Areas of interest Academic positions Education

Andrea GAMBA
Curriculum Vitae
University of Verona
Department of Economics
Via Giusti 2 - 37129 Verona
Tel +39 045 805 4921
Fax + 39 045 805 4935
email: [email protected]
Areas of interest
Teaching : Corporate finance, Derivatives Pricing;
Research :
• Corporate finance (capital structure, cost of capital and credit risk, corporate
risk management, real options, agency costs);
• Numerical methods for finance (multidimensional lattices, Monte Carlo simulation, structural estimation of real option models, Markov Decision Processes).
Academic positions
• Visiting Professor, George Washington University, School of Business, Finance Department, August 2008 - July 2009.
• Associate Professor (with tenure) of Financial Mathematics, November, 2000 – present,
Department of Economics, University of Verona.
• Assistant Professor of Financial Mathematics, from March, 1996 to October, 2000,
Department of Applied Mathematics, University “Ca’ Foscari” of Venice.
• Adjunct Professor, from October 2000 to February 2001, University “Ca’ Foscari” of
Venice.
• Adjunct Professor, from October 1995 to February 1996, University of Padua.
• Research assistant, July-November 1991 and February-December 1995, Faculty of
Economics, University of Verona.
Education
• PhD in Applied Mathematics, University of Trieste, October 1995. (Thesis title
“Three Essays in Decision Theory”)
• “Laurea” Degree in Economics (cum laude), University of Verona, July 1991. (Thesis title “Duration Analysis and Immunization of Bond Portfolios”.)
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Main publications
1. Gamba A., N. Fusari, “Valuing Modularity as a Real Option”, Management Science,
2009, forthcoming.
2. Gamba A., G. A. Sick, “Some Important Issues Involving Real Options”, Multinational Finance Journal, 2009, forthcoming.
3. Gamba A., M. Tesser, “Structural Estimation of Real Options Models”, Journal of
Economic Dynamics and Control, Vol. 33(4), April 2009, 798–816.
4. Gamba A., A. J. Triantis, “The Value of Financial Flexibility”, Journal of Finance,
Vol. 63(5), October 2008, 2263–2296.
5. Gamba A., R. Rigon, “The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts - A Note”, Finance Research Letters, Vol. 5(4),
December 2008, 213–220.
6. Gamba A., “Real Options: a Monte Carlo Approach”, Handbooks in Finance: Real
Options, G.A. Sick and S. Myers (eds.) (North Holland), accepted for publication.
7. Gamba A., C. Aranda and G. A. Sick, “Investment under Uncertainty, Capital Structure, and Taxes”, Economic Notes, vol. 37(1), 2008, pp. 31-58.
8. Gamba A., A. Micalizzi, “Product Development and Market Expansion: a Real Options Model”, Financial Management, Vol. 36(1), 2007.
9. Gamba A., L. Trigeorgis, “An Improved Binomial Lattice Method for Multi-Dimensional
Options”, Applied Mathematical Finance, Vol. 14(5), 2007, pp. 453-475.
10. Gamba A., P. Pellizzari, “Utility based pricing of contingent claims in incomplete
markets”, Applied Mathematical Finance, Vol. 9(4), 2002, 241-260.
11. Gamba A., “Portfolio Analysis with Stable Paretian Returns“, in Current Topics in
Quantitative Finance, E. Canestrelli (ed.), 1999, Heidelberg (Germania): SpringerVerlag, pp. 48-69.
Working Papers
1. Gamba A. and C. Aranda, “The Effect of Investment and Financing Policies on
Credit Risk”, 2009, Submitted.
2. Gamba A., A. J. Triantis, “Valuing Corporate Financing Strategies”, 2009, Submitted.
3. Gamba A., A. J. Triantis, “A theory of integrated risk management”, in preparation.
4. Gamba A., C. Pirinsky, “Corporate diversification and the value of internal capital
markets”, in preparation.
5. Gamba A., A. Saretto, “Structural estimation of credit risk models”, in preparation.
6. Gamba A., G. De Nicolò, M. Lucchetta, “Bank risk management, liquidity, and regulation”, in preparation.
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Other publications
1. Gamba A., “Rappresentazione di preferenze su progetti finanziari mediante funzionali con utilità prefissata”, Rendiconti del Comitato per gli Studi Economici, vol.
XXXII, 1994, pp. 119-132.
2. Gamba A., “Un approccio unificato alla dominanza temporale”, Rivista di Matematica per le scienze economiche e sociali, Anno 1996, Vol. 18-2, pp. 229-243.
3. Gamba A., “Archimedeità delle preferenze e linearità del funzionale di rappresentazione”, Rendiconti per gli studi economici quantitativi, Volume Unico, 1996.
4. Gamba A., P. Pellizzari, “Utility based Hedging of Liabilities in Incomplete Markets”, in Generalized Convexity and Optimization for Economic and Financial Decisions, G. Giorgi and F.A. Rossi (eds.), 1998, pp. 155-167.
5. Gamba A., “Portfolio Selection and CAPM in a Stable Paretian Market”, Badania
Operacyjne i Decyzje, 1, 1998, Wroczlaw (Polonia), pp. 19-41.
6. Gamba A., F.A. Rossi, “A Three-moment Based Portfolio Selection Model”, Rivista
di Matematica per le scienze economiche e sociali, 1998, pp. 25-48.
7. Gamba A., F.A. Rossi, “Mean-Variance-Skewness Analysis in Portfolio Choice and
Capital Markets”, Ricerca Operativa, vol 28 n 85/86, 1998, pp. 5-46.
8. Gamba A., F.A. Rossi, “Un modello di crescita per imprese indebitate”, Atti XVIII
Convegno AMASES, Modena, 1994, pp. 257-270.
9. Gamba A., F.A. Rossi, “A three-moment based CAPM”, Atti delle Giornate di lavoro su Convessità e Calcolo Parallelo, Verona, G. Giorgi and F.A. Rossi (eds.) 1997,
pp. 113-129.
10. Gamba A., “Continuous Linear Representations of Preferences”, Atti delle Giornate
di lavoro su Convessità e Calcolo Parallelo, G. Giorgi and F.A. Rossi (eds.) 1997, pp.
97-112.
11. Gamba A., “Valutazione di attività reali in condizioni di incertezza e flessibilità”,
in Valutazione d’Azienda, E. Cotta Ramusino and L. Rinaldi (eds), Il Sole 24 Ore,
Milano, October 2003.
12. Gamba A., F. Rossi, “Mean-Variance-Skewness Analysis in Portfolio Choice and
Capital Markets”, in Analisi Economica e Società Civile - Scritti in Onore di G.
Gaburro, Baranzini et al. (eds.) 2004, 727-757.
Unpublished papers
1. Gamba A., “Un duale del teorema di Savage di rappresentazione di preferenze mediante funzionali lineari”, Department of Applied Mathematics, University “Ca’
Foscari” of Venice, working paper, 1994.
2. Gamba, A. Micalizzi, P. Pellizzari, “Valuing the launch of a new pharmaceutical
product”, DIR – Divisione Ricerche, SDA-Bocconi, working paper, 1999.
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Visiting and research appointments
• Visiting Scholar, Department of Economics, New York University, April - May, 1998.
• Visiting Scholar, Department of Economics, Krannert School of Management, Purdue University, March-May, 1999.
• Visiting Scholar, Haskayne School of Business, University di Calgary (Alberta Canada), February-April 2002 and April 2004
• Visiting Scholar, HERMES - University of Cyprus (Cyprus) – April-May 2002.
• Visiting Scholar, University of Navarra (Spain) – November 2002 and February
2004.
• Visiting Scholar, University of Maryland, Robert H. Smith School of Business – Department of Finance, March-April 2004, February-March 2005, February-April 2006.
Conference presentations
• EFA Annual Conference, Bergen (Norway), 19–22 August, 2009 (two papers presented)
• International Conference on Real Options, University of Minho (Portugal) & University of Santiago (Spain), June 17–20, 2009
• FMA Asian Meeting, Xiamen (Cina), 6–8 May, 2009
• IX Workshop on Quantitative Finance, Rome (Italy), January, 2008
• Invited speaker, SITE conference, Stanford University (California), July, 2007
• FMA European Meeting, Barcelona (Spain), May, 2007
• SSES Annual Meeting - Finance and Financial Econometrics, St. Gallen (Switzerland), March, 2007
• Workshop on Quantitative Finance, Venice (Italy), January, 2007
• WFA meeting, Denver (Colorado), June, 2006
• Washington Area Finance Association meeting - George Washington University
(March, 2006)
• AFA meeting Boston (Massachussets), January, 2006
• EFA Annual Conference, State University – Higher School of Economics, Moskow
(Russia), August, 2005
• FMA European Meeting, Siena (Italy), June, 2005
• EFMA, Milan (Italy), June, 2005
• International Conference on Real Options, EDC, Paris (France), June, 2005
• 2004 Summer UBC Finance Conference, Vancouver, August, 2004
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• Northern Finance Association, Universitè Laval, Quebec City, (Quebec - Canada),
September, 2003
• Quantitative Methods in Finance 2003 Conference, Sydney (Australia), December,
2003
• International Conference of Finance - AFFI, Hammamet (Tunisia), March, 2003
• International Conference on Real Options, Georgetown University, Washington (DC),
July, 2003
• International Conference on Real Options, University of Cyprus (Cyprus), July,
2002
• Research Workshop on Recent Topics in Real Options Valuation, Vienna University
of Technology, Krems (Austria), July, 2002
• EFA Annual Conference, Humboldt University, Berlin (Germany), August, 2002
• Workshop on Quantitative Finance, Pisa (Italy), January, 2001
• International Conference on Real Options, UCLA, Los Angeles (CA), July, 2001
• Workshop on Quantitative Finance, Pescara (Italy), January, 2000
• International Conference on Real Options, NIAS, Leiden (The Netherlands), June,
1999
• 50th Meeting of the Midwest Economic Theory Conference, Purdue University (Indiana), May, 1999
• Northern Finance Association 99 Conference”, University of Calgary, Calgary (Alberta - Canada), September, 1999
• 16th European Conference on Operational Research, Brussels (Belgium), July, 1998
• Giornate di Lavoro AIRO 97, Saint Vincent (Italy), September, 1997
• Invited speaker, Workshop in Finance, Scuola Superiore di Studi Avanzati (SISSA),
Trieste (Italy), October, 1997
• EURO Working Group on Financial Modelling, Venice (Italy), November, 1997
• Giornate di lavoro su Convessità e Calcolo Parallelo, Verona (Italy), May, 1997
• EURO Working Group on Financial Modelling, Keele (UK), April, 1996
Invited Seminars
• George Washington University - Finance Department (March, 2009)
• DePaul University - Finance Department (May, 2009)
• HEC Montreal - Finance Department (November, 2008)
• University of Venice - Dept. of Economics (September, 2007)
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• Polytechnic University of Milan - Dept. of Applied Mathematics (May, 2007)
• University of Maryland - Dept. of Economics (April, 2006)
• University of Padua - Dept. of Economics (May, 2006)
• University of Brescia - Dept. of Economics (January, 2005)
• University of Calgary - Haskayne School of Business (April, 2004)
• University of Maryland - Robert H. Smith School of Business (April, 2004)
• University of Italian Switzerland - Dept. of Finance (January, 2003)
• University of Navarra (November, 2002)
• University of Calgary - Haskayne School of Business (March, 2002)
• University of Cyprus - HERMES (April, 2002)
• University of Florence - Dept of Mathematics for Economic Decisions (March, 1999)
• University of Verona (1999 and 1996)
Awards and grants
• Research grant, Department of Economics, “A structural model for corporate hedging and investment decisions”, 2008
• MIUR – PRIN research grant “Credit Risk Measurement”, grant 2006132713, 20072008.
• Research grant, Department of Economics, “A new structural model for credit risk”,
2005
• MIUR – PRIN research grant “Management, Valuation and Hedging of Credit Risk”,
2004-2005.
• Lead researcher on Unicredit (UGC) research grant to University of Verona/Department
of Economics, on “Valuation of Non-Performing Loans”, 2002-2004.
• Research grant, Department of Economics, “Valuation and Optimal Management
of Non-Performing Loans”, 2002
• MIUR research grant, “Models for managing credit risk”, 2003
• MURST research grant, 1999
• MURST research grant “Duality and applications to asset pricing and preference
representation”, 1998
• CNR research grant “Statistic, decisions and game theory”, 1998
• University “Ca’ Foscari” of Venice, research grant “Decision models in a stochastic
framework”, 1997
• MURST research grant “Generalized convexity and optimization for economic and
financial decisions”, 1997
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• MURST research grant “Financial Models for Applications”, 1996
• MURST research grant “New Models for Decision Theory”, 1995
Academic and Professional Activities
• Referee for the Journal of Money Credit and Banking, Journal of Public Economic
Theory, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Quantitative Finance, Applied Mathematical Finance, Multinational Finance
Journal, Research in Economics, Economic Notes, Annals of Operations Research,
European Journal of Operational Research, Decisions in Economics and Finance,
Review of Financial Economics, European Financial Management.
• Member of the Board of Dept of Economics, University of Verona, 2003-2004.
• Organizer of the “Summer School in Finance”, Alba di Canazei - Trento (Italy), 2003
• Organizer, Giardino Giusti seminar series, years 2001–2003.
• Organizer, PhD summer course on “Modern Corporate Finance Theory and Real
Options” (University of Verona, June, 2003), with Eduardo S. Schwartz, Anderson
Graduate School of Management at UCLA, Gordon A. Sick, Haskayne School of
Business, University of Calgary, Carmen Aranda Lèon, University of Navarra.
• Organizer SAFE conference 2006 “Asset returns and firm policies”, June 29-30, 2006
– Verona.
• Organizer SAFE conference 2004 “Corporate Bonds”, July 2, 2004 – Verona
• Member of the scientific board, Workshop of Quantitative Finance 2001 (Pisa), 2002
(Verona), 2003 (Torino), 2004 (Siena), Milan (2005), Perugia (2006)
• Member of the organizing committee of Convegno AMASES 2002
• Member of the organizing committee of International Conference on Real Options
2000 (University of Cambridge)
• Member of the organizing committee of International Conference on Real Options
2001 (UCLA)
• Member of the organizing committee of Multinational Finance Society conference,
June, 2001.
• Member of the organizing committee of EURO Working Group on Financial Modelling, Venice, October, 1997
Graduate Student Supervision
• Cristina Sommacampagna, thesis title “Estimation methods of dynamic models of
investment decisions”, PhD in Applied Mathematics, University of Trieste, 2005
• Daniele Poiega, thesis title “Dynamic financing and investment decisions: analysis
of structural models”, PhD in Applied Mathematics, University of Trieste, 2007
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• Fusari Nicola, thesis title “Valuation of investment in modular projects”, Master in
Quantitative Methods for Finance, Verona, 2004
• Matteo Sandri, thesis title “A new Value-at-Risk approach for interest rate sensitive
derivative contracts”, Master in Quantitative Methods for Finance, Verona, 2007
• Riccardo Rigon, thesis title “Valuing the options embedded in a leasing contract”,
Master in Quantitative Methods for Finance, Verona, 2007
Courses taught
• Options (MBA at George Washington University School of Business), 2009.
• Financial Decision Making (advanced topics in corporate finance) (MBA at George
Washington University School of Business), 2008/09.
• Financial Mathematics (undergraduate), 2006–2008.
• Finance theory (master), 2001–2008
• Principles of Corporate Finance, International Master In Finance, University “Ca’
Foscari” of Venice, 2008.
• Mathematics for Economic and Financial Decisions (undergraduate), 2000–2006
• Real options (master), 1999-2006
• Modern Corporate Finance Theory and Real Options (PhD), 2001–2003
• Foundations for Financial Economics (PhD), 2003–2008
• Principles of Mathematics for Economics (undergraduate), 1996–00.
• Mathematics for Economics, 1998
• “Quantitative Methods for Economics”, Master in Economics and Finance, Venice
International University, 1997
• “Investment Analysis”, short course, Associazione Italiana Analisti Finanziari, Milan, 2001
• Portfolio Analysis, short course, Milano Finanza, Milan, 1999
• “Investment under uncertainty”, short course, Master in Banking and Finance –
CUOA 2000–2006.
• “Investment under uncertainty”, short course, Master in International Finance, University of Pavia, 2000–2003.
• “Real options valuation”, short course, SDA – University Bocconi, 2001–2003.
• “Valuation of Employee Stock Option Plans”, short course, 2005 and 2007.
• “Valuing investment in the new economy using real options”, short course, Il Sole
24 Ore October 2000, February 2001, October 2001
• “Investment Analysis”, short course, Master in Private Banking, University of Verona,
2003–2005
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Consulting activity
• Real options valuation, FIAT/IFIL (1999)
• Real options valuation, SwissCom/Debitel (2000)
• Real options valuation, Cable & Wireless (2000)
• Valuation of non-performing loans, UGC Banca - Unicredit Group (2002-2003),
• Expert witness for the Milan Court on pricing derivatives related to Parmalat case
• Derivatives pricing, Cattolica Assicurazioni (2007-2008)
September 13, 2009
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