Marco Giovanni Airoldi
Curriculum Vitae et Studiorum
E-mail: marcoairoldi@yahoo.it
Education
[11-1993/10-1995] – Doctorate in Theoretical Physics (Ph. D.), International School for Advanced Studies – Trieste. Research field: Models for complex systems in Solid State Physics.
[11-1991/11-1992] - Master in Theoretical Physics, final grade 30/30, International School for Advanced Studies – Trieste. Average of the exams’ grades: 30/30.
[11-1986/10-1991] – Degree in Theoretical Physics Summa cum Laude, University of Milan.
Average of the exams’ grades: 30/30.
Working experience
[09-2001/currently] – Head of financial engineering in Mediobanca (QD4). I lead up a team of 6 quants based in Milan and London. We support the front office on the following asset classes: IR, equity, credit and alternatives. Our focus is both on the pricing of exotic derivatives as well as front office system support. Our activities include: 1) developing in house proprietary libraries, based on C++. The libraries implement numerical algorithms to price equity as well IR derivatives; 2) functional support to front office system (Murex); 3) support to traders and 4) linking external pricing libraries into Murex (Flex).
[06-1999/08-2001] – Quantitative analyst (Risk Analysis & Integration), Risk Management of Banca Intesa, Milan. I have been working on the development of IT architectures/platforms for VaR calculation (Risk Metrics, historical and Monte Carlo simulations).
[01-1998/06-1999] - Project Manager, National Institute for the Physics of Matter (INFM – Genova). My job was focused on project management and planning in the field of condensed matter physics.
[11-1995/01-1998] – Software Engineering and Consultant, IBM (Milan). At the beginning I focused my job activity on Unix operating system and language programming support. Later, I was involved in a big project for Banca Intesa, focused on the development of a Risk System (based on Risk Watch).
Teaching experience in Finance
[2004/2005] Teaching course “Numerical Methods – Binomial Tree and Finite Difference” - “Master in methodology and modeling for quantitative finance” - University of Milan (30 hours).
[2002/today] Teaching course “Numerical methods and stochastic calculus in finance”, Physics department – University of Milan (20 hours).
[2007/2009] Teaching course “C++”, Physics department – University of Milan (20 hours).
[2010/2011] Teaching course “Monte Carlo Methods for Option Pricing” - “Master in quantitative finance” – Politecnico di Milano.
Management Skills
Project planning and team coordination
Fianance Skills
Financial Software: excellent knowledge of Murex (current) and “Kondor +”. Experience with Algorithmics. Working knowledge of “Fame”.
Pricing and numerical simulations: Monte Carlo methods applied to option pricing on the following asset classes: equity and interest rate (BGM model)
Finance: excellent knowledge of financial instruments (options, structured products, etc.). Models: equity (BS, Merton and Heston) and IR (BGM). CVA issues. Interest rate curve bootstrapping (dual curve framework). Good knowledge of risk analysis (Risk Metrics VaR, historical and Monte Carlo simulations for VaR calculation).
IT Skills
Programming languages: excellent working experience with C/C++ and Perl, oriented to financial applications. Knowledge of: Visual Basic, script Unix (ksh shell), Fortran and Fame 4GL.
Operating systems: Unix (IBM certification), Windows NT and XP.
Other items: relational database, LaTeX, Excel.
Architecture: design of platforms/architectures for front office (with emphasis on pricing issues)
Language Skills
English: upper intermediate level.
Publications in finance
M. Airoldi, “A moment expansion approach to option pricing”, Quantitative Finance” (2005).
M. Airoldi, V. Antonelli, B. Bassetti, A. Martinelli and M. Picariello, “Long Range Interaction Generating Fat-Tails in Finance”, preprint (2004)
M. Airoldi, “Correlation Structure and Fat Tails in Finance: a New Mechanism”, preprint.
T. Di Matteo, E. Scalas and M. Airoldi, “On pricing of interest rate derivatives”, Physica A (2004)
Hobbies and interests
Traveling, play chess and reading.
I allow you to deal with my personal data in compliance of the law Dlgs 196/2003.
Milan, July 25 2011
Marco Airoldi
