The Department of Economics and Finance hosts a Research Unit of Istituto Nazionale di Alta Matematica "F.
Unit director: Marco Scarsini - email@example.com
- Michele Aleandri - web site
- Sara Biagini - web site
- Gianluca Cappa - web site
- Marco Dall’Aglio - web site
- Valerio Dose - web site
- Fausto Gozzi - web site
- Giacomo Morelli - web site
- Marco Perone Pacifico - web site
- Marco Scarsini (director) - web site
- Stefano Vaccari - web site
- Giovanni Zanco - web site
- Margherita Zanella - web site
- Vote allocation and fair division models
- Random walks on metric graph
- Opinion dynamics models with mean field interaction
- Interacting particle systems with Kac interactions
- Super replication, pricing and portfolio optimization in incomplete markets
- Performance measures
- Model uncertainty
- Risk measures, risk minimization
- Generalizations of martingales, convex duality, Orlicz spaces
- Mean field games and applications in finance
- Energy markets
- Stochastic differential equation and optimal control
- Parabolic and elliptic differential equation in infinite dimension
- Maximal regularity estimates for maild solutions of elliptic PDE in Banach spaces
- Domain of non-symmetric Ornestein-Uhlenbeck operators type in Banach spaces.
- Cooperative and non-cooperative game theory,
- fair division theory
- Congestion games
- Efficiency of equilibria
- Price of anarchy in networks with polynomial costs
- Optimal control of deterministic and stochastic systems, in finite and infinite dimension, and application to economics, finance, insurance, fluidodynamics.
- Partial Differential Equations (especially Hamilton-Jacobi-Bellman equations associated to optimal control problems).
- Dynamic Programming and Verification Theorems for Optimal Control Problems
- Pricing and hedging of financial derivatives.
- Optimal Portfolio selection also in case of liquidity constraints or path-dependent dynamics.
- Dynamic economic models, especially models with heterogeneous goods.
- Stochastic and Deterministic Path-Dependent Models and their Control.
- Mathematical Finance,
- Financial Econometrics,
- Banking Theory
Marco Perone Pacifico
- nonparametric methods,
- multiple testing for spatial data,
- identification of filaments,
- manifolds estimation,
- topological data analysis
- Social learning from online reviews,
- Congestion games,
- Price of Anarchy,
- Optimal pricing in routing games,
- Games on networks and Markov chains,
- Decision under partial knowledge of distributions and utilities.
- Social Learning from Online Reviews,
- Revenue Management in Online Markets,
- Mechanism Design and Online Ad Auctions
- path-dependent stochastic equations and related PDEs;
- stochastic analysis in infinite dimensional spaces;
- interacting particle systems and their mean-field limits;
- critical and supercritical stochastic PDEs;
- stochastic control and applications in economics
- Duality methods
- stochastic control
- model uncertainty in finance and insurance
2017 - Games on networks with many players: Deterministic and stochastic models - PI: Marco Scarsini
Participants: Riccardo Colini Baldeschi, Marco Dall’Aglio, Brunero Liseo, Marco Perone Pacifico, Gianpaolo Scalia Tomba