Hello! My name is Marco Francischello and I'm currently a PhD student in mathematical finance at Imperial College in London under the supervision of Prof. Damiano Brigo. I enjoy solving problems, crafting models, and playing around with data and algorithms.
It took a while but finally my website is online!
Imperial College London2014-Now
PhD candidate in Mathematical FinanceSupervisor: Prof. Damiano Brigo
Università di Pisa2011-2014
MsC in MathematicsThesis:"Valuation Adjustments for Interest Rate Contracts in a Multi-Curve Framework"
Supervisors: PhD Giacomo Bormetti and PhD Andrea Pallavicini
Politecnico di Milano2013-2014
Executive course in quantitative finance
Erasmus Exchange student
Università di Pisa2008-2011
BsC in MathematicsThesis:"Una caratterizzazione asintotica degli spazi Gromov-iperbolici"(An Asymptotic Carachterization of Gromov-Hyperbolic Spaces)
Supervisor: PhD Roberto Frigerio
Research Interests:Valuation Adjustments, Backward Stochastic Differential Equations, Capital and Funding, Derivative Valuation, Algorithmic Trading
"Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects" (with Damiano Brigo and Andrea Pallavicini), in Innovations in Derivatives Markets, Springer, Dec 2016.
"Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments" (with Giacomo Bormetti, Damiano Brigo and Andrea Pallavicini), in Innovations in Derivatives Markets, Springer, Dec 2016.
"Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs" (with Damiano Brigo and Andrea Pallavicini), Jun 2015.
"Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization" (with Giacomo Bormetti, Damiano Brigo and Andrea Pallavicini), Jul 2015.
Imperial college PhD Day
Imperial college JAMS seminar
CVA & DVA computations for IRS in multicurve setup (Coming soon...)
Programming & Other Stuff
Main Interests:Web Development, LaTeX, Machine Learning, Linux, Music Theory
This website :)
Work in progress :P
Books on my Shelf
Road to Reality, Roger Penrose
The Theoretical Minimum, Leonard Susskind