Contacts

Anna Battauz

Department of Finance
Associate Professor
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Bio

I graduated from the Scuola Normale Superiore in Pisa with a Ph.D. in Financial Mathematics. I also hold a degree in Mathematics from University of Udine. I joined Bocconi University right after my doctorate, and since then I have been teaching undergraduate, graduate, and Ph.D. courses in Calculus, Quantitative Finance, Derivatives Pricing, Numerical Methods for Finance, and Continuous-Time Finance.

 

My research interests are in Quantitative Finance. I am a research fellow at IGIER and Baffi Carefin.

About

I have been the Director of the MSc in Finance since 2022/23.

Research Interests

My research area is quantitative finance, with a special focus on asset/derivatives pricing, asset allocation, and optimal stopping. I have published in several academic journals, including Economic Theory, Journal of Economic Dynamics and Control, Management Science, Quantitative Finance, and Review of Derivatives Research. I act as referee for a number of academic publications. 

working papers

Battauz, Anna; De Donno, Marzia; Sbuelz Alessandro

Publications

On the exercise of American quanto options
THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022
American options and stochastic interest rates
COMPUTATIONAL MANAGEMENT SCIENCE, 2022
Optimal exercise of American put options near maturity: a new economic perspective
Review of Derivatives Research, 9999
Earnouts: the real value of disagreement in mergers and acquisitions
European Financial Management, Volume 27, Issue 5, Pages 981-1024, November, 2021
Non-myopic portfolio choice with unpredictable returns: the jump-to-default case
European Financial Management, 2018
Reaching nirvana with a defaultable asset?
Decision in Economics and Finance, 2017
Kim and Omberg revisited: the duality approach
Journal of Probability and Statistics, 2015
Envelope theorems in Banach lattices and asset pricing
Mathematics and Financial Economics, 2015
Real options and American derivatives: the double continuation region
Management Science, 2015
Real Options and American Derivatives: The Double Continuation Region
, 2009
Intertemporal asset pricing and the marginal utility of wealth
Journal of Mathematical Economics, 2011
Dynamic versus one-period completeness in event-tree security markets
Economic Theory, 2007
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Journal of Economic Dynamics & Control, 2006
Optimal stopping and American options with discrete dividends and exogenous risk
Insurance Mathematics & Economics, 2004
Dividend and Uncertainty: Evidence from the italian market
Internal Journal of Theoretical and Applied Finance, 2004
Quadratic hedging for asset derivatives with discrete stochastic dividends
Insurance Mathematics & Economics, 2003
Change of numeraire and American options
Stochastic Analysis and Applications, 2002