vai al contenuto della pagina vai al menu di navigazione

Mathematics of Economics, Finance and Actuarial Science

Mathematical economics and finance aim at forming meaningful, testable models about wide-ranging and complex subjects which could hardly be expressed informally. Further, the language of mathematics allows economists to make specific, positive claims about controversial subjects that would be impossible without a sound formal foundation. Models allow also the comparison of different alternative scenarios, especially in view of a choice for policy making.

In the Department of Mathematics the research may be broadly divided into the following two main strands.

Mathematical Finance

Mathematical finance aims at providing advanced powerful tools for the analysis of real financial markets as, for instance, performance indicators and risk measures as tools for decision making in finance and numerical methods for pricing and hedging derivatives, efficient implementation, calibration, risk analysis and sensitivity.

This approach may also promote strong and mutually reinforcing links with the private and Governmental institutions in order to further enhance the impact and influence of mathematical research on the financial industry.

Agent-Based Dynamic Models.

A new promising approach to the study of economic systems is the dynamic analysis, tracking changes in economic quantities and values over time, as the result of the interaction of many heterogeneous agents.

Such an approach allows to investigate the behavior of speculative markets (financial markets, housing markets, ...), international linkages between markets, technology diffusion and innovation processes in networks of firms, dynamics of the credit market and other macroeconomic phenomena driven by the interplay of bounded rational, heterogeneous agents, and expressed in the mathematical form of dynamical systems where multiple equilibria and complex dynamics may arise.

Agliardi Rossella

Financial mathematics. Option pricing. Partial differential equations.

Barzanti Luca

Bormetti Giacomo

Cesari Riccardo

Asset allocation. Interest rates. Financial derivatives.

Corradi Corrado

Dieci Roberto

Nonlinear dynamics. Heterogeneous-agent models. Complexity in economics and finance.

Guerra Maria Letizia

Lillo Fabrizio

Nardini Franco

Quaranta Anna Grazia

Spadoni Massimo

Linear optimization. Optimization.