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MINENNA MARCELLO Print E-mail

 
Marcello MinennaProfessor


Profile:

  • Adjunct Professor of Stochastic Finance at London Graduate School of Mathematical Finance and at Luigi Bocconi University of Milan
  • Director of the Quantitative Analysis Unit, Consob.

Research interests:

  • stochastic finance, economics, monetary economics, economic policy, international economics, mathematics applied to economics and finance, capital markets, financial engineering, structured finance, pricing and hedging of derivatives, risk analysis, measurement and disclosure, Eurozone financial architecture, risk management of public debt.

 

 

Professional Profile:

 

Marcello Minenna, in Consob from 1996, is Director of the Quantitative Analysis Unit. Adjunct Professor of Stochastic Finance at London Graduate School of Mathematical Finance and at Luigi Bocconi University of Milan He is the economic and financial columnist of leading national and international publications. He teaches advanced courses in quantitative finance for the industry in major international financial centers. Key-note speaker in various forums and international conferences of finance and economics He works as a technical consultant on behalf of various judicial authorities in the field of financial markets, financial engineering, pricing and risk measurement of derivatives and structured products. It's Chartered Tax Advisor Accountant and Chartered Accountant, Former member of the Technical Secretariat of the Special Commissioner of Roma Capitale and Assessor for budgeting, real estate, housing policies, subsidiaries and spending review of Roma Capitale.

 

 

 

Education:
  • He graduated in Economics at Bocconi University
 
  • master's degree and PhD in mathematical finance at Columbia University in New York and at the University of Brescia.

 

 

SELECTED PUBLICATIONS:

Books:

 

  • "La moneta incompiuta", Ediesse, 2016
  • “The Incomplete Currency, Wiley, 2016
  • “A Quantitative Framework to Assess the Risk-Return Profile of Non-Equity Products”, Risk Books, 2011
  • “Options Pricing via Quadrature”, Risk Books, 2008
  • "A Guide to Quantitative Finance - Tools and Techniques for Understanding and Implementing Financial Analytics”, Risk Books, 2006 (Best Seller)
  •  

    Papers:

     

  • “Inside insider trading”, Risk, March 2002
  • “Insider Trading, Abnormal Return, value of preferential information: a probabilistic approach.” Journal of Banking and Finance 27 (2003) 59-86
  • “Detecting market abuses”, Risk, October 2004.
  • “A Revisited and Stable Fourier Transform Method for Affine Jump Diffusion Models” – Journal of Banking and Finance - Special Issue on Risk Measurement and Control 2006.
  • “Curing the Eurozone”, Risk, November 2013.
  • “Control the spread”, Risk, October 2014.
  • “Why Europe’s QE resembles a CDS trade”, Risk, July 2015.
  • “The European Public Debt Refinancing Program”, Rivista di Politica Economica I-III, (2015).
  • “Fed data dependency backfires”, Risk, June 2016.
  •