Livieri Giulia - Scuola Normale Superiore
Transcript
Livieri Giulia - Scuola Normale Superiore
Giulia Livieri | Curriculum Vitae Piazza dei Cavalieri, 7 – 56126 Pisa, Italy 4 February 1988, Italian Education Scuola Normale Superiore Corso di Perfezionamento in Mathematical Finance Pisa Nov. 2013–Now Thesis: Computational Finance Key words: Monte Carlo Methods, Bayesian Inference, Stochastic Processes, Option pricing Supervisors: Prof. Giacomo Bormetti and Prof. Stefano Marmi University of Bologna, Department of Mathematics Postgraduate Course in Mathematical Finance Bologna 2012–2013, Oct-Apr Outline of the course: the primary objective of the course is to provide a rigorous preparation in economic theory and mathematical modelling of financial markets. It also provides expertise in numerical analysis, statistics and programming in MATLAB. Final score: 30/30 cum laude. University of Padova, Department of Mathematics Laurea in Mathematics Padova 2007–2012 Thesis title: A Mean Field Approach to the Multi-period Mean Variance Portfolio Optimization Supervisors : Dott. Markus Fischer and Prof. Paolo Dai Pra. Final score: 110/110. Work Experience Mediobanca S.p.A Equity Quants Team, Financial Engineering Milano 2013, Apr–Nov Specialities: { I collaborate to the development of the proprietary pricing models for derivative products (local volatility, stochastic volatility, jumps) to support financial transactions carried out by the operating rooms in Milan and London. { I collaborate to the expansion of the proprietary C++ pricing library: new contract, models implementation, maintenance and reinforcement. Supervisors: Dott. Pietro Parruccini and Dott. Marco Airoldi. Teach Experience Università di Bologna Scuola di Economia, Management e Statistica Specialities: { Appointed to teach the course Crash-course in mathematics. Referee Int. Journals ESAIM: Control, Optimisation and Calculus of Variations Forlì 2016, Sept-Oct Research M. Fischer, G. Livieri, Continuous time mean-variance portfolio optimization through the mean field approach, ESAIM: Probability and Statistics (2015) Submitted papers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G. Bormetti, R. Casarin, F. Corsi and G. Livieri, Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures, Submitted to Journal of Econometrics (2016) M. Donadelli, G. Livieri and A. Paradiso, Financial cyclical factors and growth: Insights from an augmented stochastic Solow growth model, Submitted to The Scandinavian Journal of Economics (2016) G. Bormetti, G. Callegaro, G. Livieri and A. Pallavicini, A backward Monte Carlo approach to exotic option pricing, Submitted to EJAM (2015) Work in progress. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G. Livieri, A. Pallavicini, M. Rosenbaum, S. Touhbi, A rough smile Conference, Workshop and Summer Schools (2016) 9–11 Dec, Seville, 9th International Conference of the ERCIM WG on Computational and Methodological Statistics, University of Seville, Invited Speaker. (2016) 27–28 Oct, Venezia, European Seminar on Bayesian Econometrics, Ca’ Foscari, Invited Speaker. (2016) 28–29 Jan, Pisa, XVII Workshop in Quantitative Finance, Scuola Normale Superiore, Invited Speaker. (2015) 22–23 Oct, Berlin, Junior Female Researchers in Probability, TU University, Invited Speaker. (2015) 14–16 Sept, Prague, Econophysics Colloquium 2015, Charles University. (2015) 31 Aug–4 Sept, Le Mans, European Summer School in Financial Mathematics-CMAP, Le Mans University. (2015) 27 Febr, Milan, The development of securities markets. Trends, risk and policies, Bocconi University. (2015) 29–30 Jan, Parma, XVI Workshop in Quantitative Finance, Department of Economics. (2014) 11–16 Aug, New York, Advanced Risk and Portfolio Management (ARPM) bootcamp by Attilio Meucci, New York University. (2014) 7–9 July, Pisa, Games and Decision 2, Scuola Normale Superiore. (2014) 6 June, Pisa, Symposium on Return Predictability in Stock and Real Estate Market, Scuola Normale Superiore. (2014) 6 May, Venezia, Diversification and Risk, Ca’ Foscari University. (2014) 23–24 Jan, Firenze, XV Workshop in Quantitative Finance, Department of Economics and Management. (2013) 2–6 Dec, Pisa, Deterministic and Stochastic Dynamics in Economics and Finance, Scuola Normale Superiore. Computer skills Operating System: Good knowledge of operating systems Mac Os, Linux, Windows. Programming: Expert user of C and Matlab; good knowledge of C++, Python and R. Applications: Microsoft Office, E.C.D.L. Core and Advance. Languages Italian: Mother-tongue English: Fluently written and spoken French: Basic Interests Finance, Global Politics, Economics, Cultures Extra Curricular Activities 2010–2012: Volunteer at the Hospital of Dolo, Venezia, Italy. 2010–2012: Member of the library committee in Venice Academic References { Prof. Giacomo Bormetti: Professor of Mathematics, University of Bologna, Department of Mathematics. e-mail: [email protected] { Dott. Giorgia Callegaro: Assistant Professor of Probability and Statistics, University of Padova, Department of Mathematics. e-mail: [email protected] { Prof. Stefano Marmi: Professor of Dynamical System, Scuola Normale Superiore. e-mail: [email protected] { Prof. Andrea Pallavicini: Visiting professor, Imperial College London, Department of Mathematics and Head of equity, FX and commodity models, Banca IMI e-mail: [email protected] I declare that all the statements reported in this document correspond to the truth according to the art. 46 and art. 47 of D.P.R. 445/2000. I am aware of the criminal sanctions imposed for documents falsification and making the false declarations/statements above listed according to the art. 76 of D.P.R. 445/2000. I authorize the treatment of my personal data according to the D. Lgs. 196 of 30/6/2003