Rome, 28 April 2023


Optimization Problems in Energy Economics and Finance


Rüdiger Frey

Full Professor of Mathematics and Finance at the Vienna University of Economics and Business

Rüdiger Frey is a Full Professor of Mathematics and Finance at the Institute for Statistics and Mathematics of the Vienna University for Economics and Business (WU). Before that, he held positions as a Professor of Optimization and Financial Mathematics at the University of Leipzig and various academic positions at the University of Zurich and the Federal Institute of Technology (ETH) in Zurich. He holds a diploma in mathematics from the University of Bonn, where he received his Ph.D. in financial economics in 1996. His main research fields are quantitative risk management, dynamic credit risk models, the pricing and hedging derivatives under market frictions, and optimization problems in financial economics. Rüdiger has published research papers in leading international academic journals and has given seminars at many important international conferences and institutions. He is moreover frequently giving practitioner courses. Rüdiger is coauthor of the popular book "Quantitative Risk Management: Concepts Techniques & Tools" (Princeton University Press 2015).

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Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies


Blanka Horvath

Associate Professor in Mathematical and Computational Finance at the University of Oxford

Blanka Horvath is an Associate Professor in Mathematical and Computational Finance at the Mathematical Institute of the University of Oxford and an Associate at the Oxford MAN Institute for Quantitative Finance.  She is also a visiting researcher at The Alan Turing Institute since 2018, where she is a member of the DataSig group and co-leads the theme Machine Learning in Finance. Prior to her current position, she held faculty positions at the Technical University of Munich and at King’s College London. She holds a degree in Mathematics from the University of Bonn, an MSc in Economics from The University of Hong Kong, and a PhD in Financial Mathematics from ETH Zurich. Blanka is a regular speaker at academic and industry conferences, and she was the recipient of the 2020 Rising Star Award in Quantitative Finance of Risk Magazine.

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Systematic Credit Investing


Gerardo Manzo

Vice President at BlackRock

Gerardo Manzo has 10+ years of experience in the financial industry as a quantitative researcher and portfolio manager. Currently, he is a vice president in fixed-income modeling at BlackRock in the Financial Modeling Group. His industry and academic work has appeared in top academic and practitioner journals and covers a wide range of topics, including alpha, risk, and portfolio modeling for systematic strategies. He is also a Krav Maga instructor in NYC and has been training and teaching the discipline over the recent years. 

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Risk Overlay


Paola Mosconi

Business Director IMI Corporate & Investment Banking Division at Intesa Sanpaolo

Paola Mosconi is Business Director at the Corporate & Investment Banking Division (IMI | CIB) of Banca Intesa Sanpaolo. She works in the team which designs and realizes the technological infrastructure supporting the Capital Markets business. She is responsible for the financial/algorithmic/quantitative modelling activity underneath software development. She collaborates with universities and research centers to devise state-of-the-art solutions to financial problems by leveraging on the know-how in the field of machine learning and artificial intelligence. Previously, she has worked as a Quant Associate at Consob and Iason Ltd and as a Research Associate in Theoretical Physics at the University of Virginia, USA. She has taught courses in Credit Modelling at Bocconi University and at the European Commission and in Advanced Statistical Mechanics at the University of Virginia (PhD level). Paola Mosconi graduated cum laude in Physics from University of Pavia. She holds a PhD cum laude in Theroretical Physics from SISSA, Trieste and a Masters in Quantitative Finance cum laude from Bocconi University. She is alumna of Collegio Ghislieri (Pavia).


Algorithmic trading examples in commodities market


Giulia Terenzi

Quantitative Analyst for Algorithmic Trading at ENEL Global Trading

Giulia Terenzi graduated in Mathematics from the University of Rome Tor Vergata and subsequently obtained a Ph.D. in Applied Mathematics from the University of Rome Tor Vergata and the University of Paris Est Marne La Vallée, writing a thesis on stochastic models for the pricing of financial derivatives. After her Ph.D., she worked first for consulting companies and then for Enel as a Data Scientist. She is currently joining the Algorithmic trading team at Enel Global Trading.