Research interests:    

My research interests include: the study of Dynamic Optimization techniques to solve Real Options and Operations Management problems and, the  Valuation and Risk Management of Life Insurance Contracts and Financial Derivatives.

Working papers 

• Gambaro A.M. , The Capital-on-Capital Cost in Solvency II Risk Margin.  Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4418565
• Gambaro, A.M., I. Kyriakou and G.Fusai, Average-type real options: An empirical multi-factor demand model.  Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4735251
• Gambaro, A.M. Exponential expansions for approximation of probability distributions.  Available at SSRN: https://ssrn.com/abstract=4744523
  

Main publications

• Fusai, G., Gambaro, A. M. (2023) Pricing on trees using new risk-free rates, Journal of Derivatives -upcoming

• Gambaro, A. M., Fusai, G., Sodhi, M. S., May, C., & Morelli, C. (2023). ICU capacity expansion under uncertainty in the early stages of a pandemic. Production and Operations Management, 00, 1– 20. https://doi.org/10.1111/poms.13985

• A.M. Gambaro and N. Secomandi (2021), A Discussion of Non-Gaussian Price Processes for Energy and Commodity Operations. POMS, 30(1), 47-67

• A.M. Gambaro, I. Kyriakou and G.Fusai (2020), General lattice methods for arithmetic Asian options. European J. Operational Research, 282, 1185-1199

• A.M. Gambaro, R. Casalini, G. Fusai and A. Ghilarducci (2019),  A market consistent framework for the fair evaluation of insurance contracts under Solvency II, Decisions in Economics and Finance, 42 (1), 157-187
•  A.M. Gambaro, R. Casalini, G. Fusai and A. Ghilarducci (2018), Quantitative assessment of common practice procedures in the fair evaluation of insurance contracts, Insurance: Mathematics and Economics, 81, 117-129
  
• A.M. Gambaro, R. Caldana and G. Fusai (2017),  Approximate pricing of swaptions in affine and quadratic models, Quantitative Finance, 17 (9), 1325-134