Persona

## Papi Marco

Altro personale docente

## Curriculum Vitae

[2004] Ph.D. in Mathematics, with emphasis in Finance, University of Rome “Tor Vergata”, Italy. Defended on February, 19th 2004. Advisor: Prof. R. Natalini.

[1999] Graduated in Mathematics, summa cum laude, University of Rome TRE, Italy. Advisor: Prof. R. Natalini.

PROFESSIONAL EXPERIENCE

[since 07/2010] Appointed Associate Professor of Mathematics and Financial Mathematics.

[since 09/2008] Assistant Professor of Mathematics and Financial Mathematics at the School of Engineering, UCBM, Rome (Italy).

[3/2005-8/2008] Assistant Professor in Mathematics and Financial Mathematics in the Department of Economics, University of Varese (Italy).

[1/2005-2/2005] Research grant – Luiss University, Department of Economics, Rome, Italy.

Research topic: Risk Management and Decision Optimization Systems.

[2003-2004] Research grant – IAC-CNR (Institute for Applied Computing – Research National Council) and

Treasury Dept. of the Ministry of Economic and Finance.

Research unit: Portfolio Optimization and Term-Structure Models for the Public Debt Management. Analysis of Optimal Strategies for the Issuances of Public Debt Securities.

[2002-2003] Teaching Assistant in Probability and PDEs at the University of Texas at Austin.

[2000-2002] Research grant – IAC-CNR.

Research topic: Design and Implementation of Effective Approximation Methods for Pricing Equations Arising in Mathematical Finance.

[1999-2000] Research grant – IAC-CNR and INA S.p.A. Capital Markets Department. Research topic: Asset-Liability Management for Insurance Companies.

RESEARCH PROJECTS

[2007-2010] Programme coordinator of the project “Advanced Mathematical Methods for Finance”, promoted by the European Science Foundation.

[2006-2008] Participation to the research project “Optimality conditions, critical points and numerical methods in vector optimizazion”, financed by the University of Varese (FAR).

Coordinator: Prof. A. Guerreggio, Faculty of Economics.

[2006-2008] Participation to the PREMIA consortium, carried out at INRIA and CERMICS, for the devel-

opment of e cient numerical schemes for pricing multi-dimensional options.

[2004-2006] Participation to the research project PRIN on Mathematical, Economic and Statistical Sciences.

Coordinator: Prof. W. Runggaldier, University of Padova.

[2003-2004] Cofin. (MIUR), Economic and Statistical Sciences. Coordinator: Prof. F. Gozzi, Luiss University, Rome, Italy.

[2003-2004] “Optimal strategies for the public debt management” (G.N.A.M.P.A.). Coordinator: Dr. B. Piccoli, Research Director IAC-CNR.

[2002-2003] “Distributional properties of stochastic control processes and their applications to portfolio op-

timization” (G.N.A.M.P.A.). Coordinator: Dr. B. Piccoli, Research Director IAC-CNR.

SCHOLARSHIPS AND AWARDS

[2004] Winner of the competition for a 4 years grant for post-graduate education supported by the Department of Economics, Luiss University, Rome, Italy.

[2006] Winner of the competition for a 3 years full time position as Assistant Professor in Economics and Business at Luiss University, Rome, Italy.

[1997-1999] Grant of the University of Roma TRE, as teaching assistant at the Department of Mathematics.

TEACHING

[2009-2011] Lecture course in Mathematical Methods, School of Engineering, UCBM, Rome.

[2009-2011] Lecture course in Mathematics for Economics, Faculty of Economics, Luiss University, Rome.

[2005-2011] Lecture course in Mathematical Analysis, School of Engineering, UCBM, Rome.

[2008-2009] Lecture course in Quantitative Methods in Business, MSc in Business Administration, Faculty of Economics, University of Rome “Tor Vergata”.

[2008-2009] Lecture course in Mathematics 2, Advanced Calculus in Economics and Finance, Faculty of Economics, Luiss University, Rome.

[2008-2009] Lecture course in Mathematics for Economics, Faculty of Economics, Luiss University, Rome.

[2005-2008] Lecture course in Mathematical Finance, Faculty of Economics, University of Varese, Italy.

[2006-2008] Lecture course in Mathematics for Economics, Faculty of Economics, University of Varese, Italy.

[2005-2006] Lecture course in Financial Engineering Models II, Faculty of Engineering, University of Rome

“Tor Vergata”, Italy.

[2004-2005] Lecture course in Financial Engineering Models I, Faculty of Engineering, University of Rome

“Tor Vergata”, Italy.

[2004-2006] Tutorial for the course in Mathematical Portfolio Theory, Faculty of Economics, Luiss University,

Rome, Italy.

[2003-2005] Tutorial for the course in Mathematical Models of Financial Markets, Department of Mathematics, University of Rome TRE, Italy.

[2004-2005] Tutorial for the course in Advanced Calculus, Faculty of Statistics, University of Rome “La Sapienza”, Italy.

[2003-2004] Lecture course in Mathematical Methods for Economics, Faculty of Economics, University of Rome “La Sapienza”, Italy.

[2002-2003] TA for the courses in Probability and Partial Di erential Equations and Applications, University

of Texas at Austin.

[2001-2002] Lecture course in Advanced Mathematical Analysis, Faculty of Engineering, University of Rome “La Sapienza”, Italy.

[1997-1999] Tutorial for the course in Basic Calculus, University of Rome TRE, Italy.

SEMINARS AND TALKS

- September 10, 2010. “Regularity of Singular Risk-Neutral Valuation Equations”, talk at

Kolmogorov Equations in Physics and Finance, Modena (Italy).

- May 6, 2010. “Regularity for Singular Risk-Neutral Valuation Equations”, talk at the 5th General

Amamef Conference, Bled (Slovenia).

- May 8, 2009. “Singular Valuation Equations in Finance}”, talk at the 4th General Amamef Conference, Centre of Mathematics for Applications of Oslo, Alesund, Norway.

- May 9, 2008. “Existence and uniqueness of solutions for some degenerate valuation equations

and applications”, talk at the 3rd General Amamef Conference, University of Pitesti, Romania.

- January 24, 2008. “A PDE-based Approach for Pricing Mortgage-backed Securities”, talk at the

IX Workshop on Quantitative Finance, University of Rome “Tor Vergata”, Italy.

- December 6, 2007. “Prepayment and Credit Risk Models in the Valuation of Mortgage-Backed

Contracts”, Institute of Applied Mathematics and Information Technology (CNR), Milan, Italy.

- September 18, 2007. “Credit Risk Modeling and Valuation”, seminar lecture at the Joint Research

Centre, Ispra, Italy.

- September 12, 2007. “Continuous-time Financial Markets”, seminar lecture at the Joint Research Centre, Ispra, Italy.

- July 11, 2007. “A Dynamic Interaction Model for In

ation, ECB and Short-term Interest Rates”,

talk at the 22nd European Conference on Operational Research, special session on Financial Optimization and Risk Management in Public Dept Analysis, University of Economics, Prague.

- February 16, 2007. “Finite Differences Approximations for Multidimensional Models of Pricing”, seminar at Cermics (ENPC), Marne-la-Valle e, Paris (France).

- November 22, 2006. “Optimal Debt Securities Strategy and Simulation Framework”, seminar at

Economics and Business Department, University Luiss Guido Carli, Rome, Italy.

- February 2, 2006. “Scenario-Generation Methods for Public Debt Management”, talk at the Amamef conference on Numerical Methods in Finance, INRIA, Rocquencourt (France).

- June 6, 2005. “Design and Estimation of Term Structure Models: An Introduction”, seminar

at the Master in Scientific Calculus, Department of Mathematics, University of Rome “La

Sapienza”, Italy.

- May 23, 2005. “Term Structure Dynamics of Interest Rates by Exponential-A ne Models”,

seminar at the Master in Scientific Calculus, Department of Mathematics, University of Rome

“La Sapienza”, Italy.

- November 18, 2004. “A Quadratic Gradient Equation for pricing Mortgage-Backed Securities”,

talk at the workshop on PDEs and Finance, University Marne-la-Vallee, Paris (France).

- October 27-30, 2004. “Scenario-Generation Methods for an Optimal Public Debt Strategy”, talk at the workshop on Advanced Mathematical Methods for Finance, Technische Universitaet Muenchen, Munich (Germany).

- October 2, 2003. “An ALM Model for Insurance Companies”, seminar at Piz2@iac, Institute for Applied Computing, Rome, Italy.

- October 13, 2003. “Optimal ALM with Constraints: A Dynamic Programming Approach”, seminar at the Department of Economics, University of Varese, Italy.

- June 3, 2003. “Optimal Asset Liability Management with Stochastic Programming”, University of Rome “Tor Vergata”, Italy.

- November 29, 2001. “Optimal ALM for Insurance Companies”, seminar at the Department of Pure and Applied Mathematics, University of Padova, Italy.

- “The Valuation of Mortgage-Backed Securities: a Differential Model”, talk at the workshop on Viscosity Solutions and Applications, Brixen, Italy, 2000.

- “A Portfolio Optimization Problem for an Insurance Company”, talk at the 5th SIMAI conference, 2000, Ischia, Italy.

- “Pricing a Mortgage-Backed Security”, talk at the 5th SIMAI conference, 2000, Ischia, Italy.

## Insegnamenti offerta formativa corrente (2)

### AB3 - MATEMATICA

Primo Semestre (09/09/2024 - 30/11/2024)
- 2024

Obbligatorio

Laurea

8 CFU

64 ore

### AB3 - MATEMATICA (A)

Primo Semestre (09/09/2024 - 30/11/2024)
- 2024

Obbligatorio

Laurea

8 CFU

64 ore

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