Edoardo Lombardo
Ph.D. Student in Probability
Ecole des Ponts ParisTech
Università di Roma Tor Vergata
Inria - Equipe Mathrisk
Biography
I’m a Ph.D. student in a international joint program between Ecoles des Ponts ParisTech and Università di Roma Tor Vergata. My research is co-supervised by Aurélien Alfonsi (Cermics, ENPC) and Lucia Caramellino (Mathematics Department, Tor Vergata). My research topic is “High Order Approximations of some Singular Stochastic Processes and related PDEs”. Our aim is to construct high order discretization of solutions of SDEs that are singular, through randomization techniques and special developments of semigroup operators.
Download my resumé.
- Stochastic Processes
- Discretization of Stochastic Processes
- Stochastic Volatility Modelling
- High Performance computing
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M2 Mathematics for Finance and Data, 2019
Ecoles des Ponts ParisTech
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M1&2 Pure and Applied Mathematics, 2018
Università degli Studi di Roma Tor Vergata
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Bachelor in Mathematics, 2015
Università degli Studi di Roma Tor Vergata
Working Experience
- Implementing, maintaining and delivering quantitative models and analytical tools for financial instruments pricing: vanilla and complex derivatives for all commodity classes (Power, Gas, Oil, Coal).
- Support Front Office activity by providing short/long term quantitative analyses, risk assessment and the valuation of risk premium related to contract optionality and flexibilities.
Contact
- edoardo.lombardo@enpc.fr
- 6/8 Avenue Blaise Pascal, Champs sur Marne, Seine et Marne 77420
- Enter Building Coriolis and take the left stairs to Office 210 on second Floor
- Mon-Fri 9:00 to 17:45