Research

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I'm especially interested in computational economics/finance, Monte Carlo simulation (mainly focused on option pricing) and computer-intensive methods. For historical reasons, I like also data analysis, information compression and features extraction, non standard regression and estimation of non linear Data Generating Processes.

In the last few years I have worked on

1. agent-based models of stock markets, trying to investigate the importance of the price formation mechanism with respect to other behavioral trading assumptions;
2. variance reduction techniques for Monte (and quasi-Monte) Carlo option pricing and related static hedging issues;
3. option pricing in a variety of settings (incomplete markets and American derivatives).

The full list of publications, my CV and more can be browsed here.

The purpose of computing is insight, not numbers. (Richard Hamming)

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