Daniele Marazzina is a full professor of mathematical methods for economics and actuarial and financial sciences. At the Politecnico since late 2008, he is currently the coordinator of the Mathematical Engineering degree program.
Tell us a bit about yourself, and how you moved from mathematics to an interest in finance
I graduated in Mathematics in Pavia, where I also obtained my PhD in Mathematics and Statistics, with a thesis in numerical analysis. Up to that point, I had no background in finance at all, nor would I have ever imagined it would become my field of research. After completing my PhD, I looked around a bit and found a research fellowship at the University of Eastern Piedmont, in the Economics department in Novara, on financial topics… and almost by chance a journey began that has led me to where I am now. What won me over about finance is that it is a field where you can use different mathematical tools to study ever-changing real-world problems… and for someone like me who “gets bored,” it’s great to have variety.
What do you work on in your research?
It’s hard to say in just a few words… because, as I said, I like to change. I have used mathematics to calculate the fair price of financial products—that is, to predict the market price of a product that has not yet been introduced to the market—or to study optimal investment strategies, or to understand whether the Digital Euro, which will soon be introduced, will succeed in today’s world, where many payment instruments are already available. Recently, I have also been interested in applications of Machine Learning and in sustainability topics… In short, I like to vary—this should be clear.
You have recently become the coordinator of the Mathematical Engineering degree program. How is this new experience going?
It is an adventure that has just begun—I started in January—and I admit I am still learning. But I think it will be an interesting journey. Since I joined the Politecnico, I have always taught in the master’s program in Mathematical Engineering, of course in the finance track. I have always felt part of the IngMat project; IngMat has always been a bit like my “home.” So, once I became a full professor, it felt natural to apply for this role, to give back what IngMat has given me over the years. Teaching Mathematical Engineering students has always been stimulating.
And finally… which mathematical tool can’t be missing from your toolbox?
Another difficult question: mathematics is full of interesting and powerful tools. If I had to choose one, I would probably think of the tool I have used the most throughout my research activity: Itô’s formula, a fundamental tool for doing mathematics under uncertainty. When something evolves over time in an uncertain way—like the price of a stock on the market, influenced by countless unpredictable factors—you need a new rule that takes this uncertainty into account.
Itô’s formula is exactly that rule: a way to perform calculations when change is not predictable, but rather “noisy and irregular,” like walking in gusts of wind coming from random directions—in other words, when dealing with a stochastic process, also known as a random walk.