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Herr Prof. Dr. Giorgio Ferrari: Kontakt

1. Institut für Mathematische Wirtschaftsforschung
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giorgio.ferrari@uni-bielefeld.de  
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2. Fakultät für Wirtschaftswissenschaften
Aufgabenbeschreibung
Institut für Mathematische Wirtschaftsforschung 
E-Mail
giorgio.ferrari@uni-bielefeld.de  
Telefon
Klicken Sie hier um den Webdialer der Universität aufzurufen +49 521 106-5642  
Fax
+49 521 106-2997  
Telefon Sekretariat
Klicken Sie hier um den Webdialer der Universität aufzurufen +49 521 106-6909Sekretariat zeigen
Büro
UHG W10-105 Lage-/Raumplan
Briefkasten
1714
3. Fakultät für Mathematik / Kommissionen und Ausschüsse / Prüfungsausschuss Bachelor Wirtschaftsmathematik
4. Fakultät für Mathematik / Kommissionen und Ausschüsse / Prüfungsausschuss Master Wirtschaftsmathematik
5. SFB 1283 "Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications" / C4: Stochastische Spiele mit singulären Kontrollen und optimalem Stoppen
Aufgabenbeschreibung
Teilprojektleiter 

Curriculum Vitae

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.

April 2017: Italian national habilitation as Associate Professor in Mathematics for Economics and Finance (Settore Concorsuale 13-D4, Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie).

Since December 2017: Professor (W2) for Mathematical Finance at the Center for Mathematical Economics (IMW), Bielefeld University, Germany.

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.

Visiting Positions

May 17, 2010 - December 10, 2010: Visiting Ph.D. Student at the Center for Mathematical Economics, Bielefeld University, Germany.

May 2, 2013 - June 26, 2013: Research Visiting at the Hausdorff Research Institute for Mathematics, Bonn, Germany, in the framework of the trimester program Stochastic Dynamics in Economics and Finance.

November 14, 2016 - December 14, 2016: Visiting Professorship at the Department of Economics and Finance of the University of Rome LUISS Guido Carli, Italy.

February 16, 2017 - March 14, 2017: Visiting Professorship at the Department of Mathematics of the University of Padova, Italy (this visit is financed through the YITP Research Prize associated to the XVIII Workshop on Quantitative Finance 2017).

March 2018: Visiting Professorship at the Department of Mathematics of the University of Padova, Italy (this visit is financed through the Program "Visiting Scientists 2018" of the University of Padova).

Research projects

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" (starting date July 1, 2017), funded by the German Research Foundation (DFG). 1 Ph.D. position has been financed within such a project.

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 Publications

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).

Continuous-time Public Good Contribution under Uncertainty: a Stochastic Control Approach, Applied Mathematics and Optimization 75(3) (2017), pp. 429--470 (with F. Riedel and J.-H. Steg).

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).

Aktuelle Forschungsthemen

Current Research Lines

  • Singular Stochastic Optimal Control problems;
  • Optimal Stopping and free-boundary problems;
  • Stochastic Games of Singular Control and Optimal Stopping;
  • Actuarial Mathematics;
  • Backward Stochastic Differential Equations;
  • Commodity and Energy Markets;
  • Stochastic models for Economics and Finance.

Quicklinks

Curriculum Vitae und Bild

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