Sebastiano Vitali is Assitant Professor at University of Bergamo. Previously, he was Assistant Professor with tenure track at Charles University and Adjunct Professor at University of Modena and Reggio Emilia.
He got a Ph.D. in Economics, Applied Mathematics and Operations Research in 2015 at University of Bergamo. Previously, he got a post-Master degree in Private Banking at University Cattolica del Sacro Cuore in cooperation with Il Sole 24 Ore Business School.
The publications of Sebastiano Vitali cover the areas of Derivatives, Asset and Liability Management, Insurance and Pension Funds, Stochastic Optimization and its applications in Finance.
The projects of Sebastiano Vitali study applications of Stochastic Optimization with specific focus to ALM problems for insurances and banks:
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Simulation Tool for Asset-Liability Management Company (in cooperation with Allianz)
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ALM model for a Property&Casualty Fund (in cooperation with Allianz)
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ALM model for a Pension Fund (in cooperation with UBI Bank)
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Stochastic Dominance applied to Financial Problems
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Nested Distance for Stochastic Optimization
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Option Implied Volatility and State Price Density
