Hello

Have a look at my Blog

Fork me on Github!

and make a bunch of other things ☺

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.


Blog

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First!

13 Apr 2016

It took a while but finally my website is online!


Short CV

Current position

Imperial College London

2014-Now

PhD candidate in Mathematical Finance

Supervisor: Prof. Damiano Brigo

Main Education

Università di Pisa

2011-2014

MsC in Mathematics

Thesis:"Valuation Adjustments for Interest Rate Contracts in a Multi-Curve Framework"
Supervisors: PhD Giacomo Bormetti and PhD Andrea Pallavicini

Politecnico di Milano

2013-2014

Executive course in quantitative finance

Universität Bonn

2012-2013

Erasmus Exchange student

Università di Pisa

2008-2011

BsC in Mathematics

Thesis:"Una caratterizzazione asintotica degli spazi Gromov-iperbolici"(An Asymptotic Carachterization of Gromov-Hyperbolic Spaces)
Supervisor: PhD Roberto Frigerio

Math

Research Interests:Valuation Adjustments, Backward Stochastic Differential Equations, Capital and Funding, Derivative Valuation, Algorithmic Trading

Papers

Conference Proceedings

"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.

Talks

Imperial college PhD Day

Imperial college JAMS seminar

Code

CVA & DVA computations for IRS in multicurve setup (Coming soon...)


Programming & Other Stuff

Main Interests:Web Development, LaTeX, Machine Learning, Linux, Music Theory

Projects

This website :)

Work in progress :P

Books on my Shelf

Road to Reality, Roger Penrose

Interesting Courses

The Theoretical Minimum, Leonard Susskind