Herr Alessandro Sgarabottolo

Academic Studies

• Ph.D. candidate in Mathematical Economics (Finance profile), Bielefeld University, Bielefeld, Germany. Supervisor: Prof. Dr. Max Nendel. Oct 2021 - Dec 2021 (tentative).
• M.Sc. in Mathematics, University of Padua, Padua, Italy. Oct 2018.
• B.Sc. in Mathematics, University of Padua, Padua, Italy. Jul 2016.
• M.A. in Violin Performance, Conservatory of Padua, Padua, Italy. Sep 2011.

Working Experience and Academic Positions

• Research Associate, School of Physical and Mathematical Sciences, NTU Singapore, Singapore. Feb 2024 – Oct 2024.
• Research Assistant, Center for Mathematical Economics, Bielefeld University, Bielefeld, Germany. Oct 2021 – May 2025.
• Senior Quantitative Analyst, Pricing Unit, Prometeia, Bologna, Italy. Feb 2019 - Sep 2021.
• Freelance Violin in several national orchestras, Italy. 2016 - 2018.
• Violin tutti, Orchestra L. Cherubini, conductor Riccardo Muti, Piacenza, Italy. 2013 - 2016.

Publications
[1] Risk measures based on weak optimal transport (with M. Kupper and M. Nendel). Forthcoming in "Quant. Finance" (2024+). https://arxiv.org/abs/2312.05973

Preprints and Working Papers
[3] Discrete approximation of risk-based pricing under volatility uncertainty (with J.Blessing and M. Kupper). In preparation.
[2] Assessing swaption portfolios for prepayment risk mitigation: a parametric perspective (with A. Monaco and A. Perrotta). Preprint, 2023. https://www.sfb1283.uni-bielefeld.de/preprints/view/2866
[1] A parametric approach to the estimation of convex risk functionals based on Wasserstein distance (with M. Nendel). Preprint, 2022. https://arxiv.org/abs/2210.14340

Talks at Conferences and Seminars
Upcoming talks

• INFORMS Conference on Financial Engineering and FinTech, Hong Kong Polytechnic University, Hong Kong, 19-21.08.2024.

Invited talks

• Workshop on Mathematical Finance, Jeju Island (Korea), 01.06.2024.
• Mini-Workshop on Mathematical Finance, Sungkyunkwan University, Seoul, 24.05.2024.
• PhD Seminar Series on Financial Modeling, University Paris 1 Panthéon-Sorbonne, online talk, 02.05.2023.
• Analysis Seminar Series, University College Dublin, Dublin, 7.12.2022.
• Research seminar, University of Vienna, Department of Mathematics, Vienna, 22.09.2022.
• Research seminar, University of Konstanz, Department of Mathematics and Statistics, 07.06.2022.

Contributed talks

• 12th Bachelier World Congress, Rio De Janeiro, 11.07.2024.
• XLVII Annual Meeting of the Amases, Università Milano Bicocca, Milan, 22.09.2023.
• 11th General AMaMeF Conference, Bielefeld, 26.06.2023.
• XXIV Workshop on Quantitative Finance, Angevin Castle, Gaeta, 22.04.2023.
• German Probability and Statistics Days, University of Duisburg Essen, Essen, 9.03.2023.
• QED Workshop, University of Vienna, Vienna, 24.09.2022.
• Workshop on Imprecise Probability and Robust Finance, Cartagena, 19.09.2022.
• Workshop Risk Measures and Uncertainty in Insurance, Leibnizhaus, Hannover, 19.05.2022.

Organization of Academic Events

• 18th BiGSEM Workshop (Bielefeld University), 4.05.2023 - 5.05.2023. Member of the local organizing committee.
• 11th General AMaMeF Conference (Bielefeld University), 26.06.2023 – 30.06.2023. Member of the local organizing committee (Convenors: Giorgio Ferrari and Frank Riedel).

Teaching Assistance

• Finance 3: Stochastic Control and Model Uncertainty in Economics and Finance (Bielefeld University). Winter term 2023/24.
• Finance 2 (Bielefeld University). Summer term 2023.