ANDREA RONCORONI
PROFESSOR OF FINANCIAL ENGINEERING
Andrea Roncoroni is a Professor of Financial Engineering at ESSEC Business School (Paris), Visiting Fellow at Bocconi University (Milan), and Director of the Energy and Commodity Finance (ECOMFIN) Research Center.
His research work deals with stochastic modeling, risk management, and asset allocation, with a focus on nonfinancial firms and commodity markets. He devised:
Shape Factors for the risk decomposition of forward curve dynamics;
Threshold Model for the stochastic evolution of electricity spot prices;
FloCurve Model for building forward curves with hourly granularity;
Combined Derivatives for hedging insurable-noninsurable corporate exposure.
He serves as President of the Commodity and Energy Markets Association, Associate Editor of Applied Mathematical Finance, the Journal of Energy Markets, and the Journal of Commodity Markets.
He has acted as an advisor for private companies, public institutions, international agencies, and law firms.
Andrea holds a Bachelor in Economics (Bocconi University), an MS in Mathematics (Courant Institute of Mathematical Sciences, New York University), a PhD in Applied Mathematics (University of Trieste), and a PhD in Finance (University Paris Dauphine).
RECENT WORK
COMBINED PORTFOLIO INSURANCE AND ALLOCATION
(with P. Guiotto and R. Tedongap)
Optimizing the joint selection of financial/physical portfolio allocation and bespoke portfolio insurance.
A THEORY OF CHOICE UNDER SEGMENTATION
(with P. Guiotto)
Devising the optimal budget-constrained decision contingent on segmented (i.e., pooled) sources of uncertainty.
THE TERM STRUCTURE OF OPTIMAL INTEGRATED HEDGE
(with P. Guiotto and D. Turcic)
On the time profile of optimal integrated financial operational hedging policies and related optimal operations horizon.
FUNCTIONAL DECISION UNDER DISAPPOINTEMENT AVERSION
(with P. Guiotto)
Optimal claim for disappointed averse agents: dynamic portfolio management, derivative positioning, and integrated risk management.