Reykjavik University, Iceland - Department of Engineering
Postdoctoral Fellow, 09/2022 - 07/2024
University of Copenhagen, Denmark - Department of Mathematical Sciences
Postdoctoral Fellow, 11/2020 - 08/2022
Southern University of Science and Technology, Shenzhen, China - Department of Information Systems and Management Engineering
Advisor: Prof. Moris Simon Strub
Research Assistant and Lecturer, 09/2017 - 11/2020
Grenoble Ecole de Management, France - Department of Accounting, Law and Finance
Education
PhD in Mathematical Finance, 09/2017 - 11/2020
Grenoble Ecole de Management, France - Department of Accounting, Law and Finance
Advisor: Prof. Carole Bernard
Thesis: Robust decision making, model uncertainty and computational optimal transport
MPhil in Business Administration (specialization in Finance), 09/2017 - 09/2019
Grenoble Ecole de Management, France - Department of Accounting, Law and Finance
MSc in Mathematical Finance (with Distinction), 09/2016 - 09/2017
Loughborough University, United Kingdom - Department of Mathematical Sciences
Advisor: Prof. József Lörinczi
Thesis: Long-time behaviour of Feller processes (awarded as best thesis of AY 2016/2017 in Mathematical Sciences)
MSc in Finance and Insurance (with Honors), 10/2013 - 07/2016
University of Rome “La Sapienza”, Italy - Department of Methods and Models for Economics, Territory and Finance
Advisor: Prof. Maria Chiarolla
BSc in Banking, Insurance and Financial Markets, 09/2010 - 10/2013
University of Rome “La Sapienza”, Italy - Department of Methods and Models for Economics, Territory and Finance
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time. With Sascha Desmettre, Yevhen Havrylenko, and Mogens Steffensen. preprint
Reference-dependent asset pricing with a stochastic consumption-dividend ratio. With Xuedong He, Moris Simon Strub, and Yuting Yang. preprint
Publications
L. De Gennaro Aquino, D. Sornette, M. S. Strub. Portfolio selection with exploration of new investment assets. European Journal of Operational Research, 310(2), 2023. preprint DOI
C. Bernard, L. De Gennaro Aquino, S. Vanduffel. Optimal multivariate financial decision making. European Journal of Operational Research, 307(1), 2023. preprint DOI
L. De Gennaro Aquino, S. Eckstein. MinMax methods for optimal transport and beyond: regularization, approximation and numerics. Advances in Neural Information Processing Systems 33 (NeurIPS 2020). preprint DOI
C. Bernard, L. De Gennaro Aquino, L. Levante. Optimal annuity demand for general expected utility agents. Insurance: Mathematics and Economics, 101(A), 2021. preprint DOI
L. De Gennaro Aquino, C. Bernard. Bounds on multi-asset derivatives via neural networks. International Journal of Theoretical and Applied Finance, 23(8), 2020. preprint DOI
L. De Gennaro Aquino, C. Bernard. Semi-analytical prices for lookback and barrier options under the Heston model. Decisions in Economics and Finance, 42(2), 2019. preprint DOI correction
Longer visitings
Johannes Kepler University Linz, Austria - Institute of Financial Mathematics and Applied Numbery Theory, invited by Prof. Sascha Desmettre, 06/2024 (2 weeks)
Chinese University of Hong Kong, Hong Kong SAR - Department of Systems Engineering and Engineering Management, invited by Prof. Xuedong He, 06/2022 (2 weeks)
University of Konstanz, Germany - Department of Mathematics, invited by Prof. Michael Kupper and Stephan Eckstein, 09/2019 - 10/2019 (6 weeks)
Talks and presentations
Bachelier World Congress, FGV EMAp, Rio de Janeiro, Brasil, 07/2024
Research seminar, Johannes Kepler University Linz, Austria, 06/2024
Research seminar, Reykjavik University, Iceland, 01/2024
Seminar in Insurance and Economics, University of Copenhagen, Denmark, 01/2023
Bachelier World Congress, virtual, 06/2022
SUSTech Workshop on Financial Engineering, Southern University of Science and Technology, China, 12/2021
SIAM Conference on Financial Mathematics and Engineering, virtual, 06/2021
PKU-NUS Annual International Conference on Quantitative Finance and Economics, virtual, 05/2021
Neural Information Processing Systems, virtual, 12/2020
Research in Options, IMPA, Rio de Janeiro, Brasil, 12/2019
Research seminar, University of Konstanz, Germany, 10/2019
Vienna Congress on Mathematical Finance, University of Vienna, Austria, 09/2019
SIAM Conference on Financial Mathematics and Engineering, University of Toronto, Canada, 06/2019
Teaching
Reykjavik University
- Derivatives and Risk Management, MSc in Financial Engineering, 01/2025 - 04/2025
- Securities, BSc in Financial Engineering, 08/2024 - 11/2024
University of Copenhagen
- [TA] Continuous-time Finance 2, MSc in Mathematics-Economics, 02/2024 - 04/2024
- [TA] Operations Research 1, BSc in Mathematics-Economics, 11/2023 - 01/2024
- Consumption-Investment Problems under Lifetime Uncertainty, MSc in Actuarial Mathematics, 09/2022 - 10/2022
Grenoble Ecole de Management
- Fundamentals of Excel and Statistics, MSc Finance - Paris, 09/2020
- International Financial Risk Management, Master in International Business - Paris, 04/2020
- Advanced Quantitative Methods for Finance, ESC 2A Programme Grande Ecole - Grenoble, 01/2020 - 03/2020
- International Financial Risk Management, Master in International Business - Grenoble, 11/2019 - 12/2019
- Fundamentals of Excel and Statistics, MSc Finance - Singapore, 10/2019
- Fundamentals of Excel and Statistics, MSc Finance - Grenoble, 09/2019
- Corporate Governance, ESC 3A Programme Grande Ecole - Grenoble, 01/2019 - 02/2019
Refereeing
Methodology and Computing in Applied Probability, Finance, IEEE Transactions on Information Theory, Scandinavian Actuarial Journal, Quantitative Finance, Economics and Business Letters, Neural Networks, Frontiers of Mathematical Finance
Miscellaneous
Languages
Italian (native), English (fluent), French (intermediate, but rusty)
Passions and hobbies
I am a committed fine diner and food traveler. I like Tom Waits, German Rieslings and apple pie. I play table tennis.
