Ph.D in Finance - Université Paris IX Dauphine - France

Ph.D in Applied Mathematics - Joint program: Bocconi University, University of Trieste, Turin, Venice - Italy

M.S. in Mathematics - Courant Institute of Mathematical Sciences, New York University - USA

B.A. in Economics - Bocconi University - Italy

Positions

Sep 10-now       Full Professor of Finance, ESSEC Business School

Feb 01-now       Research Visiting Fellow, Banking and Finance Institute, Bocconi University

Jan 06-Aug 10   Associate Professor of Finance, ESSEC Business School

Sep 01-Dec 05   Assistant Professor of Finance, ESSEC Business School

Education

Jul 06               International Teachers Program, IMD Lausanne, Switzerland

Nov 02              Ph.D. in Finance, Université Paris IX - Dauphine, France
                         "Essays in Quantitative Finance: Modelling and Calibration in Interest Rate
                          and Electricity Markets"
                         Trés honorable avec les félicitations du jury  (Full marks and honours)

Jan 99              Ph.D. in Applied Mathematics, University of Trieste, Italy         
                         "Stochastic Analysis in Financial Modelling, Derivative Valuation
                          and Optimal Decision Strategies"
                         Full marks and honours

Sep 98             Master of Sciences in Mathematics, Courant Institute of Mathematical Sciences, NYU
                         "Entropy minimisation and Monte Carlo simulation"
                         Full A

Jul 95               Bachelor Degree in Economics at Bocconi University, Milan, Italy
                         "Stochastic Optimal Control and Application to a Model Arising in Financial Economic Policy"
                         110/110 summa cum laude (Full marks and honours)

Visiting

5. University of Technology, Sydney (Dec. 2009)

4. EAFIT University, Medellin (Aug. 2008)

3. University of Oslo (May 2008)

2. Bocconi University, Milan (2007)

1. ICER International Center for Economic Research (2001)

Short CV

Andrea Roncoroni is Full Professor of Finance at ESSEC Business School and Visiting Lecturer at Bocconi University (Milan). He holds PhD’s in Applied Mathematics and in Finance. His research interests cover Energy and Commodity Finance, Financial Modelling and Derivative Structuring. He consults for private companies (Gaz de France, Fideuram AM, EDISON Trading) and lectures for public institutions (International Energy Agency - IEA, Central Bank of France, University Paris Dauphine, Italian Stock Exchange, Italian Authority for Electricity and Gas, Italian Power Exchange - GME). He regularly publishes on academic journals (J.of Business, J.of Economic Dynamics and Control, J.of Banking and Finance, Intl.J.of Business) and financial book series. He is author of “Implementing Models in Quantitative Finance: Methods and Cases”(with G.Fusai) published by Springer, 2008

Languages

English, French, Italian, Portuguese, Spanish

A. Energy and Commodity Finance (Markets and Products)

B. Financial Price Modelling (Construction and Estimation)

C. Portfolio Risk Management (Measurment and Mitigation)

A. Energy and Commodities

B. Interest Rates

C. Information Technology

A. Europe

B. Asia

C. USA and Latin America

9. Commodity Markets and Products
    MS in Financial Markets Asia (current)

8. Advanced Fixed Income
    MS in Financial Markets Asia (current)

7. Computational Methods for Finance
    MS in Finance (current)  

5. Introduction to Financial Markets (in French)
    MBA program (2002, current)

4. Mathematical Methods for Finance (in French)
    MBA program (2001-2006)

3. Financial Markets and Institutions
    MBA program (2001, current)

2. International Finance
    MS Finance and Insurance (2004)

1. From Standard to Exotic Options (with H. Geman),
    MBA program (2003)

- 2nd Best Selling Award at Springer Finance Series for "Implementing Models in Quantitative Finance: Methods and Cases", 2008

- SSRN's Top Ten download list for Theory: Pricing (Topic) - October 2007 

- Best Paper Award (Infinite Dimensional HJM Model for the Term Structure of Interest Rates"), AMASES Annual Conference, 1999

35. International Conference in Quantitative Finance (invited speaker), Sydney, December 2009

34. Environmental and Energy Derivatives (invited speaker), National University of Singapore, December 2009

33. Quant Risk Europe (invited speaker), London, November 2009

32. Energy Risk Europe (invited speaker), London, October 2009

31. 3rd Risk Management Conference, RMI, National Univeristy of Singapore, July 2009

30. Quant Risk USA, Post Congress Workshop (invited speaker), New York, July 2009

29. Quant Risk Europe (invited speaker), London, November 2008

28. Copenaghen Business School, Finance Dept. Seminar (invited speaker), October 2008

27. VIII Internation Finance Conference, Universidad Technologica de Bolivar, Cartagena, October 2008

26. Università degli Studi della Calabria, Finance Dept. Seminar (invited speaker), Cosenza, September 2008

25. European Finance Association - EFA, Annual Meeting, Athens, August 2008

24. Quant Risk USA, Post Congress Workshop (invited speaker), New York, July 2008

23. 2nd Risk Management Conference, RMI, National Univeristy of Singapore, July 2008

22. Energy Risk Trading and Derivatives Conference, Risk, London, October 2007

21. Modelling and Measuring Energy Risk in the Nordpool Market, Energyforum, Oslo, September 2007

20. Risk Management in the Electricity Market, Italian Power Exchange and IEFE, Rome, June 2007

19. Risk Measurement and Control, International Summer School, Rome, June 2007

18. Modelling and Measuring Energy Commodity Risk 2006, London, November 2006

17. 19th International Symposium on Mathematical Programming, Rio de Janeiro, July 2006

16. European Financial Management Association, Annual Meeting, Madrid, June 2006

15. Risk Measurement and Control, International Summer School, Rome, June 2006

14. VI Conferencia Intl. de Finanzas, University of Santiago de Chile, May 2006

13. The 16th EC^2 Conference: Econometrics of Financial and Insurance Risk, Istanbul, December 2005.

12.The 32nd European Finance Association Meeting, Moscow, August 2005

11.IFOR Conference, Honolulu, July 2005

10. Risk Measurement and Control, International Summer School, Rome, June 2005

9. Modelling and Measuring Energy Risk, Erasmus University, Rotterdam, May 2005

8. Bachelier 3rd World Congress, Chicago, July 2004

7. European Financial Management Association, Annual Meeting, Helsinki, June 2003

6. International Conference in Quantitative Finance, Sydney, December 2002

5. Conference AMASES in Quantitative Methods in Economics and Finance, Verona, September 2002

4. International Conference in Quantitative Finance, Sydney, December 2001

3. Seminar in Finance, Imperial Collège, London, June 2001

2. Conference in Mathematical Finance, Carnegie Mellon University, Pittsburgh, August 2000

1. Seminar in Probability, Université Paris XIII, Paris, February 2000

Project Referee for the National Science Foundation - NSF, USA

Article referee for:

  - Management Science

  - Mathematical Finance

  - Energy Economics 

  - Applied Mathematical Finance

  - Quantitative Finance

  - The Energy Journal

  - Energy and Power Risk

  - Decisions, Economics, and Finance

  - Revue Finance

  - Banque et Marchés

  - Journal of Banking and Finance

  - Automata

  - International Journal of Forecasting

  - Journal of Business and Economic Statistics

  - Journal of Financial Stability

Visiting Fellowships:

   - University of Technology, Sydney (2009)

   - Bocconi University, Milan (2001-current)

   - University of Oslo (2008)

PhD Thesis:

   - Rachid Id Brik, University Paris Dauphine, 2006-current (director)

   - Maria Sokolova, Imperial College, University of London (evaluation committee member)

   - Stelios Kourouvakalis, University Paris Dauphine, 2007 (evaluation committee member)

In-house Training Courses

Private Consultancy (Central Bank of France, International Energy Agency, Italian Stock Exchange, Gaz de France, Italian Authority for Electricity and Gas, Italian Power Exchange - GME)