CURRICULUM VITAE Luciano CAMPI

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1 CURRICULUM VITAE Luciano CAMPI London School of Economics and Political Science Department of Statistics Columbia House 10 Houghton street London, WC2A 2AE, England, UK Web-page: PROFESSIONAL EXPERIENCE September 2013 present : Associate professor, Department of Statistics, London School of Economics and Political Science. September 2011 August 2013 : Professor of Mathematics at University Paris 13, LAGA (Laboratoire Analyse, Géometrie et Applications), Institut Galilée. September 2005 August 2011: Assistant Professor at University Paris Dauphine, CERE- MADE. February 2004 August 2005: Post-Doc at the Research Unit of Financial and Actuarial Mathematics, Department of Mathematical Methods in Economics, Vienna University of Technology. February January 2004: Research Fellow in Probability and Mathematical Statistics at the University G. D Annunzio, Chieti-Pescara (Italy). October 2002 September 2003: Research Fellow at the Laboratoire de Probabilités et Modèles Aléatoires, Universities of Paris 6 & 7, sponsored by EU HCM-project Dynstoch (IMP, Fifth Framework Programme). EDUCATION December 2010: Habilitation à diriger des recherches in Applied Mathematics, University Paris-Dauphine. December 2003: PhD in Mathematics at the University of Paris 6. February 2003: PhD in Computational Mathematics at the University of Padua (Italy). September 1997-September 1999: D.E.A. in Probability and its Applications at the University of Paris 6 (from June 1998 to April 1999, civil service at the National Archives, Pescara, Italy) : Laurea degree in Economics at the University L. Bocconi, Milan, Italy. VISITING POSITIONS: June 2014: Visiting professorship at Mathematics Department, University of Padoua. March 2004: Visiting fellowship at KdV Institute, Amsterdam University. 1

2 RESEARCH TOPICS: Applications of stochastic calculus to finance, information asymmetry and insider trading, credit risk, transaction costs, energy markets. PUBLICATIONS Published/accepted papers: 1. A probabilistic numerical method for optimal multiple switching problem in high dimension (with R. Aïd, N. Langrené and H. Pham). SIAM J. on Financial Mathematics, Vol. 5, No. 1 (2014). 2. Explicit construction of a dynamic Bessel bridge of dimension 3 (with U. Çetin and A. Danilova). Electronic Journal of Probability, Vol. 18 (2013). 3. On the existence of shadow prices (with G. Benedetti, J. Kallsen and J. Muhle-Karbe). Finance and Stochastics, Vol. 17, No. 4 (October 2013). 4. Equilibrium model with default and dynamic insider s information (with U. Çetin and A. Danilova). Finance and Stochastics, Vol. 17, No. 3 (July 2013). 5. A structural risk-neutral model for pricing and hedging power derivatives (with R. Aïd and N. Langrené), Mathematical Finance, Vol. 23, No. 3 (July 2013). 6. Efficient portfolios in financial markets with proportional transaction costs (with E. Jouini and V. Portes). Mathematics and Financial Economics, Vol. 7, No. 3 (June 2013). 7. Multivariate utility maximization with proportional transaction costs and random endowment (with G. Benedetti). SIAM J. Control and Optimization, Vol (2012). 8. Weak Insider Trading and Behavioral Finance (with M. Del Vigna). SIAM J. Financial Mathematics, Vol. 3 (March 2012). 9. A note on market completeness with American put options. Published in Inspired by Finance, The Musiela Festschrift, Eds. Yu. Kabanov, M. Rutkowski, T. Zariphopoulou. Springer (2014). 10. Dynamic Markov bridges motivated by models of insider trading (with U. Çetin and A. Danilova). Stochastic Processes and Their Applications, Vol. 121, Issue 3 (March 2011). 11. Multivariate utility maximization under transaction costs (with M. Owen). Finance and Stochastics, Vol. 15 (September 2011). 12. Structural risk-neutral model of electricity prices (with R. Aïd, A. Nguyen Huu and N. Touzi). International Journal of Theoretical and Applied Finance, Vol. 12, Issue 7 (November 2009). 13. Super-hedging. Encyclopedia of Quantitative Finance, Rama Cont (Ed), Wiley (2010). 14. Mean-variance hedging for large financial markets. Stochastic Analysis and Applications, Vol. 27, Issue 6 (November 2009). 15. Systematic Equity-Based Credit Risk: A CEV Model with Jump to Default (with S. Polbennikov and A. Sbuelz). Journal of Economic Dynamics & Control, Vol. 33, Issue 1 (January 2009). 2

3 16. Insider trading in an equilibrium model with default: A passage from reduced form to structural modelling (with U. Çetin, LSE). Finance and Stochastics Vol. 11, No. 4 (October 2007). Best paper Award: Prix Institut Europlace de Finance A Super-Replication Theorem in Kabanov s Model of Transaction Costs (with W. Schachermayer). Finance and Stochastics Vol. 10, No. 4 (December 2006). 18. Closed-form pricing of Benchmark Equity Default Swaps under the CEV assumption (with A. Sbuelz). Risk Letters Vol. 1, No. 3 (September 2005). 19. Some results on quadratic hedging with insider trading. Stochastics and Stochastics Reports Vol. 77, No. 4 (August 2005). 20. A note on completeness and extremality for financial markets with infinitely many assets. Rendiconti del Seminario Matematico di Padova Vol. 112 (II sem. 2004). 21. Arbitrage and completeness in financial markets with given N-dimensional distributions, Decisions in Economics and Finance Vol. 27, No. 1, p (May 2004). Preprints: 22. Utility indifference valuation for non-smooth payoffs with an application to power derivatives (with G. Benedetti). Submitted. 23. Change of numeraire in the two-marginals martingale transport problem (with I. Laachir and C. Martini). Submitted. 24. Utility indifference pricing and hedging for structured products in energy markets (with G. Callegaro and T. Vargiolu). Submitted. 25. A note on the spot-forward no-arbitrage relation in an investment-production model for commodities (with R. Aïd and D. Lautier). Submitted. Other publications: 26. Document de synthèse pour l obtention de l HDR (Habilitation à diriger les recherches), entitled Frictions de Marché: coûts de transactions, asymétrie d information et marchés de l énergie. 27. PhD Thesis Marchés financiers avec une infinité d actifs, couverture quadratique et délits d initiés, University of Paris 6, December PhD Thesis Some Results on Financial Markets with Infinitely Many Assets, University of Padua, December GRANTS & AWARDS Chaire EDF-CACIB Finance et développement durable since September Chaire Groupama Les particuliers face au risque since September Europlace Institute of Finance (EIF) Prize for the best paper in mathematical finance 2009 (see the list of publications). Scholarship from the University of Padua, October 1999-September

4 L. Bocconi University Gold Medal for the best graduates. OTHER SCIENTIFIC ACTIVITIES Supervision of PhD students : Nicolas Langrené (co-supervised with H. Pham, University Paris 7), title: Méthodes numériques probabilistes en grande dimension pour le contrôle stochastique et problèmes de valorisation sur les marchés d électricité, defended on March Giuseppe Benedetti (Paris Dauphine and CREST), title: Optimal investment and pricing under some market imperfections, defended on September Matteo Del Vigna (co-supervised with M.E. Mancino, University of Florence), title: Information Asymmetry and Behavioral Finance, defended on January November 2012 August 2013 : co-director of the scientific committee of the LabEx ( Laboratoire d Excellence ) MME-DII Mathematical and Economic Models for Dynamics, Uncertainty and Interactions. Web: Organization of seminars/working groups: Bachelier Seminar, Paris (September 2006 June 2013); probability and statistics seminar, University Paris 13 (January 2012 June 2013); working group Quantitative methods at FiME, joint lab Dauphine-CREST-EDF on Finance and Energy Markets (September 2006 July 2008). Organization of workshops/conferences: Week on Kyle-Back Models, April 2015, Paris (within the Semester on Information in Finance and Insurance); London-Paris Bachelier Workshop, Paris, September 2014 (co-organization); Risk and Stochastic Conference 2014, LSE; Minisymposium Méthodes stochastiques en gestion des risques, SMAI Annual Conference 2013, Seignosse, France. Workshop Paris Dauphine : Markets with frictions, Paris, September 2010 (coorganization). Editorship: Associate editor, IMA Journal of Applied Mathematics. Referee activity: Mathematical Finance, Finance and Stochastics, Journal of Theoretical and Applied Finance, Annals of Applied Probability, Stochastic Processes and Its Applications, Journal of Economic Dynamics and Control, Applied Mathematics and Optimization, Journal of Credit Risk, Stochastics and Stochastics Reports, Decisions in Economics and Finance, Journal of Mathematical Economics, Mathematics and Financial Economics, Economic Theory, SIAM Journal on Financial Mathematics, Annals of Finance, SIAM Journal of Optimization and Control, Electronic Journal of Probability, Operations Research Letters. Reviewer activity: Mathematical Reviews. ADMINISTRATIVE ACTIVITIES AND TEACHING 4

5 Administrative activities: September 2012 August 2013 : co-direction of the Master program AMI Algorithmique, Modélisation, Images, University Paris 13. September 2006 August 2011: co-direction of the Master program ISF Ingénierie Statistique et Financière (Statistical and Financial Engineering), University Paris Dauphine. Teaching: : Preliminary course on Basic calculus (with M. Parton), tutorials on Basic mathematical finance at University G. D Annunzio, Chieti-Pescara (Italy). December 2004: Crash course on Stochastic calculus with financial applications for the PhD on Science at University G. D Annunzio, Chieti-Pescara (Italy) : Tutorials on Calculus I, Insurance mathematics I, Stochastic processes in continuous time, lectures on Pricing of contingent claims at University Paris-Dauphine : Tutorials on Insurance mathematics I and on Pricing of contingent claims, lectures on Jump processes and credit risk at University Paris-Dauphine. Tutorials on Asset pricing for QEF Master program Ecole Polytechnique and HEC (teaching in English) and : Lectures on Interest rate and credit risk models and on Jump processes and credit risk at University Paris-Dauphine. Tutorials on Asset pricing for QEF Master Program Ecole Polytechnique and HEC (teaching in English) : Lectures on Stochastic Processes and PDEs and Interest rate and credit risk models at University Paris-Dauphine : Lectures on Asset Pricing I (in English), Stochastic Processes and PDEs and Interest rate and credit risk models at University Paris-Dauphine. Lectures on Risk Measures (in English) at University of Luxemburg : Lectures on Risk modeling, Interest rate models and volatility, Stochastic Calculus and Statistics at University Paris : Lectures on Probability and Statistics, Stochastic control and portfolio optimization, Stochastic Calculus, Risk modeling and Mathematical Statistics at University Paris : Course Actuarial Mathematics: Life for BSc Actuarial Science, LSE. Crash course on Stochastic control and portfolio optimisation at University of Verona. SELECTED CONFERENCES, WORKSHOPS & SCHOOLS July 2004: Third World Congress of the Bachelier Finance Society, Chicago. Contributed talk. April 2005: Second Purdue Minisymposium on Financial Mathematics, Purdue University, Indiana (USA). Invited talk. January 2007: Workshop on Information in Pricing Models, University of Toulouse P. Sabatier. Invited talk. October 2007: 14th Workshop in Mathematics and Economics: Insider and Asymmetric Information in Financial Trading. Oslo University. Invited talk. May 2008: Workshop New Directions in Quantitative Finance, Paris. Invited talk. 5

6 June 2008: International Workshop: CREDIT RISK, Evry (France). Invited talk. June 2008: 14th International Conference on Computing in Economics and Finance, University of Sorbonne (Paris). Invited talk. July 2008: Summer School in Perceiving, measuring and managing risk: Illiquidity, long-term risk, natural resources, University of British Columbia (Vancouver). Invited talk. August 2008: Journées MAS de la SMAI, Rennes (France). Invited talk. May 2009: Istanbul Workshop on Mathematical Finance. Invited talk. June 2009: Conference in honour of Marc Yor, Paris. Invited talk. January 2010: Workshop on Foundations of Mathematical Finance, Fields Institute, Toronto (Canada). Invited talk. July 2010: Analysis, Stochastics, and Applications - A Conference in Honour of Walter Schachermayer, Vienna University (Austria). Invited talk. September 2010: Workshop on Advanced Mathematical Methods for Finance, Berlin. Invited talk. January 2011: Oberwolfach workshop Stochastic Analysis in Finance and Insurance. Invited talk. March 2011: JAROS Workshop and Young Researchers Workshop on Finance 2011, Tokyo Metropolitan University. Invited talks. August 2011: 58th World Statistics Congress of the International Statistical Institute (ISI), Dublin. Invited talk. October 2011: International Conference on Stochastic Analysis and Applications, Hammamet (Tunisia). Invited talk. July 2012: SIAM Conference on Financial Mathematics and Engineering, Minneapolis (USA). Invited talk. August 2012: Lectures on Pricing and hedging in energy markets at the Vietnamese-French Summer School on Mathematical Methods in Finance and Economics at University of Economics and Law and John Von Neumann Institute, Ho Chi Minh City, Vietnam. August 2012: Joint Conference SMF-VMS, Hue University, Hue (Vietnam). Invited talk. January 2013: Seventh Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, France. Invited talk. January 2013: Conference Non-stationarity in Statistics and Risk Management, CIRM, Luminy, France. June 2013: PhD crash course on Pricing and hedging in energy markets, University of Padua, Italy. June 2013: Workshop on stochastic portfolio, arbitrage theory, role of information and credit risk, Beijing international center for mathematical research, Peking University, China. Invited talk. 6

7 August 2013: Workshop on Electricity, Energy and Commodities Risk Management, Fields Institute, Toronto. Invited talk. May 2014: Mathematical Finance: Arbitrage and Portfolio Optimization, Banff Center, Canada. September 2014: Advances in stochastic analysis for risk modeling, CIRM, Marseille, France. SELECTED INVITED SEMINARS February 2005: Bachelier Seminar, Institut H. Poincaré, Paris. April 2005: Newton Institute, Cambridge UK. February 2006: Risk and Stochastic Seminars, LSE, London. October 2006: Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh (UK). October 2006: Bachelier Seminar, Institut H. Poincaré, Paris. May 2007: IMQ, Bocconi University, Milan. October 2007: Finance and Stochastics Seminar, Boston University. November 2007: Mathematical Finance Seminar, Oxford University. November 2007: Oberseminar Finanz- und Versicherungsmathematik, LMU & TU Munich. February 2008: Finance and Stochastics Seminar, Imperial College, London. June 2008: Séminaire de probabilités et statistiques, University Paris 13. June 2008: Séminaire Analyse-Probabilités, CEREMADE, Université Paris-Dauphine. October 2008: Probability and Mathematical Finance Seminar, Carnegie-Mellon University. October 2008: Finance and Stochastics Seminar, Boston University. December 2008: Talks in Financial and Insurance Mathematics, ETH Zürich. December 2009: Colloquium on Economic Theory, Institute of Mathematical Economics, Bielefeld University. February 2010: Pisa University, Italy. February 2010: Finance and Stochastics Seminar, Imperial College, London. March 2010: Mathematical Finance Seminar, Austin University, Texas. October 2010: Séminaire de probabilités et statistiques, University Paris 13. January 2011: Seminar Finanzmathematik, Vienna University, Austria. February 2011: Séminaire de probabilités, statistiques et contrôle, ENSTA, Paris. May 2011: Séminaire de probabilités, LPMA Paris 6 & 7. July 2011: Stochastics Seminar, Christian-Albrechts-Universität zu Kiel, Germany. 7

8 October 2011: Mathematical Finance Nomura Seminar, Oxford. December 2011: Seminar Finanzmathematik, Vienna University, Austria. February 2012: Séminaire de modélisation stochastique et finance, University Paris-Est, Marnela-Vallée (France). April 2012: Risk and Stochastics Seminar, LSE, London. May 2012: Probability Seminar, Toulouse Mathematical Institute, Toulouse. September 2012: Seminar Finanzmathematik, Vienna University, Austria. April 2013: Decision Mathematics Seminar, Toulouse School of Economics. November 2013: Mathematical Finance Seminar, Warwick University. December 2013: Mathematical Finance Seminar, Imperial College, London. March 2014: Mathematics Department, Evry University. July 2014: University of Verona, Italy. LANGUAGES Italian (native), English (fluent), French (fluent), German (beginner). ACADEMIC REFERENCES Available upon request. 8