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FRANCESCA BECCACECE

FRANCESCA BECCACECE
Associate Professor
Department of Decision Sciences

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Courses a.y. 2017/2018

20441 MODELLI FINANZIARI PER LA VALUTAZIONE [FINANCIAL MODELS FOR VALUATION]
30268 MATEMATICA GENERALE E FINANZIARIA / MATHEMATICS

Courses previous a.y.


Biographical note

Born February 11th, 1963. Degree in Economics from the Università degli Studi di Parma.


Academic CV

Associate Professor of Financial Mathematics. Program Director of the Bachelor of Science in  Economics and Management for Arts, Culture and Communication (CLEACC). Coordinator and professor for the Master in Quantitative Finance and Risk Management at Università Bocconi. Member of the Associazione per la Matematica Applicata alle Scienze Economiche e Sociali. She has taught at the Università degli Studi di Torino, at the Scuola di Amministrazione Aziendale di Torino and in the master courses of  Banking & Finance for Development (Finafrica), Managerial Decisions and Public Ethics (Politeia), and MIEM (SDA Bocconi).


Research areas

Quantitative Finance: financial markets models; asset pricing; term structure models. Decision theory and decision making in Finance: benchmarking models. Risk theory: models and applications for default risk.


Selected publications

"On the Decomposition of Stochastic Discounted Cash Flows" (with M. Li Calzi), in Rivista di matematica per le scienze economiche e sociali, Year 14, fascicolo 2, 1991; "Time Dominance and IRR" (with E. Castagnoli), in R. Flavell (ed.), Modelling Reality and Personal Modelling, 1993; "Immunization Strategies in Linear Models" (with L. Peccati), in R. D'Ecclesia e S. Zenios (eds.), Operations Research Models in Quantitative Finance, 1994; "On Flexible Functional Forms", in Rivista di Matematica per le scienze economiche e sociali, Year 17, fascicolo 1, 1994; "Increasing Maps" (with M. Cigola), in Optimization, 1995; "Linear Operators, Time Dominance and IRR", in Studi di Matematica Finanziaria ed Attuariale, Istituto di Metodi Quantitativi, Università Bocconi, 1995; "Time Dominance in a Stochastic Framework", in Giornale dell'Istituto Italiano degli Attuari, volume LIX, 1996; "Invisible Points and Optimization" (with M. Cigola), in Studi Matematici, n. 38, Istituto di Metodi Quantitativi, Università Bocconi, Milano, 1998; "VaR and Benchmarking under Risk", IX Meeting FUR, Marrakesh, 1999; "Survival Risk & Project Evaluation" (with L. Peccati, P. Gallo), in D. Ruan, J. Kracprzyk, M. Fedrizzi (eds.), Soft Computing for Risk Evaluation and Management - Applications in Technology, Environment and Finance, Phisica Verlag, 2001; "Spread all'emissione e rischio di default: l'esempio delle ABS italiane", in Studi di Matematica Finanziaria ed Attuariale, n. 27, Milano, Istituto di Metodi Quantitativi, Università Bocconi, 2001; "Analisi degli spread nelle operazioni di cartolarizzazione ex legge 130/99 e implicazioni per la struttura del sistema finanziario italiano" (with R. Tasca), Milano: NEWFIN, 2002; "Risk Measures and Benchmarking under Risk", in Studi di Matematica Finanziaria ed Attuariale, n. 30, Milano, Istituto di Metodi Quantitativi, Università Bocconi, 2003; "Dividend and Uncertainty: the Italian Market" (with A. Battauz), in International Journal of Theoretical and Applied Finance, 2004; Applying the benchmarking procedure: a decision criterion of choice under risk(with A. Cillo), in Theory and Decision, 2006; "Brand Valuation: a Comparison of Alternative Models" (with E. Borgonovo), International Journal of Operational Research, 2009; "Functional ANOVA, Utramodularity and Monotonicity: Applications in Multiattribute Utility Theory" (with E. Borgonovo), European Journal of Operational Research, 2011, “Elicitation of Multiattribute Value Functions through High Dimensional Model Representations: Monotonicity and Interactions” (with E. Borgonovo, A. Cillo, G. Buzzard, S. Zionts), European Journal of Operational Research, vol. 246 (2), pp. 517-527, 2015, "Enhancing portfolio diversification: Are diamonds forever?", (con V. Cantù) The Journal of Investing, vol. 24 (4) pp.92-101, 2015.

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