This website uses third party cookies to improve your experience. If you continue browsing or close this notice, you will accept their use.

Fabio Antonelli

Adjunct Professor

Curriculum

1986: Bachelor Degree in Mathematics, Università di Roma `”La Sapienza".
1993: Ph.D. in Mathematics, Purdue University - W. Lafayette - IN 47907 (U.S.A.).
1992 - 1998: assistant professor at the Mathematics Department, Università di Roma “La Sapienza".
1998 - today: associate professor in Probability at the Università della Tuscia, at the Università “G d'Annunzio" – Pescara and at the Università di L'Aquila.
RESEARCH GRANTS
Visiting Scholar at Purdue University, at the Universitè du Maine and at 'Osaka University.
Member of the national research projects in the years 1997, 1999, 2000, 2001-2003, 2004, 2006, 2008 AMAMEF 2004, INDAM 2006
TEACHING
Teaching experience in several subjects: Mathematical Analysis, Probability Theory, Stochastic Processes, Statistics, Operations research,Financial Models. Advisor for several undergraduate theses and two Ph. D. theses.
RESEARCH INTERESTS
Stochastic Calculus, Malliavin stochastic calculus, Mathematical Finance.

Main pubblications (last 10 years)

  • F. Antonelli:  “Backward Forward Stochastic Differential Equations",  Ann.of Appl. Prob., 3,  3, 777-793, (1993)
  • F. Antonelli:  “Stability of Backward SDE's", Stochastic Processes and their applications, 62, 103-114, (1996).
  • F. Antonelli, A. Kohatsu-Higa: “Filtration Stability of BSDE's",  Stoc. An. and Appl., 18 , 1, 11-37, (2000).
  • F. Antonelli, E. Barucci, M.E. Mancino:  “Asset Pricing with Endogenous Aspiration", DEF,  1, 21—39, (2001).
  • F. Antonelli, E. Barucci, M.E. Mancino: “Asset pricing with a forward-backward stochastic differential utility", Economic Letters,72, 2, 151-157 (2001).   
  • F. Antonelli, A. Kohatsu-Higa: “Rate of Convergence to the Solution of the McKean-Vlasov's Equation" Annals of Applied Probability, 12, 2, 423-476 (2002).
  • F. Antonelli, J. Ma: “Weak Solutions of Forward - Backward SDE's",  Stoch. An. and Appl., 21, 3, 2003.
  • F. Antonelli, E. Barucci, M.E. Mancino: “A Comparison result for BFSDE's and Applicationsto Utility Theory", Mathematical Methods of Operations Research, 54,  3, 407-423 (2002)
  • F. Antonelli, A. Pascucci: “Viscosity solutions of a utility problem", Journal of Diff. Equations, 186, 69-87 (2002).
  • F. Antonelli, A. Kohatsu-Higa: “Densities of Backward SDE's",  Potential Analysis}, 22 , n.3, 263-287, (2005).
  • F. Antonelli, S. Hamadene: “Existence of solutions of BFSDE's with continuous monotone coefficients", Statistics Probability Letters, 76, 1559-1569 (2006).
  • F. Antonelli: Rate of convergence of Monte Carlo simulations for the Hobson-Rogers model", con V. Prezioso, Int. J. Theor. Appl. Finance, 11,  8, 889-904, (2008).
  • F. Antonelli,S. Scarlatti “Pricing Options under stochastic volatility: a power series approach", Finance Stoch., 13, 2, 269-303, (2009).
  • F. Antonelli, S.Scarlatti, A. Ramponi: “Exchange option pricing under stochastic volatility: a correlation expansion", Review of Deriv. Research, 13,  1, 45-73.  (2010).
  • F. Antonelli, S.Scarlatti, A. Ramponi: “Option based risk management of a bond portfolio under regime switching interest rates",  DEF (2011).
  • F. Antonelli, C. Mancini, M. Pinar: “Calibrated American option pricing by stochastic linear programming", Optimization, (2013)

SOME CONFERENCES AND INVITED TALKS:
Conference  on "Backward Stochastic Differential Equation", Le-Mans June 2-4  1996, with the talk “Stability of BSDE's". National Conference on Stochastic processes and applications,  Padova  1998, with the talk “Velocità di convergenza di un Metodo di Particelle alla soluzione dell'Equazione di  McKean-Vlasov". III meeting on Backward Stochastic Differential equations and application,  2002, Weihai China, Weihai branch of Shandong University with the talk “Densities of BSDE's". Meeting SIMAI 2000, Ischia Porto, with the talk “BF SDE's and Applications to Utility Models", Coorganizer  of  15  editions of  “Workshop on Quantitative Finance". Invited seminars at Purdue University,  Universitat de Barcelona,  Università di Firenze, Bologna, Milano Bicocca, Pisa, Venezia, Chieti-Pescara, Perugia, Udine, Politecnico di Milano, Luiss, Roma III, Roma Tor Vergata, Ecole Polytechnique, New Mexico State University , Universitè du Maine, Osaka University.