Reykjavik University
Department of Engineering
Menntavegur 1, 102 Reykjavik, Iceland
Email: lucaa@ru.is
Phone: +354 6878244

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

Academic positions

  • Assistant Professor, 08/2024 - present
  •   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


    Research interests

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


    Work in progress

  • 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

  • AMaMef Conference, University of Verona, Verona, Italy, 06/2025
  • 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, Computational Management Science


    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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