Marco Tolotti Curriculum Vitae

Marco Tolotti
Curriculum Vitae
June 2014
Personal Data
date of birth: 18.th of March 1978
civil status: married, two children
nationality: Italian
position: Assistant Professor (Ricercatore)
affiliation: Department of Management
Universit`a Ca’ Foscari Venezia
Cannaregio 873 - 30121, Venice, Italy
e- mail : [email protected]
phone: +39 041 2346928
website: http://venus.unive.it/˜tolotti
fax:
+39 041 2347444
scientific-disciplinary sector (Italian university system):
SECS-S/06 “Metodi matematici dell’economia e delle scienze attuariali e finanziarie”
Member of the Research Center “IOS” (Innovation, Organization and Strategy), Universit`a Ca’ Foscari Venezia, since April 2011.
Member of the Erasmus Committee of the Department of Management, since July 2011.
Member of the AMS (American Mathematical Society) and AMASES (Italian Association
of Mathematics Applied to Economic and Social Sciences).
Former academic positions
Department of Applied Mathematics, Universit`a Ca’ Foscari Venezia
(December 2008 - December 2010)
Department of Finance, Bocconi University, Milano. Postdoctoral position.
(March 2006- November 2008)
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Scholarships
March 2006 - November 2008: Postdoctoral position, Department of Finance, Bocconi
University, Milano.
January 2006 - February 2006: Research Project “Application of models from the Statistical Mechanics to the study of the contagious default in Finance”, Department of Pure
and Applied Mathematics, University of Padova.
January 2003 - December 2005: Ph.D. Scholarship, Scuola Normale Superiore, Pisa, Italy.
Graduate Studies
Ph.D. in Applied Mathematics to Finance and Insurance,
Scuola Normale Superiore, Pisa, July 2008
Master of Advanced Studies in Finance,
ETH Zurich and University of Zurich, February 2005
Laurea in Matematica, University of Padova, March 2002
Professional Service
Referee for: Finance and Stochastics; Journal of Banking and Finance; Journal of Economic Interaction and Coordination; Mathematical Finance; Stochastic Systems; The
Journal of Credit Risk
International conferences (organization/committee): MAF2012 (Mathematical and Statistical Methods for Actuarial Sciences and Finance)
Research visits
School of Electronic Engineering and Computer Science, Queen Mary University, London,
July 2014 (forthcoming).
UTS Business School, University of Technology Sydney, 5-13 August 2013.
School of Mathematical Sciences, Monash University (Melbourne), 4 July - 4 August
2013.
Institute of Mathematics, Technische Universit¨at Berlin, 19 - 25 May 2013.
School of Engineering and Applied Science, Columbia University (New York), 2 - 10
November 2008.
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Research interests
Large deviations and limit theorems with applications to economics and finance.
Contagion models with applications to credit risk.
Diffusion of innovations through social networks.
Dynamics of conformism attitudes in random utility models with social interactions.
Price formation in market games with many interacting and boundedly rational agents.
Refereed Publications
1. COLAPINTO C.; SARTORI E.; TOLOTTI M. (2014) Awareness, persuasion, and adoption: Enriching the Bass model, in PHYSICA. A, vol. 395, pp. 1-10 (ISSN 0378-4371;
DOI: 10.1016/j.physa.2013.10.001)
2. DAI PRA P.; SARTORI E.; TOLOTTI M. (2013) Strategic interaction in trend-driven
dynamics, in JOURNAL OF STATISTICAL PHYSICS, vol. 152(4), pp. 724-741 (ISSN:
0022-4715; DOI: 10.1007/s10955-013-0784-y)
3. BARUCCI E.; TOLOTTI M. (2012) Social Interaction and Conformism in a Random Utility Model, in JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, vol.
36(12), pp. 1855-1866 (ISSN 0165-1889)
4. BARUCCI E.; TOLOTTI M. (2012) Identity, reputation and social interaction with an
application to sequential voting, in JOURNAL OF ECONOMIC INTERACTION AND
COORDINATION, vol. 7 (1), pp. 79-98 (ISSN 1860-711X)
5. TOLOTTI M. (2012) A linear filtering approach for incomplete accounting information
models, in ADVANCES AND APPLICATIONS IN STATISTICS, vol. 29 (2), pp. 135-151
(ISSN 0972-3617)
6. DAI PRA P.; TOLOTTI M. (2009) Heterogeneous credit portfolios and the dynamics of
the aggregate losses., in STOCHASTIC PROCESSES AND THEIR APPLICATIONS,
vol. 119 (9), pp. 2913-2944 (ISSN 0304-4149)
7. DAI PRA P.; RUNGGALDIER W.J.; SARTORI E.; TOLOTTI M. (2009) Large portfolio
losses: a dynamic contagion model, in THE ANNALS OF APPLIED PROBABILITY,
vol. 19(1), pp. 347-394 (ISSN 1050-5164)
8. BATTAUZ A.; DE DONNO M.; SBUELZ A.; TOLOTTI M. (2009) Risk tolerance levels for insurance companies, in GIORNALE DELL’ISTITUTO ITALIANO DEGLI ATTUARI, GIORNALE DELL’ISTITUTO ITALIANO DEGLI ATTUARI, vol. 72, pp.
289-300 (ISSN 0390-5780)
9. DAI PRA P.; RUNGGALDIER W.; TOLOTTI M. (2004) Pathwise optimality for benchmark tracking, in IEEE TRANSACTIONS ON AUTOMATIC CONTROL, vol. 49(3),
pp. 386-395 (ISSN 0018-9286)
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Working Papers and other publications
1. P. PELLIZZARI; E. SARTORI; M. TOLOTTI (2014) Trade-in programs in the context
of technological innovation with herding, Working Paper 4/2014, in WORKING PAPER
SERIES, Venezia, Department of Management, Universit`a Ca’ Foscari Venezia., pp. 1-15,
ISSN 2239-2734.
2. COLAPINTO C.; SARTORI E.; TOLOTTI M. (2013) How the innovation diffusion
models from the past can help us to explain marketing in the new media era, Proceedings
of The 16th Biennial World Marketing Congress, pp. 749-755, July 2013.
3. COLAPINTO C.; SARTORI E.; TOLOTTI M. (2012) A two-stage model for diffusion of
innovations, in Working Paper Series, Department of Management, Universit`a Ca’ Foscari
Venezia , pp. 1-20, ISSN: 2239-2734. Working Paper n.16, October 2012.
4. DAI PRA P.; FONTINI F.; SARTORI E.; TOLOTTI M. (2011) Endogenous equilibria
in liquid markets with frictions and boundedly rational agents, in Working Paper Series,
Venice, Department of Management, Universit`a Ca’ Foscari Venezia , pp. 1-35, ISSN:
2239-2734. Working Paper n.7, August 2011.
5. BARUCCI E; TOLOTTI M. (2009) The dynamics of social interaction with agents heterogeneity, in Working Papers, Department of Applied Mathematics, Ca’ Foscari University
of Venice, vol. , pp. 1-30, ISSN: 1828-6887. Working Paper n.189, July 2009.
6. TOLOTTI M. (2009) Social interactions and heterogeneous agent models. Applications
to economics and finance, pp. 124-130, Nei rendiconti del Seminario Dottorato 2008/09,
Scuola di Dottorato in Matematica Pura e Matematica Computazionale.
7. TOLOTTI M. (2008) The impact of contagion on large portfolios. Modeling aspects.
Scuola Normale Superiore, Pisa, June 2008. (PhD Thesis)
8. TOLOTTI M. (2005) Credit Risk under incomplete accounting information: A discretized
approach in filtering language, ETH Zurich, February 2005. (Master Thesis)
9. SCHOENBUCHER P.; TOLOTTI M. (2005) Credit Risk under incomplete accounting
information: A discrete time model and its asymptotic behaviour, Preprint.
Presentations at refereed conferences
Artificial Economics Conference 2014, Barcelona, 1-2 Septmeber 2014. (forthcoming)
“Trade-in programs in the context of technological innovation with herding”
PRIN Workshop, Collegio Carlo Alberto, Torino, 17 December 2013.
“Monopolistic pricing on the edge of a technologial change”
16th Biennial Academy of Marketing Science - World Marketing Congress, July 2013.
“How the innovation diffusion models from the past can help us to explain marketing in
the new media era”
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XXXVI Convegno AMASES 2012, Vieste, September 2012.
“Awareness and adoption in the new media era: a micro founded approach”
12th Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Wien,
May 2012.
“Endogenous equilibria in liquid markets with frictions and boundedly rational agents”
16th Workshop on Economics & Heterogeneous Interacting Agents, Ancona, June 2011.
“Price formation in mean field games under market frictions and social interactions.”
Workshop on Quantitative Finance, Padova, January 2011.
“Price formation in mean field games under market frictions and social interactions.”
Mini-Symposium on Topics on Dependence Models and Multivariate Risk, Rome, June
2010 (Invited speaker).
“Direct contagion in large portfolios. Modeling aspects.”
11th Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Amsterdam, June 2010.
“Microfoundation of conformism in a reduced form model for social interactions”
Society for Nonlinear Dynamics and Econometrics 18th Annual Symposium, Novara,
April 2010.
“Microfoundation of conformism in a reduced form model for social interactions”
XXXIII Convegno AMASES 2009, Parma, September 2009.
“The dynamics of social interactions with agent’s heterogeneity”
X Workshop on Quantitative Finance, Politecnico di Milano, Milano, January, 2009.
“Heterogeneous credit portfolios and the dynamics of the aggregate losses”
XXXII Convegno AMASES, Trento, September 2008.
“Heterogeneous credit portfolios and the dynamics of the aggregate losses”
“Bachelier Finance Society Fifth World Congress”, London, July 2008.
“Heterogeneous credit portfolios and the dynamics of the aggregate losses”
“Credit Risk Models for Financial Markets and Banking”, Rimini, October 2007 (Invited
speaker).
“Large portfolio losses, a dynamic contagion model”
XXXI Convegno AMASES, Lecce, September 2007.
“Large portfolio losses, a dynamic contagion model”
“Stochastic processes: Theory and Applications. On occasion of the 65th birthday of
Wolfgang Runggaldier”, Brixen July 2007 (Invited speaker).
“Large portfolio losses, a dynamic contagion model”
“VIII Workshop on Quantitative Finance”, Venice, January 2007.
“Large portfolio losses, a dynamic contagion model”
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“Credit risk tutorial”, C.R.E.D.I.T. conference 2006, Venice, September 2006.
“Large portfolio losses, a dynamic contagion model”
“Risk Management: From Basel II to Basel III”, Ascona (Switzerland), March 2006.
“Large portfolio losses, a dynamic contagion model”
XXIX Convegno AMASES, Palermo, September 2005.
“Credit Risk under incomplete accounting information: A discrete time model and its
asymptotic behaviour”
Invited talks
School of Electronic Engineering and Computer Science, Queen Mary University, London,
July 2014 (forthcoming). “Diffusion of innovation: Awareness, persuasion and adoption”
UTS Business School, University of Technology, Sydney, 7 August 2013.
“Strategic interaction in trend-driven dynamics”
School of Mathematical Sciences, Monash University, Melbourne, 31 July 2013.
“Probabilistic models for interacting agents facing binary decisions”
Universit`a Ca’ Foscari Venezia, “Laboratorio sui derivati e i loro rischi”, Venezia, 13 June
2013. “Rischio, come misurarlo e... comunicarlo?”
Alpen-Adria Universit¨at, “3.rd Venice-Klagenfurt Workshop”, Klagenfurt, 5 June 2013.
“Monopolistic pricing on the edge of a technological change”
Institute of Mathematics, Technische Universit¨at Berlin, 23 May 2013.
“Probabilistic models for interacting agents facing binary decisions”
Fondazione per l’Universit`a e l’alta cultura in provincia di Belluno, “Laboratorio sui
derivati e i loro rischi”, Feltre, 16 June 2012.
“Rischio, come misurarlo e... comunicarlo?”
Dipartimento di matematica “F. Brioschi”, Politecnico di Milano, 15 February 2012.
“Adoption Curves: Beyond the Bass Model”
Department of Decision Sciences, Bocconi University, Milano, 8 February 2012.
“Endogenous equilibria in liquid markets with frictions and boundedly rational agents.”
Dipartimento di Matematica Pura e Applicata, University of Padova, 7 June 2011.
“Price formation in mean field games under market frictions and social interactions.”
Dipartimento di Scienze Economiche e Dipartimento di Matematica per le Decisioni,
University of Florence, 27 May 2010.
“Direct Contagion in Large Portfolios. Modeling aspects.”
Officina di Tesi Triennale, University Ca’ Foscari Venice, 29 March 2010.
“Crisi finanziaria 2007/09. Perch´e i matematici siedono sul banco degli imputati?”
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Department of Decision Sciences, Bocconi University, 26 February 2010.
“Microfundation of conformism in a reduced form model for social interaction”
Department of Pure and Applied Mathematics, University of Padova, 03 June 2009.
“Social Interactions and heterogeneous agents. Applications to Economics and Finance”
Department of Computer Sciences, University of Verona, Verona, 26 January 2009.
“Contagion models and applications to Finance and Social Sciences”
School of Engineering and Applied Science, Columbia University (New York), 05 November 2008.
“The impact of contagion on large portfolios. Modeling aspects”
Scuola Normale Superiore, Pisa, 21 July 2008.
“The impact of contagion on large portfolios. Modeling aspects”
Dipartimento di matematica ”F. Brioschi”, Politecnico di Milano, 10 June 2008.
“Applications of Large Deviations to Finance: the problem of credit contagion”
Economic Sciences and Quantitative Methods Department, Universit`a del Piemonte Orientale, 15 May 2007.
“The impact of contagion on large portfolios. Modeling aspects”
“Mathematical Economics and Quantitative Finance Seminars ”, Bocconi University Milan, February 2006.
“Large portfolio losses, a dynamic contagion model”
Dipartimento di matematica “Guido Castelnuovo”, Universit`a La Sapienza, Rome, 30
January 2006.
“Large portfolio losses, a dynamic contagion model”
Colloquium Talks, ETH Z¨
urich, February 2005.
“Credit Risk under incomplete accounting information: A discretized approach in filtering
language”
Tutoring of Postdoctoral students
March 2011 - February 2012: Elena Sartori, Probabilistic techniques for decision sciences.
July 2012 - June 2013: Elena Sartori, The role of social interaction in choice models.
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Teaching experiences
(E): The courses marked with ’(E)’ have been taught in English
Ph.D. courses and International Master Programs (Dottorato e Master II livello)
“Mathematics” (E), International Master in Economics and Finance (IMEF), Ca’ Foscari.
“Mathematics (Preparatory Course)” (E), Graduate School of Economics and Management (GSEM), Ca’ Foscari University of Venice and University of Padova.
“Mathematical models for Finance” (E), Master of Quant.Finance and Risk Manag.
(MAFINRISK), Bocconi University, Milan.
Master programs (Laurea magistrale)
“Techniques for managerial decisions” (E), Master in Internat. Management, Ca’ Foscari.
“Tecnica delle Assicurazioni”, Master in Economia e Finanza, Ca’ Foscari.
“Modelli quantitativi per la finanza”, Master in Finance, Bocconi University, Milan.
Undergraduate programs (Laurea triennale)
“Mathematics I” (E), Economics and Management, Ca’ Foscari.
“Mathematics II” (E), Economics and Management, Ca’ Foscari.
“Additional learning requirements in math.” (E), Economics and Manag., Ca’ Foscari.
Teaching assistant
“Mathematics, Practice Session”, Ca’ Foscari University of Venice.
“Quantitative Finance” (E), Bocconi University, Milan.
“Mathematical Finance” (E), Bocconi University, Milan.
“Matematica finanziaria”, Bocconi University Milan.
“Quantitative methods for finance” (E), Bocconi University, Milan.
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