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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
Curriculum Vitae et Studiorum
Daniele Marazzina
PERSONAL INFORMATION
E-mail: [email protected]
Url: http://www1.mate.polimi.it/∼marazzina
Member of AMASES (Association of Mathematics Applied to Economic and Social Sciences)
CURRENT ACADEMIC POSITION
December 2008 - present. Assistant Professor of “Mathematical Methods of Economy and Actuarial
and Financial Sciences” (Italian Disciplinary Sector SECS-S/06 - Competition Sector 13/D4) at the
Department of Mathematics, Politecnico di Milano, Italy.
PAST ACADEMIC POSITION
December 2006 - December 2008. Postdoctoral fellow (Italian Disciplinary Sector SECS-S/06) at the
SEMeQ (Economic Science and Quantitative Methods) Department of the Universit`a degli Studi del
Piemonte Orientale A. Avogadro, Novara (Italy). Supervisor: Prof. Gianluca Fusai.
November 1, 2003 - October 31, 2006. PhD student (with an Italian government scholarship) at the
Department of Mathematics F.Casorati, Universit`a degli Studi di Pavia (Italy).
EDUCATION
January 19, 2007. PhD in Mathematics and Statistics, Universit`a degli Studi di Pavia. Title of the
thesis: “Stability Properties of Discontinuous Galerkin Methods in Mixed Form” (Advisor: Prof.
Ilaria Perugia).
September 20, 2007. Postgraduate “Diploma di Formazione Superiore Post-Laurea”, Scuola Avanzata
di Formazione Integrata (SAFI), Istituto Universitario di Studi Superiori IUSS, Pavia.
September 19, 2003. Graduated in Mathematics (Laurea in Matematica - 110/110 cum laude), Universit`
a
degli Studi di Pavia. Title of the thesis: “Metodo Local Discontinuous Galerkin per Problemi Ellittici”
(Advisor: Prof. Ilaria Perugia).
VISITING POSITIONS AND RESEARCH EXPERIENCES
July 25-29, 2011. MATHFI, Inria-Rocquencourt, Paris, France.
´
February 23-27, 2011. Cermics, Ecole
des Ponts ParisTech, Paris, France.
February 5-26, 2010. SAM - Seminar for Applied Mathematics, Department of Mathematics, ETH,
Zuerich, Switzerland.
November 11-14, 2009. Department of Statistics and Mathematics for Economic Research, Universit`
a
degli Studi di Napoli Parthenope, Napoli, Italy.
November 7-16, 2005.
Mainz, Germany.
Fachbereich Mathematik und Informatik, Johannes Gutenberg-Universit¨
at,
AWARDS AND RESEARCH GRANTS
Young Researcher Grant 2013. Dipartimento di Matematica, Politecnico di Milano.
Young Researcher Grant 2012. Dipartimento di Matematica “F. Brioschi”, Politecnico di Milano.
Research Grant 2011. Principal Project Investigator “Programma Giovani Ricercatori 2011” - Gruppo
Nazionale di Calcolo Scientifico (GNCS). Subject of the research: Numerical Methods for Option
Pricing and Optimal Consumption-Investment Analysis.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
Research Grant 2009. Principal Project Investigator “Programma Giovani Ricercatori 2009” - Gruppo
Nazionale di Calcolo Scientifico (GNCS). Subject of the research: Finite Element Methods in Option
Pricing.
Young Researcher Grant 2009. Dipartimento di Matematica “F. Brioschi”, Politecnico di Milano.
Research Grant 2008. Principal Project Investigator “Programma Giovani Ricercatori 2008” - Gruppo
Nazionale di Calcolo Scientifico (GNCS). Subject of the research: Grid Computing Applications in
Finance.
SAFI Prize 2007. Winner of the study prize “SAFI” (Istituto Universitario di Studi Superiori IUSS,
Pavia) for the year 2006-2007.
SIMAI 2006 grant. Granted a Fellowship to attend SIMAI 2006 “VIII Societ`a Italiana di Matematica
Applicata e Industriale Conference”, May 22–26, 2006, Baia Samuele (Ragusa), Italy. Title of the talk:
“Mixed Discontinuous Galerkin Methods with Minimal Stabilization” presented in the minisymposium
“Non-conforming finite elements” organized by Proff. A. Buffa and C. Lovadina.
ENUMATH 2005 PhD students grant. Granted a Fellowship to attend ENUMATH 2005 the “Sixth
European Conference on Numerical Mathematics and Advanced Applications”, July 18–22, 2005, Santiago de Compostela, Spain. Title of the talk: “Mixed Discontinuous Galerkin Methods with Minimal
Stabilization”.
Best Thesis Prize 2004. Winner of the prize “Proff. Silvio Cinquini and Maria Cinquini Cibrario” for
the best thesis in Mathematics of the years 2001-2002 and 2002-2003.
PhD Grant. Winner of a PhD Italian scholarship (November 2004 - November 2007).
RESEARCH INTERESTS
• Numerical Methods for Option Pricing.
• Optimal Consumption and Portfolio Analysys.
• Transaction Costs and optimal strategies.
• Parallel and Distributed Computing in Finance.
CONFERENCE TALKS
May 29 - June 1, 2014. 8th Conference in Actuarial Science and Finance, Samos, Greece. Title of the
talk: “Health Insurance and Retirement Incentives”.
January 23-24, 2014. XV Workshop on Quantitative Finance, Firenze, Italy. Title of the talk: “Risk
seeking, non convex remuneration and regime switching”.
September 5-7, 2013. XXXVII A.M.A.S.E.S. Conference (Italian Association of Mathematics Applied
to Economic and Social Sciences), Stresa, Italy. Title of the talk: “Regime Switching, Labor Income
and Optimal Retirement”.
May 3-5, 2012. 50th meeting of Euro Working Group for Financial Modeling, Rome, Italy. Title of the
talk: “Portfolio optimization over a finite horizon with fixed and proportional transaction costs”.
January 26-27, 2012. XIII Workshop on Quantitative Finance, L’Aquila, Italy. Title of the talk: “hpDGFEM for Kolmogorov-Fokker-Planck Equations of Multivariate L´evy Processes”.
June 8-10, 2011. 3rd International Conference on Numerical Methods for Finance, Limerick, Ireland.
Title of the talk: “Pricing Discretely Monitored Options in a Wiener-Hopf Framework”.
January 27-28, 2011. XII Workshop on Quantitative Finance, Padova, Italy. Title of the talk: “Optimal
Investment, Stochastic Labor Income and Retirement”.
September 1-4, 2010. A.M.A.S.E.S. 2010 Conference, Macerata, Italy. Title of the talk: “Fast Option
Pricing Methods in a Wiener-Hopf Framework”.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
August 30, 2010. Euro-Par 2010, Ischia, Italy. Session: Workshop on High-performance Computing
Applied to Finance (HPCF 2010). Title of the talk: “Wavelet Techniques for Option Pricing on
Advanced Architectures”.
January 28-29, 2010. XI Workshop on Quantitative Finance, Palermo, Italy. Title of the talk: “Optimal
Investment, Labor Income and Retirement”.
September 1-4, 2009. XXXIII A.M.A.S.E.S. Conference (Italian Association of Mathematics Applied to
Economic and Social Sciences), Parma, Italy. Title of the talk: “Optimal Investment, Labor Income
and Retirement”.
April 8, 2009. Mathematical Finance Day, IMATI-CNR, Milano, Italy. Title of the talk: “Path-dependent
Options and Randomization Techniques”.
January 29-30, 2009. X Workshop on Quantitative Finance, Milano, Italy. Title of the talk: “Randomization and Preconditioning Techniques for Option Pricing”.
July 15-19, 2008. Bachelier Finance Society Fifth World Congress, London, UK. Title of the talk:
“Option Pricing and Maturity Randomization”.
April 14-18, 2008. IPDPS 2008, “22nd IEEE International Parallel and Distributed Processing Symposium”, Miami, Florida, USA. Session: “PDCoF - The First Workshop on Parallel and Distributed
Computing in Finance (Computational Finance)”. Title of the talk: “Option Pricing, Maturity Randomization and Grid Computing”.
June 2-3, 2006. EFEF-4, “The Fourth European Finite Element Fair”, ETH, Z¨
urich, Switzerland. Title
of the talk: “Mixed Discontinuous Galerkin Methods with Minimal Stabilization for Elliptic Problems”.
May 22-26, 2006. SIMAI 2006 Conference (Italian Society for Industrial and Applied Mathematics), Baia
Samuele (Ragusa), Italy. Title of the talk: “Mixed Discontinuous Galerkin Methods with Minimal
Stabilization”.
July 18-22, 2005. Enumath 2005, the European Conference on Numerical Mathematics and Advanced
Applications, Santiago de Compostela, Spain. Title of the talk: “Mixed Discontinuous Galerkin Methods with Minimal Stabilization”.
INVITED SEMINAR
May 8, 2014. “Beyond Black&Scholes”, MIP - MSc in Energy Finance “Corso di Alta Formazione in
Energia e Finanza” MEF9, Milano, Italy.
April 4, 2014. “Fast Pricing of Discretely Monitored Exotic Options by a Numerical Wiener-Hopf Procedure”, Prometeia, Bologna, Italy.
´
February 25, 2011. “Fast Option Pricing Methods in a Wiener-Hopf Framework”, Cermics, Ecole
des
Ponts ParisTech, Paris, France.
March 30, 2010. “Numerical Methods for Pricing Path-Dependent Options”, Department of Mathematics, Universit`
a degli Studi di Pavia, Italy.
November 11, 2009. “Path-dependent Options and Randomization Techniques”, Department of Statistics and Mathematics for Economic Research, Universit`a degli Studi di Napoli Parthenope, Napoli,
Italy.
December 17, 2008. “Randomization and Preconditioning Technique for Option Pricing”, Department
of Mathematics, Universit`
a degli Studi dell’Insubria, Como, Italy.
July 12, 2006. “Mixed Discontinuous Galerkin Method with Minimal Stabilization for Elliptic Problems”,
Department of Mathematics “F. Casorati”, Universit`a degli Studi di Pavia, Italy.
November 10, 2005. “Discontinuous Galerkin Methods for Elliptic Equations”, “Fachbereich Mathematik
und Informatik Johannes Gutenberg-Universit¨at”, Mainz, Germany.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
TEACHING
Academic Year 2014 - 2015.
• Lecturer. COMPUTATIONAL FINANCE. BSc (Laurea Magistrale) in Mathematical Engineering. Politecnico di Milano.
• Lecturer. NUMERICAL METHODS AND PROGRAMMING TOOLS FOR FINANCE. MSc in
Quantitative Finance “Percorso Executive in Finanza Quantitativa”. MIP - Politecnico di Milano.
• Lecturer. NUMERICAL METHODS FOR OPTION PRICING. MSc in Quantitative Finance
“Percorso Executive in Finanza Quantitativa”. MIP - Politecnico di Milano.
• Lecturer. ADVANCED DERIVATIVES (in English). BSc (Laurea Magistrale) in Economics.
Bocconi University, Milano. Main Lecturer and Course Director: Prof. C.Tebaldi.
• Lecturer. NUMERICAL METHODS FOR PRICING DERIVATIVES (in English). MSc in Quantitative Finance and Risk Management (MAFINRISK). Bocconi.
• Lecturer. STOCHASTIC METHODS IN FINANCE. MSc in Energy Finance “Percorso Executive
in Energia e Finanza”. MIP - Politecnico di Milano.
• Lecturer. FINANCIAL VALUATION. MSc in Energy Finance “Percorso Executive in Energia e
Finanza”. MIP - Politecnico di Milano.
• Lecturer. MODEL IMPLEMENTATION IN EXCEL. MSc in Energy Finance “Percorso Executive
in Energia e Finanza”. MIP - Politecnico di Milano.
Academic Year 2013 - 2014.
• Lecturer. COMPUTATIONAL FINANCE. BSc (Laurea Magistrale) in Mathematical Engineering. Politecnico di Milano.
• Lecturer. NUMERICAL METHODS AND PROGRAMMING TOOLS FOR FINANCE. MSc in
Quantitative Finance “Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di
Milano.
• Lecturer. NUMERICAL METHODS FOR OPTION PRICING. MSc in Quantitative Finance
“Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di Milano.
• Lecturer. ADVANCED DERIVATIVES (in English). BSc (Laurea Magistrale) in Economics.
Bocconi University, Milano. Main Lecturer and Course Director: Prof. C.Tebaldi.
• Lecturer. NUMERICAL METHODS FOR PRICING DERIVATIVES (in English). MSc in Quantitative Finance and Risk Management (MAFINRISK). Bocconi.
• Lecturer. MODEL IMPLEMENTATION. MSc in Energy Finance “Corso di Alta Formazione in
Energia e Finanza”. MIP - Politecnico di Milano.
• Head Assistant. MATHEMATICAL FINANCE II. BSc (Laurea Magistrale) in Mathematical
Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
Academic Year 2012 - 2013.
• Lecturer. COMPUTATIONAL FINANCE. BSc (Laurea Magistrale) in Mathematical Engineering. Politecnico di Milano.
• Lecturer. NUMERICAL METHODS AND PROGRAMMING TOOLS FOR FINANCE. MSc in
Quantitative Finance “Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di
Milano.
• Lecturer. NUMERICAL METHODS FOR OPTION PRICING. MSc in Quantitative Finance
“Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di Milano.
• Lecturer. ADVANCED DERIVATIVES (in English). BSc (Laurea Magistrale) in Economics.
Bocconi University, Milano. Main Lecturer and Course Director: Prof. C.Tebaldi.
• Lecturer. NUMERICAL METHODS FOR PRICING DERIVATIVES (in English). MSc in Quantitative Finance and Risk Management (MAFINRISK). Bocconi.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
• Lecturer. MODEL IMPLEMENTATION. MSc in Energy Finance, Renewables & Commodity
Trading “Corso di Alta Formazione in Energy Finance, Renewables & Commodity Trading”.
MIP - Politecnico di Milano.
• Head Assistant. MATHEMATICAL FINANCE II. BSc (Laurea Magistrale) in Mathematical
Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
Academic Year 2011 - 2012.
• Lecturer. COMPUTATIONAL FINANCE. BSc (Laurea Magistrale) in Mathematical Engineering. Politecnico di Milano.
• Lecturer. NUMERICAL METHODS AND PROGRAMMING TOOLS FOR FINANCE. MSc in
Quantitative Finance “Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di
Milano.
• Lecturer. NUMERICAL METHODS FOR OPTION PRICING. MSc in Quantitative Finance
“Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di Milano.
• Lecturer. ADVANCED DERIVATIVES (in English). BSc (Laurea Magistrale) in Economics.
Bocconi University, Milano. Main Lecturer and Course Director: Prof. C.Tebaldi.
• Lecturer. NUMERICAL METHODS FOR PRICING DERIVATIVES (in English). MSc in Quantitative Finance and Risk Management (MAFINRISK). Bocconi.
• Lecturer. MODEL IMPLEMENTATION. MSc in Energy Finance, Renewables & Commodity
Trading “Corso di Alta Formazione in Energy Finance, Renewables & Commodity Trading”.
MIP - Politecnico di Milano.
Academic Year 2010 - 2011.
• Lecturer. NUMERICAL METHODS AND PROGRAMMING TOOLS FOR FINANCE. MSc in
Quantitative Finance “Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di
Milano.
• Lecturer. NUMERICAL METHODS FOR OPTION PRICING. MSc in Quantitative Finance
“Corso di Alta Formazione in Finanza Quantitativa”. MIP - Politecnico di Milano.
• Lecturer. ADVANCED DERIVATIVES (in English). BSc (Laurea Magistrale) in Economics.
Bocconi University, Milano. Main Lecturer and Course Director: Prof. C.Tebaldi.
• Lecturer. NUMERICAL METHODS FOR PRICING DERIVATIVES (in English). MSc in Quantitative Finance and Risk Management (MAFINRISK). Bocconi.
• Lecturer. MODEL IMPLEMENTATION. MSc in Energy Finance, Renewables & Commodity
Trading “Corso di Alta Formazione in Energy Finance, Renewables & Commodity Trading”.
MIP - Politecnico di Milano.
• Head Assistant. COMPUTATIONAL FINANCE. BSc (Laurea Magistrale) in Mathematical Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
• Head Assistant. MATHEMATICAL FINANCE II. BSc (Laurea Magistrale) in Mathematical
Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
Academic Year 2009 - 2010.
• Lecturer. NUMERICAL METHODS FOR PRICING DERIVATIVES (in English). MSc in Quantitative Finance and Risk Management (MAFINRISK). Bocconi.
• Lecturer. APPLIED MODEL IMPLEMENTATION. MSc in Energy Finance, Renewables &
Commodity Trading “Corso di Alta Formazione in Energy Finance, Renewables & Commodity
Trading”. MIP - Politecnico di Milano.
• Head Assistant. COMPUTATIONAL FINANCE. BSc (Laurea Magistrale) in Mathematical Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
• Head Assistant. MATHEMATICAL FINANCE I. BSc (Laurea di I livello) in Mathematical
Engineering. Politecnico di Milano. Lecturer: Prof. E.Barucci.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
Academic Year 2008 - 2009.
• Lecturer. NUMERICAL METHODS FOR PRICING DERIVATIVES (in English). MSc in Quantitative Finance and Risk Management (MAFINRISK). Bocconi.
• Lecturer. INTRODUCTION TO MATLAB (in English). MSc in Quantitative Finance and Risk
Management (MAFINRISK). Bocconi.
• Lecturer. MODEL IMPLEMENTATION. MSc in Energy Finance, Renewables & Commodity
Trading “Corso di Alta Formazione in Energy Finance, Renewables & Commodity Trading”.
MIP - Politecnico di Milano.
• Head Assistant. MATHEMATICAL FINANCE II. BSc (Laurea Magistrale) in Mathematical
Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
• Head Assistant. MATHEMATICAL METHODS FOR FINANCE. BSc (Laurea di I livello) in
Management Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
• Head Assistant. MATHEMATICAL ANALYSIS 1. BSc (Laurea di I livello) in Building and
Architecture Engineering. Universit`a degli Studi di Pavia. Lecturer: Prof. G.Sangalli.
Academic Year 2007 - 2008.
• Lecturer. INTRODUCTION TO MATLAB (in English). MSc in Quantitative Finance and Risk
Management (MAFINRISK). Bocconi.
• Lecturer. MATLAB - BASIC LEVEL. MSc “Corso di Alta Formazione in Gestioni Quantitative
del Risparmio”. MIP - Politecnico di Milano.
• Head Assistant. MATHEMATICAL FINANCE II. BSc (Laurea Magistrale) in Mathematical
Engineering. Politecnico di Milano. Lecturer: Prof. C.Sgarra.
• Head Assistant. MATHEMATICAL ANALYSIS B. BSc (Laurea di I livello) in Environmental
Engineering, Civil Engineering and Mechanical Engineering. Universit`a degli Studi di Pavia.
Lecturer: Prof. S.Fornaro.
• Head Assistant. MATHEMATICAL ANALYSIS 1. BSc (Laurea di I livello) in Building and
Architecture Engineering. Universit`a degli Studi di Pavia. Lecturer: Prof. G.Sangalli.
Academic Year 2006 - 2007.
• Head Assistant. MATHEMATICAL ANALYSIS B. BSc (Laurea di I livello) in Biomedical Engineering, Electronics and Telecommunication Engineering, Computer Engineering, Electrical Engineering. Universit`
a degli Studi di Pavia. Lecturer: Prof. G.Sangalli.
• Head Assistant. MATHEMATICAL ANALYSIS A. BSc (Laurea di I livello) in Building and
Architecture Engineering. Universit`a degli Studi di Pavia. Lecturer: Prof. G.Sangalli.
• Head Assistant. MATHEMATICAL ANALYSIS AND INFORMATIC. BSc (Laurea di I livello)
in Biotechnology. Universit`
a degli Studi di Pavia. Lecturers: Prof. R.Carbone, Prof. M.Negri.
Academic Years 2004 - 2005 and 2005 - 2006.
• Head Assistant. MATHEMATICAL ANALYSIS AND INFORMATIC. BSc (Laurea di I livello)
in Biotechnology. Universit`
a degli Studi di Pavia. Lecturers: Prof. M.Negri, Prof. I.Perugia,
Prof. F.Salvarani.
Academic Years 2002 - 2003 and 2003-2004.
• Tutor. MATHEMATICAL ANALYSIS AND INFORMATIC. BSc (Laurea di I livello) in Biotechnology. Universit`
a degli Studi di Pavia. Lecturer: Prof. I.Perugia.
SUPERVISING
• MSc in Quantitative Finance “Corso di Alta Formazione in Finanza Quantitativa” - Thesis
September 19, 2012: Gritti Nicola, Pontecorvi Luca.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
• BSc in Mathematical Engineering (Laurea Magistrale in Ingegneria Matematica) - Thesis
December 18, 2014: Casati Edoardo, Fogliani Filippo, Proverbio Marco, Ricci Diletta.
December 18, 2014: Varvello Stefano Alberto (Co-supervisor. Main supervisor: Prof. C.Sgarra).
July 25, 2014: Ottolini Roberto, Pippolo Angelina, Reale Riccardo, Ubaldi Enrico.
July 25, 2014: Bruno Marta (Co-supervisor. Main supervisor: Prof. E.Barucci).
April 29, 2014: Nanni Marco.
December 18, 2013: Aliti Davide, Bertolini Giorgio, Cerutti Matteo, Gardini Matteo, Manicardi
Aurora,
July 23, 2013: Agostoni Gemma Stefania.
April 22, 2013: Bettinelli Federica.
December 20, 2012: Mercuri Emanuele, Sandrone Valentina.
December 20, 2012: Cozzi Daniele (Co-supervisor. Main supervisor: Prof. E.Barucci).
April 23, 2012: Giuffra Giancarlo, Magenes Veronica.
December 20, 2011: Raimondi Daria, Salaris Anna.
October 4, 2011: Ngjela Arber.
December 20, 2010: Testa Enrico (Co-supervisor. Main supervisor: Prof. C.Sgarra).
July 21, 2010: Cereda Emma, Primiera Andrea.
• BSc in Mathematics (Laurea Magistrale in Matematica) - Universit`a degli Studi di Milano Bicocca Thesis
July 24, 2014: Colombo Christian (Co-supervisor. Main supervisor: Prof. G.Tessitore).
• BSc in Mathematical Engineering (Laurea di I livello in Ingegneria Matematica) - Reading Course
September 30, 2014: Barsotti Lorenzo, Bolis Lorenzo, Marra Stefano, Mezzanotti Francesco, Schiacciapietra Cecilia, Trifiletti Gabriele.
February 25, 2014: De Bella Paolo, Ghiringhelli Chiara, Molinai Eva.
September 24, 2013: Cazzaniga Micol, Ceroni Anna, Landoni Federico, Silvestri Edoardo.
February 26, 2013: Mancini Federica, Manstretta Irene, Mauri Aureliana, Stoppa Stefano, Ventura
Chiara Maria, Venturini Soara.
September 26, 2012: Ghiazza Federico, Lieto Alessandra, Velli Anna, Mazzoleni Ferracini Simone,
Facchi Stefano.
February 27, 2012: Clerici Marco, Lamorte Luca, Mazzocchi Paolo, Roviaro Riccardo, Viscardi Stefano.
September 27, 2011: Nanni Marco, Ottolini Roberto, Pippolo Angelina.
July 21, 2011: Carbone Giorgio, Spinella Paolo Vincenzo.
February 21, 2011: Cerutti Matteo, Lombardi Gaia.
• BSc in Mathematical Engineering (Laurea di I livello in Ingegneria Matematica) - Thesis
September 24, 2013: Riviezzo Pasquale.
July 22, 2013: Barbaro Elisa.
February 26, 2013: Pennetta Enrica.
February 22, 2010: Caredda Alessio
INSTITUTIONAL SERVICES AT POLITECNICO DI MILANO
December 2010 - July 2014. Member of several evaluation committees for research fellows.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
February and September 2013. Member of the teaching assistants’ evaluation committee.
January 2013. Member of the evaluation committee for the MSc “Corso di Alta Formazione” in Energy
and Finance - MEF.
June 2009. Member of the evaluation committee for the ‘Nicola Bruti Liberati’ research fellow.
INSTITUTIONAL SERVICES AT OTHER UNIVERSITIES
May 2010. Universit`
a degli Studi del Piemonte Orientale. Member of the evaluation committee for a
research fellow (Assegno di Ricerca).
REFEREEING ACTIVITY
• Applied Mathematics Letters
• ASTIN Bulletin
• Computers & Mathematics with Application
• Central European Journal of Operational Research
• Decisions in Economics and Finance
• European Journal of Operational Research
• IMA Journal of Management Mathematics
• Quantitative Finance
• Journal of Economic Dynamics and Control
• Journal of Computational and Applied Mathematics
• The European Journal of Finance
PUBLICATIONS
Journal Articles
1. S.Baccarin, D.Marazzina, Passive Portfolio Management over a Finite Horizon with a Target Liquidation Value under Transaction Costs and Solvency Constraints, submitted.
2. R.Cerqueti, D.Marazzina, M.Ventura, Optimal Investments in a Patent Race, submitted.
3. G.Fusai, G.Germano, D.Marazzina, Fast Pricing of Discretely Monitored Exotic Options Based on the
Spitzer Identity and the Wiener-Hopf Factorization, submitted.
4. E.Barucci, D.Marazzina, Risk Seeking, Non Convex Remuneration and Regime Switching, to appear
in International Journal of Theoretical and Applied Finance.
5. A.Cosso, D.Marazzina, C.Sgarra, American Option Valuation in a Stochastic Volatility Model with
Transaction Costs, to appear in Stochastics
6. S.Corsaro, D.Marazzina, Z.Marino (2015), A Parallel Wavelet-based Pricing Procedure for Asian Options, Quantitative Finance, Vol. 15-1: 101-113. DOI:10.1080/14697688.2014.935465. ISSN: 1469-7688
(Print), 1469-7696 (Online).
7. S.Baccarin, D. Marazzina (2014) Optimal Impulse Control of a Portfolio with a Fixed Transaction
Cost, Central European Journal of Operations Research, vol. 22-2: 355-372. DOI 10.1007/s10100-0130304-9. ISSN: 1613-9178.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
8. D.Sesana, D.Marazzina, G.Fusai (2014) Pricing Exotic Derivatives Exploiting Structure, European
Journal of Operational Research, Vol. 236: 369-381. DOI: 10.1016/j.ejor.2013.12.009. ISSN: 03772217.
9. E.Barucci, D.Marazzina (2012) Optimal Investment, Stochastic Labor Income and Retirement, Applied
Mathematics and Computation, Vol. 218-9: 5588-5604. DOI: 10.1016/ j.amc.2011.11.052. ISSN: 00963003.
10. G.Fusai, D.Marazzina, M.Marena, M.Ng (2012) Z-Transform and Preconditioning Techniques for Option Pricing, Quantitative Finance, Vol. 12-9: 1381-1394. DOI:10.1080/14697688.2010.538074. ISSN:
1469-7688 (Print), 1469-7696 (Online).
11. D.Marazzina, O.Reichmann, Ch.Schwab (2012) hp-DGFEM for Kolmogorov-Fokker-Planck Equations
of Multivariate L´evy Processes, M3 AS: Mathematical Models and Methods in Applied Sciences, Vol.
22-1: 1150005.1-37. DOI: 10.1142/S0218202512005897. ISSN: 0218-2025 (Print), 1793-6314 (Online).
12. G.Fusai, D.Marazzina, M.Marena (2011) Pricing Discretely Monitored Asian Options by Maturity
Randomization, SIAM Journal on Financial Mathematics, Vol. 2: 383-403. DOI: 10.1137/09076115X,
ISSN: 1945-497X.
13. G.Fusai, D.Marazzina, M.Marena (2010) Option Pricing, Maturity Randomization and Distributed
Computing, Parallel Computing - Special Issue Parallel and Distributed Computing in Finance, Vol.
36-7: 403-414. DOI: 10.1016/j.parco.2010.03.002, ISSN: 0167-8191.
14. D.Marazzina (2009) Stability Properties of Discontinuous Galerkin Methods in Mixed Form, Scientifica
Acta, Vol. 3-1: 7-12. ISSN: 1973-5227 (Print), 1973-5219 (Online).
15. D.Marazzina (2008) Stability Properties of Discontinuous Galerkin Methods for Two-Dimensional Elliptic Problems, IMA Journal of Numerical Analysis, Vol. 28-3: 552-579. DOI: 10.1093/imanum/
drm020, ISSN: 0272-4979 (Print), 1464-3642 (Online).
16. D.Marazzina (2008) Propriet`
a di Stabilit`
a per Metodi Discontinuous Galerkin in Forma Mista in: La
Matematica nella Societ`
a e nella Cultura, Rivista della Unione Matematica Italiana, Serie I, Vol.I-2:
295-298. ISSN: 1972-7356.
Conference Proceedings
17. D.Marazzina, G.Fusai, G.Germano (2012) Pricing Credit Derivatives in a Wiener-Hopf Framework in:
“Topics in Numerical Methods for Finance”, M. Cummins, F. Murphy, J.H. Miller (Eds.), Springer
Proceedings in Mathematics & Statistics, Vol. 19, pp. 139-154, Springer-Verlag. ISSN 2194-1009,
ISBN 978-1-4614-3432-0.
18. S.Corsaro, D.Marazzina, Z.Marino (2011) Wavelet Techniques for Option Pricing on Advanced Architectures in: “Euro-Par 2010, Parallel Processing Workshops”, M.R.Guerracino et al.(Eds), LNCS Vol.
6586, pp. 447-454, Springer-Verlag. ISSN 0302-9743, ISBN 978-3-642-21877-4.
19. O.Salas, D.Marazzina, S.Rovida, G.Sacchi, S.Scacchi (2009) The BPS preconditioner on Beowulf Cluster in: “Revista de Matematica: Teoria y Aplicaciones” (International Journal on Mathematics: Theory and Applications) - Refereed Proceedings of the XVI International Symposium on Mathematical
Methods Applied to the Sciences, Vol. XVI-1: 148-158. ISSN: 1409-2433.
20. M.Marena, D.Marazzina, G.Fusai (2008) Option Pricing, Maturity Randomization and Grid Computing
in: “IEEE International Symposium on Parallel and Distributed Processing (IPDPS 2008)”, April 1418, 2008, Miami, USA. ISSN: 1530-2075, ISBN: 978-1-4244-1693-6, DOI: 10.1109/IPDPS.2008.4536458.
21. D.Marazzina (2007) Mixed Discontinuous Galerkin Methods with Minimal Stabilization in: “Communications to Simai Congress”, Vol.2. DOI: 10.1685/CSC06108, ISSN: 1827-9015.
22. D.Marazzina (2006) Mixed Discontinuous Galerkin Methods with Minimal Stabilization in: “Numerical
Mathematics and Advanced Applications, Proceedings of ENUMATH 2005, the 6th European Conference on Numerical Mathematics and Advanced Applications, Santiago de Compostela, Spain, July
2005”, A.Berm´
udez de Castro, D.G´
omez, P.Quintela, P.Salgado (Eds.), pp.448-456, Springer-Verlag.
ISBN-10: 3-540-34287-7, ISBN-13: 978-3-540-34287-8.
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Daniele Marazzina - Curriculum Vitae et Studiorum
January 7, 2015
Other Pubblications
23. M.Bonollo, D.Marazzina (2014) Lo Standardized Approach per Credit Counterparty Risk , www.finriskalert.it
24. M.Bonollo, D.Marazzina (2014) Il final draft per la Prudential Valuation (AVA), www.finriskalert.it
25. M.Bonollo, D.Marazzina (2014) Prudential Valuation dei derivati (AVA), www.finriskalert.it
Milano, January 7, 2015
Daniele Marazzina
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