Grenoble Ecole de Management
Department of Accounting, Law and Finance
12 Rue Pierre Semard, 38000 Grenoble, France
Office: F813b
Phone: +33 0767387586
Email: luca.degennaroaquino@grenoble-em.com

Current position | Research interests | Education | Employment | Visiting positions | Publications |
Working papers | Teaching | Talks and conference presentations | Miscellaneous | External links |

Current position

PhD student in Mathematical Finance, 09/2017 - present
Grenoble Ecole de Management, France - Department of Law, Accounting and Finance
Advisor: Prof. Carole Bernard


Research interests

Computational finance; machine learning; risk measurement; decision theory


Education

  • MPhil in Business Administration, 09/2017 - 09/2019
  •     Grenoble Ecole de Management, France - Department of Law, Accounting 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 - Faculty of Economics
        Advisor: Prof. Maria Chiarolla
        Thesis: Credit-linked notes with counterparty risk under the generalised Fong-Vasicek two-factor interest rate model

  • BSc in Banking, Insurance and Financial Markets, 09/2010 - 10/2013
  •     University of Rome “La Sapienza”, Italy - Faculty of Economics


    Employment

  • Research assistant and lecturer , 09/2017 - present
  •     Grenoble Ecole de Management, France - Department of Law, Accounting and Finance


    Visiting positions

  • University of Konstanz, Germany - Department of Mathematics, 09/2019 - 10/2019, invited by Prof. Michael Kupper and Stephan Eckstein

  • Publications

  • 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), 715-741 (2019).
  • C. Bernard, L. De Gennaro Aquino, L. Levante. Optimal annuities demand for general expected utility agents. Forthcoming in Insurance: Mathematics and Economics. Preprint available at SSRN 3578370.

  • Working papers

  • C. Bernard, L. De Gennaro Aquino, S. Vanduffel. Improving multiasset allocation via cost-efficient strategies. 2020.
  • L. De Gennaro Aquino, S. Eckstein. Primal-dual methods for optimal transport and related problems. Submitted, 2020.
  • L. De Gennaro Aquino, C. Bernard. Bounds on multi-asset derivatives via neural networks. Submitted, 2020. Preprint available at arXiv:1911.05523.

  • Teaching

  • Grenoble Ecole de Management
  •   - 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


    Talks and conference presentations

  • 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

  • Miscellaneous

  • Language skills
  •   Italian (native), English (fluent), French (intermediate)

  • Programming skills
  •   Python, Matlab, SPSS, Stata

  • Passions and hobbies
  •   I am a committed fine diner and food traveler. Reading, running and biking are my escapisms, blues rock and jazz my sources of inspiration. My biggest dream is to become a pianist.


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