Dr Pietro Siorpaes
Status
Academic Visitor
Postdoctoral Research Assistant in Robust Financial Mathematics, Member of the Oxford-Man Institute of Quantitative Finance
Research groups
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests
I am interested in the fields of mathematical finance, probability and the general theory of processes. In particular, my research lies in problems related to optimal investment, utility based pricing, stochastic calculus and robust mathematical finance
Major / recent publications
- with M. Beiglböck, “Riemann-integration and a new proof of the Bichteler- Dellacherie theorem.” Stochastic Processes and their Applications, 124(3), 03/2014, pp. 1226–1235
(this paper originally appeared under the name “A Simple Proof of the Bichteler-Dellacherie Theorem”, and the Arxiv version still bears this title) - with M. Beiglböck, “Pathwise versions of the Burkholder-Davis-Gundy inequality.” Bernoulli Journal, 2015, Vol. 21, No. 1, pp. 360-373
- “Do arbitrage-free prices come from utility maximization?” Mathematical Finance, 2014, DOI 10.1111/mafi.12066
- “Optimal investment and price dependence in a semi-static market.” Finance and Stochastics, 19(1), 2015, pp. 161-187
- “On a dyadic approximation of predictable processes of finite variation.” Electronic Communications in Probability, 19 (2014), pp. 1-12
- Siorpaes, P. “Applications of pathwise Burkholder-Davis-Gundy inequalities.” Preprint, 2015
- with J. Obloj and M. Davis, “Pathwise Stochastic Calculus with Local Times” Preprint, 2015
Prizes, awards, and scholarships
- Fellowship for PhD, Carnegie Mellon University, 2006-2011
- Scholarship for BS and M.Sc, Scuola Normale Superiore, 1999-2002 and 2004-2006.
- “Summa cum laude” award for my M.Sc. Degree at the University of Pisa
- 2006 Foreign Exchange Grant for a 4 months visit to Paris, from Scuola Normale Superiore
- “Summa cum laude” award for my B.Sc. Degree at the University of Pisa, 2003