PACATI CLAUDIO

Claudio
Pacati
Professore Ordinario

Presentation

Claudio Pacati is full professor of Mathematical methods for economics, actuarial sciences and finance in the Department of economics and statistics at the University of Siena. He studied mathematics at the University of Perugia, at the Isituto nazionale di alta matematica and at the University of Milan. His main research interests are quantitative finance, actuarial mathematics and finance of insurance. In the past he also worked on algebraic topology and categorical topology.

Office hours

  • Friday from 10:00 to 12:00
    Place: Studio del docente (presidio S. Francesco, secondo piano)

Curriculum Vitae

Teaching activities

Completion accademic year: 2019/2020

Course year: 2 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2018/2019
Course year: 2 First cycle degree (DM 270) ECONOMICS AND BANKING A.Y. 2018/2019
Course year: 1 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2019/2020

Completion accademic year: 2018/2019

Course year: 2 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2017/2018
Course year: 2 First cycle degree (DM 270) ECONOMICS AND BANKING A.Y. 2017/2018
Course year: 1 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2018/2019

Completion accademic year: 2017/2018

Course year: 2 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2016/2017
Course year: 2 First cycle degree (DM 270) ECONOMICS AND BANKING A.Y. 2016/2017
Course year: 1 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2017/2018

Completion accademic year: 2016/2017

Course year: 2 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2015/2016

Research

Latest publications:

  • Pacati, C., Pompa, G., & Renò, R. (2018). Smiling twice: The Heston++ model. JOURNAL OF BANKING & FINANCE, 96, 185-206. - view more
  • Pacati, C., Reno, R., & Santilli, M. (2014). Heston model: shifting on the volatility surface. RISK(November), 54-59. - view more
  • Marmi, S., Pacati, C., Renò, R., & Charquero, W.A.R. (2013). A quantitative approach to Faber's tactical asset allocation. INTERNATIONAL JOURNAL OF COMPUTATIONAL ECONOMICS AND ECONOMETRICS, 3, 91-101. - view more
  • Marmi, S., Pacati, C., Risso, W.A., & Reno', R. (2009). A quantitative approach to Faber's tactical asset allocation. - view more
  • Castellani, G., De Felice, M., Moriconi, F., & Pacati, C. (2007). Pricing formulae for financial options and guarantees embedded in profit sharing life insurance policies. - view more