Cristina Di Girolami

Education-Titles

• 5th September 2022 - actually: Assistant Professor (ricercatrice), permanent position, in

  MAT/06 at Alma Mater Studiorum Bolog(Italy), Dept. of Mathematics.

• October 2012 - 4 September 2022 : Assistant Professor (ricercatrice), permanent position, in Mathematics for Economics at University of Chieti-Pescara (Italy), Dept. of Neuroscience and Imaging.

• September 2011 - August 2021: Maître de Conférence (equivalente Professore Associato) per- manent position at the University du Maine, équipe Probabilités et Statistiques.

• March 2014 - November 2014 : Fellowship Marie Curie Cofund, 7e PCRD Brauder Outgoing, financial support from European Commission and Fondation Maison des Sciences de l’Homme. Location: LUISS Guido Carli, Roma.

• February 2011: National Qualification (ASN) of the French University System required for Maître de Conférence permanent position.

• January 2010-August 2011: Post-doc research position (Assegno) in Macroenomia and Mathe- matical Methods for Economics at Università LUISS Guido Carli (Italy).

• 2007- July 5th, 2010 : PhD in Mathematics, École de Ponts et Chaussées, Université Sorbonne Paris Nord (ancienne Université Paris 13) (France) in cotutelle with LUISS Rome (Italy).

• 2005- July 5th, 2010 : PhD in Mathematical Methods for Economics, Finance, Industry and Insurance, Università LUISS Guido Carli (Italy).

Research topics

• Stochastic processes for modeling finance products.

• Pricing and hedging.

• Validation models.

• Mathematical Finance, stochastic volatility.

• Affine Term Structure models.

• Infinite dimension calculus via regularization.

• Stochastic Control and Fukushima-Dirichlet decomposition.

• Verification theorem in control problems in the framework of delay equations.

Publications on international reviews

1. Di Girolami C. and Russo F. (2020) About classical solutions of the path-dependent heat equation Random Operators and Stochastic Equations., 2020; 28(3):1-30.
   Available on https://arxiv.org/abs/1804.03845 . https://doi.org/10.1515/rose.

2. Cosso A., Di Girolami C. and Russo F. (2016) Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. Contemporary Mathematics.
   2016: Volume 668 ISBNs: 978-1-4704-1945-5 (print);
   978-1-4704-3473-1 (online) DOI: http://dx.doi.org/10.1090/conm/668

3. Bambi M., Di Girolami C., Federico S. and Gozzi F. Generically distributed investments on flexible projects and endogenous growth. Economic Theory, 2015, DOI 10.1007/s00199-015-0946-z.

4. Di Girolami C. and Russo F. Generalized covariation for Banach space valued processes, Itô formula and applications. Osaka Journal of Mathematics, 51 (3), 729-785, 2014.
   Available at arxiv http://arxiv.org/abs/1012.2484v3. (45 pages).

5. Fabbri G. and Di Girolami C. and Russo F. (2013) The covariation for Banach space valued processes and applications. Metrika: Volume 77, Issue 1 (2014), Page 51-104 . DOI :10.1007/s00184-013-0472- 6.
   Available at arxiv http://fr.arxiv.org/abs/1301.5715 (45 pages).

6. Di Girolami C. and Russo F. Generalized covariation and extended Fukushima decompositions for Banach space valued processes. Applications to windows of Dirichlet processes. Infinite Dimensional Analysis, Quantum Probability and Related Topics (IDAQP) 15 (2012), no. 2, 1250007, 50 pp. (48 pages).

7. Coviello R. and Di Girolami C. and Russo F. On stochastic calculus related to financial assets without semimartingales. Bulletin des Sciences Mathématiques, 135(6-7): 733-774, 2011. (42 pages).

8. Di Girolami C. and Russo F. Clark-Ocone type formula for non-semimartingales with finite quadratic variation. Notes aux Comptes Rendus de l’Académie des Sciences. Séries mathématiques 349(3- 4):209-214, 2011.

Publications on national reviews

1. Arrigoni B. and Di Girolami C. and Peccati L. (2018) La valutazione degli indizi secondo il Cardinale Newman: dalla Teologia al Diritto, Cassazione Penale, n.10, 2018.