali stocastiche (24 hours- 3 CFU- Laurea in Matematica)
Finanza Computazionale (48 hours- 6 CFU- Laurea in Scienze di Internet)
Matematica Finanziaria (42 hours- 6 CFU- Laurea in Scienze di Internet)
Calcolo stocastico per la Finanza (24 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)

AA 2004-05
Matematica per le applicazioni economiche e finanziarie (48 hours- 6 CFU- Laurea in Matematica)
Complementi di analisi matematica (24 hours- 3 CFU- Laurea in Matematica)
Calcolo stocastico per la Finanza (24 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)

AA 2003-04
Matematica per le applicazioni economiche e finanziarie (48 hours- 6 CFU- Laurea in Matematica)
Calcolo stocastico per la Finanza (24 hours- 3 CFU- Corso di Alta Formazione in Finanza Matematica)
Equazioni alle derivate parziali della finanza matematica (24 hours - 3CFU) al Master di II livello in Matematica per le Applicazioni, Università di Bologna.
Esercitazioni per i corsi di Analisi Matematica III e Istituzioni di Analisi Superiore al Corso di Laurea in Matematica.

AA 2002-03
Matematica per le applicazioni economiche e finanziarie (48 hours- 6 CFU- Laurea in Matematica)
Equazioni alle derivate parziali della finanza matematica (24 hours - 3CFU) al Master di II livello in Matematica per le Applicazioni, Università di Bologna.
Esercitazioni per i corsi di Analisi Matematica I e Istituzioni di Analisi Superiore al Corso di Laurea in Matematica.

AA 2001-02
Matematica per le applicazioni economiche e finanziarie (48 hours- 6 CFU- Laurea in Matematica)
Esercitazioni per i corsi di Analisi Matematica I e Istituzioni di Analisi Superiore al Corso di Laurea in Matematica.

AA 2000-01
Metodi matematici e statistici (24 hours- 3 CFU- Laurea in Matematica)
Esercitazioni per i corsi di Analisi Matematica II e Istituzioni di Analisi Superiore al Corso di Laurea in Matematica.

AA 1999-00
Metodi matematici e statistici (24 hours- 3 CFU- Laurea in Matematica)
Alcune applicazioni della teoria delle equazioni differenziali (24 hours- 3 CFU) al Corso di perfezionamento in Matematica per le Applicazioni, Università di Bologna.
Esercitazioni per Analisi Matematica Ial Corso di Laurea in Matematica.
Esercitazioni per Analisi Matematica Ial Corso di Laurea in Fisica.

AA 1998-99
Esercitazioni per i corsi di Analisi Matematica I e Istituzioni di Analisi Superiore al Corso di Laurea in Matematica.

1995-1998
Esercitazioni per i corsi di Analisi Matematica I e II al Corso di Laurea in Scienze dell'Informazione, sede di Cesena.