Foto del docente

Antonio Castagna

Adjunct professor

Department of Statistical Sciences "Paolo Fortunati"

Curriculum vitae



2008, Jul - today: Risk Expert Consultant at Iason ltd

Banca Profilo Milan - ITALY

2006, May – 2008, June: Head of Derivatives Products Structuring and Trading

Banca d’Intermediazione Mobiliare IMI Milan - ITALY

2003, October – 2006, April : Head of FX volatility trading

2001, January - : Exotic FX Option Trader

Run a book of exotic FX Options. Market maker for the major crosses. Set up of the desk in the 2001. Developed pricing systems for exotic options, volatility matrix builders and portfolio analysis sheets (in Excel). Supported the quantitative department in the design of theoretical pricing models to deal with smiled volatility surfaces.

1999, November – 2000, December: Interest Rate Option trader

Managed the USD interest rate volatility book and co-managed the EUR interest rate volatility book. Market maker for swaption, caps and floors and exotic interest rate options. Supported the Quantitative Department for the development of in-house pricing systems for exotic interest rate derivatives. Market maker also for bond options market.

1999, January – 1999, November: FX Option trader

Started and co-managed the Fx-option desk. Market maker for plain vanilla options and for barrier options on the major pairs. Support to sales for the development of structured products. Implemented in-house software to price and hedge exotic options.

IMI Bank (Lux) Luxembourg – LUXEMBOURG

1997, September – 1999, January: Financial Risk Analyst.

Monitored the performance and market risk levels of the Trading Departments. Instruments traded were: interest rate derivatives (swap, FRA, interest rate and bond futures), euro and governments bonds, deposits, forex and forex swaps. Risk management and performance monitoring of OTC options on governments bonds and swaptions. Was system administrator of the two trading systems Kondor+ and Bloomberg. Improved and automated the reporting and reconciliation between financial and accounting results.

Istituto Mobiliare Italiano Rome – ITALY

1996, June - July: term contract job

Participated in a work-group to draw up the business plan of a phone bank



1990-95: Libera Università Internazionale degli Studi Sociali – LUISS Guido Carli – Rome

Business and Economics Department, Course of Corporate Finance.


American Options and Numerical Procedures for Their Evaluation.

Supervisors: Emilio Barone, Professor of Economics of Financial Markets;

Rainer S. Masera, Professor of International Financial Markets.

Discussed the pricing theory for American stock options and interest rate options. Several numerical techniques for the valuation were examined; their efficiency and convergence were tested by software developed in C.

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