|Date||29th October 2002|
|Time||1:00pm - 2:00pm|
|Venue||ICMA Centre, Room G03/04|
In 1997 he moved to financial modeling at Banca INTESA in Milan, dealing with the pricing/hedging of equity, basket and interest-rate derivatives and with Risk Measurement. In 1998 he moved to Banca IMI, where he has been appointed as Head of the Credit Models department, after formerly working at the Financial Models department on cross-currency and interest-rate derivatives and smile modeling. Over the years he has published several academic and practitioner-oriented articles in financial modeling, probability and systems theory journals. He is author, with Fabio Mercurio, of the book Interest Rate Models: Theory and Practice, Springer-Verlag (2001). He teaches regularly at post-university and Master courses in Milan. His current professional interests include default and credit modeling, interest-rate and smile modeling.