Herr Prof. Dr. Giorgio Ferrari

Academic Career

October 2003 - October 2006: B.Sc. in Physics (Laurea Triennale), Dipartimento di Fisica, University of Rome La Sapienza.

October 2006 - September 2008: M.Sc. in Mathematical Physics (Laurea Specialistica), Dipartimento di Fisica, University of Rome La Sapienza.

November 2008 - February 2012: Ph.D. student in Mathematics for Economic-Financial Applications, Dipartimento di Metodi e Modelli per l'Economia, il Territorio e la Finanza (MEMOTEF), University of Rome La Sapienza.

Academic Appointments and Habilitations

May 2012 - February 2015: Post-Doctoral Researcher at the Center for Mathematical Economics (IMW), Bielefeld University, Germany.

March 2015 - July 2015: Substitute Full Professor (W3--Vertretungsprofessor) for Mathematical Economics at the Center for Mathematical Economics (IMW), Bielefeld University, Germany.

August 2015 - May 2016: Post-Doctoral Researcher at the Center for Mathematical Economics (IMW), Bielefeld University, Germany.

June 2016 - December 2017: Junior-Professor (W1) for Financial Economics/Mathematical Finance at the Center for Mathematical Economics (IMW), Bielefeld University, Germany.

December 2017-February 2023: Associate Professor for Mathematical Finance at the Center for Mathematical Economics (IMW), Bielefeld University, Germany.

Since February 2023: Full Professor for Mathematical Finance at the Center for Mathematical Economics (IMW), Bielefeld University, Germany.

2020: Italian national habilitation as Full Professor in Mathematical Analysis, Probability and Mathematical Statistics} (Settore Concorsuale 01/A3, Analisi Matematica, Probabilità e Statistica Matematica) and in Mathematics for Economics and Finance (Settore Concorsuale 13-D4, Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie).

Representative Publications

Multidimensional Singular Control and Related Skorokhod Problem: Sufficient Conditions for the Characterization of Optimal Controls, Stochastic Processes and their Applications 162 (2023), pp. 547-592 (with J. Dianetti).

Optimal Dividend Payout under Stochastic Discounting, Mathematical Finance 32(2) (2022), pp. 627-677 (with E. Bandini, T. De Angelis and F. Gozzi).

Submodular Mean-Field Games: Existence and Approximation of Solutions, The Annals of Applied Probability 31(6)(2021), pp. 2538-2566 (with J. Dianetti, M. Fischer, M. Nendel).

Nonzero-Sum Submodular Monotone Follower Games: Existence and Approximation of Nash Equilibria, SIAM Journal on Control and Optimization 58(3) (2020), pp. 1257-1288 (with J. Dianetti).

On the Optimal Management of Public Debt: a Singular Stochastic Control Problem, SIAM Journal on Control and Optimization 56(3) (2018), pp. 2036--2073.

Stochastic Nonzero-sum Games: a New Connection between Singular Control and Optimal Stopping, Advances in Applied Probability 50(2) (2018), pp. 347--372 (with T. De Angelis)

Nash Equilibria of Threshold Type for Two-player Nonzero-sum Games of Stopping, The Annals of Applied Probability 28(1) (2018), pp. 112--147 (with T. De Angelis and J. Moriarty).

Optimal Boundary Surface for Irreversible Investment with Stochastic Costs, Mathematics of Operations Research 42(4) (2017), pp. 1135--1161 (with T. De Angelis and S. Federico).

On an Integral Equation for the Free-Boundary of Stochastic, Irreversible Investment Problems, The Annals of Applied Probability 25(1) (2015), pp. 150--176.

A Stochastic Partially Reversible Investment Problem on a Finite-Time Horizon: Free-Boundary Analysis, Stochastic Processes and their Applications 124(3) (2014), pp. 4080--4119 (with T. De Angelis).

Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem, SIAM Journal on Control and Optimization 52(2) (2014), pp. 1048--1070 (with M.B. Chiarolla).

Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources, SIAM Journal on Control and Optimization 51(5) (2013), pp. 3863--3885 (with M.B. Chiarolla and F. Riedel).

Fellowships and Awards

Winner of the scholarship "Percorso di Eccellenza" (Excellent Student Program) sponsored by the Faculty of Mathematical, Physical and Natural Sciences of the University of Rome La Sapienza for the academic year 2007/2008.

Winner of the AMASES Award for the best paper presented by a young researcher at the XXXVIII AMASES Conference 2014.

Fellow of the ZiF Research Group `Robust Finance: Strategic Power, Knightian Uncertainty, and the Foundations of Economic Policy Advice' (April 2015 - July 2015).

Winner of the YITP Research Prize associated to the XVIII Workshop on Quantitative Finance 2017.

Winner of the Research Fellowship "Visiting Scientist 2018-2019-2020'' of the University of Padova

Winner of the Research Fellowship "Sahping a World-class University 2022" of the University of Padova.

"Representative Research projects'

PI in the Research Training Group 2865 "Coping with Uncertainty in Dynamic Economies".

PI in the project C4-Stochastic games of singular control and games of stopping, within the SFB 1283 "Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications".

Co-I in the project 2015-2017 "Singular Control Games:Strategic Issues in Real Options and Dynamic Oligopoly under Knightian Uncertainty" funded by the German Research Foundation (DFG) via grant RI 1128-4-4-2. (This grant is a 24-months extension of grant RI 1128-4-4-1).

Co-I in the project 2012-2015 "Singular Control Games:Strategic Issues in Real Options and Dynamic Oligopoly under Knightian Uncertainty" funded by the German Research Foundation (DFG) via grant RI 1128-4-4-1.

Co-I in the project "Tax evasion, corruption and inequality: quantitative models, empirical evidence and corrective policies", funded by the University of Rome `La Sapienza', Progetto di Ateneo 2015.

Co-I in the project "Stochastic continuous time models for pension planning", funded by the University of Rome `La Sapienza', Progetto di Ateneo 2014.

Co-I in the project "Modelli, Valutazione e Gestione del Rischio per i Mercati delle Commodities", funded by the University of Rome `La Sapienza', Progetto di Ateneo 2011.

Representative Organized Scientific Meetings

Summer School "Risk and Uncertainty in Economics, Insurance and Finance", July 03-07, 2023, Bielefeld University.

11th General AMaMeF Conference, June 26-30, 2023, Ravensberger Park (Bielefeld). Organized with Frank Riedel.

Workshop Equilibria in Markets, Strategic Interactions, and Complex Systems, Center for Interdisciplinary Research (ZiF), Bielefeld, July 16-19, 2019. Organized with Frank Riedel and Jacco Thijssen.

Summer School Equilibria in Financial Markets: General Equilibrium and Game Theoretic perspectives, Bielefeld University, July 08-12, 2019. Organized with Frank Riedel.

Workshop New Frontiers in Stochastics for Economics and Finance, University of Siena, Siena, May 30--June 01, 2019. Organized with Salvatore Federico, Claudio Pacati, Luca Regis, and Frank Riedel.

Workshop Optimal Stopping in Complex Environments, Haus Wellensiek, Bielefeld, December 18--20, 2017. Organized with Frank Riedel.

Workshop Strategic Aspects of Optimal Stopping and Control in Economics and Finance, Center for Interdisciplinary Research (ZiF), Bielefeld, July 9--11, 2015. Organized with Frank Riedel.