Assistant Professor Department of Economics
Via Monte Generoso, 71 - 21100 Varese - Italy
Tel: +39 (0)332 395510
Fax: +39 (0)332 395019
E-mail: marco.papi@uninsubria.it | mpapi@eco.uninsubria.it
m.papi@iac.cnr.it

Marco Papi earned a Ph.D. in Mathematics at the University of Rome, Italy, in 2003/2004, with thesis work on stochastic optimization in mathematical finance.
Dr. Papi is currently an Assistant Professor at the University of Insubria, Varese, Italy. Prior to joining the University, he received research grants from the Economics Department of Luiss University, in Rome, Italy.
From 2000 to 2003, he worked as a research staff member at the National Research Council, Institute for Applied Computing (IAC), where he designed and developed optimization and term-structure models for the public debt management, in collaboration with the Treasury Department of the Italian Ministry of Economic and Finance. He also conducted research in the implementation of effective approximation methods for pricing equations arising in mathematical finance and prototypes for the optimal asset-liability management for insurance companies, as well as in efficient implementation of algorithms for the approximation of optimality problems arising in financial theory.

In 2002, he has spent a research period of 9 months at the University of Texas at Austin, Department of Applied Mathematics. He has been an invited speaker in international conferences and workshops.

Dr. Papi received a MA degree in mathematical sciences in 1999.

2004 – Ph.D. in Mathematics, University of Rome “Tor Vergata”. Defended on February 19, 2004.

1999 – Graduated in Mathematics, summa cum laude, University of Rome TRE, with thesis work on Financial Mathematics.

The research activity is oriented to address specific problems in the field of quantitative methods in finance.
The main topics of investigation concern with the modern asset pricing theory, advanced techniques for pricing and hedging financial derivatives and nonlinear optimization.

A blend of techniques developed in control theory, operations research, probability, partial differential equations and numerical analysis are employed.

2005-2006. Course of Financial Mathematics, School of Economics, University of Insubria, Varese.

2004-2005. Course of Financial Engineering, Faculty of Engineering, University of Rome “Tor Vergata”.

2004-2005. Course of Mathematical Portfolio Theory, Faculty of Economics, University Luiss, Rome.

2003-2005. Tutorial for the course Mathematical Models of Financial Markets, Mathematics Department, University of Rome TRE.

2004-2005. Tutorial for the course on Advanced Calculus, Faculty of Statistics, University of Rome “La Sapienza”.

2004. Course of Mathematical Models for Economics, Faculty of Economics, University of Rome “La Sapienza”.

2002-2003. Teaching Assistant for the courses Probability and Partial Differential Equations and Applications, University of Texas at Austin.

2001-2002. Course of Mathematical Analysis III, Faculty of Engineering, University of Rome “La Sapienza”.

1. A Model for the Optimal Asset-Liability Management for Insurance Companies, International Journal of Theoretical and Applied Finance, Vol. 6(3), 2003, (ES).

2. A Generalized Osgood Condition for Viscosity Solutions to Fully Nonlinear Parabolic Degenerate Equations, Advances in Differential Equations, Vol.7(9), 2002, (ES).

3. Regularity Results for a Class of Semilinear Parabolic Equations and Applications, Communications in Mathematical Sciences, Vol.1(2), 2003, (ES).

4. Lipschitzian Estimates in Discrete-Time Constrained Stochastic Optimal Control, forthcoming on Dynamics of Continuous, Discrete and Impulsive Systems, (ES).

5. Optimal Asset-Liability Management with Constraints: A Dynamic Programming Approach, forthcoming on Applied Mathematics and Computation, (ES)

6. Regularity Properties of Constrained Set-Valued Mappings, Nonlinear Analysis: Theory, Methods & Applications, Vol.54(7), 2003, (ES).

7. On the Domain of the Implicit Function and Applications, Journal of Inequalities and Applications, Vol.3, 2005, (ES).

8. A PDE-Based Approach for Pricing Mortgage-Backed Securities, Preprint Luiss, Rome, 2004, (ES).

9. Scenario-Generation Methods for an Optimal Public Debt Strategy, Report IAC-CNR, 11/2004, (ES).

10. Optimization Methods for the Public Debt Management, Sapere, 8/2004, (IT).