Gianluca Fusai

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.

Qualifications

• BSc in Economics, Bocconi University, unknown
• MSc in Statistics and Operational Research, University of Essex, United Kingdom
• PhD in Finance, Warwick Business School, United Kingdom

Languages

French and Italian.

Expertise

Primary Topics

• Commodities
• Risk Management
• Mathematical & Quantitative Methods
• Simulation Methods
• Financial Engineering
• Futures & Options
• Asset Pricing
• Mathematical Finance
• Quantitative Finance
• Derivatives
• Fixed-Income Investments
• Investment Theory
• Bond MarketsRisk Modelling

Research

Deafault risk premium Counterparty Credit Risk Interest rate modelling and pricing of swaptions Commodity markets and pricing of basket and spread options

Research Topics

Credit Risk and Counterparty Risk

Counterparty Credit Risk (CCR) is the risk that the counterparty of an OTC deal will default before the maturity of the contract. The Credit Value Adjustment (CVA) tries to measure the expected loss due to missing the remaining payments

Model Risk in Derivative Pricing

How calibration error can affect the reliability of exotic derivative prices

Default Risk Premium

How to estimate a corporate structural model, by using data from credit and stock market, and reconstruct the dynamics of the market value of assets and debt, and the default boundary, for a sample of non-financial firms

Efficient Pricing of Basket Options

Closed form lower and upper bounds on the prices of basket options for a general class of continuous-time financial models.

Efficient Pricing of Swaptions

Efficient pricing of European-style swaptions for a wide class of interest rate models

Featured publication

Fusai, G. and Kyriakou, I. (2016). General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options. Mathematics of Operations Research, 41(2), pp. 531–559. doi:10.1287/moor.2015.0739.

Book

Fusai, G. and Roncoroni, A. (2008). Implementing Models in Quantitative Finance: Methods and Cases. Springer. ISBN 978-3-540-22348-1

Chapters (12)

• Gambaro, A.M., Caldana, R. and Fusai, G. (2018). Accurate pricing of swaptions via lower bound. International Series in Operations Research and Management Science (pp. 183–208).
• Ballotta, L., Fusai, G. and Marena, M. (2016). Introduction to Default Risk and Counterparty Credit Modelling. In Kaminski, V. (Ed.), Managing Energy Price Risk (pp. 683–754). Riskbook ISBN 978-1-78272-209-0.
• Fusai, G. and Ballotta, L. (2016). Introduction to Portfolio Value-at-Risk. In Kaminski, V. (Ed.), Managing Energy Price Risk (pp. 641–682). Riskbook
• Marena, M., Fusai, G. and Longo, G. (2015). Asian Options: Payoffs and Pricing Models. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products Structuring, Trading and Risk Management John Wiley & Sons. ISBN 978-0-470-66250-2.
• Fusai, G., Marena, M. and Quaglini, C. (2015). Pricing Commodity Swaps with Counterparty Credit Risk: The Case of Credit Value Adjustment. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products Structuring, Trading and Risk Management Wiley. ISBN 978-0-470-74524-3.
• Ballotta, L. and Fusai, G. (2015). A Quick Review of Distributions Relevant in Finance with Matlab Examples. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (pp. 967–967). John Wiley & Sons. ISBN 978-0-470-74524-3.
• Ballotta, L. and Fusai, G. (2015). An introduction to stochastic calculus with Matlab examples. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (pp. 557–557). John Wiley & Sons. ISBN 978-0-470-74524-3.
• Fusai, G. (2010). Corridor Options. In Cont, R. (Ed.), Encyclopedia of Quantitative Finance (4 Volumes) Wiley. ISBN 978-0-470-05756-8.
• Fusai, G. (2010). Lookback Options. In Cont, R. (Ed.), Encyclopedia of Quantitative Finance, (4 Volumes) Wiley. ISBN 978-0-470-05756-8.
• Fusai, G., Marena, M. and Recchioni, C. (2009). Levy Processes and Option Pricing by Recursive Quadrature. In Hurlington, C.W. (Ed.), Chapter in book Economic Dynamics: Theory, Games and Empirical Studies ISBN 978-1-60456-911-7.
• Fusai, G. (1998). Introduction to Brownian Motion and its Financial Applications. In Erzegovesi, L. (Ed.), Financial Engineering: Principles and applications in the debt and currency markets (pp. 104–116).
• Fusai, G. (1993). The Term Structure of Interest Rates and Mathematical and Statistical Appendix. In Erzegovesi, L. (Ed.), Forward and Futures on bond Il Sole 24h Libri.

Journal Articles (33)

• Gambaro, A.M., Caldana, R. and Fusai, G. (2017). Approximate pricing of swaptions in affine and quadratic models. Quantitative Finance, 17(9), pp. 1325–1345. doi:10.1080/14697688.2017.1292043.
• Caldana, R., Fusai, G. and Roncoroni, A. (2017). Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. European Journal of Operational Research, 261(2), pp. 715–734. doi:10.1016/j.ejor.2017.02.016.
• Fusai, G., Germano, G. and Marazzina, D. (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), pp. 124–134. doi:10.1016/j.ejor.2015.11.027.
• Fusai, G. and Kyriakou, I. (2016). General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options. Mathematics of Operations Research, 41(2), pp. 531–559. doi:10.1287/moor.2015.0739.
• Caldana, R., Fusai, G., Gnoatto, A. and Grasselli, M. (2016). General closed-form basket option pricing bounds. Quantitative Finance, 16(4), pp. 535–554. doi:10.1080/14697688.2015.1073854.
• Caldana, R., Cheang, G.H.L., Chiarella, C. and Fusai, G. (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), pp. 99–103. doi:10.1080/1350486X.2014.937564.
• Ballotta, L. and Fusai, G. (2015). Counterparty credit risk in a multivariate structural model with jumps. Finance, Revue de l'Association Française de Finance, 36(1), pp. 39–74.
• Sesana, D., Marazzina, D. and Fusai, G. (2014). Pricing exotic derivatives exploiting structure. European Journal of Operational Research, 236(1), pp. 369–381. doi:10.1016/j.ejor.2013.12.009.
• Caldana, R. and Fusai, G. (2013). A general closed-form spread option pricing formula. Journal of Banking and Finance, 37(12), pp. 4893–4906. doi:10.1016/j.jbankfin.2013.08.016.
• Fusai, G. (2013). Asian options with jumps. Argo Newsletter: New Frontiers in Practical Risk Management,, 1(1), pp. 47–56.
• Fusai, G. and Potgieter, L. (2013). Cutting EdgE Sovereign Credit Risk in a Hidden Markov Regime- Switching Framework. Part 2. Journal of Financial Transformation, 38 .
• Potgeiter, L. and Fusai, G. (2013). Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: methodology. Journal of Financial Transformation, 37, pp. 99–109.
• Fusai, G., Marazzina, D., Marena, M. and Ng, M. (2012). Z -Transform and preconditioning techniques for option pricing. Quantitative Finance, 12(9), pp. 1381–1394. doi:10.1080/14697688.2010.538074.
• Fusai, G., Marazzina, D. and Marena, M. (2011). Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM Journal on Financial Mathematics, 2(1), pp. 383–403. doi:10.1137/09076115X.
• Goia, A., May, C. and Fusai, G. (2010). Functional clustering and linear regression for peak load forecasting. International Journal of Forecasting, 26(4), pp. 700–711. doi:10.1016/j.ijforecast.2009.05.015.
• Fusai, G., Marazzina, D. and Marena, M. (2010). Option pricing, maturity randomization and distributed computing. Parallel Computing, 36(7), pp. 403–414. doi:10.1016/j.parco.2010.03.002.
• Green, R., Fusai, G. and Abrahams, I.D. (2010). The wiener-hopf technique and discretely monitored path-dependent option pricing. Mathematical Finance, 20(2), pp. 259–288. doi:10.1111/j.1467-9965.2010.00397.x.
• Fusai, G. and Meucci, A. (2008). Pricing discretely monitored Asian options under Lévy processes. Journal of Banking and Finance, 32(10), pp. 2076–2088. doi:10.1016/j.jbankfin.2007.12.027.
• Fusai, G., Marena, M. and Roncoroni, A. (2008). Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. Journal of Banking and Finance, 32(10), pp. 2033–2045. doi:10.1016/j.jbankfin.2007.12.024.
• Fusai, G., Roncoroni, A. and Marena, M. (2008). A Note on the Analytical Pricing of Commodity Asian-Style Options under Discrete Monitoring. Journal of Banking and Finance, 32, pp. 2033–2045.
• Green, R., Abrahams, I.D. and Fusai, G. (2007). Pricing financial claims contingent upon an underlying asset monitored at discrete times. Journal of Engineering Mathematics, 59(4), pp. 373–384. doi:10.1007/s10665-007-9176-0.
• Fusai, G. and Recchioni, M.C. (2007). Analysis of quadrature methods for pricing discrete barrier options. Journal of Economic Dynamics and Control, 31(3), pp. 826–860. doi:10.1016/j.jedc.2006.03.002.
• Atkinson, C. and Fusai, G. (2007). Discrete extrema of Brownian motion and pricing of exotic options. The Journal of Computational Finance, 10(3), pp. 1–43. doi:10.21314/JCF.2007.174.
• Fusai, G., Abrahams, I.D. and Sgarra, C. (2006). An exact analytical solution for discrete barrier options. Finance and Stochastics, 10(1), pp. 1–26. doi:10.1007/s00780-005-0170-y.
• Fusai, G. (2006). Grid Based Full Portfolio Revaluation for VaR Computation. Proceedings of Science 1st International Workshop on Grid Technology for Financial Modeling and Simulations .
• Fusai, G. (2004). Pricing Asian options via Fourier and Laplace Transforms. Journal of Computational Finance, 7(3) .
• Fusai, G. and Meucci, A. (2003). Assessing Views. Risk Magazine, 13(3) .
• D’Amico, M., Fusai, G. and Tagliani, A. (2002). Valuation of exotic options using moments. Operational Research, 2(2), pp. 157–186. doi:10.1007/BF02936326.
• Fusai, G. and Tagliani, A. (2002). An Accurate Valuation of Asian Option using Moments. International Journal of Theoretical and Applied Finance, 5(2), pp. 147–69.
• Fusai, G., Tagliani, A. and Sanfelici, S. (2002). Practical Problems in the Numerical Solution of PDE's in Finance. Rendiconti per gli Studi Economici Quantitativi, 2001, pp. 105–132.
• Fusai, G. and Luciano, E. (2001). Dynamic value at risk under optimal and suboptimal portfolio policies. European Journal of Operational Research, 135(2), pp. 249–269. doi:10.1016/S0377-2217(01)00039-X.
• Fusai, G. and Tagliani, A. (2001). Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring. Journal of Computational Finance, 5(1), pp. 1–37.
• Fusai, G. (2000). Corridor options and arc-sine law. Annals of Applied Probability, 10(2), pp. 634–663.

Editorial Activities (7)

• Finance Research Letters, Referee, 2015 – present.
• European Journal of Operations Research, Referee, 2014 – present.
• Journal of Banking and Finance, Referee, 2013 – present.
• Journal of Futures Markets, Referee, 2012 – present.
• Operations Research, Referee, 2011 – present.
• Quantitative Finance, Referee, 2011 – present.
• Mathematical Finance, Referee, 2008 – present.