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Associate Professor
Department of Finance

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Courses a.y. 2019/2020


Courses previous a.y.

Biographical note

Born June 30th, 1970, Bressanone (BZ). PhD in Statistical Mechanics and M.Sc in Complex Systems, Institute for Advanced Studies (Trieste); Master in Economics and Finance (Venice International Univ.); Degree in Physics, Padova University.

Academic CV

Since 2011, he is Associate Professor at Bocconi University in Quantitative Methods for Economics and Finance, previosuly he held the position of  Researcher in Quantitative Methods for Economics Finance and Insurance, Faculty of Economics Verona University since 2000 (tenured 2003). His teaching activity ranges from Calculus and Basic Finance, at the Undergraduate level, to Derivative pricing and Interest rate theory, at the Graduate and PhD levels. In January 2007 he was awarded for the Best Paper in Finance of the Swiss Econometrics and Finance Society meeting. In 2004 he has been an invited visiting scholar at the Faculty of Finance, Anderson School of Management, Univ. of California in Los Angeles and in 1998 visited the Niels Bohr Institute for Theoretical Physics and Complex Systems in Copenaghen. He serves as referee many leading international journals in quantitative finance and is frequently invited to speak about his research by leading European universities and investment banks.

Research areas

Quantitative Methods in Economics and Finance: Risk Management, Derivative Pricing, Term Structure of Interest Rates, Dynamic Asset Allocation, Statistical Models of Nonlinear Interacting Complex Systems.


Tebaldi C. and P. Veronesi “Risk Neutral Pricing with Trees.”Handbook of Fixed-Income Securities, First Edition. 2016 John Wiley & Sons, Inc.
Tebaldi C. and P. Veronesi “Risk Neutral Pricing with Monte Carlo Simulation.”Handbook of Fixed-Income Securities, First Edition. 2016 John Wiley & Sons, Inc.
Tebaldi C., E. Bisetti, C. Favero and G. Nocera “"A Multivariate Model of Strategic Asset Allocation with Longevity Risk.” Journal of Financial and Quantitative Analysis", forthcoming.
Tebaldi C., F.Ortu and A.Tamoni "Long Run Risk and the Persistence of Consumption Shocks" The Review of Financial Studies (2013) , 26 (11) 2876-2915. 
Tebaldi C. and Perissinotto L.  "A Coherent State Transform Approach to Derivative Pricing" International Journal of Theoretical and Applied Finance (2009), 12 (2) 125-151 World Scientific. 
Tebaldi C., Da Fonseca J. and M. Grasselli (forthcoming), "A Multi-factor Volatility Heston Model" Quantitative Finance.

Tebaldi C. and Grasselli M. (2008) "Solvable Affine Term Structure Models" Mathematical Finance, Vol.18 No.1, 135-153.

Tebaldi C.  and  Grasselli M., "On the relation between the Stochastic Jacobian and the Riccati ODE in Affine Term Structure Models" Decisions in Economicsand Finance (2007), 30 (2), November, 95-108, Springer.

Tebaldi C. ,  Da Fonseca  J. and  Grasselli M.,  “Option pricing with Correlation Risk” Review of Derivatives Research, Springer Vol 10,N2, May 2007.

Tebaldi C. (2005), “Hedging using simulation: a least squares approach”, Journal of Economic Dynamics and Control, Elsevier, 29, 1287-1312.

Grasselli M. and C. Tebaldi (2004), “Bond price and Impulse-Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) model”, Economic Notes, vol. 33, n. 3, pp. 359–374.