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Emilio Barucci Dipartimento di Matematica;
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CurriculumAcademic education
Laurea in
Economia e Commercio (University of Florence), 1991, summa cum laude
1991-1993:
PhD student in Economics, University of Siena
1992-1993:
Research student London School of Economics (UK)
Academic
career
1993-1998:
Ricercatore, University of Florence
1998-2001:
Associate Professor of Financial Mathematics, University of Pisa
1999-2004:
Coordinator of the Phd program in Mathematics for Economic Decisions,
University of Pisa.
2001-2005:
Full Professor of Financial Mathematics, University of Pisa
2005-present: Full Professor of Financial Mathematics, Politecnico
di Milano
Curriculum
vitae pdf file
- Finanza Matematica I
- Finanza Matematica II
- Referee for the following Journals: Note Economiche,
Journal of Economic Dynamics and Control, European Journal of Operational
Reasearch, International Economic Review, Annals of Operations Research,
Rivista di Politica Economica, Journal of Evolutionary Economics, Journal
of Computational Intelligence and Finance, Economic Modelling, Journal of
Economic Theory, Decisions in Economcis and Finance, Journal of Economics,
Research in Economics, Rivista Italiana degli Economisti.
- Seminars: University of Bologna,
University of Firenze, University of Modena, University of Pescara,
University of Pisa, University of Roma II, University of Venezia,
University of Siena, University of Trento, University of Urbino,
University of Verona, European University Institute (Florence), Scuola
Normale Superiore di Pisa, University of Lugano, Banca Commerciale
Italiana, Deutsche Bank, International Institute for Applied Systems
Analysis (IIASA) (Vienna), Banca d'Italia.
- He has served in the
scientific and/or orgnizing commitee of the following conferences: ``Un
MercatoMonetario Adulto", Firenze, 11.2.1994, ``Innovazione nel
Mercato Monetario e Finanziario: Analisi e Tendenze", Firenze,
9.6.1995, ``Comitato di Basilea: metodi per la gestione del rischio
finanziario", Firenze, 12.4.1996, ``Corso di Finanza Matematica"
della Prof.ssa H. Geman, Firenze, 25-27.9.1996, Workshop di Finanza
Matematica, Pescara 28-29.1.2000, Pisa 1-2.2.2001, Verona 31-1.1.2002,
Torino 30-31.1 2003, Siena 29-30.1.2004, Milano 29-30.1.2005.
- Phd students: P. Accordi (Information
asymmetry in decentralized financial markets), V. Valori (Expectations and
learning in Macroeconomics), M. Longo, M. Giuli (Diffusion models for
stock prices in financial markets with heterogeneous trading and
learning).
- CNR grant Reti neurali
per l'analisi delle serie storiche (1996-1997), MURST grant Metodi e
modelli probabilistici per i mercati finanziari (1999-2000 and 2001-2002,
2004-2005).
- Financial Economics
- Asset Pricing
- Mathematical Finance
- Corporate Finance
- Financial Econometrics
Selected Publications·
P.F.Asso, E.Barucci, ``Ricardo on the National Debt and its redemption:
some notes on an unpublished ricardian manuscript"; Economic Notes,
1988, 5-37. Reprinted in Debt and Deficits, L. Kaounides, G. Wood eds.,
Edward Elgar, Vol.I, 99-130, 1992.
·
E. Barucci, P.Zezza, ``Popularity and Reelection in a Macroeconomic
Model"; Economic Notes, XXII, 17-36, 1993.
·
E.Barucci, "Note al
margine del mercato dei BOT: analisi e proposte"; Note Economiche,
XXIV, 213-238, 1994.
·
E.Barucci, G.M. Gallo, L.Landi, "Linear versus non--linear
forecasting: a look at neural networks"; Computational Economic Systems
Models, Methods & Econometrics, Gilli ed., 161-190, Kluwer, 1995.
·
E.Barucci, U.Cherubini, L.Landi, ``Computational Methods in Finance:
Option Pricing"; IEEE Computational Science&Engineering,
spring, p.66-80, 1996.
·
E. Barucci, L. Landi, ``Speculative Dynamics with Bounded Rationality
Learning"; European Journal of Operational Research, 91, 1996,
p.284-300.
·
E.Barucci, P.Zezza, ``Does a Life Cycle Exist for a Hedonistic
Consumer?"; Mathematical Social Sciences, 32, 1996, p.57-69.
·
E. Barucci, L. Landi, ``Reti
Neurali per l'Analisi delle Serie Storiche: Aspetti Metodologici ed Applicazioni";
Ricerche Quantitative per la Politica Economica 1995, Banca
d'Italia-CIDE, p.275-337, 1997.
·
E.Barucci, L.Landi, ``Least Mean Squares learning in Self-Referential
Linear Stochastic models"; Economics Letters, vol. 57 (3),
p.313-317, 1997.
·
E.Barucci, L.Landi, ``Nonlinear versus Linear learning models: a
procedural perspective", Computational Economics, vol. 12
(2), p.171-191, 1998.
·
E.Barucci, F.Gozzi, ``Investment in a Vintage Capital Model"; Research
in Economics, vol.52 (2), p.159-188, 1998.
·
E. Barucci, ``Optimal Investment Policy under Increasing Returns to
Scale", International Economic Review, 1998, 789-808.
·
E.Barucci, M.E.Mancino, ``Wiener Chaos and Hermite Polynomials
Expansions for Pricing and Hedging Contingent Claims", Advances in
Futures and Options Research, 10, 1999: 103-134.
·
E. Barucci, G. I. Bischi, L. Gardini, ``Endogenous Fluctuations in a
Bounded Rationality Economy: Learning non Perfect Foresight Cycles'', Journal
of Economic Theory, 1999, 87: 243-253.
·
E. Barucci, ``Exponentially Fading Memory Learning in Forward Looking
Economic Models"; Journal of Economic Dynamics and Control, 2000,
24: 1027-1046. pdf file
·
E. Barucci, F. Gozzi, A. Swiech, ``Incentive Compatibility Constraints
and Dynamic programming in continuous time"; Journal of Mathematical
Economics, 2000, 34:471-509. pdf file
·
E. Barucci, Teoria dei
Mercati Finanziari: Equilibrio, Efficienza, Informazione. Il Mulino, Aprile
2000.
·
E. Barucci, ``Fading memory learning in a class of forward looking
models with an application to the hyperinflation dynamics''; Economic
Modelling, 2001, 18: 233-252.
·
F. Antonelli, E.Barucci, M.E. Mancino, ``Asset pricing with endogenous
aspirations''; Decisions in Economics and Finance, 2001, 24:
21-41. pdf file
·
F. Antonelli, E. Barucci, M. Mancino, ``Asset pricing with a backward
and forward stochastic differential utility'', Economics Letters,
2001, 72, pp.151-157. pdf file
·
E.Barucci, S. Polidoro, V. Vespri, ``Some Results on Partial
Differential Equations and Asian Options''; Mathematical Methods and Models
in Applied Mathematics, 2001,11, 3, pp.475-497. pdf file
·
E. Barucci, F. Gozzi, ``Technology Adoption and Accumulation in a
Vintage Capital Model", Journal of Economics, 2001, 74, 1, pp.1-38.
pdf file
·
E. Barucci, R. Renò, ``On Measuring Volatility of diffusion
processes with high frequency data'', Economics Letters, 2001, 74,
371-378. pdf file
·
F. Antonelli, E. Barucci, M. E. Mancino, ``A comparison result for
backward stochastic differential equations with applications". Mathematical
Methods for Operations Research, 2001, 54, 3, 407-424. pdf file
·
E. Barucci, R. Renò ``On measuring voaltility and GARCH models
forecasting performance''; Journal of International Financial Markets,
Institutions and Money, 2002, 12: 183-200. pdf file
·
E. Barucci Financial
Markets Theory, 2003 Springer&Finance series, Springer Verlag. E’ in
corso una traduzione in cinese del volume.
·
E. Barucci, P.Malliavin, M.E. Mancino, R. Renò, A.Thalamier ``The
price-volatility feedback rate: an implmentable mathematical indicator of
market stability'' Mathematical Finance, 2003, 13: 17-35. pdf file
·
E.Barucci, C.Bianchi e S.
Mancini ‘‘Una analisi dell’effetto degli studi degli analisti finanziari sulle
serie storiche dei prezzi e dei volumi.
Bancaria, Dicembre 2003.
·
E.Barucci, R.Monte and R. Renò ‘‘Asset price anomalies under bounded
rationality’’ Computational Economics, 23, 2004: 255-269. pdf file
·
E.Barucci e V.Faralli ‘‘Una
metodologia per l’individuazione di fenomeni di market abuse nei mercati
finanziari. Banca Impresa e Società, 2004: 513-552.
·
E.Barucci, C.Bianchi e
A.Passaponti ‘‘Comportamenti imitativi tra gli analisti finanziari. Forthcoming
Rivista di Politica Economica.
·
E.Barucci e J. Falini ‘‘Determinants of
Corporate Governance in the Italian Financial Market’’ Forthcoming in Economic
Notes.
·
E.Barucci, P. Malliavin e M.E.Mancino ‘‘Harmonic analysis methods for
nonparametric estimation of volatility: theory and applications’’. Forthcoming
Proceedings….
·
E.Barucci, C.Impenna and R. Renò ``The Italian Overnight market:
microstructure effects, the martinagle hypothesis anmd the payment system''. pdf file
·
E. Barucci, M. Giuli, R. Monte ``Asset prices under bounded rationality
and noise trading''.
·
E.Barucci, R.Monte,
B.Trivellato, ``Insider trading in continuous time''.
·
E.Barucci, C.Impenna, C.Neri, ``Intraday patterns in the Italian Money
Market''.
·
E.Barucci, V. Faralli ``Private information, trading volume and stock
returns: an analysis of potential insider trading''.
·
E.Barucci, C.Impenna, R.Renò, ``Interest rate movements in the Italian
overnight market''.
1991-1993: PhD student in Economics, University of Siena
1992-1993: Research student London School of Economics (UK)
1998-2001: Associate Professor of Financial Mathematics, University of Pisa
1999-2004: Coordinator of the Phd program in Mathematics for Economic Decisions, University of Pisa.
2001-2005: Full Professor of Financial Mathematics, University of Pisa
2005-present: Full Professor of Financial Mathematics, Politecnico di Milano
·
P.F.Asso, E.Barucci, ``Ricardo on the National Debt and its redemption:
some notes on an unpublished ricardian manuscript"; Economic Notes,
1988, 5-37. Reprinted in Debt and Deficits, L. Kaounides, G. Wood eds.,
Edward Elgar, Vol.I, 99-130, 1992.
·
E. Barucci, P.Zezza, ``Popularity and Reelection in a Macroeconomic
Model"; Economic Notes, XXII, 17-36, 1993.
·
E.Barucci, "Note al
margine del mercato dei BOT: analisi e proposte"; Note Economiche,
XXIV, 213-238, 1994.
·
E.Barucci, G.M. Gallo, L.Landi, "Linear versus non--linear
forecasting: a look at neural networks"; Computational Economic Systems
Models, Methods & Econometrics, Gilli ed., 161-190, Kluwer, 1995.
·
E.Barucci, U.Cherubini, L.Landi, ``Computational Methods in Finance:
Option Pricing"; IEEE Computational Science&Engineering,
spring, p.66-80, 1996.
·
E. Barucci, L. Landi, ``Speculative Dynamics with Bounded Rationality
Learning"; European Journal of Operational Research, 91, 1996,
p.284-300.
·
E.Barucci, P.Zezza, ``Does a Life Cycle Exist for a Hedonistic
Consumer?"; Mathematical Social Sciences, 32, 1996, p.57-69.
·
E. Barucci, L. Landi, ``Reti
Neurali per l'Analisi delle Serie Storiche: Aspetti Metodologici ed Applicazioni";
Ricerche Quantitative per la Politica Economica 1995, Banca
d'Italia-CIDE, p.275-337, 1997.
·
E.Barucci, L.Landi, ``Least Mean Squares learning in Self-Referential
Linear Stochastic models"; Economics Letters, vol. 57 (3),
p.313-317, 1997.
·
E.Barucci, L.Landi, ``Nonlinear versus Linear learning models: a
procedural perspective", Computational Economics, vol. 12
(2), p.171-191, 1998.
·
E.Barucci, F.Gozzi, ``Investment in a Vintage Capital Model"; Research
in Economics, vol.52 (2), p.159-188, 1998.
·
E. Barucci, ``Optimal Investment Policy under Increasing Returns to
Scale", International Economic Review, 1998, 789-808.
·
E.Barucci, M.E.Mancino, ``Wiener Chaos and Hermite Polynomials
Expansions for Pricing and Hedging Contingent Claims", Advances in
Futures and Options Research, 10, 1999: 103-134.
·
E. Barucci, G. I. Bischi, L. Gardini, ``Endogenous Fluctuations in a
Bounded Rationality Economy: Learning non Perfect Foresight Cycles'', Journal
of Economic Theory, 1999, 87: 243-253.
·
E. Barucci, ``Exponentially Fading Memory Learning in Forward Looking
Economic Models"; Journal of Economic Dynamics and Control, 2000,
24: 1027-1046. pdf file
·
E. Barucci, F. Gozzi, A. Swiech, ``Incentive Compatibility Constraints
and Dynamic programming in continuous time"; Journal of Mathematical
Economics, 2000, 34:471-509. pdf file
·
E. Barucci, Teoria dei
Mercati Finanziari: Equilibrio, Efficienza, Informazione. Il Mulino, Aprile
2000.
·
E. Barucci, ``Fading memory learning in a class of forward looking
models with an application to the hyperinflation dynamics''; Economic
Modelling, 2001, 18: 233-252.
·
F. Antonelli, E.Barucci, M.E. Mancino, ``Asset pricing with endogenous
aspirations''; Decisions in Economics and Finance, 2001, 24:
21-41. pdf file
·
F. Antonelli, E. Barucci, M. Mancino, ``Asset pricing with a backward
and forward stochastic differential utility'', Economics Letters,
2001, 72, pp.151-157. pdf file
·
E.Barucci, S. Polidoro, V. Vespri, ``Some Results on Partial
Differential Equations and Asian Options''; Mathematical Methods and Models
in Applied Mathematics, 2001,11, 3, pp.475-497. pdf file
·
E. Barucci, F. Gozzi, ``Technology Adoption and Accumulation in a
Vintage Capital Model", Journal of Economics, 2001, 74, 1, pp.1-38.
pdf file
·
E. Barucci, R. Renò, ``On Measuring Volatility of diffusion
processes with high frequency data'', Economics Letters, 2001, 74,
371-378. pdf file
·
F. Antonelli, E. Barucci, M. E. Mancino, ``A comparison result for
backward stochastic differential equations with applications". Mathematical
Methods for Operations Research, 2001, 54, 3, 407-424. pdf file
·
E. Barucci, R. Renò ``On measuring voaltility and GARCH models
forecasting performance''; Journal of International Financial Markets,
Institutions and Money, 2002, 12: 183-200. pdf file
·
E. Barucci Financial
Markets Theory, 2003 Springer&Finance series, Springer Verlag. E’ in
corso una traduzione in cinese del volume.
·
E. Barucci, P.Malliavin, M.E. Mancino, R. Renò, A.Thalamier ``The
price-volatility feedback rate: an implmentable mathematical indicator of
market stability'' Mathematical Finance, 2003, 13: 17-35. pdf file
·
E.Barucci, C.Bianchi e S.
Mancini ‘‘Una analisi dell’effetto degli studi degli analisti finanziari sulle
serie storiche dei prezzi e dei volumi.
Bancaria, Dicembre 2003.
·
E.Barucci, R.Monte and R. Renò ‘‘Asset price anomalies under bounded
rationality’’ Computational Economics, 23, 2004: 255-269. pdf file
·
E.Barucci e V.Faralli ‘‘Una
metodologia per l’individuazione di fenomeni di market abuse nei mercati
finanziari. Banca Impresa e Società, 2004: 513-552.
·
E.Barucci, C.Bianchi e
A.Passaponti ‘‘Comportamenti imitativi tra gli analisti finanziari. Forthcoming
Rivista di Politica Economica.
·
E.Barucci e J. Falini ‘‘Determinants of
Corporate Governance in the Italian Financial Market’’ Forthcoming in Economic
Notes.
·
E.Barucci, P. Malliavin e M.E.Mancino ‘‘Harmonic analysis methods for
nonparametric estimation of volatility: theory and applications’’. Forthcoming
Proceedings….
·
E.Barucci, C.Impenna and R. Renò ``The Italian Overnight market:
microstructure effects, the martinagle hypothesis anmd the payment system''. pdf file
·
E. Barucci, M. Giuli, R. Monte ``Asset prices under bounded rationality
and noise trading''.
·
E.Barucci, R.Monte,
B.Trivellato, ``Insider trading in continuous time''.
·
E.Barucci, C.Impenna, C.Neri, ``Intraday patterns in the Italian Money
Market''.
·
E.Barucci, V. Faralli ``Private information, trading volume and stock
returns: an analysis of potential insider trading''.
·
E.Barucci, C.Impenna, R.Renò, ``Interest rate movements in the Italian
overnight market''.