Giacomo SCANDOLO

Ruolo attuale:: Professore Associato
SSD:: STAT-04/A - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
Afferenza organizzativa:: Dipartimento di Scienze per l'Economia e l'Impresa

Recapiti

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	giacomo.scandolo(AT)unifi.it

Giacomo SCANDOLO

Orario di ricevimento (aggiornato al 04/09/2020)

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Giacomo SCANDOLO

Curriculum

Giacomo Scandolo

Posizioni lavorative

Professore Associato, Università di Firenze, da Nov 2014

Ricercatore, Università di Verona, Apr 2011 - Ott 2014

Ricercatore, Università di Firenze, Gen 2005 - Mar 2011

Studi

Dottorato in Matematica, Università di Milano, 2004

Laurea in Matematica, Università di Padova, 1998

Altro

Professore a contratto, Università di Bologna, Milano-Bicocca, Pisa, Insubria-Como (in varie occasioni, dal 2004)

Visiting presso London School of Economics, University of Oslo, Columbia University, Leibnitz University Hannover (in varie occasioni, dal 2006)

Interessi di ricerca

Finanza quantitativa. Misure di rischio finanziario. Metodi Monte Carlo.

Giacomo SCANDOLO

Pubblicazioni

Legenda

Contributo su rivista |

Articolo su libro |

Libro |

Contributo in atti di convegno (proceeding) |

Brevetto |

Curatela | Altro

Altro |

Tesi di Dottorato

Gianfreda, A; Scandolo, G (2023). A worldwide analysis of the energy regulatory tasks and activities through the lenses of entropy and unsupervised statistical learning. ENERGY, vol. 271, pp. 126969-126986, ISSN:0360-5442 DOI

Gianfreda, A; Scandolo, G (2023). Assessing model risk in financial and energy markets using dynamic conditional VaRs. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, pp. 0-0, ISSN:1524-1904 DOI

Angelica Gianfreda; Giacomo Scandolo (2022). Revisiting Risk Premia in Electricity Markets. In: Marco Corazza, Marilena Perna, Corrado Pizzi, Cesarina Sibillo. Mathematical and Statistical Methods for Actuarial Sciences and Finance, pp. 291-296 Springer, ISBN:978-3-030-99637-6. DOI

Angelica Gianfreda; Giacomo Scandolo; Derek W. Bunn (2022). Higher moments in the fundamental specification of electricity forward prices. QUANTITATIVE FINANCE, vol. 22, pp. 2063-2078, ISSN:1469-7688 DOI

Gianfreda, Angelica*; Scandolo, Giacomo (2018). Measuring model risk in the European energy exchange. In: Editors Giorgio Consigli, Silvana Stefani, Giovanni Zambruno. International Series in Operations Research and Management Science, pp. 89-110 Springer New York LLC, ISBN:978-3-319-61318-5. DOI Accesso ONLINE all'editore

Gianfreda, Angelica; Scandolo, Giacomo (2018). ENERGY RISK MANAGEMENT BY VALUE-AT-RISK. In: Second International Scientific Conference on Economics and Management - EMAN 2018, Second International Scientific Conference on Economics and Management - EMAN 2018, pp. 280-285, ISBN:9788680194110 DOI

Giacomo Scandolo (2018). Forecasting Value-at-Risk for Model Risk Analysis in Energy Markets. In: 49th Scientific meeting of the Italian Statistical Society, Pearson Ed., pp. 35-40, ISBN:9788891910233

Barrieu, Pauline; Scandolo, Giacomo (2015). Assessing financial model risk. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 242, pp. 546-556, ISSN:0377-2217 DOI

Giacomo Scandolo; Angelica Gianfreda (2013). Fukushima effect on Commodity Prices. In: EEM13, IEEE, pp. 448-453, ISBN:978-1-4799-2008-2

Giacomo Scandolo (2013). Matematica Finanziaria: Esercizi svolti. Amon Editore, ISBN:9788866031338

Giacomo Scandolo (2013). Matematica Finanziaria. Amon Editore, ISBN:9788866031116

Grossi, Luigi; Laurini, Fabrizio; Scandolo, Giacomo (2011). Optimal portfolio allocation with CVaR: a robust approach. In: Proceedings of the 7th Conference on Statistical Computation and Complex Systems, University of Padova, pp. 0-5, ISBN:9788861297531

G.Scandolo (2010). Convex duality. In: Rama Cont. Encyclopedia of quantitative finance, pp. 782-791, New York: Wiley Editore, ISBN:9780470057568.

R.Cont; R.Deguest; G.Scandolo (2010). Robustness and sensitivity analysis of risk measurement procedures. QUANTITATIVE FINANCE, vol. 10, pp. 593-606, ISSN:1469-7688

G. Scandolo ; P. Barrieu (2008). General Pareto optimal allocations and applications tomulti-period risks. ASTIN BULLETIN, vol. 38-1, pp. 105-136, ISSN:0515-0361

G. Scandolo ; C. Acerbi (2008). Liquidity risk and coherent risk measures. QUANTITATIVE FINANCE, vol. 8-7, pp. 681-692, ISSN:1469-7688

G. SCANDOLO; MARCO FRITTELLI (2006). Risk measures and capital requirements for processes. MATHEMATICAL FINANCE, vol. 16-4, pp. 589-612, ISSN:0960-1627, Blackwell Publishing Limited:9600 Garsington Road, Oxford OX4 2DQ United Kingdom:011 44 1865 776868 , (781)388-8200, EMAIL: agentservices@oxon.blackwellpublishing.com, e-help@blackwellpublishers.co.uk, INTERNET: http://www.blackwellpublishing.com, Fax: 011 44 1865 714591:

G. Scandolo ; K. Detlefsen (2005). Conditional and dynamic convex risk measures. FINANCE AND STOCHASTICS, vol. 9-4, pp. 539-561, ISSN:0949-2984

G. Scandolo (2004). Models of capital requirements in static and dynamicsettings. ECONOMIC NOTES, vol. 33-3, pp. 415-435, ISSN:0391-5026