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Associate Professor
Department of Finance

Personal page

Courses a.y. 2017/2018

40224 ASSET PRICING 3 (Continous Time Finance 1)

Courses previous a.y.

Biographical note

Born October 1st, 1973.

Academic CV

Degree in Mathematics from Udine University. PhD in Financial Mathematics from the Scuola Normale Superiore di Pisa. Academic guest at ETH in Zurich in 1999. Assistant  Professor of mathematical finance from 2001 to 2005 at the Institute of Quantitative Methods, Bocconi University.

Research areas

Mathematical finance, asset pricing, derivatives.

Selected publications

“Non-Myopic Portfolio Choice with Unpredictable Returns: The Jump-to-Default Case” (with A. Sbuelz), forthcoming on European Journal of Financial Management (2017).

 “Reaching nirvana with a defaultable asset?”, (with M. De Donno and A. Sbuelz), Decisions in Economics and Finance, DOI 10.1007/s10203-017-0192-x  (2017).

A. Battauz. M. De Donno and A. Sbuelz:  “Kim-Omberg  revisited:  the  duality  approach”, Journal of Probability and Statistics, Vol. 2015, pages 1-6, (2015).

A. Battauz. M. De Donno and F.Ortu  “Envelope  theorems  in  Banach  lattices  and  asset pricing”,
Mathematics and Financial Economics,  9:303–323 (2015).

A. Battauz. M. De Donno and A. Sbuelz:: Real options and American derivatives: Tthe double continuation region,   Management Science, Vol.  61,  No.  5, 1094–1107  (2015)

A. Battauz. M. De Donno and A. Sbuelz: Real options and the double continuation region,  Quantitative Finance, 12, 465-475, ISSN: 1469-7688, doi:  (2012).

A. Battauz. M. De Donno and F.Ortu: Intertemporal Asset Pricing and the Marginal Utility of Wealth,  Journal of Mathematical Economics,  47, issue 2, 227-244 (2011).

A. Battauz, M. De Donno, A. Sbuelz and M. Tolotti: Risk tolerance levels for insurance companies, forthcoming on Giornale dell’Istituto Italiano degli Attuari (2010).

A. Battauz and F. Ortu: Dynamic versus one-period completeness in event-tree security markets,  Economic Theory, 30, 191-193  (2007).

M. Baccara, A. Battauz and F.Ortu: Effective securities in arbitrage-free markets with bid-ask spreads: a linear programming characterization, Journal of Economic Dynamics and Control,  30, 5579 (2006).

A. Battauz and M. Pratelli: Optimal stopping and American options with discrete dividends and exogenous risk. Insurance: Mathematics and Economics, 35, 255-265 (2004).

A. Battauz and F. Beccacece: Dividends and uncertainty: the Italian market, International Journal of Theoretical and Applied Finance, 7/1, pp 1 18, (2004).

A. Battauz: Quadratic hedging for asset derivatives with discrete stochastic dividends, Insurance: Mathematics and Economics, 32/2, pp 229 243, (2003).

A. Battauz: Change of numeraire and American options, Stochastic Analysis and Applications, 20 (04), 709-730, 2002.

A. Battauz: Coexistence states for periodic planar Kolmogorov systems, Nonlinear Analysis, 037/06, 735-749, 1999.

A. Battauz and F. Zanolin: Coexistence states for periodic competitive Kolmogorov systems, Journal of Mathematical Analysis and Applications, 219, pp.179-199, 1998.