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 09:00 to 11:00
    Place: Studio del docente (presidio S. Francesco, secondo piano) - Teacher's room (presidio S. Francesco, second floor)

Starting from October 16, 2020, student open office hours are on Friday, 9:00-11:00.

Virtual room google meet:
https://meet.google.com/jgn-ukdf-peo

(reed the noitice on students open office)

Curriculum Vitae

Notices

Students open office

During this COVID-19 emergency period, the students open office will take place every Friday from 9-11 a.m., as follows:

  •  in presence mode, but only by appointment, to be taken by email - present yourself precisely at the assigned time (to avoid gatherings outside the office door)
  • in remote mode, in the virtual classroom https://meet.google.com/jgn-ukdf-peo - connect and wait to be admitted (there could be someone else already connected or in presence)

This timetable and these rules are valid until Friday, November 6, 2020 (inclusive). A new notice will follow.

Teaching activities

Completion accademic year: 2020/2021

Course year: 2 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2019/2020
Course year: 2 First cycle degree (DM 270) ECONOMICS AND BANKING A.Y. 2019/2020
Course year: 1 Second cycle degree (Laurea Magistrale) FINANCE A.Y. 2020/2021

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

Research

Ultime pubblicazioni:

  • 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