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.

Homepage of Matteo Burzoni at the University of Milan

Workshop

NEW: On 5-6 May 2022 we host the workshop Stochastic Games and Martingale Optimal Transport. The call for abstract is open, please visit the website here.

Recent Publications

MFG with absorption and common noise with a model of bank run
available at Arxiv PDF
Adjusted Expected Shortfall
to appear on Journal of Banking & Finance PDF
Robust market-adjusted systemic risk measures
to appear on SIFIN Short Communications PDF

Current Teaching

Matematica Linea AL
Corso di Laurea Triennale in Biotecnologia (Classe L2)

About me

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Workshop

Recent Publications

Current Teaching