Courses a.y. 2023/2024

Biographical note

I am a Tenured Lecturer in the Department of Finance at Bocconi University in Milan (IT), in the Mathematical Methods of Economic, Finance and Actuarial Sciences Scientific Sector.

At Bocconi University, I am the Assistant to the Director of the MSc Finance, Prof. A. Battauz.

I am also a Coordinator of the MaFinRisk, the Specialized Master in Quantitative Finance and Risk Management.


I have been a postdoctoral researcher at the Department of Mathematics at the University of Padova (IT) in the same sector.

I hold a B.Sc. in Mathematics from the University of Padova (IT), a double-degree M.Sc. in Quantitative Finance from the University of Bologna (IT) and the Ludwig Maximilian University of Munich (DE), and a Ph.D. in Economics and Finance from Bocconi University.

Research interests

My research area is quantitative finance with a focus on asset/derivatives pricing, empirical finance, and econometrics.

Working papers

Rotondi, Francesco
Efficient valuation of barrier options under equity and interest rate risks

Betolosi, Cristina; Rotondi, Francesco
Flexibility and uncertainty: the optimal management of a gas-fired turbine

Fanelli, Viviana; Fontana, Claudio; Rotondi, Francesco
A hidden Markov model for statistical arbitrage in international crude oil futures market

Battauz, Anna; Rotondi, Francesco
Optimal liquidation policies of redeemable shares

Rotondi, Francesco
Effective binomial discretizations of bivariate diffusion processes

Selected Publications

Fontana, Claudio; Rotondi, Francesco
Valuation of general GMWB annuities in a low interest rate environment
Insurance: Mathematics and Economics, 2023

Battauz, Anna; Ortu, Fulvio; Rotondi, Francesco
Arbitrage theory in discrete and continuous time
Egea, 2023

Battauz, Anna; Rotondi, Francesco
American options and stochastic interest rates
Computational Management Science, 2022

Cerreia-Vioglio, Simone; Ortu, Fulvio; Rotondi, Francesco; Severino, Federico
On horizon-consistent mean-variance portfolio allocation
Annals of Operations Research, 2022

Rotondi, Francesco
American options on high dividend securities: a numerical investigation
Risks, 2019