Curriculum vitae et studiorum
Name: Marina Di Giacinto
Researcher ID ORCiD: 0000-0001-9175-1552
Current Position: Associate Professor
Dipartimento di Economia e Giurisprudenza
Univesità degli studi di Cassino e del Lazio Meridionale
Via Sant’Angelo, s.n.c. – 03043 Cassino (FR) – Italy
PhD: Mathematics for economic-financial applications
Università degli studi “La Sapienza” di Roma
Supervisors: Proff. Fausto Gozzi, Massimo Angrisani
Degree (cum laude): Economics
Università degli studi di Cassino
Supervisor: Prof. Massimo Angrisani
Spoken and written languages: Italian (mother tongue)
English
French
E-mail: digiacinto@unicas.it
Scientific Education and Qualifications
– 2014 – present: Visiting scholar, Department of Mathematics, The City University of New York – Baruch College (USA).
– AY 2016/17 – present: Guest professor, School of Economics and Business Administration, Facultad de Economicas y Impresariales, Universitad de Navarra
(Spain).
– September 2020: Visiting scholar, Department of Mathematical Science, University of Copenhagen (Denmark). Canceled due to Covid-19 outbreak and post-poned to a date to be determined.
– AY 1998–99: Visiting PhD student, Laboratoire CEREMADE, Université Paris
IX Dauphine (France).
Scientific activity
Submitted articles in peer reviewed journal or in preparation
– M. Di Giacinto (with I. Chatterjee, M. Pourmohammadi, & C. Tebaldi) “Impact
of FOMC cycle on market uncertainty: Evidence from interest rate derivatives”.
Under review.
– M. Di Giacinto (with X. Cheng & T.-H. Wang) “Dynamic optimal execution with
inventory cost: A heterogeneous characteristic time scales approach ”. Available
upon request.
– M. Di Giacinto (with N. Cuffaro) “Sustainability labels: A model of monitoring
and compliance”. Available upon request.
Articles in peer reviewed journals
– M. Di Giacinto (with C. Tebaldi & T.-H. Wang) “Optimal order execution under
price impact: A hybrid model”. Annals of Operations Research: 1–32, 2022.
Springer Nature. DOI: 10.1007/s10479-022-05082-8. ISSN: 1572-9338.
– M. Di Giacinto (with F. Ferrante) “Optimal consumption and labor choices with
learning-by-doing”, Journal of Theoretical Economics Letters. 11(6), 2021. Scientific Research Publishing Inc., USA. ISSN 2162-2078.
– M. Di Giacinto (with Xue Cheng & Tai-Ho Wang) “Optimal execution with
dynamic risk adjustment”, Journal of the Operational Research Society, 70(10):
1662–1677, 2019. Taylor & Francis Group, London (UK). ISSN 0160-5682.
– M. Di Giacinto “Numerical methods in financial and actuarial applications: A
stochastic maximum principle approach”, Journal of Mathematical Finance, 8(2):
283–301, 2018. Scientific Research Publishing Inc., USA. ISSN 2162-2434.
– M. Di Giacinto (with X. Cheng & T.-H. Wang) “Optimal execution with uncertain order fills in Almgren-Chriss framework”, Quantitative Finance, 17(1):55–69,
2017. Routledge (Taylor & Francis Group), London (United Kingdom). ISSN:
1469-7688.
– M. Di Giacinto (with N. Cuffaro) “Credence goods, consumers’ trust in regulation
and high quality exports”, Bio-based and Applied Economics 4(2), 161–179, 2015.
Firenze University Press, Firenze (Italy). ISSN 2280-6180.
– M. Di Giacinto (with S. Federico, F. Gozzi & E. Vigna) “Income drawdown option
with minimum guarantee”, European Journal of Operational Research, 234(3),
610–624, 2014. Elsevier B.V., Amsterdam (Netherlands). ISSN: 0377-2217.
– M. Di Giacinto (with E. Vigna) “On the sub-optimality cost of immediate annuitization in DC pension funds”, Central European Journal of Operational Research,
20(3), 497–527, 2012. Springer, Graz (Austria). ISSN: 1435-246X.
– M. Di Giacinto (with S. Federico & F. Gozzi) “Pension funds with a minimum
guarantee: A stochastic control approach”, Finance and Stochastics, 15(2), 297–
342, 2011. Springer-Verlag, Zürich (Switzerland). ISSN: 0949-2984.
– M. Di Giacinto (with F. Ferrante) “Idiosyncratic learning, creative consumption
and well being”, Advances in New Austrian Economics, 10, 41–73, 2007. Elsevier,
Oxford (United Kingdom). ISSN: 1529-2134.
Articles in monograph series
– M. Di Giacinto (with S. Federico, F. Gozzi & E. Vigna). “Constrained portfolio
choices in the decumulation phase of a pension plan”, Carlo Alberto Notebooks,
No. 155/2010, ISSN 2279-9362.
– M. Di Giacinto (with B. Højgaard & E. Vigna) “Optimal time of annuitization
in the decumulation phase of a defined contribution pension scheme”, CAREFIN
Research Paper, No. 01/10, 2010. ISSN: 2281-4892.
Other pubblications
– M. Di Giacinto (con N. Cuffaro) “Vero o falso? Fiducia dei consumatori, regolamentazione e mercati”, Agriregionieuropa 11(42), 75–80, 2015. Associazione
“Alessandro Bartola” Studi di economia e politica agraria, Ancona (Italy). ISSN
1828-5880.
– M. Di Giacinto, “Una rassegna bibliografica sulla gestione finanziaria dei fondi
pensione”, Quaderno di Ricerca n. 8, Department of Economics, Institutions and
Territory, University of Cassino, 2004.
– M. Di Giacinto, “A Dynamic Model for Defined Contribution Pension Funds”,
Quaderno di Ricerca n. 11, Department of Economics, Institutions and Territory,
University of Cassino, 2003.
– M. Di Giacinto, “Fondi pensione a contribuzioni definite con minimo garantito:
un approccio tramite il controllo stocastico”, PhD thesis, Università degli studi
di Roma “La Sapienza”, 2001.
Financed Research Projects
– December 2017: Funding for Basic Activities Related to Research (FFABR).
– December 1, 2008 – January, 31, 2010: Research Project Leader “Optimal time
of annuitization in the decumulation phase of a defined contribution pension
scheme” selected and sponsored by CAREFN (Center for Applied Research in
Finance). Other participants to the project: Bjarne Højgaard, (Aalborg University, Denmark), and Elena Vigna (Università degli studi di Torino, Italy).
Invited talks
– February 27, 2020: Department of Finance and Risk Engineering, Tandon School
of Engineering, New York University. Title: Dynamic optimal execution with
inventory cost.
– December 8, 2016: School of Mathematical Science, City University of Dublin
(Dublin, Ireland). Title: Optimal trade execution with dynamic risk measures.
– June 18, 2014: Dipartimento di Discipline matematiche, Finanza matematica ed
Econometria, Università Cattolica del Sacro Cuore (Milan, Italy). Title: Regression methods for stochastic optimal control in financial applications.
Refereeing activity
– Since 2017: Reviewer of the American Mathematical Reviews.
– Ad hoc reviewer : European Journal of Operational Research, Journal of Eco[1]nomic Dynamics and Control, Insurance: Mathematics and Economics, Quantitative Finance, Journal of the Operational Research Society, Decision in Economics
and Finance, Journal of Computational Finance, International Transactions in
Operational Research, Economic Modelling, Journal of Mathematical Finance,
Acta Mathematica Scientia, Agricultural and Food Economics, Theory and Ap[1]plications of Mathematics & Computer Science Journal.
Invited talk at conferences
– Workshop in Teoria delle decisioni – giornate in memoria di Erio Castagnoli,
second edition, Università degli studi di Parma (Italy), July 2, 2020. Title of
the talk: Strategie di investimento ottimali in presenza di una molteplicità di
operatori di mercato specializzati.
International meetings with peer reviewed contributed talks
– 45th Annual Meeting of the Association for Mathematics Applied to Social and
Economic Sciences, Palermo (Italia), September 22–24, 2022: “A hybrid price
impact model for optimal execution”.
– 25th International Congress of Insurance: Mathematics and Economics, virtual
event, July 12–15, 2022: “Optimal order execution under price impact: A hybrid
model”.
– 44th Annual Meeting of the Association for Mathematics Applied to Social and
Economic Sciences, virtual event, September 13–18, 2021: “Impact of FOMC
cycle on market uncertainty: Evidence from interest rate derivatives”.
– 24th International Congress of Insurance: Mathematics and Economics, virtual
event, July 5–9, 2021: “Optimal execution with inventory cost: A heterogeneous
characteristic timescales approach”.
– 10th General AMaMeF Conference, virtual event, June 22–25, 2021: “Execution
under price impact with inventory cost: A heterogeneous characteristic timescales
approach”.
– Global Conference on Services and Retail Management, virtual event, May 10–
13 2021: “Impact of FOMC cycle on market uncertainty: Evidence from interest
rate derivatives”.
– XXI Workshop on Quantitative Finance, Napoli (Italia), January 29–31, 2020:
“Optimal execution with inventory cost”.
– 43rd Annual Meeting of the Association for Mathematics Applied to Social and
Economic Sciences, Perugia (Italia), September 9–11, 2019: “Optimal execution
with risk-adjusted profit and loss”.
– 23rd International Congress of Insurance: Mathematics and Economics, Munich
(Germania), July 10–12, 2019: “Optimal execution with fill uncertainty under
dynamical risk measure”.
– World Finance Conference, July 26–28, 2017: “Optimal trade execution with
uncertain order fills”.
– Fourth World Congress of Bachelier Finance Society Tokyo, August 17–20, 2006:
“Stochastic consumption investment problem with labor income: An asymptotic
expansion approach”.
– Quantitative Methods in Finance Conference, University of Technology, Sydney,
December 15–18, 2004: “Optimal dynamic asset allocation for pension funds in
the presence of a minimum guarantee”.
– Third World Congress of Bachelier Finance Society, Chicago, July 21–24, 2004:
“Pension funds with a minimum guarantee under short selling and borrowing
constraints”.
– 8th International Congress of Insurance: Mathematics and Economics, Rome,
June, 14–16 2004: “A dynamic allocation strategy for pension funds with a minimum guarantee”.
National meetings with contributed talks
– XVI Convegno di Teoria del rischio, September 18, 2009: “Constrained portfolio
choices in the decumulation phase of a pension plan”.
– XXXIII Convegno AMASES, Parma, September 1–4, 2009: “Optimal time of annuitization in the decumulation phase of a defined contribution pension scheme”.
– XXXII Convegno AMASES, Trento, September 1–4, 2008: “Optimal consumption and labor choices with human capital accumulation”.
– XXXI Convegno AMASES, Lecce, September 3–6, 2007: “A simulation approach
to stochastic portfolio optimization”.
– XXVIII Convegno AMASES, Modena, September 8–12, 2004: “A microeconomic
model of creative consumption with idiosyncratic learning”.
– XXVII Convegno AMASES, Cagliari, September 3–6, 2003: “An optimal investment model for defined contribution pension fund with a minimum guarantee”.
Membership in Scientific and Organizing Committee
– Chair of the Program and Organizing Committee of the XXIV Workshop on
Quantitative Finance, Castello di Gaeta, Università degli studi di Cassino (Italy),
April 20–22, 2023.
– Member of the Scientific Committee of the XXII XXIII, and XXIV Workshop on
Quantitative Finance, 2021, 2022, and 2023.
– Co-organizer of the workshop “Dynamic Optimization in Economics, Finance,
and Insurance”, Dipartimento di Matematica per le Scienze Economiche, Finanziarie ed Attuariali, Università Cattolica del Sacro Cuore sede di Milano,
November 26, 2021.
– Co-organizer of the workshop “Gli schemi pensionistici a contribuzioni definite
per la previdenza obbligatoria e complementare: problemi e prospettive”, Università degli studi di Cassino, June 10, 2010.
– Organizer of the lecture “Real Options with Uncertain Maturity and Competition”, Prof. Eduardo Schwartz (Anderson School of Management – UCLA, For[1]mer President of American Finance Association, Former President of Western
Finance Association), Università degli studi di Cassino, May 18, 2007.
– Organizer of “Three Lectures on Asset Pricing and General Equilibrium Theory”
Prof. Bryan Ellickson (Department of Economics – UCLA), Università degli studi
di Cassino, May 9–11, 2006.
3 Teching activity
3.1 External Teaching Appointments
PhD Courses
– Finance I, PhD Program in “Economics and Finance” Universit`a degli studi di
Verona, AY 2010–2011.
Master Courses
– Finance II: Financial Risk Management, MSc in “Economics and Finance”, Universidad de Navarra (Spain), AYs 2022–23, 2021–22, 2020–21, 2019–20, 2018–19,
2017–18, 2016–2017.
– Quantitative Finance and Derivatives, Università Commerciale Luigi Bocconi,
AY 2013–2014.
– Finanza matematica, Università degli studi di Verona, AYs 2010–2011, 2012–
2013.
– Derivati, Università degli studi di Verona, AY 2012–2013.
Bachelor Courses
– Metodi quantitativi per la finanza I, Università Cattolica del Sacro Cuore, AY
2014–2015.
– Matematica generale, AYs 2018–2019, 2017–2018, 2016–2017, 2015–2016.
3.2 Institutional Teaching Activity
PhD Courses
– Linear Algebra, PhD Program in “Economia e management per l’innovazione e
la sostenibilit`a” Universit`a degli studi di Cassino e del Lazio Meridionale, AY
2022–23.
– PhD Program in “Imprese, Istituzioni e Comportamenti” and “Economia e management per l’innovazione e la sostenibilità” Università degli studi di Cassino e
del Lazio Meridionale, AY 2022–23.
– Dynamic Optimization, PhD Program in “Imprese, Istituzioni e Comportamenti”
Università degli studi di Cassino e del Lazio Meridionale, AYs 2022–23, 2021–22,
2020–2021, 2019–2020, 2018–2019, 2017–2018.
Master courses
Soft Skills, AYs 2022–23, 2021–22, 2020–21.
– Rischio finanziario e finanza comportamentale, AYs 2016–2017, 2015–2016, 2014–
2015, 2013–2014.
– Teoria del rischio finanziario, AY 2012–2013.
-Tecnica attuariale delle assicurazioni sulla vita, AYs 2006–2007, 2005–2006, 2004–
2005, 2003–2004, 2002–2003, 2001–2002.
-Tecnica attuariale per la previdenza e la sicurezza sociale, AYs 2002–2003, 2001–
2002.
Bachelor courses
– Matematica finanziaria, AYs 2022–23, 2021–2022, 2012–2013, 2010–2011, 2009–
2010, 2008–2009, 2007–2008, 2006–2007.
– Matematica generale, AYs 2022–23, 2021–2022, 2020–2021, 2010–2011, 2009–
2010, 2006–2007.
– Mathematics, AYs 2019–2020, 2018–2019, 2017–2018.
– Strumenti quantitativi per l’economia e la finanza, AYs 2016–2017, 2014–2015,
2013–2014.
– Matematica per le applicazioni economiche e finanziarie, AYs 2007–2008, 2006–
2007, 2005–2006, 2004–2005, 2003–2004, 2002–2003.
Academic appointments
PhD
– Since 2022: Member of the Steering Committee of the PhD Program in Economia
e management per l’innovazione e la sostenibilit`a XXXVIII cycle, Universit`a degli
studi di Cassino e del Lazio Meridionale.
– Since 2017: Member of the Steering Committee of the PhD Program in Imprese,
Istituzioni e Comportamenti XXXIII, XXXIV, XXXV, XXXVI, XXXVII cycles,
Universit`a degli studi di Cassino e del Lazio Meridionale.
– 2009–2011: Member of the Steering Committee of the PhD Program in Metodi
quantitativi per l’economia e il territorio XXIV cycle, Universit`a degli studi di
Cassino.
– 2005–2009: Member of the Steering Committee of the PhD Program in Istituzioni
e metodi di analisi dei sistemi territoriali XXI and XXII cycles, Universit`a degli
studi di Cassino.
– 2003–2007: Member of the Steering Committee of the PhD Program in Economia
dello sviluppo locale XIX and XX cycles, Universit`a degli studi di Cassino.
Executive Masters
– Course Director for Metodi quantitativi per la finanza, Executive Master in “Econo[1]mia e finanza della piccola e media impresa”, Universit`a degli studi di Cassino,
AYs 2007–2008, 2010–2011.
– Course Director for Metodi quantitativi per la finanza, Executive Master in “Economia e banking della piccola e media impresa”, Università degli studi di Cassino,
AY 2005–2006.
– Member of the Educational Program Committee for the Executive Master in
“Economia e finanza della piccola e media impresa”, Università degli studi di
Cassino, AYs 2007–2008, 2010–2011.
– Member of the Educational Program Committee for the Executive Master in
“Economia e banking della piccola e media impresa”, Facoltà di Economia, Università degli studi di Cassino, AY 2005–2006.
