Quantitative Finance Researcher and Developer
Since university, the focus of my work has been the application of advanced mathematical frameworks to random processes. Starting from the study of the Boltzmann equation in neutron transport, I envisioned how this tool could be utilized in the evolution of probability densities, thus somewhat mirroring the wave-function approach of quantum mechanics. Over the years, I have studied phenomena where probability evolves under more complex laws than the diffusion processes still widely adopted in quantitative sciences.
I study, model and code the above.
SENIOR QUANT RESEARCHER & HEAD OF INFRASTRUCTURE - BLACKBOX (SHUAA)
US equity quantitative strategy development, responsible for the automated-trading infrastructure. Modeling by stochastic processes, implemented automated investment framework, back-testing analytics and broker bridging. Technology stack based on C# with more quantitative—focused implementations done in F#.
September 2019 - Current
SENIOR QUANT DEVELOPER - CREDIT SUISSE
Agile development in the data lake project, Luxembourg. C# coding, Oracle DB interfaces, interconnection of quant APIs from the bank, REST functions over ASP.Net Web API. F# for specific type parsing problems and quant matters, Tableau for data analysis.
DIRECTOR - WESTLANDS SECURITIES
2017 - And earlier
Senior responsibilities. Designed mathematical models of the company and turned that into code, beginning from Excel VBA to C# over the years. Models based on stochastic processes governed by Boltzmann equations and other probabilistic approaches used for THE pricing and hedging of financial instruments, risk computations and market-predictive tools.
Nuclear Engineering, Theoretical Physics, Applied Mathematics
UNIVERSITY OF ROME - LA SAPIENZA
Master of Science in Nuclear Engineering. Theoretical Physics and Higher Mathematical Methods in the Faculty of Physics, special program.
Thesis in Applied Mathematics: “Linear and Non-Linear Particle-Transport Problems in a Host Medium” (published by the Faculty of Engineering)
Science and Technology Hybrid
Applied Mathematics, Theoretical Physics, Engineering and Finance
Quant Development, Data Analysis, IT Systems Administration, Security and Cloud