Marco Tolotti Curriculum Vitae February 2012 Personal Data date of birth: 18.th of March 1978 civil status: married, two children nationality: Italian position: Assistant Professor (Ricercatore) affiliation: Department of Management Università Ca Foscari Venezia Cannaregio 873-30121, Venice, Italy e- mail : tolotti@unive.it phone: +39 041 2346928 website: http://venus.unive.it/ tolotti fax: +39 041 2347444 scientific-disciplinary sector (Italian university system): SECS-S/06 Metodi matematici dell economia e delle scienze attuariali e finanziarie Member of the Research Center IOS (Innovation, Organization and Strategy), Ca Foscari University, since April 2011. Member of the Erasmus Committee of the Department of Management, since July 2011. 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. Member of the AMASES Society (Italian Association of Mathematics Applied to Economic and Social Sciences), since 2006. Former academic positions Department of Applied Mathematics, Università Ca Foscari Venezia (December 2008 - December 2010) Department of Finance, Bocconi University, Milano. Postdoctoral position. (March 2006- November 2008) 1
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. 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. 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. Professional Service Referee for: Journal of Banking and Finance; Journal of Economic Interaction and Coordination; Mathematical Finance; Stochastic Systems International conferences (organization/committee): MAF2012 (Mathematical and Statistical Methods for Actuarial Sciences and Finance) Research visits One week visit to the School of Engineering and Applied Science, Columbia University (New York), November 2008. 2
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 market games with many interacting and boundedly rational agents. Refereed Publications 1. BARUCCI E.; TOLOTTI M. (2011) Identity, reputation and social interaction with an application to sequential voting, in JOURNAL OF ECONOMIC INTERACTION AND COORDINATION, Available On Line (ISSN 1860-711X) 2. DAI PRA P.; TOLOTTI M. (2009) Heterogeneous credit portfolios and the dynamics of the aggregate losses., in STOCHASTIC PROCESSES AND THEIR APPLICATIONS, vol. 119 (9), pp. 2913-2944 (ISSN 0304-4149) 3. DAI PRA P.; RUNGGALDIER W.J.; SARTORI E.; TOLOTTI M. (2009) Large portfolio losses: a dynamic contagion model, in THE ANNALS OF APPLIED PROBABILITY, vol. 19(1), pp. 347-394 (ISSN 1050-5164) 4. BATTAUZ A.; DE DONNO M.; SBUELZ A.; TOLOTTI (2008) M. Risk tolerance levels for insurance companies, in GIORNALE DELL ISTITUTO ITALIANO DEGLI AT- TUARI, GIORNALE DELL ISTITUTO ITALIANO DEGLI ATTUARI, Forthcoming (ISSN 0390-5780) 5. DAI PRA P.; RUNGGALDIER W.; TOLOTTI M. (2004) Pathwise optimality for benchmark tracking, in IEEE TRANSACTIONS ON AUTOMATIC CONTROL, vol. 49(3), pp. 386-395 (ISSN 0018-9286) Working Papers and other publications 1. DAI PRA P., FONTINI F., SARTORI E., TOLOTTI M. (2011) Endogenous equilibria in liquid markets with frictions and boundedly rational agents, in Working Paper Series, Venice, Department of Management, Universit Ca Foscari Venezia, pp. 1-35, ISSN: 2239-2734. Working Paper n.7, Department of Management, Universit Ca Foscari Venezia, August 2011. (Submitted) 2. BARUCCI E.; TOLOTTI (2010) M. Identity, reputation and social interaction with an application to sequential voting, in Working papers, Editore Department of Applied Mathematics, Ca Foscari University of Venice., pp. 1-28, ISSN: 1828-6887. Working Paper n.204, Department of Applied Mathematics, Ca Foscari University of Venice, November 2010. 3
3. BARUCCI E; TOLOTTI M. (2009) The dynamics of social interaction with agents heterogeneity, in Working Papers, Department of Applied Mathematics, Ca Foscari University of Venice, vol., pp. 1-30, ISSN: 1828-6887. Working Paper n.189, Department of Applied Mathematics, Ca Foscari University of Venice, July 2009. (Submitted) 4. TOLOTTI M. (2009) Social interactions and heterogeneous agent models. Applications to economics and finance, pp. 124-130, Nei rendiconti del Seminario Dottorato 2008/09, Scuola di Dottorato in Matematica Pura e Matematica Computazionale. 5. TOLOTTI M. (2008) The impact of contagion on large portfolios. Modeling aspects. Scuola Normale Superiore, Pisa, June 2008. (PhD Thesis) 6. TOLOTTI M. (2005) Credit Risk under incomplete accounting information: A discretized approach in filtering language, ETH Zurich, February 2005. (Master Thesis) 7. SCHOENBUCHER P.; TOLOTTI M. (2005) Credit Risk under incomplete accounting information: A discrete time model and its asymptotic behaviour, Preprint. Presentations at refereed conferences 12th Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Wien, June 2012. (forthcoming) Endogenous equilibria in liquid markets with frictions and boundedly rational agents 16th Workshop on Economics & Heterogeneous Interacting Agents, Ancona, June 2011. Price formation in mean field games under market frictions and social interactions. Workshop on Quantitative Finance, Padova, January 2011. 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 4
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 Invited talks Dipartimento di matematica F. Brioschi, Politecnico di Milano, 15 February 2012. Adoption Curves: Beyond the Bass Model Department of Decision Sciences, Bocconi University, Milano, 8 February 2012. Endogenous equilibria in liquid markets with frictions and boundedly rational agents. Dipartimento di Matematica Pura e Applicata, University of Padova, 7 June 2011. Price formation in mean field games under market frictions and social interactions. 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? 5
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 Teaching experiences (E): The courses marked with (E) have been taught in English Ph.D. courses and International Master Programs (Dottorato e Master II livello) A.Y. 2011/2012: Mathematics (Preparatory Course) (E), Graduate School of Economics and Management (GSEM), Ca Foscari Venice and Padova. A.Y. 2011/2012: Mathematics (E), International Master in Economics and Finance (IMEF), University of Venice. A.Y. 2010/2011: Mathematics (Preparatory Course) (E), Advanced School of Economics in Venice (SSE), University of Venice. 6
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. 2011/2012: Tecnica delle Assicurazioni, Master (Laurea magistrale) in Economia e Finanza, University of Venice. 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. 2011/2012: Additional learning requirements in mathematics (ALR) (E), Laurea triennale (Economics and Management), University of Venice. 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. 7
Tutoring of Postdoctoral students March 2011 - February 2012: Elena Sartori, Probabilistic techniques for decision sciences. Supervision of Master Thesis Un approccio data envelopment analysis per la misurazione della performance di fondi pensione (Joint supervision with Antonella Basso), Laurea Magistrale in Economia e Finanza, June 2011. Le nuove sfide del sistema universitario: classifiche, indicatori di qualit, programmi di valutazione. Stato dellarte e possibili scenari futuri Laurea Magistrale in Economia e Gestione delle Aziende, March 2011. 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. Implications of VaR Matket Risk Regulation on Returns, Prices and Volatility QEM Erasmus Mundus, (Joint supervision with Loriana Pelizzon), July 2010. Schools, conferences, workshops 16th Wks. on Economics & Heterogeneous Interacting Agents, Ancona, 23-25 June 2011. 12th Workshop on Quantitative Finance, Padova, 27-28 January 2011. 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. 8
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. 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. 9
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. 10