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 Dip. di Matematica
 Ingegneria Matematica
 Politecnico di Milano

PhD Program

Qfinlab participates actively in the PhD school "Mathematical Models and Methods in Engineering" of the Politecnico di Milano, offering the opportunity of developing the PhD research project in Quantitative Finance, relatively, but not exhaustively, to option pricing, optimal allocation problem, and credit risk.

More information on the PhD school can be found at www.mate.polimi.it/dottorato

The overall training activity lasts three years.

Introductory courses (typical duration one semester) are required only to fill gaps in some particular areas of mathematics and finance. In this framework, Qfinlab proposes an extensive set of introductory courses, dealing with stochastic calculus, option pricing, numerical methods for evaluating financial products, credit risk, as well as insurance.

Main courses are designed specifically for the Doctoral Program in Mathematical Engineering. From the next academic year this main courses will be proposed in collaboration with the PhD Program of the DisMeQ Department, Universita' degli Studi di Milano Bicocca.

For the next academic year, the following main courses will be activated: at the DisMeQ Department

  • Levy processes and applications in Finance, Prof. Laura Ballotta (Cass Business School, London);

  • Optimization: theory and algorithms, Prof. Mustafa Pinar (Bilkent University, Ankara);

At the Politecnico di Milano

  • Option Pricing: from Monte Carlo to Quantization, Prof. Daniele Marazzina (Politecnico di Milano), Prof. Giorgia Callegaro and Lucio Fiorin (Universita' degli Studi di Padova).


Current PhD Students

  • Guzzetti Marco (PhD Executive)
  • Nastasi Emanuele

Past PhD Students

  • La Bua Gaetano, PhD Thesis: "Three essays in mathematical finance"
  • Fileccia Gaetano, PhD Thesis: "A particle filter approach to parameter estimation in stochastic volatility models with jumps for crude oil market"
Dipartimento di Matematica - Politecnico di Milano