Guido Gazzani

Academic experience:

Post-doc researcher at École des Ponts ParisTech. Joint projects with Julien Guyon. (April 2023-April 2024)
Ph.D. in Statistics and Operations Research at the University of Vienna, jointly supervised by Christa Cuchiero and Irene Klein, in the group QUARIMAFI.
My current research interests are signature-based models and machine learning in Finance.

Publications and preprints:

"Signature-based models in finance", joint work with C. Cuchiero, J. Möller and S. Svaluto-Ferro, Book Chapter (under review) 2024.

"Joint calibration to SPX and VIX options with signature-based models", joint work with C. Cuchiero, J. Möller and S. Svaluto-Ferro, Preprint (under review) 2023. [ArXiv]

"Signature-based models: theory and calibration", joint work with C. Cuchiero and S. Svaluto-Ferro, in SIAM Journal on Financial Mathematics, Volume 14, (3) 2023. [ArXiv,Article]

"Risk measures under model uncertainty: a Bayesian viewpoint", joint work with C. Cuchiero and I. Klein, in Frontiers of Mathematical Finance, Volume 2, (4) 2023. [ArXiv, Article]

Working papers:

"Pricing and calibration of path-dependent volatility models", joint work with J. Guyon, 2024.

"On a discrete-time PDV model", joint work with Fabio Baschetti and J. Guyon, 2024.

"Tractable path-dependent volatility models", joint work with Fabio Baschetti and J. Guyon, 2024.

Additional activities:

Referee activity (2022-): Quantitative Finance, Mathematical Finance, SIAM Journal on Financial Mathematics and others.

Teaching:

Summer semester 2023, University of Vienna:   Computational Statistics (page of the course).

Winter semester 2022, University of Vienna:   Exercise class in Mathematics 1 (page of the course ).

Winter semester 2021, University of Vienna:   Exercise class in Mathematics 1 (page of the course).

Summer semester 2021, University of Vienna:   Exercise class in Analysis (page of the course).

Winter semester 2020, University of Vienna:   Exercise class in Mathematics 1 (page of the course).

Summer semester 2020, University of Vienna:   Exercise class in Analysis (page of the course).

Summer semester 2018, University of Turin:   Exercise class in Analysis.

Talks:

11 April 2024, XXV Workshop on QUANTITATIVE FINANCE (QFW2024), University of Bologna, Bologna, Italy.

2 April 2024, International Conference of Computational Finance (ICCF24), CWI, Amsterdam, Netherlands.

26 March 2024, Vienna-Paris Seminar, Institut Louis Bachelier, Paris, France.

28 February 2024, Chair Futures of Quantitative Finance, BNP-Paribas, Paris, France.

12 December 2023, Research in Options 2023 (RiO23), Fundação Getulio Vargas, Rio de Janeiro, Brazil.

7 November 2023, Groupe de Travail Méthodes Stochastiques et Finance, École des Ponts ParisTech, Champs-sur-Marne, France.

14 June 2023, MathRisk Conference on Numerical Methods in Finance, University of Udine, Udine, Italy.

24 May 2023, "Volatility is rough" workshop, Isle of Skye, Scotland, United Kingdom.

16 December 2022, Vienna-Paris Seminar, Institut Louis Bachelier, Paris, France.

08 December 2022, 16th Oxford-Berlin Young Researchers in Stochastic Analysis Meeting, Oxford University, United Kingdom.

09 November 2022, 2nd Edition of the School Machine Learning of Dynamic Processes and Time Series Analysis, Scuola Normale Superiore Pisa, Italy.

17 October 2022, Recent developments in stochastics with applications in mathematical physics and finance, Hammamet, Tunisia.

21 September 2022, DataSig Seminar, United Kingdom.

14 June 2022, 11th World Congress of The Bachelier Finance Society, Hong Kong.

21 December 2021, Welcome Home, University of Turin, Italy.

1 September 2021, 14th European Summer School in Financial Mathematics, Edimburgh, United Kingdom. (Prize talk)

25 June 2021, 10th General AMaMeF Conference, University of Padova, Italy.

3 June 2021, Doc in Progress, University of Trento, Italy.

26 May 2021, Vienna Seminar in Mathematical Finance and Probability, University of Vienna, Austria.

22 December 2020, Welcome Home, University of Turin, Italy.

20 December 2019, Welcome Home, University of Turin, Italy.

11 December 2019, Brown Bag Seminar, WU Wien, Austria.

29 November 2019, Wien-Zurich Symposium for young researchers in Financial Mathematics, TU Wien, Austria.

4 October 2019, Freiburg-Wien-Padova-Zurich Workshop, ETH Zurich, Switzerland.

Schools:

November 2022, 2nd Edition of the School Machine Learning of Dynamic Processes and Time Series Analysis, Scuola Normale Superiore Pisa, Italy.

September 2021, 14th European Summer School in Financial Mathematics, Edimburgh, United Kingdom.

September 2020, 13th European Summer School in Financial Mathematics, Vienna, Austria.

June 2019, YUIMA Summer School on Computational and Statistical Methods for Stochastic Process , Brixen, Italy.