Curriculum

Full CV

Academic education
Laurea in Economia e Commercio (University of Florence), 1991, summa cum laude
1991 - 1993: PhD student in Economics,  University of Siena
1992 - 1993: Research student London School of Economics (UK)

Academic career
1993 - 1998: Ricercatore, University of Florence
1998 - 2001: Associate Professor of Financial Mathematics, University of Pisa
1999 - 2004: Coordinator of the Phd program in Mathematics for Economic Decisions, University of  Pisa.
2001 - 2005: Full Professor of Financial Mathematics, University of Pisa
2005 - present: Full Professor of Financial Mathematics, Politecnico di Milano
2010 - present: Director of the Corso di Alta Formazione in Finanza Quantitativa, MIP-Politecnico di Milano.
2011 - present: Director of the QFinLab, Nicola Bruti Liberati Quantitative Finance Lab.
2019 - present: Director of the International Master in Fintech.

Teaching

Finanza Matematica I

Activities

Research Interests

• Financial Economics
• Asset Pricing
• Mathematical Finance
• Corporate Finance
• Macroeconomics
• FinTech
• Financial Education
• Banking
• Privatization

Publications:

1. P.F.Asso, E.Barucci, ``Ricardo on the National Debt and its redemption: some notes on  an unpublished ricardian manuscript";  Economic Notes, 1988, 5-37. Reprinted in Debt and Deficits, L. Kaounides, G. Wood eds., Edward Elgar, Vol.I, 99-130, 1992.
2. P.F.Asso, E.Barucci, ``Editing Ferrara's Complete Works: Technical and Scientific  Issues"; Revue Europeenne des Sciences Sociales, XXX, 47-68, 1992.
3. E.Barucci, P.Zezza, ``Optimal Control Theory and the Reelection Problem: the Rise of  a Political Business Cycle"; Rivista di Matematica per le Scienze Economiche e  Sociali, 15, 25-45, 1992.
4. E. Barucci, P.Zezza, ``Popularity and Reelection in a Macroeconomic Model";  Economic Notes, XXII, 17-36, 1993.
5. E.Barucci, L.Landi, ``A neural network model for short term interest rate forecasting: the 12 months bot italian auction rate"; Neural Network World - International Journal on Neural and Mass-Parallel Computing and Information Systems, 6:625--656, 1993.
6. E.Barucci, "Note al margine del mercato dei BOT: analisi e proposte"; Note Economiche, XXIV, 213-238, 1994.
7. E.Barucci, G.M. Gallo, L.Landi, "Linear versus non--linear forecasting: a look at neural networks"; Computational Economic Systems Models, Methods & Econometrics, Gilli ed.,  161-190, Kluwer, 1995.
8. E.Barucci, P.Zezza, "Optimality conditions for control systems and economic applications"; Rivista Internazionale di Scienze Economiche e Commerciali, Aprile, XLII, 257-284, 1995.
9. E.Barucci, U.Cherubini, L.Landi, ``Computational Methods in Finance: Option Pricing"; IEEE Computational Science&Engineering, spring, p.66-80, 1996.
10. E.Barucci, L.Landi, ``Learning non-Rational Expectations Equilibria"; Rivista di Matematica per le Scienze Economiche e Sociali, Anno 18, p.15 -31, 1996.
11. E. Barucci, L. Landi, ``Speculative Dynamics with Bounded Rationality Learning"; European Journal of Operational Research, 91, 1996, p.284-300.
12. E. Barucci, U. Cherubini, L. Landi, ``No-Arbitrage Asset Pricing with Neural Networks under Stochastic Volatility"; Neural Networks in Financial Engineering, Eds. A. Refenes et al., 1996, p.3-16,  World Scientific.
13. E.Barucci, P.Zezza, ``Does a Life Cycle Exist for a Hedonistic Consumer?"; Mathematical Social  Sciences, 32, 1996, p.57-69.
14. E. Barucci, L. Landi, ``Reti Neurali per l'Analisi delle Serie Storiche: Aspetti Metodologici ed Applicazioni"; Ricerche Quantitative per la Politica Economica 1995, Banca d'Italia-CIDE, p.275-337, 1997.
15. E.Barucci, U.Cherubini, L.Landi, ``Neural Networks for Contingent Claim Pricing via the Galerkin Method"; Advances in Computational Economics, Amman, Rustem, Whinston eds., Kluwer, 1997.
16. E.Barucci, L.Landi, ``Least Mean Squares learning in Self-Referential Linear Stochastic models"; Economics Letters, vol. 57 (3), p.313-317, 1997.
17. E.Barucci, L.Landi, ``Nonlinear versus Linear learning models: a procedural perspective", Computational Economics, vol. 12 (2), p.171-191, 1998.
18. E.Barucci, F.Gozzi, ``Investment in a Vintage Capital Model"; Research in Economics, vol.52 (2), p.159-188, 1998.
19. E. Barucci, ``Optimal Investment Policy under Increasing Returns to Scale", International Economic Review, 1998, 789-808.
20. E.Barucci, F.Gozzi, V.Vespri, ``On a Semigroup Approach to No-Arbitrage Pricing Theory"; Proceedings of the Seminar on Stochastic Analysis, Random Fields and Applications, Birckauser Verlag, 1999.
21. E. Barucci, F. Gozzi, ``Optimal Advertising with a Continuum of Goods", Annals of Operations Research, 88, 1999:15-29.
22. E.Barucci, M.E.Mancino, ``Wiener Chaos and Hermite Polynomials Expansions for Pricing and Hedging Contingent Claims", Advances in Futures and Options Research, 10, 1999: 103-134.
23. E. Barucci, ``Memory, learning and the selection of equilibria in a model with nonuniqueness'', Computational techniques for modelling learning in economics, T. Brenner ed., 1999, Kluwer: 243-260.
24. E. Barucci, ``Heterogeneous beliefs and learning in forward looking economic models'', Journal of Evolutionary Economics, 9, 1999: 453-464.
25. E. Barucci, G. I. Bischi, L. Gardini, ``Endogenous Fluctuations in a Bounded Rationality Economy: Learning non Perfect Foresight Cycles'', Journal of Economic Theory, 1999, 87: 243-253.
26. E. Barucci e R. Monte, ``Diffusion processes for asset prices under bounded rationality''; Trends in Contemporary Infinite Dimensional Analysis and Quantum probability. Essays in honour of Takeguki Hida, in the occasion of his 70-th birthday, L. Accardi, H.H. Kuo, L. Streit, S. Si, K. Saito eds., Istituto Italiano di Cultura di Kyoto, 2000, 37-55.
27. E. Barucci, ``Differential Games with Nonconvexities and Positive Spillovers''; European Journal of Operations Research, 2000, 121: 193-204.
28. E. Barucci, ``Exponentially Fading Memory Learning in Forward Looking Economic Models"; Journal of Economic Dynamics and Control, 2000, 24: 1027-1046.
29. E. Barucci, F. Gozzi, A. Swiech, ``Incentive Compatibility Constraints and Dynamic programming in continuous time"; Journal of Mathematical Economics, 2000, 34:471-509.
30. E. Barucci, ``Fading memory learning in a class of forward looking models with an application to the hyperinflation dynamics''; Economic Modelling, 2001, 18: 233-252.
31. F. Antonelli, E.Barucci, M.E. Mancino, ``Asset pricing with endogenous aspirations''; Decisions in Economics and Finance, 2001, 24: 21-41.
32. F. Antonelli, E. Barucci, M. Mancino, ``Asset pricing with a backward and forward stochastic differential utility'', Economics Letters, 2001, 72, pp.151-157.
33. E.Barucci, S. Polidoro, V. Vespri, ``Some Results on Partial Differential Equations and Asian Options''; Mathematical Methods and Models in Applied Mathematics, 2001, 11, 3, pp.475-497.
34. E. Barucci, F. Gozzi, ``Technology Adoption and Accumulation in a Vintage Capital Model", Journal of Economics, 2001, 74, 1, pp.1-38.
35. E. Barucci, R. Reno', ``On Measuring Volatility of diffusion processes with high frequency data'', Economics Letters, 2001, 74, 371-378.
36. F. Antonelli, E. Barucci, M. E. Mancino, ``A comparison result for backward stochastic differential equations with applications",  Mathematical Methods for Operations research, 2001, 54, 3, 407-424.
37. E. Barucci, R. Reno' ``On measuring voaltility and GARCH models forecasting performance''; Journal of International Financial Markets, Institutions and Money, 2002, 12: 183-200.
38. E. Barucci, R. Reno', ``Value at risk wsith high frequency data'', New trends in banking management, Zopuonidis ed., Physica Verlag, 2002, 223-232.
39. E. Barucci, P.Malliavin, M.E. Mancino, R. Reno', A.Thalamier ``The price-volatility feedback rate: an implmentable mathematical indicator of market stability'', Mathematical Finance, 2003, 13: 17-35.
40. E.Barucci, C.Impenna, R.Reno' ``The italian overnight market: microstructure effects, the martingale hypothesis and the payment system''; Temi di Discussione, 2003, nr. 475.
41. E.Barucci, C.Bianchi, S.Mancini ``Una analisi dell'effetto degli studi degli analisti finanziari sulle serie storiche dei prezzi e dei volumi'', Bancaria, Dicembre, 2003.
42. E. Barucci, R. Monte, R. Reno' ``Asset prices anomalies under bounded rationality''; Computational Economics, 23, 2004: 255-269.
43. E.Barucci and V.Faralli, ``Una metodologia per l'individuazione di fenomeni di market abuse nei mercati finanziari'', Banca, Impresa e Societa', 2004: 515-532.
44. E.Barucci, C.Bianchi, A.Passaponti ``Comportamenti imitativi tra gli analisti finanziari'',  Rivista di Politica Economica, 2005: 103-137.
45. E.Barucci, A.Monti ``Una analisi della reazione del mercato alle variazioni delle partecipazioni rilevanti delle societa' quotate nel mrcato finanziario Italiano'', Banca Impresa e Societa', 2005: 379-401.
46. E.Barucci, J. Falini ``Determinants of corporate governance in the Italian financial market'', Economic Notes, 34, 2005: 371-405.
47. E. Barucci, C.Bianchi, M. Frediani ``CEO turnover in the Italian financial market'', Giornale degli Economisti, 65, 2006: 127-154.
48. E.Barucci, C.Bianchi, A.Manconi ``Internal dealing regulations and insiders' trades in the Italian financial market'' , European Journal of Law and Economics, 22, 2006: 107-119.
49. E. Barucci, C. Bianchi, F. Casciari, E. Squillantini ``Definizione di una metodologia per l'individuazione di fenomeni di market abuse'', Statistica Applicata, 2006: 559-571.
50. E. Barucci e F. Mattesini, Bank shareholding and lending: complementarity or substitution? Some evidence from a panel of large Italian firms, Journal of Banking and Finance, 2008: 2237-2247.
51. E. Barucci e M.E. Mancino, Computation of volatility in stochastic volatility models with high frequency data, International Journal of Theoretical and Applied Finance, 2010, 13, 767-787.
52. E. Barucci, D. Magno, M.E. Mancino,  Fourier volatility forecasting with high frequency data and microstructure noise, Quantitative Finance, 2012, 2: 281-294.
53. E. Barucci e D. Marazzina, Optimal Investment, Stochastic Labor Income and Retirement, Applied Mathematics and Computation, 2012, 218: 5588- 5604.
54. E. Barucci e M. Tolotti, Identity, Reputation and social interaction with an application to sequential voting, Journal of Economic Interaction and Coordination, 2012, 7:79-98.
55. E. Barucci e L. Del Viva, Countercyclical Contingent Capital, Journal of Banking and Finance, 2012, 36: 1688-1709.
56. E.Barucci e M. Tolotti, Social interaction and conformism in a random utility model, Journal of Economic Dynamics and Control, 2012 36 (12): 1855-1866.
57. E. Barucci e L. Del Viva, Dynamic Capital Structure and the Contingent Capital Option, Annals of Finance, 2013, 9: 337-364.
58. E. Barucci e M. Casna, On the market selection hypothesis in a mean reverting environment, Computational Economics, 2014, 44, 101-126.
59. E. Barucci e F. Gazzola Prices in the utility function and demand monotonicity, Kodai mathematical journal, 2014, 37: 544-568.
60. E. Barucci e A. Cosso, Portfolio choices and VaR constraint with a defaultable asset, Quantitative Finance, 2015, 5: 853-864.
61. E. Barucci e D. Marazzina, Risk seeking, non convex remuneration and regime switching, International Journal of Theoretical and Applied Finance, 2015, 18: 12-37.
62. E. Barucci, R. Baviera, C. Milani, Is the comprehensive assessment able to capture banks' risks?, Finance Research Letters, 2016, 19: 98-104.
63. E. Barucci and D. Marazzina, Asset management, High Water Mark and flow of funds, Operations Research Letters, 2016, 44: 607-611.
64. E. Barucci, R. Baviera, C. Milani, Is the comprehensive assessment really comprehensive?, European Journal of Finance, 2018, 1: 1-19.
65. E. Barucci, D. Marazzina, G. La Bua, On relative performance, remuneration and risk taking of asset managers, Annals of Finance, 2018, forthcoming.
66. E. Barucci, C. Milani, Do European banks manipulate risk weights?, International Review of Financial Analysis, 2018 forthcoming.

Working Papers

• E. Barucci, E. Biffis e D. Marazzina, Health Insurance, Portfolio Choice, and Retirement Incentives
• E. Barucci, T. Colozza, C. Milani, State aids to the banking system in the EU.
• E. Barucci e T. Colozza, Convergence of financial systems and the crisis.
• E. Barucci, D. Marazzina, E. Mastrogiacomo, Asset allocation with minimum guarantee.
• E.Barucci, T.Colozza, D.Marzzina, E.Rroji, Lapse rate modeling in life insuarnce
• E.Barucci, D.Brigo, M.Francischello, D.Marazzina On the design of sovereign bond-backed securities

Books

1) Emilio Barucci, Teoria dei mercati finanziari, 2000, Il Mulino.

2) Emilio Barucci, Financial Markets Theory, 2003, Springer&Finance.

3) Emilio Barucci, Claudio Marsala, Matteo Nencini, Carlo Sgarra Ingegneria Finanziaria, 2009, EGEA editore.

4) Emilio Barucci, Mercato dei Capitali e corporate governance in Italia, 2006, Carocci Editore.

5) Emilio Barucci e Federico Pierobon, Le privatizzazioni in Italia, 2007, Carocci editore.

6) Emilio Barucci e Federico Pierobon, Stato e  mercato nella seconda repubblica, 2010, Il Mulino.

7) E. Barucci e C. Fontana Financial Markets Theory, second edition, Springer&Finance, 2017.

8) E. Barucci Chi salverà la finanza, EGEA, 2018.

9) E. Barucci Who will rescue finance?, Bocconi University Press, 2019.

Volumi curati:

E. Barucci e M. Messori (a cura di), Oltre lo shock, EGEA editore, 2009.

E. Barucci, C. De Vincenti e M. Grillo (a cura di), Idee per l'Italia. Mercato e Stato, Brioschi Editore 2010.

Edizione italiana di J. Quiggin Zombie Economics EGEA edizioni, 2012.

E. Barucci e M. Messori (a cura di), Towards the European Banking Union, Passigli
editore, 2014.