Have a look at my Blog

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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.


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13 Apr 2016

It took a while but finally my website is online!

Short CV

Current position

Imperial College London


PhD candidate in Mathematical Finance

Supervisor: Prof. Damiano Brigo

Main Education

Università di Pisa


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


Executive course in quantitative finance

Universität Bonn


Erasmus Exchange student

Università di Pisa


BsC in Mathematics

Thesis:"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


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.


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

Interesting Courses

The Theoretical Minimum, Leonard Susskind