Luca Ghirardelli
Systematic Trading @Mediobanca
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WORK HISTORY
Systematic Trading @Mediobanca
Milano, IT
EDUCATION
SISSA / ISAS International School for Advanced Studies, Trieste
Master Degree
Datasim Financial
Advanced C++ for Computational Finance
Università degli Studi di Genova
Bachelor's Degree
Collegio Carlo Alberto, Torino
Master
SKILLS
ABOUT LUCA GHIRARDELLI
Pricing of a broad range of derivative instruments-) Equity: from vanilla options to path dependent, multiasset, bermudan instruments. Implementation and calibration of Heston volatility model and Longstaff Schwartz method for early exercise using VBA-) Interest rates: from vanilla IRS to path dependent instruments. Implementation and calibration of LMM in Matlb and VBA-) Credit: from basic CDS to CDO^2 and ABS on CDOs using Gaussian copula approach, development and implementation of basic prepayment models. Specialties: Numerical methods for finance, Monte Carlo simulation, scenario analysis using VBA, Matlab and R.
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