CURRICULUM VITÆ ET STUDIORUM LORELLA FATONE (up to April 2007)

CURRICULUM VITÆ ET STUDIORUM LORELLA FATONE (up to April 2007) Personal Data Full Name: Lorella Fatone Nationality: Italian Date and Place of Birth: May 10th, 1971, San Severino Marche, Italy Office Address: Dipartimento di Matematica Pura ed Applicata G. Vitali Università degli Studi di Modena e Reggio Emilia Via G. Campi 213/B, 41100, Modena, Italy Office Phone: +39 059 2055589 Office Fax: +39 059 370513 E-mail: fatone.lorella@unimo.it Studies and Academic Titles Assistant Professor Scientific Area Code: Mat/08 - Numerical Analysis University: Facoltà di Scienze, Università degli Studi di Modena e Reggio Emilia, Italy Department: Dipartimento di Matematica Pura ed Applicata G. Vitali Date of Employment: November 1st, 2001 Post-Doctoral Fellowship Date: February 2000 - October 2001 University: Dipartimento di Matematica e Fisica, Facoltà di Scienze, Università degli Studi di Camerino, Italy Thesis: Scientific Area: Numerical Analysis Title: Study of Optical/SAR complementarity and data fusion techniques Advisor: Prof. F. Zirilli Ph.D. in Computational Mathematics and Operational Research Date: February 20th, 2000 University: Dipartimento di Matematica, Facoltà di Scienze, Università degli Studi di Milano, Italy Thesis: Scientific Area: Numerical Analysis Title: Homogeneous and heterogeneous models for incompressible flows Advisor: Prof. A. Quarteroni Experience Abroad: September 1st, 1998 - October 31th 1999, Fellowship at the École Polytechnique Fédérale de Lausanne, Switzerland 1

Master Course in Mathematical Methods for Systems s Analysis, Control and Optimization Period: a.y. 1995/96 University: Facoltà di Ingegneria, Università degli Studi La Sapienza di Roma, Italy Thesis: Scientific Area: Numerical Analysis Title: Un problema inverso per l equazione delle onde bidimensionale Advisor: Prof. F. Zirilli Degree in Mathematics Marks: 110/110 cum laude Date: July 20th, 1995 University: Dipartimento di Matematica e Fisica, Università degli Studi di Camerino, Italy Thesis: Scientific Area: Numerical Analysis Title: Alcune condizioni al contorno trasparenti per l equazione delle onde Advisors: Prof. L. Misici, Prof. F. Zirilli Research Interests The research activity of Lorella Fatone addresses several fields of applied and computational mathematics and includes: Numerical approximation of partial differential equations. Domain decomposition methods and applications to Navier-Stokes, Oseen, Stokes and advection-diffusion equations. Both homogeneous and heterogeneous domain decomposition methods have been considered. Approximation of transport-diffusion problems. Finite-difference schemes for transportdominated equations and preconditioners of matrices related to spectral methods have been studied. Numerical solution of pricing problems in mathematical finance. The pricing of derivatives such as barrier options and realized variance options has been considered. Wavelet methods to store images and to solve integral equations. A family of new wavelet bases has been introduced and its properties are under investigation. Preliminary results show evidence that very effective methods to compress image could be obtained. Acoustic and electromagnetic obstacle scattering. Numerical methods have been developed to solve time harmonic and time dependent forward scattering problems and time harmonic inverse scattering problems. New mathematical models have been introduced to describe the behaviour of smart obstacles. The models used correspond to various problems for the Helmholtz equation, the vector Helmholtz equation, the wave equation, the Maxwell equations including optimal control problems for the wave and the Maxwell equations. Data fusion methods applied to the analysis of Earth observation data remotely sensed (i.e. fusion of SAR (Synthetic Aperture Radar)/optical data) and to the analysis of electromagnetic scattered data taken in laboratory experiments on penetrable media. 2

Teaching Activities Professor of the Numerical Analysis I course for students in Mathematics, Physics and Informatics, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2006/07. Professor of the Numerical Analysis course for students in Chemistry, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2006/07. Professor of the Informatics Laboratory course for students in Physics, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2005/06, a.y. 2006/07. Professor of the Numerical Analysis II course for students in Mathematics, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2005/06. Professor of the Numerical Analysis I course for students in Biology, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2003/04. Professor of the Numerical Analysis I course for students in Biotechnology, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2003/04, a.y. 2002/03. Assistant for the Numerical Analysis I course (Prof. L.Zanni) for students in Mathematics, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2002/03, a.y. 2001/02. Professor of the Numerical Analysis and Statistics course for students in Geology, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2002/03. Professor of the Informatics course for students in Pharmacy and Herbal Techniques, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2001/02. Professor of the Numerical Analysis course for students in Aerospatial Engineering, Politecnico di Milano, Italy, a.y. 2000/01. Professor of the Mathematics course for students in Paper Science and Technology, Università degli Studi di Camerino, Italy, a.y. 2000/01. Tutor of the Mathematics II course for students in Informatics and Automatics Engineering, Consorzio Nettuno, Politecnico di Torino, Italy, a.y. 1995/96, a.y. 1997/98. Tutor of the Mathematics I course for students in Informatics and Automatics Engineering, Consorzio Nettuno, Politecnico di Torino, Italy, a.y. 1996/97. Professor of the Informatics Laboratory course for students in Paper Science and Technology, Università degli Studi di Camerino, Italy, a.y. 1995/96. Tutor of the Mathematics I, II courses for students in Mathematics, Università degli Studi di Camerino, Italy, a.y. 1995/96. Theses, advisor and co-advisor 3

E. Girotti Zirotti, Le equazioni di Black and Scholes: teoria ed applicazioni. Dipartimento di Matematica, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2006/07. V. Scannavini, Precondizionatori per discretizzazioni superconsistenti di problemi di diffusione e trasporto. Advisor: Prof. D. Funaro, Dipartimento di Matematica, Università degli Studi di Modena e Reggio Emilia, Italy, a.y. 2001/02. Reviewing Activity From 2004: Journal of Optimization Theory and Applications. Grants and Collaborations Grant of the Young Researches Project 2000/01. Research s title: Fusione di immagini e riconoscimento cieco, Università degli Studi di Camerino, Italy, a.y. 2000/01. Collaborating with Esa/Esrin (European Space Agency), Esrin contract No. 13796/99/I- DC: Study of Optical/Sar complementarity and data fusion techniques, February 2000 - October 2001. (http://web.unicam.it/matinf/fatone/esrin.asp) Grants for research and teaching activity at the Mathematical Modelling and Scientific Computing Chair, Prof. A. Quarteroni, Ecole Polytechnique Fédérale de Lausanne, Switzerland, a.y. 1998/99. Grants for research and teaching activity at the Numerical Analysis Chair, Prof. L. Misici, Dipartimento di Matematica, Università degli Studi di Camerino, Italy, a.y. 1995/96, a.y. 1996/97, a.y. 1997/98. Research Funding Italian Projects PRIN-COFIN, financed by MIUR every two years 1996-2006. Role: participant. Italian Project MIUR-FIRB 2001: Apprendimento statistico: teoria, algoritmi, applicazioni. (http://slipguru.disi.unige.it/research/asta/) Role: participant. Invited Lectures, Seminars, Presentations at Conferences/Workshops A numerical method to price variance options based on the Heston stochastic volatility model, XXX Convegno AMASES, Trieste, Italy, September 4-7th, 2006. Pricing barrier options with time dependent coefficients in the Black and Scholes world, XXVIII Convegno AMASES, Modena, Italy, September 8-12th, 2004. 4

Schemi alle differenze finite basati su due griglie per problemi di diffusione e trasporto, XVII Congresso Unione Matematica Italiana, Milano, Italy, September 8-13th, 2003. Schedule optimization in a deregulated train transportation system, XXVI Convegno AMASES, Verona, Italy, September 11-14th, 2002. Results for finite difference approximations of transport-dominated problems using upwind type residual grid, SIMAI 2002, Chia, Italy, May 27-31st, 2002. Fusion of SAR/Optical images to detect urban areas, IEEE/ISPRS Joint Workshop on Remote Sensing and Data Fusion over Urban Areas, Roma, Italy, November 8-9th, 2001. A data fusion approach to the numerical solution of some inverse problems, ENU- MATH01 Conference, Ischia, Italy, July 23-28th, 2001. Simulazione di onde acustiche e sismiche, Università degli Studi di Camerino, Italy, April 31st, 2000. Alcuni risultati sull accoppiamento delle equazioni di Navier-Stokes con quelle di Oseen e di Stokes, Università degli Studi di Perugia, Italy, March 9th 2000. Alcuni modelli in fluidodinamica computazionale, Università degli Studi La Sapienza di Roma, Italy, November 22th, 1999. Modelli eterogenei in fluidodinamica computazionale, XVI Congresso Unione Matematica Italiana, Napoli, September 13-18th, 1999. Domain decomposition methods for incompressible flows: homogeneous and heterogeneous couplings, ENUMATH99 Conference, Jyväskylä, Finland, July 26-30th, 1999. Homogeneous and heterogeneous models for incompressible flows, Computational Fluid Dynamics, Summer School included in the activities of the Thematic Term on Theoretical and Computational Fluid Dynamics of CIM (Centro Internacional de Matemática), Coimbra, Portugal, July 12-17th, 1999. Multi-models for incompressible flows, Università degli Studi di Milano, Italy, April 30th, 1999. Il metodo degli elementi finiti per la risoluzione numerica di equazioni differenziali alle derivate parziali, Università degli Studi di Camerino, Italy, October 30th, 1998. Heterogeneous Domain Decomposition for fluids, École Polytechnique Fédérale de Lausanne, Switzerland, October 7th, 1998. Conferences, Courses, Schools and Workshops attended AMASES 2006, XXX Convegno Nazionale della Associazione per la Matematica Applicata alle Scienze Economiche e Sociali, Trieste, Italy, September 4-7th, 2006. Second international school in Computational Cell Biology, Computational Methods in Multiscale Processes for Protein Interactions, Modena, Italy, September 4-6th, 2006. 5

GNCS2006 Convegno Nazionale del Gruppo Nazionale per il Calcolo Scientifico (GNCS), Milano, Italy, February 14-16th, 2006. AMASES 2004, XXVIII Convegno Nazionale della Associazione per la Matematica Applicata alle Scienze Economiche e Sociali, Modena, Italy, September 8-12th, 2004. XVII Congresso Unione Matematica Italiana, Milano, Italy, September 8-13th, 2003. Two-Day Colloquium in honour of Enrico Magenes, Pavia, Italy, June 18-19th, 2003. Winter School CEA-EDF-INRIA on Applied Non Linear Problems entitled Direct and Inverse Scattering Problems, INRIA Rocquencourt, Paris, France, January 27-31st, 2003. AMASES 2002, XXVI Convegno Nazionale della Associazione per la Matematica Applicata alle Scienze Economiche e Sociali, Verona, Italy, September 11-14th, 2002. SIMAI 2002, VI Congresso Nazionale della Società Italiana di Matematica Applicata e Industriale, Chia (CA), Italy, May 27-31st, 2002. GNCS2002 Convegno Nazionale del Gruppo Nazionale per il Calcolo Scientifico (GNCS), Ferrara, Italy, February 12-13th, 2002. IEEE/ISPRS Joint Workshop on Remote Sensing and Data Fusion over Urban Areas, Roma, Italy, November 8-9th, 2001. ENUMATH01 Conference, Fourth Conference on Numerical Mathematics and Advanced Application, Ischia, Italy, July 23-28th, 2001. XVI Congresso Unione Matematica Italiana, Napoli, Italy, September 13-18th, 1999. ENUMATH99 Conference, Third Conference on Numerical Mathematics and Advanced Application, Jyväskylä, Finland, July 26-30th, 1999. Summer School, Computational Fluid Dynamics, summer school included in the activities of the Thematic Term on Theoretical and Computational Fluid Dynamics of CIM (Centro Internacional de Matemática), Coimbra, Portugal, July 12-17th, 1999. Course, Parallel Computing in Applied Fluid Mechanics, Pisa, Italy, September 15-18th, 1997. Summer School C.I.M.E., Advanced Numerical Approximation of Nonlinear Hyperbolic Equations, Cetraro (CS), Italy, June 22-29th, 1997. Course, Inverse Problems of Mathematical Physics: theory and numerics, Milano, Italy, June 2-6th,1997. Course, L insegnamento della Geometria, Ministero della Pubblica Istruzione e U.M.I., Viareggio, Italy, November 1995, February 1996. 6

Publications Peer-Reviewed Journals and Proceedings 1. L.Fatone, F.Mariani, M.C.Recchioni, F.Zirilli, Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model, Discrete and Continuous Dynamical Systems, 2007 (to appear). 2. L.Fatone, G. Rao, M.C.Recchioni, F.Zirilli, High performance algorithms based on a new wavelet expansion for time dependent acoustic obstacle scattering, Communications in Computational Physics, 2007 (to appear). 3. L.Fatone, M.C.Recchioni, F.Zirilli, A perturbative formula to price barrier options with time dependent parameters in the Black and Scholes world, Journal of Risk Finance, 2006 (to appear). 4. L.Fatone, D.Funaro, G.J.Yoon, A convergence analysis for the superconsistent Chebyshev method, Applied Numerical Mathematics, 2006 (to appear). 5. L.Fatone, G.Pacelli, M.C.Recchioni, F.Zirilli, A method to compute the transition probability density associated to a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term, Mathematical Finance, 2006 (to appear). 6. L.Fatone, G.Pacelli, M.C.Recchioni, F.Zirilli, Optimal-control methods for two new classes of smart obstacles in time-dependent acoustic scattering, Journal of Engineering Mathematics, 56, pp. 385-413, 2006. 7. L.Fatone, M.C.Recchioni, F.Zirilli, A numerical method to solve an acoustic inverse scattering problem involving ghost obstacles, Journal of Inverse and Ill Posed Problems, 15(1), pp. 1-26, 2006. 8. L.Fatone, M.C.Recchioni, F.Zirilli, A method to solve an acoustic inverse scattering problem involving smart obstacles, Waves in Random and Complex Media, 16(4), pp. 433-455, 2006. 9. L.Fatone, M.C.Recchioni, F.Zirilli, A numerical method for time dependent acoustic scattering problems involving smart obstacles and incoming waves of small wavelengths, in Mathematical Modeling of Wave Phenomena (AIP Conference Proceedings, Melville, New York 2006), B.Nilsson, L.Fishman Editors, 834 pp. 108-121, 2006. 10. P.Corna, L.Fatone, F.Zirilli, Calculus of variations and data fusion. Methods and examples, in Data Fusion for Situation Monitoring, Incident Detection, Alert and Response Management, E.Shahbazian, G.Rogova and P.Valin Editors, NATO Science Series III: Computerand Systems Sciences, IOS Press, 198, pp. 201-222, 2006. 11. L.Fatone, P.Maponi, F.Zirilli, Data fusion and filtering via calculus of variations in Systems, Control, Modeling and Optimization, F.Ceragioli, A.Dontchev, H.Furuta, K.Marti, L.Pandolfi Editors, IFIP International Federation for Information Processing, Springer, Boston, 202, pp. 139-149, 2006. 7

12. L.Fatone, M.C.Recchioni, F.Zirilli, New scattering problems and numerical methods in acoustics, Recent Research Developments in Acoustics, S.G.Pandalai Managing Editor, Transworld Research Network, Kerala, India, 2 pp. 39-69, 2005. 13. L.Fatone, M.C.Recchioni, A.Scoccia, F.Zirilli, Direct and inverse acoustic scattering problems involving smart obstacles, Journal of Inverse and Ill Posed Problems, 13(3), pp. 247-257, 2005. 14. P.Corna, L.Fatone, M.C.Recchioni, F.Zirilli, Le opzioni reali come strumento di valutazione di piccole imprese e di progetti innovativi, Congiuntura, 2, pp. 77-97, 2005. 15. L.Fatone, M.C.Recchioni, A.Scoccia, F.Zirilli, The behaviour of smart obstacles in electromagnetic scattering: mathematical models as optimal control problems, Applied Computational Electromagnetics Society Journal, 20(2), pp. 119-127, 2005. 16. P.Corna, L.Fatone, M.C.Recchioni, F.Zirilli, Mathematical Models of smart obstacles, Atti della Fondazione Giorgio Ronchi, 60, pp. 261-265, 2005. 17. L.Fatone, D.Funaro, R.Giova, Finite-difference schemes for transport-dominated equations using special collocation nodes, Numerical Methods for Partial Differential Equations, 21(4), pp. 649-671, 2005. 18. L.Fatone, M.C.Recchioni, F.Zirilli, Mathematical models of active obstacles in acoustic scattering, in Control and Boundary Analysis, J.Cagnol J.P.Zolesio Editors, Lecture Notes in Pure and Applied Mathematics, Marcel Dekker/CRC Press, Boca Raton, Fl. USA, 240, pp. 119-129, 2005. 19. L.Fatone, M.C.Recchioni, F.Zirilli, A masking problem in time dependent acoustic obstacle scattering, ARLO - Acoustics Research Letters Online, 5(2), pp. 25-30, 2004. 20. L.Fatone, M.C.Recchioni, F.Zirilli, Furtivity and masking problems in time dependent electromagnetic obstacle scattering, Journal of Optimization Theory and Applications, 121(2), pp. 223-257, 2004. 21. P.Corna, L.Fatone, M.C.Recchioni, F.Zirilli, Some mathematical models of furtivity and masking problems in time dependent acoustic obstacle scattering, in Mathematical Modeling of Wave Phenomena 2002, B.Nilsson, L.Fishman Editors, Vaxjo University Press, Vaxjo Sweden, pp. 79-90, 2004. 22. L.Fatone, M.C.Recchioni, F.Zirilli, Some control problems in electromagnetics and fluid dynamics, in Unsolved Problems in Mathematical Systems and Control Theory, V.C.Blondel and A.Megretski Editors, Princeton University Press, Princeton New Jersey USA, pp. 179-185, 2004. 23. L.Fatone, M.C.Recchioni, F.Zirilli, Mathematical models and numerical methods to solve some problems in time dependent acoustic obstacle scattering, Recent Research Developments in Acoustics 1 (2003), S.G.Pandalai Managing Editor, Transworld Research Network, Kerala, India, 1 pp. 229-254, 2003. 24. L.Fatone, M.C.Recchioni, F.Zirilli, Some control problems for the Maxwell equations related to furtivity and masking problems in electromagnetic obstacle scattering, Mathematical and Numerical Aspects of Wave Propagation. Waves 2003, P.Joly, G.C.Cohen, E.Heikkola and P.Neittaanmaki Editors, Springer Verlag, Berlin, pp. 189-194, 2003. 8

25. L.Fatone, M.C.Recchioni, F.Zirilli, Furtivity and masking problems in time dependent acoustic obstacle scattering, Progress in Analysis, 2, H.G.W.Begehr, R.P.Gilbert and M.W.Wong Editors, World Scientific Publishing, Singapore, pp. 1347-1357, 2003. (http://www.econ.univpm.it/recchioni/w8) 26. L.Fatone, P.Maponi, F.Zirilli, Data fusion and nonlinear optimization, SIAM News, 35, pp. 4-10, 2002. 27. L.Fatone, P.Maponi, F.Zirilli, An image fusion approach to the numerical inversion of multifrequency electromagnetic scattering data, Inverse Problem, 17, pp. 1689-1701, 2001. 28. L.Fatone, P.Maponi, F.Zirilli, Fusion of SAR/Optical images to detect urban areas, in Proceedings of the IEEE/ISPRS Joint Workshop on Remote Sensing and Data Fusion over Urban Areas,Roma, Italy, IEEE Publisher, Piscataway N.J., pp. 217-221, 2001. 29. L.Fatone, P.Gervasio, A.Quarteroni, Multimodels for incompressible flows: iterative solutions for the Navier-Stokes/Oseen coupling, Mathematical Modelling and Numerical Analysis, 35(3), pp. 549-574, 2001. 30. L.Fatone, P.Gervasio, A.Quarteroni, Numerical solution of vascular flows by heterogeneous domain decomposition methods in Domain Decomposition Methods in Sciences and Engineering. Proceedings of the 12th International Conference on Domain Decomposition Methods, Chiba, Japan, 1999. T.Chan, T.Kako, H.Kawarada and O.Pironneau Editors, DDM.org, Japan, pp. 297-304, 2001. 31. L.Fatone, Modelli omogenei ed eterogenei per fluidi incomprimibili, Bollettino U.M.I. - La Matematica nella Società e nella Cultura, 8, Vol III-A, pp. 339-342, 2000. 32. L.Fatone, P.Gervasio, A.Quarteroni, Un metodo di decomposizione dei domini eterogeneo per le equazioni di Navier-Stokes incomprimibili, Atti del XIII Convegno Italiano di Meccanica Computazionale, Brescia, 13-15 Novembre 2000, F. Genna et al. Editors, Societ Editrice Esculapio, pp. 101-105, 2000. 33. L.Fatone, P.Gervasio, A.Quarteroni, Iterative solutions of multimodels for incompressible flows, ENUMATH 99 - Proceedings of the 3rd European Conference on Numerical Mathematics and Advanced Applications, Jyvskyl, Finland, July 26-30, 1999, P.Neittaanmki, T.Tiihonen and P.Tarvainen Editors, World Scientific, Singapore 2000, pp. 470-477, 2000. 34. L.Fatone, P.Gervasio, A.Quarteroni, Multimodels for incompressible flows, Journal of Mathematical Fluid Mechanics, 2, pp. 126-150, 2000. 35. L.Fatone, C.Pignotti, M.C.Recchioni, F.Zirilli, Time harmonic electromagnetic scattering from a bounded obstacle: an existence theorem and a computational method, Journal of Mathematical Physics, 40, pp. 4859-4887, 1999. 36. L.Fatone, P.Maponi, C.Pignotti, F.Zirilli, An inverse problem for the two-dimensional wave equation in a stratified medium, in Inverse problems on wave propagation and diffraction, G.Chavent and P.C.Sabatier Editors, Springer Berlin Lecture Notes in Physics, 486, pp. 263-274, 1997. Submitted Papers 9

1. L.Fatone, M.C.Recchioni, F.Zirilli, New wavelet bases made of piecewise polynomial functions: approximation theory, quadrature rules and applications to kernel sparsification and image compression, submitted for the publication in SIAM Journal on Scientific Computing, 2007. 2. L.Fatone, D.Funaro, V.Scannavini, Finite-difference preconditioners for superconsistent pseudospectral approximations, submitted for the publication in Mathematical Modelling and Numerical Analysis, Technical Report n. 56, Dicembre 2003, Dipartimento di Matematica, Università degli Studi di Modena e Reggio Emilia, Italy, 2005. 3. P.Corna, L.Fatone, F.Zirilli, Data fusion and quality assessment of fusion products: methods and examples, submitted for the publication in Electronics & Communication Engineering Journal, 2005. Works in progress 1. S.Migliori, G.Bracco, L.Fatone, M.C.Recchioni, F.Zirilli, A parallel code for time dependent acoustic scattering involving passive or smart obstacles, in preparation, 2006. 2. L.Fatone, F.Mariani, M.C.Recchioni, F.Zirilli, A numerical method to price integrated stochastic variance options in the Heston stochastic volatility model and its use to price options on realized variance, in preparation, 2006. Theses 1. L.Fatone, Homogeneous and heterogeneous models for incompressible flows, Ph.D. Thesis, Dipartimento di Matematica, Università degli Studi di Milano, Italy, 2000. Reviewed in Bollettino U.M.I. - La Matematica nella Società e nella Cultura, 8, Vol III-A, pp. 339-342, 2000. 2. L.Fatone, Alcune condizioni al contorno trasparenti per l equazione delle onde, Degree Thesis, Dipartimento di Matematica e Fisica, Università degli Studi di Camerino, Italy, 1995. 10