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I am currently working as a post-doctoral researcher at the Quantitative Finance Group of Scuola Normale Superiore in Pisa, Italy.
I hold a Phd in Mathematical Finance at Scuola Normale Superiore in Pisa, Italy, and a Master Degree in Mathematics at the University of Padova.
My research focuses on financial mathematics, financial econometrics and high-frequency finance, and specifically Monte Carlo methods, stochastic processes, stochastic filtering, asset pricing, volatility modeling, non-parametric statistics, price-impact modeling.
Dr. Giulia Livieri
Continuous time mean-variance portfolio optimization through the mean field approach
A backward Monte Carlo approach to exotic option pricing
Selected Papers
Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures
Stochastic models for financial time series: modeling, estimation and option pricing, Phd Thesis
Rough volatility: evidence from option prices
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