Gianluca Fusai
finance
Cass Business School
United Kingdom
Biography
Gianluca is a Reader in Mathematical Finance. He holds a PhD in Finance from Warwick Business School, an MSc in Statistics and Operational Research from the University of Essex and a BSc in Economics from Bocconi University. His research interests focus on Financial Engineering, Numerical Methods for Finance, Portfolio Selection, and Energy Markets. He has published extensively on these topics in Mathematical Finance, Finance and Stochastics, Quantitative Finance, Journal of Banking and Finance, Journal of Computational Finance, Risk, Annals of Applied Probability and the International Journal of Theoretical and Applied Finance. Gianluca has co-authored the textbook ‘Implementing Models in Quantitative Finance’ (Springer Finance) and has worked as a consultant in the public and private sectors. Gianluca also currently holds a position in Financial Mathematics at the Università del Piemonte Orientale.
Research Interest
Deafault risk premium Counterparty Credit Risk Interest rate modelling and pricing of swaptions Commodity markets and pricing of basket and spread options
