Prof. Marco Papi

Since 2011 he has been Associate Professor of Mathematical Methods of Economics and Actuarial and Financial Sciences at the Departmental Faculty of Engineering. From 2008 to 2010 he was a researcher at the same faculty and previously, since 2005, at the Faculty of Economics of the University of Insubria in Varese. From 2003 to 2005 he was Research Fellow at the Institute for Calculation Applications (CNR) and at the Faculty of Economics of the University Luiss. From 2002 to 2003 (9 months) he carried out teaching and research activities at the Department of Mathematics of the University of Austin in Texas. He has been and still holds the following university teachings: Mathematical Analysis and Mathematical Methods at the Degree Course in Industrial Engineering and Optimization and Decision-Making Techniques at the Master's Degree Course in Biomedical Engineering. He has also been a lecturer in charge of the Mathematics and Mathematical Finance courses (in English) at the Luiss, of Mathematical Models for Financial Markets at the Department of Mathematics of Roma Tre, of Quantitative Methods in Business (in English) at the Faculty of Economics of Rome "Tor Vergata", of Engineering of Economic-Financial Models at the Faculty of Engineering of Rome "Tor Vergata", of Financial Mathematics at the Faculty of Economics of Insubria. He was Program Coordinator of the European network Advanced Mathematical Methods for Finance, promoted by the European Science Foundation. He is a member of the Advisory Board of the Sportello Matematico per l'Industria Italiana project, in collaboration with IAC(CNR), SIMAI and AIRO. He participates in the research project signed by the Fiamme Gialle and the Campus Biomedico University of Rome, in collaboration with the University's Laboratory of Complex Systems and Security. Since 2014 he has been a member of the teaching staff of the doctorate in Methods and Models for Economic Decisions at the Faculty of Economics of the University of Insubria.

QUALIFICATIONS

[2004] PhD in Mathematics - XV cycle, University of Rome "Tor Vergata".

[1999] Degree in Mathematics - University of Rome TRE. Score: 110/110 cum laude. Speaker: Prof. R. Natalini.

ACADEMIC DUTIES AND QUALIFICATIONS

[from 01/2021 to present] President of the Degree Course in Industrial Engineering at the Departmental Faculty of Engineering of the Campus Biomedico University of Rome.

[from 01/2017 to 12/2020] Vice-Dean of the Departmental Faculties of Engineering at the Campus Biomedico University of Rome.

[from 01/2014 to 12/2016] Member of the Board and Coordinator of Studies of the Departmental Faculty of Engineering of the Campus Biomedico University of Rome.

[since 01/2011] Associate Professor at the Faculty of Engineering of theUniversità Campus Bio-Medico di Roma.

Scientific disciplinary sector SECS-S/06 - Mathematical Methods of Economics and Actuarial and Financial Sciences.

[9/2008-12/2010] Researcher at the Faculty of Engineering of theUniversità Campus Bio-Medico di Roma.

Scientific disciplinary sector SECS-S/06.

[3/2005-8/2008] Researcher at the Faculty of Economics of the University of Insubria, Varese.

Scientific disciplinary sector SECS-S/06.

[1/2005-2/2005] Holder of a research grant (duration 4 years), at the Department of Economics of the University Luiss Guido Carl, Rome. Scientific-disciplinary area: Quantitative Methods. Topic of the research project: "Optimization methods for risk management".

[2003-2004] Holder of a research grant at the Institute for Calculation Applications “M. Picone” (CNR) and Treasury Department, Ministry of Economy and Finance. Topic of

research project: "Portfolio optimization and interest rate evolution modeling for public debt management". The research activity mainly concerned the study of specific problems in the field of Quantitative Finance.

[1999-2003] Attended the PhD course in Mathematics at the University of Rome “Tor Vergata”. Thesis title: “Viscosity Solutions and Stochastic Optimization in Mathematical Finance”, defended on 19 February 2004. Commission: Prof. Maurizio Pratelli, Fausto Gozzi, Roberto Natalini. Referees: Prof. Guy Barles (University of Tours), Maurizio Pratelli (University of Pisa).

[8/2002-1/2003] Teaching Assistant at the University of Austin in Texas.

[2000-2002] Contract for research activities within the finance project of the IAC-CNR, aimed at the development of finite difference schemes for the valuation of financial derivatives.

[1999-2000] Research contract within the finance project of the IAC-CNR and in collaboration with INA SpA Capital Markets Department, aimed at the study of dynamic programming techniques applied to portfolio optimization problems.

TEACHING ACTIVITY

[2009-2016] Lecturer of the course of Mathematical Methods, at the Faculty of Engineering of the Campus Bio-Medico University of Rome.

[2009-2012] Lecturer of the Optimization and Decision Techniques course at the Faculty of Engineering of the Campus Bio-Medico University of Rome.

[2010-2013] Lecturer of the course of Mathematical Models for Financial Markets, Department of Mathematics of the University Roma TRE.

[2005-2016] Lecturer of the Mathematical Analysis course at the Faculty of Engineering of the Campus Bio-Medico University of Rome.

[2008-2016] Lecturer in charge of the Mathematics course,

at the Department of Business and Management of the University Luiss Guido Carls of Rome.

[2013-2015] Lecturer in charge of the Mathematical Finance course at the Department of Economics and Finance of the University Luiss Guido Carls of Rome.

A Model for the Optimal Asset-Liability Management for Insurance Companies", with M. Bernaschi, M. Briani, F. Gozzi, S. Sbaraglia, `International Journal of Theoretical and Applied Finance', Vol. 6, No. 3, 2003 ISSN: 0219-0249.

"A Generalized Osgood Condition for Viscosity Solutions to Fully Nonlinear Parabolic Degenerate Equations", `Advances in Dierential Equations', Vol. 7, No.9, 2002. ISSN 1079-

9389.

"Regularity results for a class of Semilinear Parabolic Equations and Applications", `Communications in Mathematical Sciences', Vol. 1, No. 2, 2003. ISSN: 1539-6746.

"Lipschitzian Estimates in Discrete-Time Constrained Optimal Control", with S. Sbaraglia, `Dynamics of Continuous, Discrete and Impulsive Systems', Series A: Mathematical Analysis, Vol. 13, No. 1, 2006. ISSN: 1201-3390.

"Optimal Asset-Liability Management with Constraints: A Dynamic Programming Approach", with S. Sbaraglia, `Applied Mathematics and Computation', Vol. 173, No. 1,

2006. ISSN: 0096-3003.

"Regularity Properties of Constrained Set-Valued Mappings", `Nonlinear Analysis: Theory, Methods & Applications', Vol. 54, No. 7, 2003. ISSN: 0362-546X.

"On the Domain of the Implicit Function and Applications", `Journal of Inequalities and Applications', Vol. 3, 2005. ISSN: 1025-5834.

"A PDE-Based Approach for Pricing Mortgage-Backed Securities", in `Advanced Mathematical Methods for Finance', Springer-Verlag Berlin, 2011. ISBN: 978-3-642-18411-6.

"Scenario-Generation Methods for an Optimal Public Debt Strategy", with M. Bernaschi, M. Briani, D. Vergni, `Quantitative Finance', Vol. 7, No. 2, 2007. ISSN: 1469-7688. Also published in MAH's `Introduction to Quantitative Fund Management' (chapter 8).

Dempster, G. Pflug and G. Mitra, edited by Chapman & Hall/Crc Financial Mathematics

Series, 2008.

"Singular risk-neutral valuation equations", with C. Costantini and F. D'Ippoliti, `Finance and Stochastics', Vol. 16, 2012. ISSN: 0949-2984.

"Hospital Resource Consumption Modelling", with L. Pontecorvi, `Research in Business and

Management', Vol. 1, 2014. ISSN: 2330-8362.

"A New Model for the Length of Stay of Hospital Patients", with L. Pontecorvi, `Health Care Management Science', 2014. ISSN: 1572-9389. DOI: 10.1007/s10729-014-9288-9.

"Stochastic Systems based modeling for Radar Environmental Simulator", with F. Prodi, P. Salvarezza, and B. Piccoli, Polaris Innovation Journal, Vol. 11, 2012.

"Weighted Average Price in the Heston model with Stochastic Volatility", with L. Pontecorvi,

accepted for publication in `Nonlinear Analysis: Real World Applications', 2014.

"Mathematical models in the face of the economic and nancial crisis", in Proceedings of the workshop Mathematics and Economics: present and future, LUSPIO University, Rome, Edizioni Pristem,

Commercial University Luigi Bocconi, February 2013.

Inflation dynamics and European Central Bank interest rate", with C. Costantini and F.

D'Ippoliti, Proceedings of the XXX AMASES Conference, September 2006, Trieste.

"A Portfolio optimization problem for an insurance company", with S.Sbaraglia, Proc. 5th

SIMAI Conference, Ischia, 2000.

"Pricing a Mortgage-Backed Security", Ischia, Proc. 5th SIMAI Conference, Ischia, 2000.