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 VICE PRESIDENT
HEAD OF ROBO AND ALGO DESK
January 2023 - Current
Responsible for all internal algos (C#/F#) and robotics (RPA) for quant strategies, for both prop trading and market making. Leading a team of developers and quants, building an entire banking automation framework from scratch. Quant research in equities and options, some on fixed-income securities. Stochastic processes, Boltzmann equations, complex variables, and tensor calculus. Designing courses and lecturing on mathematical methods and quantitative finance for several departments of the bank, including traders, market makers and wealth advisors.
HEAD OF ROBO AND ALGO DESK
Responsible for implementing a global algorithmic infrastructure for several divisions of the bank, ranging from quantitative strategies on the buy side, to automated market-making on the sell side.
June 2021 - January 2023
SENIOR QUANT RESEARCHER
HEAD OF INFRASTRUCTURE
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#.
2019 - 2021
SENIOR QUANT DEVELOPER
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.
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