University of Copenhagen
Department of Mathematical Sciences
Universitetsparken 5, 2100 Copenhagen Ø
Office: 772-04-3-06
Phone: +45 71536564
Email: ldga@math.ku.dk

| Current position | Research interests | Education | Academic positions | Work in progress | Publications |
| Longer visitings | Talks and presentations | Teaching | Refereeing | Miscellaneous | External links |

Current position

Postdoctoral Fellow, 09/2022 - present
University of Copenhagen, Copenhagen, Denmark - Department of Mathematical Sciences

From 08/2024, I will join Reykjavik University, Iceland, as an Assistant Professor at the Department of Engineering.


Research interests

Portfolio optimization; decision theory; asset pricing; time-inconsistency


Education

  • PhD in Mathematical Finance, 09/2017 - 11/2020
  •   Grenoble Ecole de Management, Grenoble, 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, Grenoble, France - Department of Accounting, Law and Finance

  • MSc in Mathematical Finance (with Distinction), 09/2016 - 09/2017
  •   Loughborough University, Loughborough, 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”, Rome, 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”, Rome, Italy - Department of Methods and Models for Economics, Territory and Finance


    Academic positions

  • 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, Grenoble, France - Department of Accounting, Law and Finance


    Work in progress

  • Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time. With Sascha Desmettre, Yevhen Havrylenko, and Mogens Steffensen.
  • 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, 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, 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

  • 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.


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