Foto del docente

Roberto Dieci

Full Professor

Department of Mathematics

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences


i) models of financial market behaviour with multiple risky assets and heterogeneous investors, in both static and dynamic framework, with particular focus on the effect of heterogeneity on risk-return CAPM relations.

ii) dynamic models of interacting financial markets, e.g. the stock markets of two different countries and the foreign exchange market, in the presence of heterogeneous speculators, with a particular focus on volatility transmission and possible destabilizing effects.

iii) dynamic models of ‘cobweb' commodity markets, that become interconnected from the supply side due to the fact that bounded rational producers switch across markets depending on recently observed profit differentials.

iv) dynamic models of speculative bubbles in the housing market, in the presence of heterogeneous expectations about future housing prices.

v) dynamic duopoly models with firms' heterogeneous cost functions and behavioural rules.