Marco Tolotti Curriculum Vitae January 2011 Personal Data date of birth: 18.th of March 1978 nationality: Italian position: Assistant Professor (Ricercatore) affiliation: Department of Management University Ca Foscari of Venice Cannaregio 873-30121, Venice, Italy scientific-disciplinary sector (Italian university system): SECS-S/06 Metodi matematici dell economia e delle scienze attuariali e finanziarie e- mail : tolotti@unive.it phone: +39 041 2346928 website: http://www.dma.unive.it/ tolotti fax: +39 041 2347444 Member of the University committee Ranking project. This group is in charge to analyze the national and international rankings for the university system, since January 2010. Former academic positions Department of Applied Mathematics, University Ca Foscari of Venice (December 2008 - December 2010) Department of Finance, Bocconi University, Milano. Postdoctoral position. (March 2006- November 2008) Scholarships March 2006 - November 2008: Postdoctoral position, Department of Finance, Bocconi University, Milano. January 2006 - February 2006: Research Project Application of models from the Statistical Mechanics to the study of the contagious default in Finance, Department of Pure and Applied Mathematics, University of Padova. January 2003 - December 2005: Ph.D. Scholarship, Scuola Normale Superiore, Pisa, Italy. 1
Graduate Studies Ph.D. in Applied Mathematics to Finance and Insurance, Scuola Normale Superiore, Pisa, July 2008 Ph.D.Thesis: The impact of contagion on large portfolios. Modeling aspects, supervisors Paolo Dai Pra and Wolfgang Runggaldier. Ph.D.Thesis Committee: Sara Biagini (University of Pisa), Rama Cont (University of Paris VI), Paolo Dai Pra (University of Padova), Rüdiger Frey (University of Leipzig), Stefano Marmi (Scuola Normale Superiore), Maurizio Pratelli (University of Pisa), Wolfgang Runggaldier (University of Padova). Master of Advanced Studies in Finance, ETH Zurich and University of Zurich, February 2005 Master Thesis: Credit Risk under incomplete accounting information: A discretized approach under filtering language, supervisor Philipp Schönbucher. Undergraduate Studies Laurea in Matematica, University of Padova, March 2002 Laurea Thesis in Mathematical Finance: Pathwise Optimality for Benchmark Tracking, supervisor Wolfgang Runggaldier. Research visits One week visit to the School of Engineering and Applied Science, Columbia University (New York), November 2008. Research interests Large deviations and limit theorems with applications to economics and finance Contagion models with applications to credit risk. Dynamics of conformism attitudes in random utility models with social interactions. Price formation in dynamic mean field games with heterogeneous agents and externalities. Existence and characterization of generalized numeraire portfolios in models with consumptions. Refereeing for Journal of Banking and Finance; Journal of Economic Interaction and Coordination; Mathematical Finance; Stochastic Systems 2
Publications Refereed Publications 1. Heterogeneous credit portfolios and the dynamics of the aggregate losses, joint with P.Dai Pra, Stochastic Processes and their Applications, Volume 119, Issue 9, 2913-2944, 2009. 2. Large portfolio losses: A dynamic contagion model joint work with P.Dai Pra, W.Runggaldier, E.Sartori, The Annals of Applied Probability, Vol. 19, No. 1, 347-394, 2009. 3. Risk Tolerance Levels for Insurance Companies joint with A. Battauz, M. De Donno, A. Sbuelz, forthcoming on the Giornale dell Istituto Italiano degli Attuari. 4. Pathwise Optimality for Benchmark Tracking jointly written with W. Runggaldier and P. Dai Pra, IEEE Transactions on AC, vol. 49 No.3 (Special Issue on Stochastic Control Methods in Financial Engineering), pp. 386-395, 2004. Other Publications 5. Social interactions and heterogeneous agent models. Applications to economics and finance, in Seminario Dottorato 2008/09, Department of Pure and Applied Mathematics, university of Padova, 124-130, 2009. 6. The impact of contagion on large portfolios. Modeling aspects (Ph.D. Thesis), Scuola Normale Superiore, Pisa, June 2008. 7. Credit Risk under incomplete accounting information: A discretized approach in filtering language (Master Thesis), ETH Zurich, February 2005. Working Papers 8. Identity, reputation and social interaction with an application to sequential voting joint work with E.Barucci, Working Papers 204/2010, Department of Applied Mathematics, University of Venice, 2010 9. Social Interaction and Conformism Evolution in a Random Utility Model joint work with E.Barucci, Submitted 10. The dynamics of social interaction with agents heterogeneity joint work with E.Barucci, Working Papers 189/2009, Department of Applied Mathematics, University of Venice, 2009 11. Credit Risk under incomplete accounting information: A discrete time model and its asymptotic behaviour joint with P.Schönbucher, working paper, September 2005. 3
Presentations Presentations at conferences Workshop on Quantitative Finance, Padova, January 2011 (forthcoming). Price formation in mean field games under market frictions and social interactions. Mini-Symposium on Topics on Dependence Models and Multivariate Risk, Rome, June 2010 (Invited speaker). Direct contagion in large portfolios. Modeling aspects. 11th Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Amsterdam, June 2010. Microfoundation of conformism in a reduced form model for social interactions Society for Nonlinear Dynamics and Econometrics 18th Annual Symposium, Novara, April 2010. Microfoundation of conformism in a reduced form model for social interactions XXXIII Convegno AMASES 2009, Parma, September 2009. The dynamics of social interactions with agent s heterogeneity X Workshop on Quantitative Finance, Politecnico di Milano, Milano, January, 2009. Heterogeneous credit portfolios and the dynamics of the aggregate losses XXXII Convegno AMASES, Trento, September 2008. Heterogeneous credit portfolios and the dynamics of the aggregate losses Bachelier Finance Society Fifth World Congress, London, July 2008. Heterogeneous credit portfolios and the dynamics of the aggregate losses Credit Risk Models for Financial Markets and Banking, Rimini, October 2007 (Invited speaker). XXXI Convegno AMASES, Lecce, September 2007. Stochastic processes: Theory and Applications. On occasion of the 65th birthday of Wolfgang Runggaldier, Brixen July 2007 (Invited speaker). VIII Workshop on Quantitative Finance, Venice, January 2007. Credit risk tutorial, C.R.E.D.I.T. conference 2006, Venice, September 2006. Risk Management: From Basel II to Basel III, Ascona (Switzerland), March 2006. XXIX Convegno AMASES, Palermo, September 2005. Credit Risk under incomplete accounting information: A discrete time model and its asymptotic behaviour 4
Other invited talks Dipartimento di Scienze Economiche e Dipartimento di Matematica per le Decisioni, University of Florence, 27 May 2010. Direct Contagion in Large Portfolios. Modeling aspects. Officina di Tesi Triennale, University Ca Foscari Venice, 29 March 2010. Crisi finanziaria 2007/09. Perché i matematici siedono sul banco degli imputati? Department of Decision Sciences, Bocconi University, 26 February 2010. Microfundation of conformism in a reduced form model for social interaction Department of Pure and Applied Mathematics, University of Padova, 03 June 2009. Social Interactions and heterogeneous agents. Applications to Economics and Finance Department of Computer Sciences, University of Verona, Verona, 26 January 2009. Contagion models and applications to Finance and Social Sciences School of Engineering and Applied Science, Columbia University (New York), 05 November 2008. The impact of contagion on large portfolios. Modeling aspects Scuola Normale Superiore, Pisa, 21 July 2008. The impact of contagion on large portfolios. Modeling aspects Dipartimento di matematica F. Brioschi, Politecnico di Milano, 10 June 2008. Applications of Large Deviations to Finance: the problem of credit contagion Economic Sciences and Quantitative Methods Department, Università del Piemonte Orientale, 15 May 2007. The impact of contagion on large portfolios. Modeling aspects Mathematical Economics and Quantitative Finance Seminars, Bocconi University Milan, February 2006. Dipartimento di matematica Guido Castelnuovo, Università La Sapienza, Rome, 30 January 2006. Colloquium Talks, ETH Zürich, February 2005. Credit Risk under incomplete accounting information: A discretized approach in filtering language 5
Teaching experiences Ph.D. courses and International Master Programs (Dottorato e Master II livello) A.Y. 2010/2011: Mathematics (Preparatory Course) (E), Advanced School of Economics in Venice (SSE), University of Venice. A.Y. 2010/2011: Mathematics (E), International Master in Economics and Finance (IMEF), University of Venice. A.Y. 2009/2010: Mathematics (E), International Master in Economics and Finance (IMEF), University of Venice. A.Y. 2008/2009: Mathematical models for Finance (E), Master of Quant.Finance and Risk Manag. (MAFINRISK), Bocconi University, Milan. Master programs (Laurea magistrale) A.Y. 2010/2011: Tecnica delle Assicurazioni, Master (Laurea magistrale) in Economia e Finanza, University of Venice. A.Y. 2009/2010: Tecnica delle Assicurazioni, Master (Laurea magistrale) in Economia e Finanza, University of Venice. A.Y. 2007/2008: Modelli quantitativi per la finanza, Master in Finance, Bocconi University, Milan. Undergraduate programs (Laurea triennale) A.Y. 2009/2010: Matematica: Obblighi formativi aggiuntivi (OFA), Laurea triennale (Economia Aziendale - Economia e Commercio - Economia e Gestione dei Servizi Turistici), University of Venice. A.Y. 2008/2009: Mathematics II (E), Degree in Economics and Management, University of Venice. Teaching assistant A.Y. 2010/2011: Esercitazioni di Matematica, University of Venice. A.Y. 2009/2010: Esercitazioni di Matematica, University of Venice. A.Y. 2008/2009: Quantitative Finance (E), Bocconi University, Milan. A.Y. 2006/2007: Mathematical Finance (E), Bocconi University, Milan. A.Y. 2006/2007: Matematica finanziaria, Bocconi University Milan. A.Y. 2005/2006: Quantitative methods for finance (E), Bocconi University, Milan. (E): The courses marked with (E) have been taught in English 6
Supervision of Master Thesis A.Y. 2009/2010: Matthijs Breugem Implications of VaR Matket Risk Regulation on Returns, Prices and Volatility QEM Erasmus Mundus, (Joint supervision with Loriana Pelizzon), July 2010. A.Y. 2010/2011: Laura Viscuso Prodotti assicurativi ad alto contenuto finanziario: analisi degli aspetti tecnici e valutazione delle garanzie offerte dalle variable annuities. Laurea Magistrale in Economia e Finanza, November 2010. Schools, conferences, workshops Autumn school 2010: Mathematical Methods in Risk Management and Finance, LMU, Munich (Germany), 21-22 October 2010. C.R.E.D.I.T. Conference 2010, Credit Risk, Systemic Risk, and Large Portfolios, Venice, 30 September - 1 October 2010. Workshop in honor of Maurizio Pratelli A long life in Probability, Bologna, 9 October 2010. Mini-Symposium on Topics on Dependence Models and Multivariate Risk, Rome, 7-8 June 2010. 11th Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Amsterdam, 31 May - 2 June 2010. Programma Persone, Settimo Programma Quadro di Ricerca e Sviluppo Tecnologico dell Unione Europea, 13 April 2010. Society for Nonlinear Dynamics and Econometrics 18th Annual Symposium, Novara, 1-2 April 2010. Mediterranean info day on Socio-Economic Sciences and Humanities Launch of the 2010 Call Science socio-economic sciences and Humanities, Venice, October 2009. XXXIII Convegno AMASES 2009, Parma, 2-4 September 2009. X Workshop on Quantitative Finance, Politecnico di Milano, Milano, January 2009. Lessons from the Subprime Market Implosion and its Consequences, International Association of Financial Engineers, New York, November 2008. XXXII Convegno AMASES, Trento, 01-04 September 2008. Bachelier Finance Society World Congress, London, 15-19 July 2008. 7
Workshop: Credit Risk Models for Financial Markets and Banking, Rimini, 9-10 October 2007 XXXI Convegno AMASES, Lecce, September 2007. Stochastic processes: Theory and Applications. On occasion of the 65th birthday of Wolfgang Runggaldier, Brixen 16-20 July 2007 VIII Workshop on Quantitative Finance, Venice, 25-26 January 2007 C.R.E.D.I.T. Conference 2006, Small Business Lending, Venice, 25-26 September 2006. Summer School: Risk Measurement and Optimal Investment, Munich (Germany), 29-30 June, 2006. IV Infiniti Conference on International Finance, Dublin, 12-13 June, 2006. Workshop: Hydrodynamic limits and Particle Systems, Pisa, 5-9 June, 2006. Risk Management: From Basel II to Basel III, Ascona, (Switzerland) February 26 - March 3, 2006 Risk Day 2005, Zurich 15 October 2005. Stochastic methods in Mathematical Finance, Rome, 15-17 September 2005. XXIX Convegno AMASES 2005, Palermo, 12-15 September 2005. Scuola Spring School in Finance 2005, Bologna, 19-20 May 2005. Workshop Stochastic Analysis and Applications in Finance, Leipzig (Germany) 20-22 April 2005. Risk Day 2004, Zurich 15 October 2004. C.R.E.D.I.T. Conference 2004, Validation of Credit Risk Models, Venice 30 September- 1 October 2004. Cattedra Galileiana 2004 Prof. N. El Karoui (Ecole Polythecnique, Palaiseau Francia) Lectures on Optimal Stopping problems and Non-linear Representations ; Prof. D. Kramkov (Carnegie Mellon University, Pittsburg) Utility based valuation in incomplete markets, Pisa 13-17 September 2004. Risk Day 2003, Zurich 17 October 2003. Summer school CIME / EMS Course Stochastic Methods in Finance, Brixen 6-13 July 2003. Cattedra Galileiana 2003 Prof. H. M. Soner (Koc University, Istanbul, Turkey ) Stochastic Optimal Control Methods in Finance, Pisa April -May 2003. 8