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SANDRA FORTINI

SANDRA FORTINI
Associate Professor
Department of Decision Sciences

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Courses a.y. 2017/2018

20191 FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 1
20356 PRECORSO DI STATISTICA / STATISTICS - PREPARATORY COURSE
30025 METODI QUANTITATIVI PER LA FINANZA [QUANTITATIVE METHODS FOR FINANCE]
40026 PROBABILITY I
40027 STOCHASTIC PROCESSES I
40313 INTRODUCTION TO PROBABILITY

Courses previous a.y.


Biographical note

Born in Milan, December th 27th 2015. Married, three children.


Academic CV

Education
M.Sc.in Applied Stochastic Stochastic Systems with Distinction, University College of London   1993
Laurea in Matematica cum LaudeUniversità degli Studi di Milano  1989
Previous positions
Researcher at Bocconi University 1995 – 2003
Researcher at the Institute for the Applications of Mathematics and Informatics, Italian Council of Reasearch, Milano  1994 – 1995
Research Assistant at the Institute  for the Applications of Mathematics and Informatics, Italian Council of Reasearch, Milano  1990 – 1993
Editorial Service
Associate Editor for Sankhya Series A, Probability and Mathematical Statistics. http://sankhya.isical.ac.in/index.html
Scientific Societies Membership
Institute of Mathematical Statistics (IMS)
Società Italiana di Statistica (SIS)
Unione Matematica Italiana (UMI)
Teaching 
PhD (in English)     Probability I  2005  ;Introduction to Probability  2010 –  :Probability II   2005 – 2009; Introduction to Statistics   2006 – 2010
M.Sc. Financial Econometrics and Empirical Finance  2007   ;
Bachelor Quantitative Methods for Finance,  Bachelor of Economics and Finance  2007  ;Sample Surveys, Bachelor for Economics and Management for Arts, Culture and Communication 2005 – 2007; Probability 1999 – 2003; Statistics  1997 – 2002; Mathematics 2002 – 2004
Master Programs (in English) Basic Probability for Finance, Master of Quantitative Finance and Risk Management 1999 – 2004
Other  Statistics. Corso di Gestione Aziendale, Libero Istituto Universitario Carlo Cattaneo, 1991 – 1992; Mathematical Analysis Exercises, Bachelor in Engeneering, Politecnico di Milano 1989 – 1992
Lecture notes
 “Modelli Statistici per le Applicazioni Finanziarie”. Lecture Notes - Metodi Quantitativi per la Valutazione Finanziaria. Le Dispense del Pellicano – Egea. 2010
“ Probability. Lecture Notes - PhD in Economics and Finance”. PhD School. Bocconi University. 2010
“Statistics Exercises and Solutions, PhD in Economics and Finance” with May C and Simoni A.  Bocconi PhD School. 2010.
“Statistics Lecture Notes - PhD in Economics, Finance and Management”. PhD School. Bocconi University. 2009.
“Appunti sulla Stima del Modelli Lineari  Lecture Notes - Metodi Quantitativi per le Applicazioni Finanziarie CLEF”.  Egea, 2008
“Esercizi di Probabilità” with Cerquetti A. www.unibocconi.it 2004

 

Research areas

Probability and stochastic processes; Bayesian Statistics.


Selected publications

 

  • "On a notion of partially conditionally identically distributed sequences" with Petrone S. and Sporysheva P. Stochastic Processes and their Applications. To appear.
  • "Predictive Characterization of Mixtures of Markov Chains" with Petrone S. Bernoulli Journal  23(3), 1538-1565. 2017.
  • "Predictive distribution (de Finetti's view)" with Petrone S. Statsref-Statistics Reference Online. Wiley.  2016 DOI: 10.1002/9781118445112.stat07831. 
  • "Hierarchcal reinforced urn processes" with Petrone S. Stat. Prob. Lett   82,  1521 - 1529. 2012
  • "Predictive construction of priors in Bayesian nonparametrics" with Petrone S.  Braz. J. Probab. Stat. 6,4,423 - 449. 2012
  • "Central Limit Theorem with Exchangeable Summands and Mixtures of Stable Laws as Limits" with Ladelli L, Regazzini, E. BUMI 5,3, 515 - 542. 2012
  • "Recursive Equations for the predictive distributions of some determinantal processes" with Cifarelli D.M. Stat. Prob. Lett. 81, 8-15. 2011
  • "A Poisson Approximation for Colored Graphs Under Exchangeability" with Cerquetti A. Sankhya A 68 183-197. 2006
  • "A characterization for mixtures of Semi Markov processes" with Epifani I., Ladelli L. Stat. Prob. Lett. 60 (4): 445-457. 2002
  • "On mixtures of distributions of Markov chains" with Ladelli L., Petris G., Regazzini E. Stoch. Proc. Appl. 100, 147-165. 2002
  • "On the use of the concentration function in Bayesian robustness" with Ruggeri F. In  Robust Bayesian Analysis. Lecture Notes in Statistics, pp.109-126. Springer-Verlag. 2000
  • "Exchangeability, predictive distributions and parametric models" with Ladelli L., Regazzini E. Sankhya, A, 62-1, pp. 86-109. 2000
  • "On parametric models for invariant probability measures" with Berti P., Ladelli L., Regazzini E., Rigo P. . Quad. Stat.  2, 39-57; 3, 231-232. 2000
  • "Differential properties of the concentration function" with Ruggeri F. Sankhya, A, 59, pp. 345-364. 1997
  • "A central limit problem for partially exchangeable random variables" with Ladelli L., Regazzini E. Teor. Verojatnost. i Primenen. (Theory Probab. Appl.), 41-2, 353-379. 1996
  • "Concentration function and sensitivity to the prior" with Ruggeri F. JISS, 4,  283-297. 1995
  • "On defining neighborhoods of measures through the concentration function" with Ruggeri F. Sankhya, series A, 56-3, 444 - 457. 1994
  • "Concentration functions and Bayesian robustness" with Ruggeri F. J. Stat. Plann. Inference, 40-2/3, 205 - 220. 1994
  • "Concentration function and coefficients of divergence for signed measures" with Ruggeri F. JISS 2-1, 17 - 34. 1993
  • "Spherical symmetry: an elementary justification" with Eaton M., Regazzini E. JISS 2-1,  1 -16. 1993
  • "Non monotonicity of approximation in Lp". Istituto Lombardo (Rend. Sc.) A 124, 73-83.   1990