Research interests: Mathematical and Computational Finance
My research analyses the impact that credit risk and funding have on
the valuation of financial contracts in view of the regulatory framework and the market practice.
This includes the derivation of CVA (Credit Valuation Adjustment)
and FVA (Funding Valuation Adjustment) in light of the Basel III and ISDA documents, but also incorporates these risk factors in the valuation, instead of adjusting the price with adhoc rules.
I am captivated by optimal stopping and stochastic control. They provide powerful tools that illustrate
for instance the effect that taxes can have on the strategy that is optimal with respect to a specified investment criterion
(like utility maximisation). Realistic market models incorporating these 'friction factors' yield interesting numerical results that shape the approach of practitioners. With the emergence of Machine Learning and the increased computational power available, it is interesting how stochastic control tools compete in solving realworld portfolio management problems.
Interview for faculti.net
Publications

Nonlinear valuation with XVAs: two converging approaches, Mathematics, 10 (5), 791, 2022, DOI: 10.3390/math10050791 (with D. Brigo, M. Francischello, A. Pallavicini and M. Rutkowski).

Portfolio optimization for cointelated pairs: SDEs vs Machine learning, Algorithmic Finance, 8 (34), 101125, 2021, DOI: 10.3233/AF200311 (with B. MahdaviDamghani, K. Mustafayeva and S. Roberts).

Funding, repo and credit inclusive valuation as modified option pricing, Operations Research Letters, 45 (6), 665670, 2017, DOI: 10.1016/j.orl.2017.10.009 (with D. Brigo and M. Rutkowski), open access.

A note on the selffinancing condition for funding, collateral and discounting,
International Journal of Theoretical and Applied Finance, 18 (2), 1550011, 2015, DOI: 10.1142/S0219024915500119 (with D. Brigo, A. Pallavicini and Q. Liu).

An application of the method of moments to rangebased volatility estimation
using daily high, low, opening, and closing (HLOC) prices,
International Journal of Theoretical and Applied Finance, 16(5), 1350026, 2013, DOI: 10.1142/S021902491350026X (with M. Taksar and F.J.Koné).

Counterparty risk pricing: impact of closeout and firsttodefault times,
International Journal of Theoretical and Applied Finance, 15 (6), 1250039, 2012, DOI: 10.1142/S0219024912500392 (with D. Brigo and M. Morini).

Optimal portfolio management in markets with asymmetric taxation,
Journal of Computational Finance, 11(4), pp. 99124, 2008, DOI: 10.21314/JCF.2008.188 (with M. Taksar).

Investors' preference for a positive tax rate depends on the level of the interest rate,
Mathematics and Financial Economics, 1(2), pp. 163180, 2007, DOI: 10.1007/s115790070007x (with A. Cadenillas).

A note on the effects of taxes on optimal investment,
Mathematical Finance, 17 (4), pp. 477485, 2007, DOI: 10.1111/j.14679965.2007.00312.x (with A. Cadenillas and S.R. Pliska).
Teaching (2223)