He is an Italian mathematician, internationally known for a number of results in mathematical finance. He graduates in Applied Mathematics at the University of Padua in Italy. He obtains a Ph.D. in Mathematical Finance at the Erasmus University of Rotterdam working on the theory of incomplete markets using dynamic medium-variance coverage techniques.
He is expert in derivative pricing models on all asset classes, in risk management techniques, in stochastic calculations and in the use of advanced mathematical instruments applied to finance.
In collaboration with Damiano Brigo (2002-2003), he has shown how to create stochastic differential equations coherent with mix models, in particular with regard to the “volatility smile” model. He is also one of the main authors of inflation modeling.
After an initial experience as analyst in a leading national banking group, from 1998 to 2008 he assumes responsibility for the research on financial models first and then on the entire financial engineering for a leading national and international investment bank.
Founding member of Risk Who’s Who, in 2008 he is the most quoted author in Risk Magazine.
In 2009 he moves to Lugano working as Senior Business Manager in Bloomberg LP, the most important economic and financial evaluation and information agency in the world. He leads the formulation and helps on the implementation of best-practice interest rate and inflation derivatives pricing models. In 2011 he moves to Bloomberg LP offices in New York becoming Head of Quant Business Managers. From 2012 to 2015 he heads up the research activity on derivatives.
From 2013 to 2014 he is a member of the New York CME for interest rate risk.
In 2015 he becomes Global Head of Quantitative Analytics still in Bloomberg LP.
Concerning his academic experience, from 2005 to 2007 he is adjunct professor at Bocconi University in Milan and since 2011 adjunct professor at Courant Institute of Mathematical Science at New York University.
He is author of over 70 publications on the main international financial magazines. His book “Interest Rate Models: Theory and Practice”, written in 2001 together with D.Brigo, has quickly become the main international reference for the modeling of the dynamic stochastic interest rate.