Alessandro Calvia
Professore associato in Metodi Matematici per l”Economia e le Scienze Attuariali e Finanziarie. Docente dei corsi Mathematical Finance II e Insurance. Interessi di ricerca: controllo ottimo stocastico, equazioni differenziali stocastiche retrograde (BSDE), giochi differenziali a campo medio e problemi di controllo di campo medio (mean-field games, mean-field control), con applicazioni all’economia, alla finanza e alle scienze attuariali.
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari, Fausto Gozzi “Existence and Uniqueness Results for a Mean-Field Game of Optimal Investment”
Posted in: Articolo
Set
19
2026
Abstract: We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company with a mass of identical and indistinguishable firms is modeled ...more »
Tagged width: Calvia Alessandro, Optimal investment, Price formation
Alessandro Calvia, Marzia De Donno, Chiara Guardasoni, Simona Sanfelici “Short-rate models with stochastic discontinuities: A PDE approach”
Posted in: Articolo
Mag
21
2026
Abstract: With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (€STR) in Europe. These rates exhibit characteristics like ...more »
Tagged width: Calvia Alessandro, Interest rate models, Risk-Free Rates
