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.
PACATI CLAUDIO
Presentation
Office hours
Starting from October 15, 2021, student open office hours are on Friday, 15:00-17:00 (both in presence and at a distance, by appointment)
Virtual room google meet:
https://meet.google.com/jgn-ukdf-peo
(reed the notice on students open office)
Curriculum Vitae
Teaching activities
Completion accademic year: 2024/2025
Completion accademic year: 2023/2024
Completion accademic year: 2022/2023
Completion accademic year: 2021/2022
Research
Ultime pubblicazioni:
- Pacati, C., Pompa, G., Renò, R. (2018). Smiling twice: The Heston++ model. JOURNAL OF BANKING & FINANCE, 96, 185-206 [10.1016/j.jbankfin.2018.08.010]. - 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 [10.1504/IJCEE.2013.056268]. - view more
- Marmi, S., Pacati, C., Risso, W.A., Reno', R. (2009). A quantitative approach to Faber's tactical asset allocation [10.2139/ssrn.1476225]. - 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