Quantitative Finance

In Jan. 2008 I joined the Market Risk Management, Financial Engineering area of Banca Intesa Sanpaolo as quantitative analyst and risk manager. My recent work focuses on pricing and risk management of interest rate, volatility,  inflation and algorithmic strategy derivatives, front office model validation, risk assessment, monitoring and reporting, Markit/Totem services data analysis (interest rates, equity).
Previously (Oct. 2000 - Dec. 2008) I worked as a quantitative analyst in the front office Financial Engineering Group of Banca IMI (previously Banca Caboto), Banca Intesa group developing quantitative models & techonologies for fixed income derivatives desks. For further info see my cv and my LinkedIn profile.

Papers, proceedings, etc.:

• Research paper “Interest Rates After the Credit Crunch - Multiple Curve Vanilla Derivatives and SABR”, M. Bianchetti, M. Carlicchi, published in The Capco Journal of Financial Transformation - Applied Finance n. 32, September 2011; SSRN Working Paper, Mar. 2011.
• Comment "The zeeman effect in Finance", M. Bianchetti, Bloomberg Rik, 5 Aug. 2011, pp. 7-8, (Bloomberg NI RISKBRIEF <GO>).
• Research paper “Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves”,published in Risk, Aug. 2010 and SSRN working paper, 2009.
• Research paper “Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation”, published in “Modeling Interest Rates: Latest Advances for Derivatives Pricing", edited by F. Mercurio, Risk Books, 2009 (pdf).

Recent talks

• Talk, “Risk Management, Fair Value and Model Validation after the Credit Crunch”, Banca IMI conference “The Debt Crisis: Different Rules for a Different World”, New York, 17-20 May 2011.
• Invited talk “Interest Rate After the Credit Crunch”, IX RiskLab Meeting on Financial Risks, Madrid, 12 May 2011.
• Invited talk “Interest Rate Derivatives After The Credit Crunch - Market, Pricing and Risk Management”, one day workshop “Interest Rate Derivatives Valuation in a Multi-Curve Framework”, Bank of International Settlements, Basel, 6 May 2011.
• Invited talk “Switching to CSA Discounting”, 17^th Global Derivatives Trading an Risk Management, Paris, 11-15 Apr. 2011.
• Invited talk “Multiple Curves One Price”, 16^th Global Derivatives Trading an Risk Management, Paris, 17-21 May 2010.
• Invited talk “Two Curves One Price”, Marcus Evans workshop “Risk and Modelling Fixed Income Interest Rates”, London, 15-16 Apr. 2010.
• Invited talk “Fair value, la crisi: impatti sui modelli di pricing”, joint with P. Virgili and L. A. Cefis, workshop Bank of Italy, Rome, 19 Jan. 2010.
• Invited talk “Two Curves One Price”, Quant Congress Europe, London, 3-5 Nov. 2009.
• Invited talk“Two Curves One Price” at Quant Congress Europe 2009, London, Nov. 2009.
• Talk“Two Curves One Price” at X Workshop of Quantitative Finance, Milan, Jan. 2009.
• Talks “Pricing & hedging inflation-linked derivatives", Univ. of Bologna, Dept. of Mathematics, Feb. 2005 and Feb. 2006, Caboto - Banca Intesa, Jan. 2004.
• "Syntethic Markets", E. Scalas, M. Bianchetti, F. Mainardi, H.E. Roman, A. Vivoli, published in Proceedings of the 8th Annual Workshop on Economics with Heterogeneous Interacting Agents (Kiel, Germany, May 29-31, 2003).
• Talk "Towards High Performance MonteCarlo Pricing of Portfolios of Equity Derivatives", at "CAPI2001: 5° Workshop sul calcolo ad alte prestazioni in Italia", Oct. 16, 2001, (html, zipped Power Point).

Conferences, workshops, etc (as organizer).

• Member of Organising Committee of “Corso di Alta Formazione in Finanza Quantitativa”, MIP School of Management, Politecnico di Milano, edition 2011-2012.
• Member of Organising Committee of “Master in metodologie e modelli per la finanza quantitativa”, University of Milan, Dept. of Physics, edition 2004-2005.
• Organizer of 1 day workshop "Introduction to Econophysics", University of Milan, Physics Department, Nov. 1999.

Trainings (as trainer):

• Lecturer “Derivati su Tassi di Interesse – Mercati, Prodotti, Modelli” at Corso di Alta Formazione in Finanza Quantitativa, MIP School of Management, Politecnico di Milano, Apr. 2011 (12h).
• Lecturer “Interest Rates After The Credit Crunch”; WBS course, London, Mar. 2011 (day 1 of 2).
• Lecturer “Interest Rates After The Credit Crunch”, Bologna University, Corso di Alta Formazione in Finanza Matematica, Dept. of Mathematics, 18 Feb. 2011 (3h).
• Lecturer “Interest Rates After The Credit Crunch”; WBS course, Frankfurt, Feb. 2011 (day 1 of 2).
• Lecturer “Interest Rates After The Credit Crunch”, Piedmont University, Dept. of Economic Sciences and Quantitative Methods, 14 Dec. 2010 (3h).
• Lecturer “Interest Rates After The Credit Crunch”; WBS course, Milan, Oct. 2010 (day 1 of 2).
• Invited talk “Two Curves One Price”, WBS course, London, Apr. 2010 (1.5h of 2 days).
• Lecturer “The SABR Model”, Bologna University, Corso di Alta Formazione in Finanza Matematica, Dept. of Mathematics, Jan. 2010 (3h).
• Lecturer “The SABR Model”, Piedmont University, Dept. of Economic Sciences and Quantitative Methods, Dec. 2009 (3h).
• Lecturer “Pricing & hedging inflation-linked derivatives", Bologna University, Corso di Alta Formazione in Finanza Matematica, Dept. of Mathematics, Feb. 2006.
• Lecturer “Pricing & hedging inflation-linked derivatives", Bologna University, Corso di Alta Formazione in Finanza Matematica, Dept. of Mathematics, Feb. 2005.
• Lecturer at Master

Trainings (as trainee):

• “Practical Approaches to Managing Model Risk”, Incisive Training, London, 2010.
• “Market Models”, M. Joshi, 8 weeks, Caboto, 2006/2007.
• “Hybrids & Inflation Derivatives Workshop”, WBS, London, Mar. 2005.
• “Interest Rate Derivatives”, Y. Aït-Sahalia, 5 days, FAME, Geneve, 2004.
•  “Workshop of Quantitative Finance”, Siena, Jan. 2004.
• “Advanced Derivative Pricing”, G.Barone-Adesi, 5 days, Banca Intesa, 2002.

Interviews:

• "From physics to finance", appeared in "Career Book 2005", Somedia, n°1, anno 8°, p. 160,  nov. 2004, and in "Repertorio delle professioni",  Università degli Studi di Milano, ed. 2004, p. 343, (italian, ).

Referee:

• Referee for Risk Magazine (2011).
• Referee for World Scientific Publishing Co. (2011).

Other:

• My phynance bibliography: a personal collection of resources on physics and finance (italian, )

See my cv and my LinkedIn profile.

Scientific Program Management

In Jul. - Oct. 2000 I worked as scientific program manager in the Project Management, Technology Transfer & Outreach Area, at INFM – National Institute for Matter Physics, Genova.
Main activities: monitoring and planning the INFM activity introducing proper indicators, elaboration of triennial policy document and proposal for public funds, management support for area reorganisation.

Nanostructures Physics (Ph.D. research)

During my Ph.D. research period (1995-2000) I was involved into a theoretical/computational study of electronic, electromagnetic and field emission properties of fullerenes, in particular carbon nanotubes and chains. I developed the Kohn-Sham equations in the Local Density Approximation on a cylindrical basis, with local and non-local effective pseudopotentials.
Main results:

• "Ab-initio Study of the Electromagnetic Response and Polarizability Properties of Carbon Chains", M.Bianchetti, P. F. Buonsante, F. Ginelli, H. E. Roman, R. A. Broglia, F. Alasia, Physics Reports, Jan. 2002 (.zip file).
• Conference proceeding "Field Emission Properties of Carbon Nanowires from Ab-Initio Calculations", M. Bianchetti, P. F. Buonsante, F. Ginelli, A. Lorenzoni, H. E. Roman, R. A. Broglia; proceedings IWEPNM99 (cp486, Electronic Properties of Novel Materials - Science and Technology of Molecular Nanostructures, Ed. H. Kuzmany, J. Fink, M. Mehring, S.Roth, AIP, 1999).
• Ph.D. thesis "Ab initio calculations of axially symmetric isolated carbon structures: from linear chains to nanotubes" (.zip file, 12 Mb).

See cv and complete publication list

Nuclear Physics (M.Sc. research)

During my M.Sc. research period I studied the weak transitions in nuclei, in connection with solar neutrino absorption, beta decay and electron capture phenomena, within the pn-QRPA (proton-neutron Quasi-Particle Random Phase Approximation), with effective Skyrme forces with both particle-hole and particle-particle channels. Nuclear Field Theory was used to describe the coupling between different quasi-particles and phonons.
Main results:

• "¹²³Te Electron Capture Half-Life in Nuclear Field Theory", M.Bianchetti, M.R.Quaglia, G.Colo', R.A.Broglia, P.F.Bortignon, P.M.Pizzochero, Proceedings VII Congresso Nazionale sui problemi di fisica nucleare teorica, Cortona, Palazzone, 19-21 Ott. 1998).
• "Competition Between Particle-Particle and Particle-Hole Correlations in Forbidden Electron Capture: the Case of ¹²³Te", M.Bianchetti, M.R.Quaglia, G.Colò, R.A.Broglia, P.F.Bortignon, P.M.Pizzochero, Physical Review C, 56, R1675, Oct. 1997.
• "Nuclear Structure and Solar Neutrino Absorption", M. Bianchetti, M.Sc. thesis, unpublished.

See cv and complete publication list

Teaching physics

During the four semesters 1998-2000, I lectured or co-lectured four courses:

• Academic year 1999-2000:
  • 1st semester: general physics I (mechanic, thermodynamic) for computer science students, Dept. of Computer Science, University of Milan (ca. 150 students), in collaboration with Prof. Marco Bersanelli (see website).
  • 2st semester: general physics (mechanic, thermodynamic, electromagnetism exercises) for engineering students, Dept. of Physics, Polytechnic of Milan (ca. 70 students)
• Academic year 1998-1999:
  • 1st semester: general physics I (mechanic, thermodynamic) for computer science students, Dept. of Computer Science, University of Milan - Bicocca (ca. 50 students, see website).
  • 2st semester: general physics (mechanic, thermodynamic, electromagnetism exercises) for engineering students, Dept. of Physics, Polytechnic of Milan (ca. 50 students)

ADI Associazione Dottorandi e Dottori di Ricerca Italiani Italian Ph.D. Association

Once upon a time, in the far 1995, someone decided to tray to change the rules of the game. As a first step, they looked for each other in internet, set up a mailing list and a web page, wrote a letter to the government; then they funded a national association, obtained an increase of the Ph.D. scholarship, edited a book; then... ok, it's a long story, see the official website: www.dottorato.it.

Main activities:

• working group for Ph.D. quality assessment: www.dottorato.it/qualita
• editorial board of Cervelli in Gabbia (Brains in Chains). Here my contribute "Research, Development and Innovation: the Enterprise" with Gabriele Orlandi (, word).
• editorial board of Cervelli in Fuga (Brains on The Run)
• the board of directors
• the goliardic group (see the non official website)