Andrea Pallavicini Email & Phone Number

Andrea Pallavicini obtained a Degree in Astrophysics in 1995, and a Ph.D. in Theoretical and Mathematical Physics in 1999 from the University of Pavia for his research activity on LEP2 physics at CERN.In 1999 he moved to mathematical modeling at FMR Consulting, a company based near Milan specialized in numerical libraries for aerospace industries and financial institutions. In 2004 he moved to financial modeling at Banca IMI in Milan, where his activities are chiefly focused on exotic derivatives pricing and on the design and implementation of numerical libraries. In 2008 he moved to Banca Leonardo in Milan as Head of Financial Engineering. In 2011 he moved to Mediobanca in Milan as Head of Financial Models.Since 2011 he has moved to Banca IMI in Milan within Intesa Sanpaolo group as Head of Equity, FX and Commodity Models.In the period 2012-2021 he was visiting professor at the Imperial College London.Over the years he published several academic and practitioner-oriented articles in financial modeling, theoretical physics and astrophysics journals.Author of the books "Credit Models and the Crisis: a journey into CDOs, copulas, correlations and dynamic models'', Wiley (2010), and "Counterparty Credit Risk, Collateral and Funding with pricing cases for all asset classes", Wiley (2013). Preprints can be found at arXiv.org and ssrn.com, while a complete list of publications at researchgate.net.

Listed skills include Derivatives, Monte Carlo Simulation, Financial Engineering, Quantitative Finance, and 4 others.