Laurea in Economics, Università di Torino, 1990.
Ph.D. in Applied Mathematics, Università di Trieste, 1996.
MS in Mathematical Finance, University of Southern California, Los Angeles, 2000.

FIELDS:  Mathematical Finance, Economic Dynamics

ADDRESS:
Dipartimento di Statistica e Matematica Applicata                                           Tel.: ++39 011 670 5752
Università di Torino                                                                                         Fax: ++39 011 670 5783
Piazza Arbarello, 8                                                                                          E-mail: marena@econ.unito.it
10122 Torino
Italy

Fellow of ICER (Turin)
Associate fellow of the Cass Center for Computational Finance, Cass Business School, London

  Papers (available upon request)

"Z-Transform and Preconditioning Techniques for Option Pricing", with G. Fusai, D. Marazzina and M. Ng, Quantitative Finance, to appear.

“Option Pricing, Maturity Randomization and Distributed Computing”, with G. Fusai and D. Marazzina, Parallel Computing, Vol. 36-7, pp. 403-414, 2010.

“Lévy processes and option pricing by recursive quadrature”, with with G. Fusai, G. Longo and and M.C. Recchioni, forthcoming in Economic Dynamics: Theory, Games and Empirical Studies, Editors: Chester W. Hurlington, pp.31-57, Nova Publishers, 2009.

“Analytical Pricing of Discretely Monitored Asian-Style Options: Theory and Application to Commodity Markets”, with with G. Fusai and A. Roncoroni, Journal of Banking and Finance, Vol. 32, Issue 10, pp. 2033-2045, 2008..

“The Laplace Transform”, with G. Fusai and A. Roncoroni, Implementing Models in Quantitative Finance: Methods and Cases, Springer Finance, 2008.

“Calcolo del VaR”, with G. Fusai and G. Longo, ChartAgeos, N.1, 2006.

“Grid Based Full Portfolio Revaluation for VaR Computation”, with G. Fusai et alii, Proceedings of Science, 1st International Workshop on Grid Technology for Financial Modeling and Simulation Palermo, 2006.

“Pricing of exotic options under Lévy processes”, with G. Fusai and G. Longo, presented at the XXIX AMASES Conference, Palermo, 2005.

“A copula based lattice method for asset returns”, with N. Webber, presented at the XXVII AMASES Conference, Cagliari, 2003.

“Probabilistic techniques for contingent claims evalution”, with G. Fusai, G. Longo and A. Vulcano, Proceedings of the 5th Summer School in Mathematical Finance, Auronzo, 2002.

“Copulae as a new tool in financial modelling”, with E. Luciano, Operational Research , Vol. 2, Issue 2, Helors, 2002.

“Portfolio VaR bounds for non-normal returns”, with E. Luciano, New Trends in Banking Management, Physica-Verlag, 2002.

“Portfolio VaR bounds”, with E. Luciano, International Transactions in Operational Research, Blackwell, 2002.

“The neighborhood turnpike theorem for continuous-time optimization models”, with L. Montrucchio, Journal of Optimization Theory and Applications, Kluwer, 1999.

“TAEG and fee structure under budget constraints”, with M. L. Gota, Rivista AIRO, Vol.. 25, N. 73, 1995.

“TAEG e commissioni”, with M.L. Gota, Atti del XVI Convegno AMASES, Modena, 1992.

“Un metodo di valutazione di un portafoglio assicurativo vita”, with R. Camillo, Rivista di matematica per le scienze economiche e sociali, Anno 17°, 1994, 61-75.

“Tassi trasparenti”, with S. Bosco, M. L. Gota and L. Peccati, Amministrazione e Finanza, Anno VIII, N. 4, 1993 .

“On the financial appraisal of projects”, presented at the XI Conference of the EURO Working Group on Financial Modelling, Cogne, 1992.

“The decomposition of NPV in non-life Insurance”, presented at the X Conference of the EURO Working Group on Financial Modelling, London, 1991.

“L’indicizzazione finanziaria in contratti di vendita rateale a sconto commerciale”, Atti del XV Convegno AMASES, Grado, 1991.

“The decomposition of NPV in Insurance”, presented at the IX Conference of the EURO Working Group on Financial Modelling, Curaçao, 1991.

“Sulla valutazione dei crediti a scopo di cessione”, Il risparmio, 1990