Research interests
My research is directed to stochastic processes and time series analysis. During my master degree, I have worked on bayesian variational approximations.
Publications
- A GARCH model with two volatility components and two driving factors [manuscript][code]
- GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance[manuscript]
- A multi-factor model for improved commodity pricing: Calibration and an application to the oil market [manuscript]
- Time Series Methodology for Analyzing Calcium Imaging Data [manuscript][code]
Short CV
2024-Present Credit Risk Analyst at ABN AMRO
2024-2024 Quantitative Researcher (intern) at MN
2021-2024 PhD in Statistics at University of Bologna
2020-2021 Quantitative Risk Analyst at UBS
2018-2020 MSc in Quantitative Finance at University of Turin
2015-2018 BSc in Economics at University of Trento
Software
I enjoy implementing new computational ideas, some of the tools I have created include:- Estimation code for several GARCH models [Github repo]
- Estimation code for several commodity pricing models [Github repo]
- Numerical approximation scheme code for fully non-linear PDEs [Github repo]
Teaching experience
I am the university tutor for the a master course in Actuarial mathematics and for an undergraduate course in Financial Risk Management. I am also a MATLAB university tutor.
International conferences
Annual Conference for Applied Mathematics 2024, Ischia, Italy [ Link ]
International Conference on Computational Statistics 2024, Giessen, Germany [ Link ]
Annual Conference for Applied Mathematics 2023, Milan, Italy [Book of abstract p.396]
International Workshop on Applied Probability 2023, Thessaloniki, Greece [Book of abstract p.16]
Contact details
Email: christian.tezza@unibo.it
GitHub: github.com/tezzachris
Linkedin: christian-tezza-77a48b198