ANNA BATTAUZ
Courses a.y. 2020/2021
11582 THE R LANGUAGE
11878 APPLIED NUMERICAL FINANCE
20188 QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 1
20247 APPLIED NUMERICAL FINANCE
40945 CONTINUOUS TIME FINANCE
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.
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) http://dx.doi.org/10.1287/mnsc.2013.1891
A. Battauz. M. De Donno and A. Sbuelz: Real options and the double continuation region, Quantitative Finance, 12, 465-475, ISSN: 1469-7688, doi: http://dx.doi.org/10.1080/14697688.2010.484024 (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.