Davide Marano

Education

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  Università di Bologna

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  Post graduate diploma Mathematical Finance

  oct 2017 - mar 2018http://www.dm.unibo.it/finanza/Stochastic calculus, numerical methods for PDE and calibration methods for pricing. Risk management, computational finance (using R, Matlab, C/C++, Excel and VBA), term structure interest rates, fixed income trading, FX market modelling

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  Università di Pisa

  2015 - 2019

  Master's degree Mathematics 110/110

  Main courses:Advanced mathematical analysis, numerical analysis and probability. Convex analysis, harmonic analysis, PDE, control theory, optimization theory and methods, numerical methods for Markov chains, mathematical finance, statistics, methods for risk management.Master Dissertation: "Modellizzazione del tasso di interesse con un approccio multi-curve" (Interest rate modeling with a multi-curve approach)In this work I introduce some models for short and forward… Show more Main courses:Advanced mathematical analysis, numerical analysis and probability. Convex analysis, harmonic analysis, PDE, control theory, optimization theory and methods, numerical methods for Markov chains, mathematical finance, statistics, methods for risk management.Master Dissertation: "Modellizzazione del tasso di interesse con un approccio multi-curve" (Interest rate modeling with a multi-curve approach)In this work I introduce some models for short and forward interest rates after the great global financial crisis of subprime mortgages. I also calibrate a model for forward interest rate using market data (using R language and Bloomberg) and I estimate the LIBOR-OIS spread with an accuracy of 96.04% with respect to the real data.Supervisor: Prof. Maurizio Pratelli Show less

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  Università degli studi di Palermo

  2011 - 2015

  Bachelor's degree Mathematics 106/110

  Main courses:Mathematical analysis, geometry, algebra, numerical analysis, probability, dinamical systems.Bachelor Dissertation: “Programmazione Matematica: Condizioni di Ottimo per ProblemiConvessi” (Mathematical Programming: Optimal Conditions for Convex Problems).In this work I introduce some concepts of the non linear convex optimization. I describe some of the most famous optimal conditions (e.g. the Karush-Kuhn-Tucker conditions). A fundamental rule in the work is… Show more Main courses:Mathematical analysis, geometry, algebra, numerical analysis, probability, dinamical systems.Bachelor Dissertation: “Programmazione Matematica: Condizioni di Ottimo per ProblemiConvessi” (Mathematical Programming: Optimal Conditions for Convex Problems).In this work I introduce some concepts of the non linear convex optimization. I describe some of the most famous optimal conditions (e.g. the Karush-Kuhn-Tucker conditions). A fundamental rule in the work is made by Farkas Lemma that relates the existence of solution for a given system with the non existence of solution for a second system, correlated with the first one, called dual system.Supervisor: Prof. Calogero Vetro. Show less