Finance
anna.battauz@unibocconi.it
Via Roentgen 1
Tel.+39 02 5836 5605 Fax.+39 02 5836 5634
Curriculum Vitae
January 1998 – December 2004: Ph.D. in Mathematical Finance, Scuola Normale Superiore di Pisa (Italy), cum laude. Thesis: “Some issues about American options”.
October 1998 – February 1999: Academic guest at the ETH, Zurich, (Switzerland). September 1992 – November 1996: Laurea in Matematica, cum Laude, University of Udine, Department of Mathematics and Computer Science.
Academic position and/or Professional activities
Associate Professor of Finance
September 2005 - current: Associate Professor of Mathematical Finance; Department of Finance, Bocconi University, Milan (Italy). IGIER Fellow.
March 2001 – August 2005: Assistant Professor of Mathematical Finance; Institute of Quantitative Methods, Bocconi University, Milan (Italy).
October 1999 – January 2000: Stage at the Risk Management Division of Banca Unicredito, Milan.
October 1998 – February 1999: Academic guest at the ETH, Zurich, (Switzerland).
Spring 1997: Research fellowship “Mathematical and Numerical Analysis of Differential Equations” at the Department of Mathematics and Computer Science, University of Udine (Italy).
Research Interests
- Mathematical finance,
- Asset pricing
- Derivatives
A. Battauz. M. De Donno and A. Sbuelz: “Kim-Omberg revisited: the duality approach”, Journal of Probability and Statistics, Vol. 2015, pages 1-6, (2015).
A. Battauz. M. De Donno and F.Ortu “Envelope theorems in Banach lattices and asset pricing”, Mathematics and Financial Economics, 9:303–323 (2015).
A. Battauz. M. De Donno and A. Sbuelz:: Real options and American derivatives: Tthe double continuation region, Management Science, Vol. 61, No. 5, 1094–1107 (2015) http://dx.doi.org/10.1287/mnsc.2013.1891
A. Battauz. M. De Donno and A. Sbuelz: Real options and the double continuation region, Quantitative Finance, 12, 465-475, ISSN: 1469-7688, doi: http://dx.doi.org/10.1080/14697688.2010.484024 (2012).
A. Battauz. M. De Donno and F.Ortu: Intertemporal Asset Pricing and the Marginal Utility of Wealth, Journal of Mathematical Economics, 47, issue 2, 227-244 (2011).
A. Battauz, M. De Donno, A. Sbuelz and M. Tolotti: Risk tolerance levels for insurance companies, forthcoming on Giornale dell’Istituto Italiano degli Attuari (2010).
A. Battauz and F. Ortu: Dynamic versus one-period completeness in event-tree security markets, Economic Theory, 30, 191-193 (2007).
M. Baccara, A. Battauz and F.Ortu: Effective securities in arbitrage-free markets with bid-ask spreads: a linear programming characterization, Journal of Economic Dynamics and Control, 30, 5579 (2006).
A. Battauz and M. Pratelli: Optimal stopping and American options with discrete dividends and exogenous risk. Insurance: Mathematics and Economics, 35, 255-265 (2004).
A. Battauz and F. Beccacece: Dividends and uncertainty: the Italian market, International Journal of Theoretical and Applied Finance, 7/1, pp 1 18, (2004).
A. Battauz: Quadratic hedging for asset derivatives with discrete stochastic dividends, Insurance: Mathematics and Economics, 32/2, pp 229 243, (2003).
A. Battauz: Change of numeraire and American options, Stochastic Analysis and Applications, 20 (04), 709-730, 2002.
A. Battauz: Coexistence states for periodic planar Kolmogorov systems, Nonlinear Analysis, 037/06, 735-749, 1999.
A. Battauz and F. Zanolin: Coexistence states for periodic competitive Kolmogorov systems, Journal of Mathematical Analysis and Applications, 219, pp.179-199, 1998.