Francesco Rotondi

Francesco Rotondi

I am a Lecturer in the Department of Finance at Bocconi University in the Mathematical Methods of Economic, Finance and Actuarial Sciences Scientific Sector. I am also a postdoctoral researcher in the Department of Mathematics at the University of Padova in the same sector. I hold a B.Sc. in Mathematics from the University of Padova (IT), a double-degree M.Sc. in Quantitative Finance from the University of Bologna (IT) and the Ludwig Maximilian University of Munich (DE), and a Ph.D. in Economics and Finance from Bocconi University.

Lecturer
About

I am the Assistant to the Director, Professor Battauz, of the MaFinRisk program (Specialized Master in Quantitative Finance and Risk Management) since a.y. 2020/21.

Research interests

My research area is quantitative finance with a focus on asset/derivatives pricing, empirical finance, and econometrics.

Working papers
Battauz, Anna; Rotondi, Francesco
American options with stochastic interest rates: the quadrinomial tree
2021
Battauz, Anna; Rotondi, Francesco; Sbuelz, Alessandro
Equity derivatives pricing with interest rate risk
2021
Cerreia-Vioglio, Simone; Ortu, Fulvio; Rotondi, Francesco; Severino, Federico
On time-consistent multi-horizon portfolio allocation
Fontana, C.; Rotondi, Francesco
Optimal withdrawal policies for GMWB Variable Annuities under stochastic interest rates
2021
Fontana C.; Rotondi, Francesco
Portfolio allocations and the Growth Optimal Portfolio
2021