Matteo Burzoni

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I joined the University of Milan in March 2020. Before that I had a position at the University of Oxford and at ETH Zurich.
Among other things, I am interested in Mean Field Games, Knightian Uncertainty, stochastic calculus and risk measures.

Welcome

You reached the homepage of Matteo Burzoni.
Short CV

I joined the University of Milan in March 2020 as "Ricercatore RTD-B". Previously, I had a position as "Hooke Research Fellow" at the University of Oxford and as postdoctoral researcher at ETH Zurich.
Research

I am currently very interested in Mean Field Games and large populations control problems. Among other things I am also interested in modeling Knightian Uncertainty in finance and economics and in the theory of risk measures.

MFG with absorption and common noise with a model of bank run
available at Arxiv PDF
Adjusted Expected Shortfall
Journal of Banking and Finance 134 106297, 2022 PDF
Robust market-adjusted systemic risk measures
SIAM Journal of Financial Mathematics 12(3), SC70–SC82, 2021 PDF

Argomenti Avanzati di Finanza Matematica
Corso di Laurea Magistrale in Matematica (L40)