My research interests
My research area is quantitative finance with focus on modelling of multidimensional stochastic volatility models and models with jumps.
I am particularly interested in volatility derivatives such as options on realized variance and VIX options, and in their pricing.
Another area of interest is that of optimal execution and algorithmic trading.
I am particularly interested in volatility derivatives such as options on realized variance and VIX options, and in their pricing.
Another area of interest is that of optimal execution and algorithmic trading.
Research periods Abroad
September 2015 Malaga University
August 2015 Maastricht University
Nov 2014-April 2015 Imperial College, London. Visiting prof. Damiano Brigo
May 2013 Tampere University of Technology
August 2015 Maastricht University
Nov 2014-April 2015 Imperial College, London. Visiting prof. Damiano Brigo
May 2013 Tampere University of Technology
Papers
P. Baldi, C. Pisani "Simple simulation schemes for CIR and Wishart processes", International Journal of Theoretical and Applied Finance, Vol. 16, Issue 08, Dec 2013. DOI: 10.1142/S0219024913500453
E. Nicolato, C. Pisani, D. Sloth "The impact of jump Distributions on the Implied Volatility of Variance", submitted, working paper available on SSRN
D. Brigo, C. Pisani, F. Rapisarda "The correlation skew in the MVMD model", working paper, available on SSRN and arXiv
C. Pisani "Second order discretization schemes for square root processes and applications to option pricing", working paper
C. Pisani "Pricing realized variance options using Laplace transforms: a comparison of inversion methods", working paper
E. Nicolato, C. Pisani, D. Sloth "The impact of jump Distributions on the Implied Volatility of Variance", submitted, working paper available on SSRN
D. Brigo, C. Pisani, F. Rapisarda "The correlation skew in the MVMD model", working paper, available on SSRN and arXiv
C. Pisani "Second order discretization schemes for square root processes and applications to option pricing", working paper
C. Pisani "Pricing realized variance options using Laplace transforms: a comparison of inversion methods", working paper