Alumni


CLASS OF 2015/2016


 

BERNARDI Cristiano

Thesis: "Four Moments Portfolio Optimization: an Empirical Test" Supervisor: Prof. Ugo Pomante

CARROZZI Stefano

Thesis: "Negative Rates in the SABR Model" Supervisor: Prof. Stefano Herzel

CESARONI Giulia

Thesis: "Contingent Convertible Bonds: a Market-Conform Equity Derivative Model" Supervisor: Prof. Stefano Herzel

FAZZI Francesco

Thesis: "The Evolution in Portfolio Construction: Different Approaches of Optimization." Supervisor: Prof. Ugo Pomante

MAROTTA Calogero Daniele

Thesis: "Data Driven Pricing Model" Supervisor: Prof. Alessandro Ramponi

MELONE Alessandro

Thesis: "Understanding and Forecasting Financial Market Volatility Over Long Horizons" Supervisor: Prof. Tommaso Proietti

PALMISANO Giovanni

Thesis: "Investment decisions in a Non-Normal Environment" Supervisor: Prof. Ugo Pomante

ROGNONE Lavinia

Thesis: "Pricing interest rate derivatives in a negative yield environment" Supervisor: Prof. Stefano Herzel

SCHIAVO Edoardo

Thesis: "Financial crisis, Buyout investments, and Corporate performance: the Italian case" Supervisor: Prof. Vincenzo Farina

VITTIGLIO Emanuele

Thesis: "Cointegration and trading opportunities: an empirical analysis" Supervisor: Prof. Vincenzo Farina

CLASS OF 2014/2015


 

ARNONE Raffaella

Thesis: "Econometric analysis of Value-at-Risk and Expected Shortfall". Supervisor: Prof. Tommaso Proietti

CORDINER Lorenzo

Thesis: "Statistical Arbitrage with Index Options: An Empirical Study of the European Option Market". Supervisor: Prof. Marianna Brunetti

PETROVA Denitza

Thesis: "On Psychological Barriers and Price Behaviors: Evidence from Eastern European Markets." Supervisor: Prof. Gianni Nicolini

PROCACCI Pier Francesco

Thesis: "Flexible Bayesian Framework in Portfolio Construction: Entropy Pooling". Supervisor: Prof. Ugo Pomante

ROMANIELLO Christian

Thesis: "Central Couterparties: A numerical implementation of the default waterfall". Supervisor: Prof. Stefano Herzel

SARDO Simone

Thesis: "Sovereign CDS: how the default probability influence the market". Supervisor: Prof. Gianni Nicolini

TARABORRELLI Gessica

Thesis: "The management of a real estate fund". Supervisor: Prof. Ugo Pomante

VERNEAU Guglielmo

Thesis: "Loss estimation in structured credit products". Supervisor: Prof. Stefano Herzel

CLASS OF 2013/2014


 

BERNARDO Giuseppe

Thesis: "Lines of credit in corporate finance". Supervisor: Prof. Gianluca Mattarocci

BOLOGNI Enrico

Thesis: "The effect of microfinance on poverty reduction. the case study of buen vivir, ecuador". Supervisor: Prof. Leonardo Becchetti

CEA Lorenzo

Thesis: "A libor market model with multiple curves". Supervisor: Prof. Stefano Herzel

DUCCI Lorenzo

Thesis: "Estimating the probability of default with balance sheet information: an empirical analysis on US Smes during the last financial crisis". Supervisor: Prof. Sandro Brunetti

GIOSI Pierluigi

Thesis: "Pricing variance swap contracts". Supervisor: Prof.Stefano Herzel

GOUDARZI Mostafa

Thesis: "Dynamic spillover effect in future market". Supervisor: Prof. Gianni Nicolini

LEONE Stefano

Thesis: "ALM logic for pension refunds" Supervisor: Prof. Ugo Pomante

MAO Wenli

Thesis: "The Influence of Venture Capital on Family Governance System". Supervisor: Prof. Luca Gnan.

SERAFINI Alberto

Thesis: "Comparative analysis of socially responsible and traditional investments" Supervisor: Prof. Stefano Herzel

STRAUSS Magdalena

Thesis: "A Discussion of a Matrix Exponential Model for Spatially Correlated Data". Supervisor: Prof. Maura Mezzetti.

TOTEV Aleksandar

Thesis: "Corporate Ownership of American and German Companies: a Comparative Analysis of Dual-class Shares". Supervisor: Prof. Luca Gnan .

TROIANO Federica

Thesis: "Labour Market Differences between Natives and Immigrants". Supervisor: Prof. Franco Peracchi.

WANG Cizhi

Thesis: "Case Study in Wand and Huawei, so that we can Find some Suggestion on Shareholder Structure and Employees". Supervisor: Prof. Luca Gnan.

YANJUN Li

Thesis: "Credit Cycle and Macroprudential Policy". Supervisor: Prof. Luisa Corrado

CLASS OF 2012/2013


 

COLAROSSI Daniele

Thesis: "Active Management and Return Dispersion". Supervisor: Prof. Rocco Ciciretti.

DI ROCCO Andrea

Thesis: "Corporate Social Responsibility Around The World". Supervisor: Vincenzo Farina

FEBO Angelo Walter

Thesis: "Liquidity, Market Impact and Optimal Trading Strategies". Supervisor: Prof Stefano Herzel

FICCADENTI Valerio

Thesis: "Inflation and Growth: some empirical results from the european union countries". Supervisor: Professor Giovanni Trovato

KELEMEN Iringo Anna

Thesis: "Tactical Asset Allocation Embedding With The Black-Litterman Model's Views". Supervisor: Professor Ugo Pomante

KILMOVICH Sergey

Thesis: "An Analysis of Co-integration of Financial Derivative Markets in a Worldwide Perspective". Supervisor: Prof. Gianni Nicolini.

KRAUJUTAITYTE Faustina

Thesis: "Competition Among Stock Exchanges : Comparison Of Listing Regulations Of Singapore Stock Exchange And London Stock Exchange". Supervisor: Nicoletta Ciocca

MALEK MOHAMMADI Masoud

Thesis: "Portfolio Optimization with Parametric Quadratic Programming". Supervisor: Prof. Stefano Herzel.

MTENGWA Nyashazashe

Thesis: "Impact Investing: an Advanced Market Capital Allocation Framework". Supervisor : Prof. Ugo Pomante

PICCIRELLI Alessia

Thesis:"How Diversification Affects Idiosyncratic and Overall risk of Open-end Equity Funds" Supervisor: Prof.Rocco Ciciretti

QUARANTA Nicoletta

Thesis: "CSR and Idiosyncratic Volatility". Supervisor: Rocco Cicireti

RANALLI Giulia

Thesis: "Minibond. What Kind Of Issuers Are Smes?Evidence Form The Financial Statement Analysis". Supervisor: Ugo Pomante

SCALONE Chiara

Thesis: "Italian Target Maturity Funds: Investment Style And Performance Analysis". Supervisor: Rocco Ciciretti

STRAGAPEDE Michele

Thesis: " Portfolio Value at Risk with Jumps". Supervisor: Prof.Stefano Herzel.

TALLARIDA Tiziano

Thesis: "Asset Market Microstructure: Order Book Analysis". Supervisor: Professor Stefano Herzel

CLASS OF 2011/2012


 

ABBASOV Farid

Thesis: "Liquidity Risk and Basel III". Supervisor: Prof. Gianluca Mattarocci.

BENDZIUTE Doville

Thesis: "Commercial and Investment Banking in Economies with Asymmetric Information". Supervisor: Prof. Eloisa Campioni

CANORI Alfredo

Thesis: "Basel III: a new regulatory framework". Supervisor: Sandro Brunelli

CESARI Lorenzo

Thesis: "ESG Performance and Financial Performance of US Equity Mutual Funds". Supervisor: Prof. Stefano Herzel

CILLA Edoardo

Thesis: "Measuring and Modelling the Risk of Liquidity". Supervisor: Prof. Stefano Herzel

DONATO Ludovico

Thesis: "Investor Sentiment and Asset Prices. Can a Profitable Trading Strategy Be Devised from a Pessimism Index?". Supervisor: Prof. Ugo Pomante

GRASSO Adriana

Thesis: "Dynamic Portfolio Strategies with Liquidity Costs". Supervisor: Prof. Stefano Herzel.

LAMAJ Erisa

Thesis: "An Overview of VaR. An Application of Block Maxima Method in Risk Management for Heavy Tailed Stock Returns". Supervisor: Prof. Ugo Pomante.

MARCONE Michela

Thesis: "Maximum Likelihood Estimation of Noisy Rational Expectation Models For Financial Markets". Supervisor: Professor Roberto Monte

MARIOTTI Sara

Thesis: "Pricing and Hedging CDOs Using Copulas". Supervisor: Prof. Stefano Herzel

PETRINI Francesco Maria

Thesis: "From Bail-out to Bail-in: a new framework of rules ". Supervisor: Prof. Leonardo Becchetti.

PETRONGARI Michael

Thesis: "Future on Commodities: Agrex – Agricultural Derivatives Exchange". Supervisor: Professor Gianni Nicolini.

RECUPERO Silvia

Thesis: "The Gold Pricing: Evidence from the Spot and the Future Gold Pricing". Supervisor: Prof. Gianni Nicolini.

SARKHAN Rahimli

Thesis: "Constant Proportion Portfolio Insurance Strategies And Related Gap Risk Measures For Processes With Jumps And Applications". Supervisor: Prof. Sergio Scarlatti

CLASS OF 2010/2011


 

CAPO Mariangela

Thesis: "Managing Risk Exposures Using the Risk Budgeting Approach: the Equal Risk Contribution Portfolio Construction and Analysis". Supervisor: Prof. Ugo Pomante.

FLORES Deborah

Thesis: "A Tactical Asset Allocation Perspective Applied To The Black-Litterman Model". Supervisor: Prof. Ugo Pomante

GIACOMINO Paolo

Supervisor: Prof. Stefano Herzel

INGLESE Gabriele

Thesis: "Home Bias And New Measures Of Bias In Asset Allocation". Supervisor: Prof. Ugo Pomante

LAUTIZI Francesco

Thesis: "Empirical Estimates of Pricing Kernel and Risk Aversion". Supervisor: Prof. Stefano Herzel.

MALASTESTA Fabrizio

Thesis: "Ethical Funds and Liquidity Risk". Supervisor: Prof. Stefano Herzel

OSHAFI Vasna

Thesis: "Trading in Secondary Loan Markets". Supervisor: Prof. Andrea Kamal Attar.

PAVANA Marco

Thesis: "Mutual Fund Performance: Active Versus Passive Management". Supervisor: Professor Ugo Pomante

SANGRIGOLI Dario

Thesis: "The Evolution Of The Finance-Growth Nexus: Past Studies And New Perspectives". Supervisor: Prof. Leonardo Becchetti

SANTORELLI Giulio

Thesis: "Demographic Structure and Asset Returns: a New Prospective from International Data". Supervisor: Prof. Marianna Brunetti.

SARCINELLI Nicola

Thesis: "Value creation through strategic diversification: the Fincantieri case". Supervisor: Sandro Brunelli

CLASS OF 2008/2009


 

CASSETTI Sante

Thesis: "Sequential Conditional Correlation". Supervisor: Professor Tommaso Proietti.

FORMICA Francesco

Thesis: "Basel III and Its Potential Impact on Global Banks". Supervisor: Prof. Stefano Caiazza.

PERIOTTO Marco

Thesis: "Provate Equity and Venture Capital". Supervisor: Vincenzo Farina

SANTANGELO Daniela

Thesis: "The Goldman Sachs Event and SRI Funds". Supervisor: Prof. Rocco Ciciretti.

If you graduated and want to be part of this page please contact us at msc_finance@economia.uniroma2.it.