LUISS

Biography

Marco Papi is Associate Professor of Mathematical Methods for Financial Applications at the School of Engineering, University Campus Bio-medico of Rome (Italy), where he covers also the role of Vice-Dean of the Department of Engineering. In 2014 he was appointed as Coordinator of Studies of the School of Engineering of the University Campus Bio-medico, where is also member of the Research group of the Complex Systems and Security Lab, within the Engineering Faculty. He joined the Department of Engineering in 2008 where he was Senior Researcher until 2010. From 2015, he is member of the board of the Ph.D. Program in Methods and Models for Economic Decisions at the University of Insubria, Varese (Italy). From 2005 to 2008, he has been Assistant Professor of Mathematical Finance at the University of Insubria. From 2003 to 2004, he gained a Post-Doc position at the Institute for Applied Computing of the Italian National Research Council (CNR). From 2007 to 2011, he has been member of the Steering Committee and Program Coordinator of the research network on Advanced Mathematical Methods for Finance, promoted by the European Science Foundation (ESF). He currently teaches Mathematical Analysis (Italian) and Mathematical Methods for Engineering (Italian) at the School of Engineering of the University Campus Bio-medico, Mathematics and Computer Science in the Science for Nutrition degree program, Mathematics for Economics (Italian) and Mathematical Finance (English) at the University Luiss Guido Carli of Rome. He has been and currently is the Advisor of several Master and PhD theses on applied mathematics. He holds a Master degree in Mathematics (magna cum laude) from the University of Rome TRE and a Ph.D. in Mathematics, with emphasis on quantitative finance, from the University of Rome “Tor Vergata”. Prior to or during his Ph.D. he specialized in pricing methods for financial derivatives, partial differential equations, dynamic and stochastic programming applied to portfolio management. In 2002, he also spent a period of one year abroad, working as a teaching assistant in the Department of Applied Mathematics in the University of Texas at Austin.

EDUCATION

[2004] Ph.D. in Mathematics, with emphasis in Finance, University of Rome “Tor Vergata”, Italy. Defended on February, 19th 2004. Advisor: Prof. R. Natalini.
[1999] Graduated in Mathematics, summa cum laude, University of Rome TRE, Italy. Advisor: Prof. R. Natalini.

PROFESSIONAL EXPERIENCE

[since 12/2016] Vice-Dean of the Department of Engineering at the University Campus Biomedico, UCBM, Rome (Italy).

[2014-2016] Coordinator of Studies of the School of Engineering of the University Campus Biomedico, UCBM, Rome (Italy).

[since 01/2011] Associate Professor of Mathematics and Financial Mathematics at the School of Engineering, UCBM, Rome (Italy).

[07/2010] Appointed Associate Professor of Mathematics and Financial Mathematics.

[since 07/2010] Appointed Associate Professor of Mathematics and Financial Mathematics.

[09/2008-12/2011] Assistant Professor of Mathematics and Financial Mathematics at the School of Engineering, UCBM, Rome (Italy).

[3/2005-8/2008] Assistant Professor in Mathematics and Financial Mathematics in the Department of Economics, University of Varese (Italy).

[1/2005-2/2005] Research grant – Luiss University, Department of Economics, Rome, Italy.
Research topic: Risk Management and Decision Optimization Systems.

[2003-2004] Research grant – IAC-CNR (Institute for Applied Computing – Research National Council) and
Treasury Dept. of the Ministry of Economic and Finance.
Research unit: Portfolio Optimization and Term-Structure Models for the Public Debt Management. Analysis of Optimal Strategies for the Issuances of Public Debt Securities.

[2002-2003] Teaching Assistant in Probability and PDEs at the University of Texas at Austin.

[2000-2002] Research grant – IAC-CNR.
Research topic: Design and Implementation of Effective Approximation Methods for Pricing Equations Arising in Mathematical Finance.

[1999-2000] Research grant – IAC-CNR and INA S.p.A. Capital Markets Department. Research topic: Asset-Liability Management for Insurance Companies.

RESEARCH PROJECTS

[2007-2010] Programme coordinator of the project “Advanced Mathematical Methods for Finance”, promoted by the European Science Foundation.

[2006-2008] Participation to the research project “Optimality conditions, critical points and numerical methods in vector optimizazion”, financed by the University of Varese (FAR).
Coordinator: Prof. A. Guerreggio, Faculty of Economics.

[2006-2008] Participation to the PREMIA consortium, carried out at INRIA and CERMICS, for the devel-
opment of ecient numerical schemes for pricing multi-dimensional options.

[2004-2006] Participation to the research project PRIN on Mathematical, Economic and Statistical Sciences.
Coordinator: Prof. W. Runggaldier, University of Padova.

[2003-2004] Cofin. (MIUR), Economic and Statistical Sciences. Coordinator: Prof. F. Gozzi, Luiss University, Rome, Italy.

[2003-2004] “Optimal strategies for the public debt management” (G.N.A.M.P.A.). Coordinator: Dr. B. Piccoli, Research Director IAC-CNR.

[2002-2003] “Distributional properties of stochastic control processes and their applications to portfolio optimization” (G.N.A.M.P.A.). Coordinator: Dr. B. Piccoli, Research Director IAC-CNR.

SCHOLARSHIPS AND AWARDS

[2004] Winner of the competition for a 4 years grant for post-graduate education supported by the Department of Economics, Luiss University, Rome, Italy.

[2006] Winner of the competition for a 3 years full time position as Assistant Professor in Economics and Business at Luiss University, Rome, Italy.

[1997-1999] Grant of the University of Roma TRE, as teaching assistant at the Department of Mathematics.

TEACHING

[2009-2014] Lecture course in Mathematical Methods, School of Engineering, UCBM, Rome.
[2009-2012] Lecture course on Optimization and Technical Decisions, School of Engineering, UCBM, Rome.
[2010-2013] Lecture course on Mathematical Models for Financial Markets, Dep. of Mathematics, University of Rome TRE.
[2009-2014] Lecture course in Mathematics for Economics, Faculty of Economics, Luiss University, Rome.
[2005-2014] Lecture course in Mathematical Analysis, School of Engineering, UCBM, Rome.
[2008-2009] Lecture course in Quantitative Methods in Business, MSc in Business Administration, Faculty of Economics, University of Rome “Tor Vergata”.
[2008-2009] Lecture course in Mathematics 2, Advanced Calculus in Economics and Finance, Faculty of Economics, Luiss University, Rome.
[2008-2009] Lecture course in Mathematics for Economics, Faculty of Economics, Luiss University, Rome.
[2005-2008] Lecture course in Mathematical Finance, Faculty of Economics, University of Varese, Italy.
[2006-2008] Lecture course in Mathematics for Economics, Faculty of Economics, University of Varese, Italy.
[2005-2006] Lecture course in Financial Engineering Models II, Faculty of Engineering, University of Rome
“Tor Vergata”, Italy.
[2004-2005] Lecture course in Financial Engineering Models I, Faculty of Engineering, University of Rome
“Tor Vergata”, Italy.
[2004-2006] Tutorial for the course in Mathematical Portfolio Theory, Faculty of Economics, Luiss University,
Rome, Italy.
[2003-2005] Tutorial for the course in Mathematical Models of Financial Markets, Department of Mathematics, University of Rome TRE, Italy.
[2004-2005] Tutorial for the course in Advanced Calculus, Faculty of Statistics, University of Rome “La Sapienza”, Italy.
[2003-2004] Lecture course in Mathematical Methods for Economics, Faculty of Economics, University of Rome “La Sapienza”, Italy.
[2002-2003] TA for the courses in Probability and Partial Di erential Equations and Applications, University
of Texas at Austin.
[2001-2002] Lecture course in Advanced Mathematical Analysis, Faculty of Engineering, University of Rome “La Sapienza”, Italy.
[1997-1999] Tutorial for the course in Basic Calculus, University of Rome TRE, Italy.

SEMINARS AND TALKS

SEMINARI E COMUNICAZIONI
– September 13, 2013. “Risk and Uncertainty in Mathematical Models for Finance”, talk at the workshop on Mathematics and Economics, LUSPIO University, Rome, Italy.
– March 12, 2013. “Dynamic Asset Allocation Strategies”, University LUSPIO, Rome, Italy.
– September 15, 2013. “The Financial Crisis and the Crisis of Financial Mathematics”, talk at the workshop on Mathematics and Economics, LUSPIO University, Rome, Italy.
– April 11, 2011. “Singular Valuation Equations and Bubbles”, University of Rome “Tor Vergata”, Italy.
– January 18, 2011. “Optimal Debt Securities: A Simulation Framework”,
University LUSPIO, Rome, Italy.
– September 10, 2010. “Regularity of Singular Risk-Neutral Valuation Equations”, talk at
Kolmogorov Equations in Physics and Finance, Modena (Italy).
– May 6, 2010. “Regularity for Singular Risk-Neutral Valuation Equations”, talk at the 5th General
Amamef Conference, Bled (Slovenia).
– May 8, 2009. “Singular Valuation Equations in Finance}”, talk at the 4th General Amamef Conference, Centre of Mathematics for Applications of Oslo, Alesund, Norway.
– May 9, 2008. “Existence and uniqueness of solutions for some degenerate valuation equations
and applications”, talk at the 3rd General Amamef Conference, University of Pitesti, Romania.
– January 24, 2008. “A PDE-based Approach for Pricing Mortgage-backed Securities”, talk at the
IX Workshop on Quantitative Finance, University of Rome “Tor Vergata”, Italy.
– December 6, 2007. “Prepayment and Credit Risk Models in the Valuation of Mortgage-Backed
Contracts”, Institute of Applied Mathematics and Information Technology (CNR), Milan, Italy.
– September 18, 2007. “Credit Risk Modeling and Valuation”, seminar lecture at the Joint Research
Centre, Ispra, Italy.
– September 12, 2007. “Continuous-time Financial Markets”, seminar lecture at the Joint Research Centre, Ispra, Italy.
– July 11, 2007. “A Dynamic Interaction Model for In
ation, ECB and Short-term Interest Rates”,
talk at the 22nd European Conference on Operational Research, special session on Financial Optimization and Risk Management in Public Dept Analysis, University of Economics, Prague.
– February 16, 2007. “Finite Differences Approximations for Multidimensional Models of Pricing”, seminar at Cermics (ENPC), Marne-la-Valle e, Paris (France).
– November 22, 2006. “Optimal Debt Securities Strategy and Simulation Framework”, seminar at
Economics and Business Department, University Luiss Guido Carli, Rome, Italy.
– February 2, 2006. “Scenario-Generation Methods for Public Debt Management”, talk at the Amamef conference on Numerical Methods in Finance, INRIA, Rocquencourt (France).
– June 6, 2005. “Design and Estimation of Term Structure Models: An Introduction”, seminar
at the Master in Scientific Calculus, Department of Mathematics, University of Rome “La
Sapienza”, Italy.
– May 23, 2005. “Term Structure Dynamics of Interest Rates by Exponential-Ane Models”,
seminar at the Master in Scientific Calculus, Department of Mathematics, University of Rome
“La Sapienza”, Italy.
– November 18, 2004. “A Quadratic Gradient Equation for pricing Mortgage-Backed Securities”,
talk at the workshop on PDEs and Finance, University Marne-la-Vallee, Paris (France).
– October 27-30, 2004. “Scenario-Generation Methods for an Optimal Public Debt Strategy”, talk at the workshop on Advanced Mathematical Methods for Finance, Technische Universitaet Muenchen, Munich (Germany).
– October 2, 2003. “An ALM Model for Insurance Companies”, seminar at Piz2@iac, Institute for Applied Computing, Rome, Italy.
– October 13, 2003. “Optimal ALM with Constraints: A Dynamic Programming Approach”, seminar at the Department of Economics, University of Varese, Italy.
– June 3, 2003. “Optimal Asset Liability Management with Stochastic Programming”, University of Rome “Tor Vergata”, Italy.
– November 29, 2001. “Optimal ALM for Insurance Companies”, seminar at the Department of Pure and Applied Mathematics, University of Padova, Italy.
– “The Valuation of Mortgage-Backed Securities: a Differential Model”, talk at the workshop on Viscosity Solutions and Applications, Brixen, Italy, 2000.
– “A Portfolio Optimization Problem for an Insurance Company”, talk at the 5th SIMAI conference, 2000, Ischia, Italy.
– “Pricing a Mortgage-Backed Security”, talk at the 5th SIMAI conference, 2000, Ischia, Italy.

MAIN PUBLICATIONS

– “A Model for the Optimal Asset-Liability Management for Insurance Companies”, with M. Bernaschi,
M. Briani, F. Gozzi, S. Sbaraglia, `International Journal of Theoretical and Applied Finance’,
Vol. 6, No. 3, 2003. ISSN: 0219-0249.

– “A Generalized Osgood Condition for Viscosity Solutions to Fully Nonlinear Parabolic Degene-
rate Equations”, `Advances in Di erential Equations’, Vol. 7, No.9, 2002. ISSN 1079-9389.

– “Regularity results for a class of Semilinear Parabolic Equations and Applications”, `Communi-
cations in Mathematical Sciences’, Vol. 1, No. 2, 2003. ISSN: 1539-6746.

– “Lipschitzian Estimates in Discrete-Time Constrained Optimal Control”, with S. Sbaraglia, `Dy-
namics of Continuous, Discrete and Impulsive Systems’, Series A: Mathematical Analysis, Vol.
13, No. 1, 2006. ISSN: 1201-3390.

– “Optimal Asset-Liability Management with Constraints: A Dynamic Programming Approach”,
with S. Sbaraglia, `Applied Mathematics and Computation’, Vol. 173, No. 1, 2006. ISSN:
0096-3003.

– “Regularity Properties of Constrained Set-Valued Mappings”, `Nonlinear Analysis: Theory, Meth-
ods & Applications’, Vol. 54, No. 7, 2003. ISSN: 0362-546X.

– “On the Domain of the Implicit Function and Applications”, `Journal of Inequalities and Appli-
cations’, Vol. 3, 2005. ISSN: 1025-5834.

– “Scenario-Generation Methods for an Optimal Public Debt Strategy”, with M. Bernaschi, M.
Briani, D. Vergni, `Quantitative Finance’, Vol. 7, No. 2, 2007. ISSN: 1469-7688.

– “A PDE-Based Approach for Pricing Mortgage-Backed Securities”, with M. Briani, Report
IAC-CNR n.75 6/2005, publication on the AMAMEF Book, Springer Ed., 2010.

– “Singular Valuation Equations in Finance”, with C. Costantini and F. D’Ippoliti, 2010,
accepted for publication on Finance and Stochastics.

Updated on November 25th, 2009

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