Pietro Parruccini, Phd Email & Phone Number

Milan, Lombardy, Italy

•Equity - Forex quants team management.•Development of proprietary pricing models for derivative products (local volatility, stochastic volatility, jumps...).•Support flow and light exotic equity trading desks on pricing derivatives and quantitative issues.•Support and Development of infrastructures projects (parallel grid, GPU).•Development and maintenance of C++ (OOP) pricing and their interfaces with Excel, Murex.

•Expansion of the proprietary C++ pricing library: new contracts, models implementation, maintenance, and reinforcement.•Development from scratch and maintenance of a Mysql database with historical and real time market data and interfaces to clients (e.g. Excel).•Contribution to the development of a CPPI algorithm and Hedging Portfolio on a volatility controlled index built on a set of excess return indexes.•Contribution to the development of an application for the real time monitoring of a hedge fund.•Mentoring students on stage for their thesis on the Heston (Bates) model.•Contribution to the development of an application kit for real time monitoring of the bank asset balance position.•Front office system support: Murex G2000.

•I worked on Nanoconduction, molecular electronics and polymer physics from a theoretical point of view,in collaboration with Scuola Normale Superiore of Pisa, Uni of Bologna, Uni of Modena, CINECA.•Co-author of several articles published on international prestigious journals (J. Chem. Phys. B, IEEE,...)

Phd, Theoretical Physics

Activities and Societies: National Institute for Nuclear Physics• Sponsored by the italian National Institute for Nuclear Physics. •.

110/110 Cum Laude, Theoretical Physics

•Thesis title( in italian): Studio del crossover in modelli tridimensionali descritti da teorie $\phi^4$ con anisotropia cubica •Results.