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

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Giacomo SCANDOLO

Orario di ricevimento (aggiornato al 19/03/2025)

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Giacomo SCANDOLO

Biografia

Dopo la Laurea in Matematica (Università di Padova) e il Dottorato in Matematica (Università di Milano), sono stato Ricercatore Universitario presso l'Università di Firenze e, successivamente, l'Università di Verona. Dal 2014 sono Professore Associato in Matematica per l'Economie a la Finanza presso l'Università di Firenze.

Giacomo SCANDOLO

Curriculum

Posizione attuale

Professore Associato di Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie (SECS-S/06), dal 2014

Posizioni precedenti

Ricercatore Universitario (SECS-S/06), Università di Firenze, 2005 - 2011

Ricercatore Universitario (SECS-S/06), Università di Verona, 2011 - 2014

Istruzione

Laurea in Matematica, Summa cum laude, Università di Padova, 1998

Dottorato in Matematica, Università Statale di Milano (consorzio con: Università di Milano-Bicocca, Politecnico di Milano), 2004

Attività istituzionale

Membro della Commissione di Indirizzo e Autovalutazione, DISEI, 2014-2016

Membro della Commissione Paritetica docenti-studenti, Scuola di Economia, 2016-2020

Membro della Giunta di Dipartimento, DISEI, 2020-2021

Membro dell'Osservatorio Dipartimentale sulla Didattica, 2024-presente

Attività di supervisione

Supervisore di 5 assegni di ricerca

Supervisore di più di 50 tra tesi magistrali e triennali presso le Università di Firenze e Verona

Attività didattica

Docente in corsi di dottorato presso le Università di Firenze (PhD in Matematica), Verona (PhD in Economics) e Oslo (PhD in Mathematics)

Docente a contratto presso i seguenti Atenei (oltre a Università di Firenze e Verona): Bologna, Bolzano, Insubria-Como, Milano-Bicocca, Pisa, Politecnico di Milano

Attività di valutazione

Valutatore di progetti per: National Fund for Scientific Research (FWO) -
Belgium; National Science Center - Poland

Membro di una commissione Phd in Finance presso Bayes Business School (London)

Membro di una commissione giudicatrice in un concorso per RTT settore SECS-S/06, Università di Verona

Attività di ricerca

Periodi di visiting presso: London School of Economics - Dept. of Statistics, Leibnitz University Hannover - Institute of Mathematics, Columbia University - Dept. of Industrial Engineering, Ecole Polytechnique Paris - CMAP

Relatore invitato a seminari: Newton Institute for Mathematical Sciences (Cambridge), Institut Henri Poincaré
(Paris), Ecole Polytechnique (Paris), Imperial College (London), ICMS (Edimburgh), University of Oslo, University of Bergen, Humboldt University (Berlin), Leibnitz University
(Hannover), Università di Pisa, Milano-Bicocca, Perugia, Bologna, Verona, Bocconi-Milano, Politecnico
di Milano e Torino, Financial Services Authority - Bank of England (London), Prometeia
S.p.A. (Bologna), Associazione Bancaria Italiana (Milano)

Referee per: Annals of Applied Probability, Annals of Operations Research,
ASTIN Bulletin, Decisions in Economics and Finance, Dependence Modeling, Electronic Journal
of Statistics, Finance and Stochastics, Journal of Risk, Journal of Mathematical Economics, Mathematical
Finance, Mathematics and Financial Economics, Quantitative Finance, SIAM Journal on
Financial Mathematics, Statistics and Decisions, Stochastics

Membro delle seguenti associazioni/centri: Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES), Gruppo Nazionale Analisi Matematica, Probabilità e Applicazioni (INDAM-GNAMPA), Unione Matematica Italiana (UMI), Florence Center for Data Science, Centro Interdipartimentale per lo Studio delle Dinamiche Complesse (CSDS).

Coordinatore scientifico dell'Unità di Ricerca "Florence Lab for quantitative Assessment of Integrated Risks" (FLAIR) presso il DISEI

Giacomo SCANDOLO

Interessi

Misurazione del rischio finanziario, applicazione a rischi naturali e dei mercati dell'energia.

Valutazione dei forecast probabilistici nei mercati finanziari.

Applicazioni del Trasporto Ottimo e delle distanze di Wasserstein in Economia e Finanza, rischio di modello.

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, Angelica; Scandolo, Giacomo; Bunn, Derek (2024). The connectedness features of German electricity futures over short and long maturities. FINANCE RESEARCH LETTERS, vol. 70, pp. 0-0, ISSN:1544-6123 DOI

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; 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

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

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

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

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

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

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 ; C. Acerbi (2008). Liquidity risk and coherent risk measures. QUANTITATIVE FINANCE, vol. 8-7, pp. 681-692, 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; 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

Giacomo SCANDOLO

Biography

After earning a degree in Mathematics from the University of Padua and a PhD in Mathematics from the University of Milan, I worked as a Lecturer (Ricercatore Universitario) at the University of Florence and later at the University of Verona. Since 2014, I have been an Associate Professor of Mathematics for Economics and Finance at the University of Florence.

Giacomo SCANDOLO

Curriculum

Current Position
Since 2014, I have been an Associate Professor of Mathematical Methods for Economics, Actuarial and Financial Sciences (SECS-S/06).

Previous Positions
From 2005 to 2011, I was a Lecturer (SECS-S/06) at the University of Florence. From 2011 to 2014, I held the same position at the University of Verona.

Education
I obtained a degree in Mathematics summa cum laude from the University of Padua in 1998. In 2004, I earned a PhD in Mathematics from the University of Milan, in consortium with the University of Milano-Bicocca and the Polytechnic University of Milan.

Institutional Activities
Between 2014 and 2016, I was a member of the Commissione di Indirizzo e Autovalutazione (a Steering Committee) at DISEI. From 2016 to 2020, I was part of the Commissione Paritetica docenti-studenti (joint faculty-student committee) at the School of Economics. I served on the Giunta di Dipartimento at DISEI from 2020 to 2021. Since 2024, I have been a member of the Departmental Observatory on Teaching.

Supervision Activities
I have supervised five research fellowships and more than fifty master's and bachelor's theses at the Universities of Florence and Verona.

Teaching Activities
I have taught PhD courses at the University of Florence (PhD in Mathematics), the University of Verona (PhD in Economics), and the University of Oslo (PhD in Mathematics). In addition to teaching at Florence and Verona, I have also been a contract lecturer at the universities of Bologna, Bolzano, Insubria-Como, Milano-Bicocca, Pisa, and the Polytechnic University of Milan.

Evaluation Activities
I have evaluated research projects for the National Fund for Scientific Research (FWO) in Belgium and the National Science Center in Poland. I have served as a member of a PhD committee in Finance at Bayes Business School in London. Additionally, I participated in the selection committee for an RTT position in SECS-S/06 at the University of Verona.

Research Activities
I have been a visiting researcher at the London School of Economics (Department of Statistics), Leibniz University Hannover (Institute of Mathematics), Columbia University (Department of Industrial Engineering), and École Polytechnique Paris (CMAP). As an invited speaker, I have presented at institutions including the Newton Institute for Mathematical Sciences (Cambridge), Institut Henri Poincaré (Paris), École Polytechnique (Paris), Imperial College (London), ICMS (Edinburgh), the universities of Oslo, Bergen, Pisa, Milano-Bicocca, Perugia, Bologna, Verona, Bocconi-Milan, the Polytechnic Universities of Milan and Turin, as well as at the Financial Services Authority – Bank of England (London), Prometeia S.p.A. (Bologna), and the Italian Banking Association (Milan).

I have served as a referee for academic journals, including Annals of Applied Probability, Annals of Operations Research, ASTIN Bulletin, Decisions in Economics and Finance, Dependence Modeling, Electronic Journal of Statistics, Finance and Stochastics, Journal of Risk, Journal of Mathematical Economics, Mathematical Finance, Mathematics and Financial Economics, Quantitative Finance, SIAM Journal on Financial Mathematics, Statistics and Decisions, and Stochastics.

I am a member of the following academic associations and research centers: Association for Mathematics Applied to Economic and Social Sciences (AMASES), the National Group for Mathematical Analysis, Probability, and Applications (INDAM-GNAMPA), the Italian Mathematical Union (UMI), the Florence Center for Data Science, and the Interdepartmental Center for the Study of Complex Dynamics (CSDS).

I am also the Scientific Coordinator of the Research Unit Florence Lab for Quantitative Assessment of Integrated Risks (FLAIR) at DISEI.

Giacomo SCANDOLO

Interest

Measurement of financial risks, with applications to natural risks and energy markets.

Assessment of probabilistic forecasts in financial markets.

Applications of Optimal Transport and Wasserstein distances in Economics and Finance, model risk.