Claudia Ravanelli

Education

• 2004: Ph.D. in Economics (summa cum laude), University of Lugano, Switzerland, thesis: “An option pricing formula for the GARCH diffusion model”, advisor: Prof. G. Barone-Adesi, University of Lugano
• 1999: Diploma in Mathematics (highest score), University of Milan, Italy

Academic Appointments

• 2014–present: Senior Researcher Associate at the Center for Finance and Insurance, Department of Banking and Finance, University of Zurich
• 2009–2014: Senior Researcher at the Swiss Finance Institute, EPFL
• 2006–2009: Researcher at the Swiss Banking Institute, University of Zurich
• 2004–2006: Postdoctoral researcher at the Center for Applied Mathematics, Ecole
• Polytechnique, France

Publications

*Journal Article *

• Robust capital requirements with model risk Ravanelli Claudia, Barrieu Pauline In: Economic Notes, Vol. 44, (1), p. 1-28, January 2015
• Comonotone Pareto optimal allocations for probabilistic sophisticated variational preferences Ravanelli Claudia, Svindland Gregor In: Finance and Stochastics, Vol. 18, p. 249-269, January 2014
• Understanding modelling and managing longevity risk: Key issues and main challenges Ravanelli Claudia, Barrieu Pauline, Bensusan Harry, El Karoui Nicole, Hillairet Caroline, Loisel Stephane, Salhi Yahia In: Scandinavian Actuarial Journal, Vol. 2012-3, p. 203-231, January 2012
• Cash sub-additive risk measures and interest rate ambiguity Ravanelli Claudia, El Karoui Nicole In: Mathematical Finance, Vol. 19, (4), p. 561-590, January 2009
• An option pricing formula for the GARCH diffusion model Ravanelli Claudia, Barone-Adesi Giovanni, Rasmussen Henrik In: Computational Statistics and Data Analysis, Vol. 49, p. 287-310, January 2005