Rome, May 2-3, 2017


Matteo Bissiri

Cassa Depositi e Prestiti

Matteo Bissiri is presently working as a Head of Financial Engineering and Fair Value Valuation at Cassa Depositi e Prestiti S.p.a (CDP), where he is responsible for financial modelling, numerical algorithm design and quantitative risk management. He formerly worked as a quant analyst at Banca IMI. His interests include pricing and modelling of interest rates, credit and equity risk with a particular focus on behavioral models. He holds a Master’s degree and a PhD in Physics and Material Science as well as a Master in Quantitative Finance.

Damiano Brigo

Imperial College London

Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College, London, where he co-heads the Mathematical Finance research group and is part of the Stochastic Analysis research group. Damiano has published more than 80 works in Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer Verlag and Wiley that have become field references in stochastic interest rate and credit risk modeling. Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honors from the University of Padua. His current interests include valuation and pricing, risk measurement, liquidity risk, credit and default modeling, counterparty risk, nonlinear valuation under funding costs via semi-linear PDEs and FBSDEs, optimal execution and algorithmic trading, stochastic dynamical models for commodities and inflation, the differential geometric approach to statistics, exponential statistical manifolds and stochastic processes, stochastic differential equations on manifolds, geometry of SDEs, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions. 

Attilio Meucci

Advanced Risk and Portfolio Management

Attilio Meucci is the founder of ARPM (Advanced Risk and Portfolio Management).Attilio was the chief risk officer at KKR; the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co.Attilio is the author of numerous publications. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant (New York), Bocconi University (Milan), and NUS-Business School (Singapore), where he is Visiting Senior Research Fellow at CAMRI.Attilio earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Attilio is fluent in six languages.

Marcello Minenna


Marcello Minenna is Head of Quants at Consob, PhD Lecturer at London Graduate School of Mathematical Finance and adjunct professor of Quantitative Finance at the Bocconi University. He worked out pioneering results in the field of quantitative methods applied to the surveillance of financial markets focused on insider trading analysis, market abuse detection and risk disclosure of structured products through synthetic indicators. In several public consultations these indicators have received the support of distinguished members of the international academia. For his work he has been cited as Quant Enforcer and Quant Regulator by Risk magazine.

Massimo Morini

Banca IMI

Massimo Morini, Head Of Interest Rate and Credit Models & Coordinator Of Model Research, BANCA IMI. Massimo Morini is a consultant to the World Bank and other supernational institutions. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He is a member of the Advisory Board of Numerix and of the Steering Committee of the R3 Blockchain consortium. He has published papers in journals and is the author of "Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators" and of “Counterparty Credit Risk, Collateral and Funding”. Massimo holds a PhD in Mathematics and an MSc in Economics.​

Federico Mosca

Arca SGR

Federico Mosca is Head of Balanced Risk Investments at Arca Fondi S.G.R. He is also a member of the Global Strategic Investment Committee. Federico joined Arca Fondi in 2000 as a fixed income analyst and portfolio manager. He worked in the Emerging Markets Debt desk for three years and then joined the Government Bond and the Absolute Return teams.He worked on active rates strategies & multi-asset risk & portfolio management techniques.Federico has been appointed Head of Balanced Risk Investments in 2006.Prior to joining the firm, Federico was research fellow at IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. Federico earned a MA in Economics from the Bocconi University in 1999 and a BA in Economics from University of Bologna in 1998. He is also CFA Charter-holder since 2003.

Pietro Rossi


Pietro Rossi is a Senior Financial Analyst within the Market Risk Group at Prometeia specializing in th development of analytical tractable approximations for exotic, FX and IR options. Prior to this he worked as senior scientist at ENEA in the High Performance Computing division and was also director of the Parallel Computing Group at the Centre for Advanced Studies in Sardinia (CRS4), working on large scale computational problems. He has a PhD in physics from NYU and his scientific activity has been mainly in theoretical physics and computer science.

Marcello Terraneo

UniCredit Group

Marcello Terraneo holds a PhD in Physics from Università degli Studi di Milano. As a post-doctoral student, he did research on quantum and Classical Chaos  in Paris at  Universitè P. Sabatier. In 2003 he joined the risk management group at Intesa SanPaolo. In 2010 he joined UniCredit Group  as  a Market Risk Quantitative  analyst. From June 2016 Marcello is head of Market Risk Methodologies at UniCredit. His expertise includes pricing, model validation, market risk and counterparty credit risk.