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]
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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