About me

I am currently a Postdoctoral Researcher in Financial Mathematics and Actuarial Science at the University of Milan (UNIMI). My research is focused on Continuous-Time Models with applications in Finance and Actuarial Science under the supervision of Lorenzo Mercuri.
I am also collaborating with Edit Rroji.
Together, we are organising an exciting Workshop on Numerical Methods for Finance and Insurance (NMFIW2025) at the University of Milan on 27-28 February 2025.

Additionally, with Carole Bernard and Steven Vanduffel, I am working on optimal portfolio choice problems.

I have also a taste for computational finance, general programming and open source.

Member of AMASES (Association for Mathematics Applied to Social and Economic Sciences).

Below and in the other sections you will find more details about me and my research.

Research interests


Pricing and Hedging of Financial Derivatives

Numerical Methods for Finance

CARMA models


Quantitative Risk Management

Portfolio Theory

Actuarial Sciences

Skills

R programming99%
Python 70%
Matlab 70%
LaTeX95%

Current status

Postdoctoral researcher in Financial Mathematics and Actuarial Science

2024 - Present

Università degli Studi di Milano, Milan (Italy).
Research project: Continuous-Time Models with Applications in Finance and Actuarial Science.
Supervisor: Lorenzo Mercuri.

Education

PhD in Financial Mathematics and Actuarial Science

2020 - 2024

Vrije Universiteit Brussel, Brussels (Belgium).
Thesis title: Essays in Quantitative Risk Management and Financial Engineering.  
Supervisors: Carole Bernard and Steven Vanduffel.

MSc in Banking and Finance (curriculum in trading and risk management)

2018

Università Cattolica del Sacro Cuore, Milan (Italy).

Professional Employment

Risk Analyst at Intesa Sanpaolo S.p.A.

2019
2019 - 2020

Intesa Sanpaolo S.p.A. and Deloitte Consulting S.r.l., Milan (Italy).

Market Operations Analyst

2017 - 2018

Borsa Italiana S.p.A., Milan (Italy).

Teaching

Università degli Studi di Milano

Teaching Assistant of Numerical Methods for Finance and Portfolio Optimization

2022 - 2023
2023 - 2024
2024 - 2025

T.A. for the MSc in “Finance and Economics”. Use of R programming language and taught in English.

Lecturer of Crash Course in Mathematics

2018 - 2019
2019 - 2020

Lecturer for the Master of Science degrees in “Finance and Economics”, “Data Science and Economics”, and “Economics and Political Science”. Taught in English.

Politecnico di Milano

Teaching Assistant of Econometrics

2019 - 2020

T.A. for the MSc in "Mathematical Engineering - Quantitative Finance". Use of R programming language. Taught online due to COVID crisis and in English.

Università Cattolica del Sacro Cuore

Teaching Assistant of Econometrics

2018 - 2019
2019 - 2020

T.A. for the MSc in “Economics of Markets and Financial Intermediaries”. Use of R programming language.

Research

  • All
  • Publications
  • Journal articles
  • Working papers

Publications

Journal Articles

2024   Mercuri, L., Perchiazzo, A., & Rroji, E., "Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets".

2024   Mercuri, L., Perchiazzo, A., & Rroji, E., "A Hawkes model with CARMA(p,q) intensity".

2022   Bernard, C., Perchiazzo, A., & Vanduffel, S., "Implied value-at-risk and model-free simulation".

2021   Mercuri, L., Perchiazzo, A., & Rroji, E., "Finite Mixture Approximation of CARMA(p,q) Models".

Book Chapters

2021   Mercuri, L., Perchiazzo, A., & Rroji, E., "Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion".

Working papers

Submitted

2024   Bernard, C., Perchiazzo, A., & Vanduffel, S., "Multivariate Portfolio Choice via Quantiles".

2024   Mercuri, L., Perchiazzo, A., & Rroji, E., "Option Pricing with a Compound CARMA(p,q)-Hawkes".

Talks

  • All
  • 2025 -2024
  • 2023 -2022
  • 2021 -2020
  • Other dates

2024   CFE-CMStatistics 2024. Dec 14 - 16, London (United Kingdom).

2024   Young Applied Mathematicians Conference (YAMC) 2024. Sep 16 - 20, Rome (Italy).

2024   AMASES 2024 Conference. Sep 5 - 7, Ischia (Italy).

2024   33rd European Conference on Operational Research. Jun 30 - Jul 3, Copenhagen (Denmark).

2023   AMASES 2023 Conference. Sep 20 - 22, Milan (Italy).

2023   26th International Congress on Insurance: Mathematics and Economics (IME). Jul 4 - 7, Edinburgh (United Kingdom).

2023   17th Belgian Financial Research Forum (BFRF) 2023. Apr 20 - 21, Brussels (Belgium).

2023   Actuarial and Financial Mathematics Conference. Feb 9 - 10, Brussels (Belgium).

2022   AMASES 2022 Conference. Sep 22 - 24, Palermo (Italy).

2022   25th International Congress on Insurance: Mathematics and Economics (IME). Jul 12 - 15, Online.

2022   10th International MAF 2022 Conference. Apr 20 - 22, Salerno (Italy).

2022   Quantitative Finance Workshop 2022 (QFW2022). Mar 31 - Apr 1, Rome (Italy). Poster.

2021   31st European Conference on Operational Research. Jul 11 - 14, Athens, (Greece). Online.

2021   10th General AMaMeF Conference. Jun 21 - 25, Padova (Italy). Online.

2020   UCL Financial Computing and Analytics. May 20, London (United Kingdom). Seminar.

2020   Online International Conference in Actuarial science, data science and finance (OICA Conference). Apr 28 - 29, Lyon (France). Online.

2018   Quantitative Finance Workshop 2018 (QFW2018). Jan 24 - 26, Rome (Italy).

Contact Me


For further information you can directly email me.

Office address

Via Conservatorio 7, 20122 Milan (Italy)

Email me

andrea.perchiazzo@unimi.it

©2025 Andrea Perchiazzo
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