Professor of Mathematical Finance at LUISS G. Carli, with national habilitations for Full Professor in Mathematics for Economics, Sector 13/D4 and Associate Professor in Analysis and Probability, Sector 01/A3 (bibliometric sector).
Aree di ricerca: Analysis and Probability, Financial Mathematics, Mathematical Method for Economics, Mathematics for Economics and Finance, Portfolio Optimization, Risk Management
Search keywords: Portfolio Selection in continuous time, Risk Measures, Generalization of Martingales, Orlicz Spaces, Mean Field Games, Mechanism Design
Departments: Dipartimento di Economia e Finanza
CESIEG - Center for Experimental Studies of Internet, Entertainment, and Gambling
Sara is an applied mathematician with primary interests in Mathematical Finance. After a M.Sc. in Mathematics (Probability) from the University of Pisa, she got a PhD in Mathematics with applications to Finance from Scuola Normale Superiore, both with the highest honors. Her PhD Thesis was awarded the INDAM-SIMAI prize for the best thesis in applied mathematics of the year 2005.
She has held academic positions and fellowships in Italy (Pisa, Perugia, Collegio Carlo Alberto), Europe (the LSE and Norwegian Academy of Science) and US (Princeton, Boston University). She was appointed as lecturer for the prestigious Minerva Lectures at Columbia University in 2009.
She has given a number of invited talks in Europe and US on her research topics and has a vast network of international collaborators. Her research has appeared, among others, in The Annals of Applied Probability, Mathematical Finance, Finance and Stochastics, Journal of Mathematical Economics, SIAM Journal of Control and Optimization, SIAM Journal of Financial Mathematics.
Pubblicazioni principali (ultimi 10anni)
- Biagini, Sara; Pennanen, Teemu; Perkio, Ari Pekka (2018). Duality and Optimality Conditions in Stochastic Optimization and Mathematical Finance. JOURNAL OF CONVEX ANALYSIS, p. 403-420. ISSN 0944-6532.
- Biagini, Sara; Bouchard, Bruno; Kardaras, Constantinos; Nutz, Marcel (2017). Robust fundamental theorem for continuous processes. MATHEMATICAL FINANCE, p. 963-987. ISSN 0960-1627. http://dx.doi.org/10.1111/mafi.12110.
- Biagini, Sara; Pınar, Mustafa Ç. (2017). The robust Merton problem of an ambiguity averse investor. MATHEMATICS AND FINANCIAL ECONOMICS, p. 1-24. ISSN 1862-9679. http://dx.doi.org/10.1007/s11579-016-0168-6.
- Sara Biagini; Jocelyne Bion-Nadal (2014). Dynamic quasi concave performance measures. JOURNAL OF MATHEMATICAL ECONOMICS, p. 143-153. ISSN 0304-4068.
- Biagini S.; Pinar M. (2013). The best gain-loss ratio is a poor performance measure. SIAM JOURNAL ON FINANCIAL MATHEMATICS, p. 228-242. ISSN 1945-497X. http://dx.doi.org/10.1137/120866774.
- BIAGINI S; SIRBU MIHAI (2012). A note on investment opportunities when the credit line is infinite. STOCHASTICS, p. 157-169. ISSN 1744-2508.
- BIAGINI SARA; CERNY ALES (2011). Admissible strategies in semimartingale portfolio selection. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, p. 42-72. ISSN 0363-0129. http://dx.doi.org/10.1137/090774458.
- SARA BIAGINI; MARCO FRITTELLI; MATHEUS GRASSELLI (2011). Indifference price with general semimartingales. MATHEMATICAL FINANCE, p. 423-446. ISSN 0960-1627. http://dx.doi.org/10.1111/j.1467-9965.2010.00443.x.
- BIAGINI, S.; GUASONI, P. (2011). Relaxed Utility Maximization in Complete Markets. MATHEMATICAL FINANCE, p. 703-722. ISSN 0960-1627. http://dx.doi.org/10.1111/j.1467-9965.2010.00451.x.