CALDANA Ruggero

GENERAL SKILLS
• Solid understanding of financial economics, financial mathematics and statistics (Ph.D. level).
• Expertise in stochastic calculus and derivative pricing models: deep knowledge of equity, interest rate, credit risk and energy pricing models.

• Deep knowledge of programming languages, tools and algorithms for computational finance.

• Expertise in investment markets, financial market conventions and risk management practices.
• Strong investigation and problem solving skills.
• Financial industry experience working in a collaborative, team-oriented environment.


WORKING POSITIONS
Dec 2012 - ongoing, Postdoc research fellow,
Università del Piemonte orientale,
Novara, Italy, www.unipmn.it.
Research interests focus on:
• Financial Engineering;
• Numerical Methods for Finance;
• Energy Markets.

Feb 2009 - Nov 2011, Quantitative analyst,
PwC Advisory,
Milan, Italy, www.pwc.com.
• Consulting experience in financial instruments modeling, calibration and pricing.
• Scenario based analysis and standard risk methodologies.
• Matlab development of pricing tools using Monte Carlo, PDE and trees. 

• Sensitivity analysis and effectiveness test in compliance with IAS39.

TEACHING ACTIVITY
Academic year 2012/2013
• Head Assistant in Financial Mathematics 1. Bachelor’s degree program in Mathematical Engineering. Politecnico di Milano. Department of mathematics. 22 
hours. Lecturer: E. Barucci.
• Lecturer in Risk Management. Master Executive in Quantitative Finance. Politecnico di Milano. MIP. 12 hours.
• Lecturer in Risk Management. Master Executive in Energy and Finance. Politecnico di Milano. MIP. 10 hours.
Academic year 2013/2014
• Lecturer in Risk Management. Master Executive in Energy and Finance. Politecnico di Milano. MIP. 10 hours.

REFERRED PUBLICATIONS IN INTERNATIONAL JOURNALS
• Caldana R. and Fusai G. (2013) A general closed-form spread option pricing formula, Journal of Banking & Finance, 37, 4893–4906
• Caldana R., Cheang G., Chiarella C. and Fusai G. (2014) Correction: Exchange option under jump-diffusion dynamics, accepted for publication in Applied Mathematical Finance.

SUBMITTED PAPERS
• Caldana R., Fusai G., Gnoatto A. and Grasselli M. (2014), General closed-form basket option pricing bounds, submitted.

BOOK CHAPTERS
• Caldana R., Fusai G., Roncoroni A. (2014) On the rational construction of electricity forward curves, in Roncoroni A., Fusai G. and Cummins P. (Eds), Handbook of Multi-Commodity Markets and Products, Wiley.

WORKING PAPERS
• Caldana R., Fusai G., Roncoroni A. (2014) On the rational construction of electricity forward curves with hourly granularity, Working paper.
• Gambaro A., Caldana R., Fusai G. (2014) Approximate pricing of swaptions in general interest rate models, Working paper.

THESIS
• Caldana R. (2012) Spread and Basket Option Pricing: an Application to Interconnected Power Markets, Ph.D. thesis of Università di Milano-Bicocca.
• Caldana R. (2008) Numerical approximation of stochastic differential equations under standard and non-standard assumptions, M.Sc. thesis of Politecnico di Milano.
• Caldana R. (2006) Adaptive algorithms for the bi-dimensional Black and Scholes equation, B.Sc. thesis of Politecnico di Milano.

TALKS AT CONFERENCES
• Talk within the “XXIV Workshop on Quantitative Finance”, Rimini, Italy, January 24-25, 2013. Subject: A general closed-form spread option pricing formula.
• Talk within the “XXXVII Meeting of the AMASES”, Stresa, Italy, September 5-7, 2013.
Subject: A general closed-form spread option pricing formula.
• Talk within the “XXV Workshop on Quantitative Finance”, Florence, Italy, January 23-24, 2014. Subject: General closed-form basket option pricing bounds.
• Talk within the “II Energy markets and quantitative methods: a bridge between university and industry”, Padova, Italy, May 22-23, 2014.
Subject: On the rational construction of electricity forward curves with hourly granularity
• Talk within the “8th World Congress of the Bachelier Finance Society”, Brussels, Belgium, June 2-6, 2014.
Subject: General closed-form basket option pricing bounds.



AWARDS
• Sep 2013 - AMASES AWARD for the best paper presented at the XXXVII National AMASES Conference by a young researcher. Winner with the paper "A general closed-form spread option pricing formula", written jointly with Professor Gianluca Fusai.

REVIEWER ACTIVITY
• Reviewer for the North American Journal of Economics and Finance.

MEMBERSHIPS and PROFESSIONAL ASSOCIATIONS:
• 2014 - Ongoing BACHELIER FINANCE SOCIETY, www.bachelierfinance.org
• 2013 - Ongoing AMASES, www.amases.it
• 2013 - Ongoing ENERGISK, www.energisk.org

EDUCATION
• Nov 2009- Nov 2012, Ph.D. Mathematics for Financial Market Analysis,

Università di Milano-Bicocca, Milan, Italy, www.unimib.it.
• Jan 2012- Jul 2012, Visiting Ph.D. student,

Cass Business School, London, UK, www.cass.city.ac.uk.
• Sep 2006 – Oct 2008, M.Sc. Mathematical Engineering, Quantitative Finance,

Politecnico di Milano, Milan, Italy, www.polimi.it. Grade: 110/110 cum laude.
• Sep 2003 – Sep 2006, B.Sc Mathematical Engineering, Computer Science,

Politecnico di Milano, Milan, Italy, www.polimi.it. Grade: 106/110.
• Sep 1998- Jul 2003, Diploma di Liceo Scientifico,
Liceo Scientifico Enrico Medi, Villafranca di Verona, Italy, www.liceomedi.com. Grade: 100/100.

LANGUAGES
• Italian: Native
• English: Fluent

IT SKILLS
• Financial tools: Bloomberg, Quantlib, FinCad, Dianos Price Wizard
• Programming Languages and Mathematical tools:
C++, Python, Visual Basic, Matlab, R, Gretl.
• Operating Systems and relevant applications: Microsoft Windows and Apple MacOS, Microsoft Office and i-Work packages, LaTex, Lotus Notes.