Courses a.y. 2020/2021
40215 FINANCE 2
Born August 11th, 1960. Degree in Economics from the Università di Trieste. PhD in Economics from the University of Chicago.
Full Professor at the Department of Finance, Bocconi University. Vice Rector and Dean for International Affairs from 2008 to 2012. Dean of Bocconi PhD School from 2004 to 2008. Prior to Bocconi: Assistant Professor at the Department of Finance and Business Economics of the Marshall School of Business, University of Southern California, from 1998 to 2002. Prior to that: Assistant Professor at the Department of Applied Mathematics at the Università di Trieste, Visiting Assistant Professor in the Finance and Economics Division, Columbia Business School, Columbia University, and Visiting Lecturer in the Department of Finance, University of Illinois at Urbana-Champaign.
Theory of Finance: Asset Pricing and Stochastic Discount Factors. Martingale Approach to Pricing Contingent Claims. Term Structure of Interest Rates. Valuation of Corporate Bonds. Insurance: Pricing and Investment Policies for Non-Traditional Life Insurance Products.
“Envelope Theorems in Banach Lattices and Asset Pricing”, with A. Battauz and M. De Donno, Mathematics and Financial Economics, Vol.9, No. 4, 2015
“Long-Run Risk and the Persistence of Consumption Shocks”, with A Tamoni and C. Tebaldi The Review of Financial Studies Vol. 26, No. 11, 2013
“A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing”, with C. Favero and Junye Li, Computational Statistics and Data Analysis, Vol. 56, No. 11, 2012
“Intertemporal Asset Pricing and the Marginal Utility of Wealth”, with A. Battuz and M. De Donno, Journal of Mathematical Economics, Vol. 47, No. 2, 2011
Battauz A. and Ortu F. (2007), "Dynamic versus one-period completeness in event-tree security markets", Economic Theory, 30, 191-193;
Baccara M., Battauz A. and Ortu F.(2006), "Effective securities in arbitrage-free markets with bid-ask spreads: a linear programming characterization", Journal of Economic Dynamics and Control, 30, 55-79.
"Arbitrage, Linear Programming and Martingales in Securities Markets Bid-Ask Spreads", in Decisions in Economics and Finance-A Journal of Applied Mathematics, vol. 24, n. 2, 2001;
"Generic Existence and Robust Non-Existence of Numeraires in Finite-Dimensional Securities Markets" (con B. Girotto), in Mathematical Finance, vol. 10, n. 4, 2000;
"Arbitrage Valuation and Bounds for Sinking-Fund Bonds with Multiple Sinking-Fund Dates" (con A.R. Bacinello), in Applied Mathematical Finance, vol. 6, n. 4, 1999;
"Numeraires, Equivalent Martingale Measures and Completeness in Finite Dimensional Securities Markets" (con B. Girotto), in Journal of Mathematical Economics, vol. 27, n. 3, 1997;
"Valuation of Sinking-Fund Bonds in the Vasicek and CIR Frameworks" (con A.R. Bacinello e P. Stucchi), in Applied Mathematical Finance, vol. 3, n. 4, 1996;
"Existence of Equivalent Martingale Measures in Finite Dimensional Securities Markets" (con B. Girotto), in Journal of Economic Theory, vol. 69, n. 1, 1996;
"Fixed Income Linked Life Insurance Policies with Minimum Guarantees: Pricing Models and Numerical Results" (con A.R. Bacinello), in European Journal of Operational Research, vol. 91, n. 2, 1996;
"Consumption and Portfolio Policies with Incomplete Markets and Short-Sales Constraints in the Finite Dimensional Case: Some Remarks" (con B. Girotto), in Mathematical Finance, vol. 4, n. 1, 1994;
"Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: the 'Lognormal+Vasicek' case" (con A.R. Bacinello), in L. Peccati and M. Viren (eds.), Financial Modeling, Physica-Verlag Publishers, 1994;
"Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees" (con A.R. Bacinello), in Insurance: Mathematics and Economics, vol. 12, n. 3, 1993;