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INdAM Research Unit

The Department of Economics and Finance hosts a Research Unit of Istituto Nazionale di Alta Matematica "F.
Severi" (INdAM)

Unit director: Marco Scarsini - marco.scarsini@luiss.it

Members

Research interests

Michele Aleandri

  • Vote allocation and fair division models
  • Random walks on metric graph
  • Opinion dynamics models with mean field interaction
  • Interacting particle systems with Kac interactions

Sara Biagini

  • 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

Gianluca Cappa

  • 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.

Marco Dall’Aglio

  • Cooperative and non-cooperative game theory,
  • fair division theory

Valerio Dose

  • Congestion games
  • Efficiency of equilibria
  • Price of anarchy in networks with polynomial costs

Fausto Gozzi

  • 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.

Giacomo Morelli

  • Mathematical Finance,
  • Financial Econometrics,
  • Banking Theory

Marco Perone Pacifico

  • nonparametric methods,
  • multiple testing for spatial data,
  • identification of filaments,
  • manifolds estimation,
  • topological data analysis

Marco Scarsini

  • 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.

Stefano Vaccari

  • Social Learning from Online Reviews,
  • Revenue Management in Online Markets,
  • Mechanism Design and Online Ad Auctions

Giovanni Zanco

  • 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

Margherita Zanella

  • Duality methods
  • stochastic control
  • model uncertainty in finance and insurance

INdAM grants

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