Durante il primo semestre accademico 2023-24, il ricevimento studenti sarà in presenza tutti i Mercoledì mattina dalle ore 9.00 alle ore 11.00.
A. A. 2017 / 2018
Primo Semestre
A. A. 2018 / 2019
Primo Semestre
A. A. 2020 / 2021
Primo Semestre
Secondo Semestre
A. A. 2021 / 2022
Primo Semestre
Secondo Semestre
A. A. 2019 / 2020
Primo Semestre
A. A. 2023 / 2024
Primo Semestre
Secondo Semestre
A. A. 2022 / 2023
Primo Semestre
Secondo Semestre
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
- 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