About me

I am currently a PhD student in Financial Mathematics and Actuarial Science at the Vrije Universiteit Brussel (VUB) under the supervision of Carole Bernard and Steven Vanduffel and researcher of the Finance and Insurance (FINS) group.

Additionally, with Lorenzo Mercuri and Edit Rroji, I am investigating on developments and applications of CARMA models in topics of finance and actuarial science.

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) and jury member for master's thesis at the Faculty of Economic and Social Sciences and Solvay Business School of VUB.

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%

Education

PhD in Financial Mathematics and Actuarial Science

2020 - Present

Vrije Universiteit Brussel, Brussels (Belgium).

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

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

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

2022   Mercuri, L., Perchiazzo, A., & Rroji, E., "A Hawkes model with CARMA(p,q) intensity".

In progress

2022   Bernard, C., Perchiazzo, A., & Vanduffel, S., "Multivariate Portfolio Choice via Quantiles".

2022   Mercuri, L., Perchiazzo, A., & Rroji, E., "On the microstructure of green bonds".

Talks

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

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

Pleinlaan 2, 1050 Brussels (Belgium)

Email me

andrea.perchiazzo@vub.be

©2023 Andrea Perchiazzo
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