Research

Research Projects:

1. autumn 1988 – autumn 1989 LUISS annual grant for the Chair of Industrial Economics, Prof. Carlo Scognamiglio, LUISS, Faculty of Economics and Business
2. autumn 1989 – spring 1990 ANDIL Survey 1990 (Association of Italian Bricks and Tiles Industries), Co-author with Proff. Carlo Scognamiglio and Sandro Frova
3. autumn 1989– autumn 1994 Associazione Amici della LUISS 3+ 2 years grant with study abroad financing provision
4. autumn 1989 – spring 1990 Confindustria Research Center, research assistant of the Director Dr. Stefano Micossi, for a survey about Japanese Direct Investments in Europe.
5. spring 1989– estate 1990 GRIF (Gruppo di Ricerche Industriali e Finanziarie), Director Prof. Franco Alfredo Grassini: Infrastructure Financing Research Project financed by Confindustria
6. winter 1999– winter 2001 MIUR 40%, research project Models of Mathematical Finance, lead director Prof. Massimo De Felice, local director for the group at Università dell'Aquila, Dipartimento di Sistemi ed Istituzioni per l'economia
7. winter 2001– winter 2003 MIUR 40%, research project Capital Markets and Corporate Finance: The influence on Value Creation of Non Recurrent Financial Operations lead director Prof. Maurizio Murgia, local director for the group at Università dell'Aquila, Dipartimento di Sistemi ed Istituzioni per l'economia
8. 2008-2009 Standard HPC Grant 2009, Monte Carlo Methods for General Switching American Real Options, 16000 SPTE assigned.
9. 2009-2010 Standard HPC Grant 2010, A numerical assessment of convergence properties of least squares monte carlo for the kulatilaka trigeorgis general real options pricing model, 16000 SPTE assigned.
10. 2010-2012 Together with Professor Nicola Guglielmi, Dept. of Math. Università dell'Aquila, winner of a 24000 Euro Grant from Fondazione Carispaq for setting up a small HPC centre based GPUs.
11. 2013 PRACE Preparatory Access at TGCC CEA Pierre et Marie Curie working on FAT Nodes Cluster

International Academic Meetings Participation:

1)      European Finance Association (EFA) meeting

• 1995, Milano,
• 1996, Oslo,
• 1997, Vienna,
• 1998, Fontainebleu;
• 2000, Londra ( discussant),
• 2001, Barcellona,
• 2002, Berlino ( discussant),
• 2003, Glasgow,
• 2004, Maastrich,
• 2005, Moscow ( discussant);
• 2006, Zurich,
• 2007, Lubiana,
• 2008, Athens,
• 2009, Bergen, Norway,
• 2010, Frankfurt am Main.

2)      Western Finance Association (WFA) meeting

• 1995, Aspen Colorado, Usa,
• 1997, San Diego, California, Usa,
• 1998, Monterey, California, Usa;

3)      Euro Working Group on Financial Modelling meeting:

• 1995, Bergamo, Italy
• 2001, Haarlem (NL) ( discussant, presenting author),
• 2007, Rotterdam
• 2008, Londra, ( discussant, presenting author)

4)      European Financial Management Association (EFMA),

• 2001, Lugano (CH) ( discussant, presenting author),
• 2004, Basel (CH) ( discussant, presenting author, chairman),
• 2005, Milano ( presenting author)
• 2009, Milano ( presenting author)

5)      Financial Management Association:

• 2005, Chicago ( presenting author)
• 2005, Siena, Italy ( presenting author)

6)      High Performance Computing and Simulation, HPCS IEEE:

2014, Bologna, Italy (presenting author)

7)      Association Francaise de Finance (AFFI):

2001, Namur (BE) ( discussant, presenting author),

8)      Deutsche Gesellschaft für Finanzwirtschaft (DGF), German Finance Association:

2003, Mainz (Magonza) ( presenting author),

9)      Real Options Group (ROG),

• 2002, Paphos, Cyprus, ( presenting author)
• 2003, Washington D.C. (USA), ( presenting author).
• 2004, Montreal, Canada ( presenting author)
• 2005, Paris
• 2006, Columbia University, New York
• 2007, Berkeley, California
• 2008, Rio de Janeiro
• 2009, Minho, Portogallo, Santiago di Compostela, Spagna ( presenting author),
• 2010, Rome.
• 2011, Turku (FI)

10)  EIASM seminars:

Workshop on Dynamic Strategies in Asset Allocation and Risk Management, September 2003, ( presenting author),.

11)  WORKSHOP DI FINANZA QUANTITATIVA,

2005, IV edizione Milano Bocconi ( presenting author)

Invited Seminars and Presentations:

1) Incontri di finanza aziendale at Università L. Bocconi, Milano:
    a) june 2000, paper presented Holding Companies Discounts: Some Evidence from the Milan Stock Exchange
    b) november 2001, paper presented Kulatilaka '88 as a CVP Analysis in a Real Options Framework: review, Gauss Codes and Numerical Examples
    c) november 2003, paper presented L’Efficienza Fondamentale del Mercato Azionario: Alcune Verifiche Empiriche di Lungo Periodo
2) Seminari del Giardino Giusti, Università di Verona
    a) may 2001, paper presented A General Numerical Approach to Real Option Valuation: Some Application of Nalin Kulatilaka GROPM
3) Seminari della Facoltà di Economia dell’Università della Svizzera Italiana
    a) november 2003, paper presented VaR in Real Options Analysis;
    b) October 2010, paper presented Assessing LSMC for the Kulatilaka Trigeorgis Real Options Pricing Model.
4) Finance Seminar at the University of Zurich, NCCR FINRISK:
   a) november 2004, paper presented VaR in Real Options Analysis
5) 'Giornata di Matematica e Finanza' presso il Dipartimento di Matematica e Informatica dell'Universita' di Camerino: may 2005, paper presented A General Numerical Approach to Real Option Valuation: Some Application of Nalin Kulatilaka GROPM
6) january 2009, Seminar Series of the Dept. Of Department of Public and Business Administration, University of Cyprus, Nicosia. Invited by Prof. Lenos Trigeorgis, paper presented Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model
7) March 2010, Seminar Series of the Dept. Of Economic Policy, University of Modena and Reggio Emilia, Invited by Prof. Andrea Cipollini, paper presented Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model

Referee Activity:

1. Review of Financial Economics;

2. International Journal of Business and Economics;
3. Editors C. Gatu, M. Gilli and E.J. Kontoghiorghes, Advances in Computational Economics, Finance and Management Science, Book Series in Computational Management Science, Kluwer Academic Publisher
4. Editor Kevin Cullinane, Shipping Economics vol 12 Book Series Research in Transportation Economics, Elsevier

Beta Testing:

1. PcTeX 4.20 per Windows 98;

2. Gauss 7.0 per Mac OS X 10.4;