Personale docente

Address:
Dipartimento di Economia – Sezione di Matematica “E. Levi”
Facoltà di Economia
Università degli Studi di Parma
Via J.F. Kennedy, 6
43100 Parma
Tel: 0521032386
Fax: 0521032385
Email: simona.sanfelici@unipr.it
Homepage: http://economia.unipr.it/docenti/sanfelici

Education:
– Degree in Mathematics, University of Parma (April 1994).
– PhD in Computational Mathematics and Operational Research, University of Milan (July 1998).

Current position:
– Associate Professor of Mathematical Methods for Economics, Actuarial Sciences and Finance, Faculty of Economics, University of Parma (since December 2005).

Past academic positions:
– Permanent Research Associate of Mathematical Methods for Economics, Actuarial Sciences and Finance, Faculty of Economics, University of Parma (from February 2000 to December 2005).

Distinctions:
– Second prize of the Young Investigator’s Award at the “XXV International Congress on Electrocardiology”, Budapest, June 1998.

Fellowships:
– C.N.R. scholarship in Mathematical Sciences (1993).
– CINECA fellowship, at the E.N.E.A. of Bologna (1998).
– C.N.R. fellowship, at the C.N.R. Institute of Numerical Analysis of Pavia (1998).
– Post-Doc fellowship in Mathematical Sciences, University of Parma (1998).
– EU Post-Doc fellowship, Joint Research Centre of the European Commission, Ispra (VA) (1999).

Teaching:

– University of Parma - Faculty of Economics:
– Game Theory, 2nd level degree in Business Economics.
– Basic Calculus, 1st level degree in Business Economics.
– Mathematical Methods for Economics, 2nd level degree in Business Economics.
– Mathematical Methods for Finance, 2nd level degree in Finance and Risk Management.
– Quantitative Finance, 2nd level degree in Finance and Risk Management.
– MathematicalFinance, 2nd level degree in Finance and Risk Management.
– Risk Management, 2nd level degree in Finance and Risk Management.

– University of Parma - Other Faculties:
– Faculty of Sciences: Mathematical Analysis, 1st level degree.
– Faculty of Engineering: Mathematical Analysis, 1st level degree.
– Faculty of Sciences: Computational Mathematics, 1st level degree.
– Faculty of Engineering: Numerical Analysis, 1st level degree.
– Faculty of Medicine: Basic Calculus, 1st level degree.

Short courses:
– Stochastic Differential Equations for Finance, 2nd level degree in Business Economics, University of Parma (2002, 2003).
– Finite Element Method, Master in Mathematical Finance, Ritsumeikan University, Japan (2004).
- An introduction to numerical methods for ODE's, Master in Mathematical Finance, Ritsumeikan University, Japan (2010).

Higher education responsibility:
- 2010: Responsible for the research grant funded by the Department of Economics, University of Parma, entitled "Models and estimation of market volatility, Fellow Dr. Adamo Uboldi.
- Member of Collegio Docenti of the Doctorate School in Economics, University of Parma.
- Member of the Commission for Esame di Stato per Dottori Commercialisti ed Esperti Contabili (A.A. 2009/10).

Visiting appointments:
– Department of Mathematical Sciences, Ritsumeikan University di Kusatsu, Japan (2004, 2008, 2010).
– School of Mathematics and Applied Statistics, University of Wollongong, Australia (2006).
– Laboratoire de Probabilités et Modéles Aléatoires - Universités Pierre et Marie Curie (Paris VI) (2007, 2008, 2009).
– Institute of Mathematics, Universität Erlangen-Nürnberg (2007).
- DG Economic and Financial Affairs, European Commission, Bruxelles (2011).

Main research areas:
– Option pricing. Asset allocation. Stochastic optimal impulse control. Cash management.
– Volatility estimation for high frequency financial data; market microstructure effects.
– Stochastic processes and stochastic differential equations. Kolmogorov equation. Variational methods. Semigroup theory. Upper and lower solutions to parabolic systems of PDE’s.
– Numerical Analysis: approximation to PDE’s; solution to degenerate, nonlinear PDE’s and to problems in unbounded domains; Galerkin Finite Element method; Finite Difference method; Montecarlo method.
– Computational Electrocardiology.

Seminars:
– “Simulazione Numerica del Processo di Attivazione nel Miocardio Anisotropo”, Dipartimento di Matematica, Università di Parma, June 1995.
– “Un metodo probabilistico per risolvere equazioni di reazione-diffusione”, Dipartimento di Matematica, Università di Milano, December 1995.
– “Alcuni metodi numerici per la soluzione di problemi di reazione-diffusione in elettrocardiologia”, Dipartimento di Matematica, Università di Parma, May 1996.
– “Modelli matematici del comportamento elettrico del tessuto cardiaco: metodi numerici ed applicazioni”, CRS4 di Cagliari, February 1998.
– “Comparison of Numerical Methods for the Approximation of Option Price”, Facoltà di Economia, Università di Parma, March 2001.
– “Galerkin Finite Element Approximation for Pricing Barrier Options”, Dipartimento di Matematica, Università di Bologna, October 2001.
– “Infinite Elements in Finanza”, Dipartimento di Matematica, Università di Parma, July 2003.
– “The Infinite Element Method for solving problems on unbounded domain arising in Finance”, Department of Mathematical Sciences, Ritsumeikan University, Kyoto, Japan, May 2004.
– “The Infinite ElementMethod for solving a nonlinear feedback option pricing model”, Nihon University, Tokyo, Japan, May 2004.
– “Finite sample properties of the Fourier integrated variance estimator under microstructure noise”, Laboratoire de Probabilités et Modéles Aléatoires - Paris VI, April 2007.
– “The Fourier integrated variance estimator under microstructure noise”, Swiss Finance Institute, University of Lugano, May 2007.
– “Variance/covariance estimation for high frequency data”, Dipartimento di Economia, Università di Parma, December 2008.
– “Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise”, DIMAD, Università di Firenze, January 2009.
– “Covariance estimation in the presence of asynchronous trading and microstructure noise”, University of Parma, February 2010.
– “Estimation of Quarticity with high frequency data”, Department of Economics, University of Parma, March 2011.
– “Which is the correct measure of volatility? Risk-neutral vs historical probability”, DG Economic and Financial Affairs, European Commission, June 2011.
– “Multivariate volatility estimation with high frequency data: Theory and Applications”, Department of Mathematics, University of Parma, January 2012.
– “Multivariate volatility estimation with high frequency data using Fourier method”, Department of Quantitative Methods, University of Milano Bicocca, January 2012.

Invited talks:
– Workshop “La Matematica nei Problemi dell’Ambiente, della Biologia e della Medicina”, Urbino, 1996.
– Workshop “Giornate di biomatematica”, ENEA Centro Ricerche Ambiente Marino, Lerici (SP), 1998.
– Giornata di studio sul tema “Metodi Numerici per la Finanza”, Venezia, 2003.
– “Computational Management Science” Conference e Workshop on “Computational Econometrics and Statistics”, Neuchâtel, Svizzera, 2004.
– “VII Congresso Nazionale della SIMAI”, Venezia, 2004.
– Workshop “Equazioni di Kolmogorov”, Parma, 2004.
– “VIII Congresso Nazionale della SIMAI”, Baia Samuele (Ragusa), 2006.
– “8th Ritsumeikan International Symposiumon Stochastic Processes and Application to Mathematical Finance”, Kyoto, 2008. (Plenary talk)
– “Credit Risk Workshop”, Torino, 2008.
– “Second Florence-RitsumeikanWorkshop on Finance and Risk theory”, Kusatsu, 2010. (Plenary talk)
– “XV Convegno Nazionale di Fisica Statistica e dei Sistemi Complessi”, Parma, 2010. (Plenary talk)
– “Conference on Modeling High Frequency Data in Finance II”, Stevens Institute of Technology, New Jersey, USA, 2010.
– “Statistical inference and numerical analysis for stochastic processes and financial econometrics”, Firenze, 2011.
– “8th International Conference on Computational Management Science (CMS2011)”, Neuchâtel, 2011.
– “Multivariate volatility estimation with high frequency data using Fourier method: Theory and Applications”, Colloquium on Computational Economics and Finance, University of Cyprus, Lemesos, Cyprus, 2011.
- “20th International Conference on Computational Statistics (COMPSTAT 2012)”, Lemesos, Cyprus, 2012.

Conference presentations:
– “III Congresso Nazionale della SIMAI”, Salice Terme (PV), 1996.
– “1st International Conference on Bioelectromagnetism”, Tampere - Finland, 1996.
– “Convegno Nazionale di Analisi Numerica”,Montecatini Terme, 1998.
– “IV Congresso Nazionale della SIMAI”, Giardini Naxos (ME), 1998.
– “XXV International Congress on Electrocardiology”, Budapest, 1998.
– Euroconference “Front Propagation: Theory and Applications”, Anogia, Crete, 1998.
– “PDE Prague98”, Praga, 1998.
– “XXIV Convegno A.M.A.S.E.S.”, Padenghe sul Garda, 2000.
– “II Workshop di Finanza Quantitativa”, Pisa, 2001.
– “MENC2001: Metodi Numerici e Computazionali per la Finanza”, Venezia, 2001.
– “ENUMATH 2001: European Conference on Numerical Mathematics and Advanced Applications”, Ischia (NA) 2001.
– “XXV Convegno A.M.A.S.E.S.”, Firenze, 2001.
– “III Workshop di Finanza Quantitativa”, Verona, 2002.
– “Computational Methods and Applications in Finance”, The Fields Institute for Mathematical Sciences, Toronto, 2002.
– Workshop “Mercati Finanziari: Progettazione di Modelli e Analisi dei Dati”, Dipartimento di Matematica per le Decisioni Economiche, Finanziarie, Attuariali e Sociali, Firenze, 2002.
– “VI Congresso Nazionale della SIMAI”, Località Chia, Domus de Maria, (CA), 2002.
– “CEF2002: VIII International Conference of the Society for Computational Economics”, Aix en Provence, 2002.
– “XXVII Convegno A.M.A.S.E.S.”, Cagliari, 2003.
– “V Workshop di Finanza Quantitativa”, Siena, 2004.
– “Bachelier Finance Society III World Congress”, Chicago, 2004.
– “XXVIII Convegno A.M.A.S.E.S.”, Modena, 2004.
– “XXIX Convegno A.M.A.S.E.S.”, Palermo, 2005.
– Workshop “New mathematical methods in Risk Theory”, Firenze, 2005.
– “Quantitative methods in Finance 2005”, Sydney, 2005.
– “Numerical Methods for Finance”, Dublin, 2006.
– “XXX Convegno A.M.A.S.E.S.”, Trieste, 2006.
– “Quantitative methods in Finance 2006”, Sydney, 2006.
– “22nd Annual Congress of the European Economic Association” and “62nd European meeting of the Econometric Society”, Budapest, 2007.
– “IX Workshop on Quantitative Finance”, Roma, 2008.
– “Second international Workshop on Computational and Financial Econometrics (CFE’08)”, Neuchâtel, Svizzera, 2008.
– “Bachelier Finance Society V World Congress”, London, 2008.
– “23rd Annual Congress of the European Economic Association" and "63rd European meeting of the Econometric Society”, Milano 2008.
– “X Workshop on Quantitative Finance”, Milano, 2009.
– “First Florence-RitsumeikanWorkshop on Finance and Risk theory”, Firenze, 2009.
– “XXXIII Convegno A.M.A.S.E.S.”, Parma, 2009.
– “Third internationalWorkshop on Computational and Financial Econometrics (CFE’09)”, Limassol, Cyprus, 2009.
– “XI Workshop on Quantitative Finance”, Palermo, 2010.
– “Fourth international Workshop on Computational and Financial Econometrics (CFE'10)”, London, 2010.
– “XII Workshop on Quantitative Finance”, Padova, 2011.
– “High Frequency Research Training Workshop”, Berlin, 2011.
– “Fifth international Workshop on Computational and Financial Econometrics (CFE'11)”, London, 2011.
- “Fifth International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2012)”, Venezia,2012.

Conference organization:
- “XXXIII Convegno A.M.A.S.E.S.”, Parma, 2009.
- Parallel Session “Nonparametric volatility estimation” within the “3th CSDA International Conference on Computational and Financial Econometrics (CFE’09)”, Cipro, 2009.
- Parallel Session “Nonparametric volatility estimation” within the “4th CSDA International Conference on Computational and Financial Econometrics (CFE’10)”, London, 2010.
- Parallel Session “Volatility estimation and forecasting” within the “5th CSDA International Conference on Computational and Financial Econometrics (CFE'11)”, London, 2011.
- Parallel Session “Credit Risk” within the “6th CSDA International Conference on Computational and Financial Econometrics (CFE'12)”, Oviedo, 2012.

Refereeing activity:
Decision in Economics and Finance, Quantitative Finance, European Journal of Operational Research, Applied Numerical Mathematics, Asian Pacific Management Review, Computers and Mathematics with Applications, Communications in Nonlinear Science and Numerical Simulation.

Scientific Committees:
- Comitato Scientifico di Area 113, University of Parma.
- Centro Servizi Informatici Bibliotecari, Dept. of Economics, Univ. of Parma.
- European Research Consortium for Informatics and Mathematics (ERCIM) Working Group on Computing & Statistics (since 2011).
- Scientific Program Committee of the "CSDA International Conference on Computational and Financial Econometrics" (ERCIM, CFE 2011 and CFE 2012).
- Scientific Committee of the “2nd Rirsumeikan-Florence joint workshop on Finance and Risk Theory”, Ritsumeikan University, Shiga, Japan, 2010.
- Scientific Committee of the “Ritsumeikan-Columbia-Jafee International Symposium on Stochastic Processes and Application to Mathematical Finance”, Kyoto, 2008.