معرفی
Sergio Bianchi is Professor of Quantitative Finance at Sapienza University of Rome and International Associate Professor in the Department of Finance and Risk Engineering at the Tandon School of Engineering, New York University. He previously held professorial positions at the University of Sassari, the University of Cassino, and the Pontifical Gregorian University, and has served as a visiting professor at New York University and Szent István University in Hungary.
His research focuses on the stochastic modeling of financial markets, particularly through fractional and multifractional models, risk assessment, liquidity, and stochastic volatility. These areas are central to understanding market inefficiencies, volatility clustering, and long-memory behavior in financial time series. His work bridges econophysics, mathematical finance, and statistical modeling, contributing to both theoretical and applied finance.
The 15 most recent publications reflect a consistent trajectory in modeling financial dynamics using advanced mathematical tools, especially fractional calculus and multifractal analysis. They span topics such as VIX option pricing, liquidity risk, Hurst exponent estimation, and market inefficiency, demonstrating a deep engagement with both empirical data and theoretical frameworks. The keywords highlight intersections with machine learning, risk management, and econophysics, showing interdisciplinary reach.
Editorial and Professional Contributions:
- Guest Editor for journals on fractal models in economics and finance
- Associate Editor, Frontiers in Applied Mathematics and Statistics
- Associate Editor, Risk and Decision Analysis
- Associate Editor, Mathematical Methods in Economics and Finance
- Permanent member, Scientific Board, Mathematical and Statistical Methods for Actuarial Sciences and Finance (biennial conference)
Sergio Bianchi has advised numerous graduate students and researchers in quantitative finance, though specific names are not listed. His editorial roles and extensive publication record suggest active mentorship and collaboration. He has been involved in research projects related to econophysics and complexity science, including participation in the Econophysics Colloquium 2024 hosted by the Complexity Science Hub. While specific grants are not mentioned, his sustained output and international collaborations indicate significant research support.
He is associated with research groups working on complexity in financial systems, particularly through his involvement in events like the CSH Workshop on Complexity Science. His work continues to influence the application of fractal and stochastic models in finance, with future research likely to explore machine learning integration, high-frequency data analysis, and systemic risk modeling.
