Pietro Maria Sparago

E-mail: p.sparago@lse.ac.uk
GitHub: github.com/pitspa
LinkedIn: linkedin.com/in/pietro-maria-s-760865b2
StackExchange (mainly Mathematics): stackexchange.com/users/21271188/snoop?tab=accounts

LSE Personal webage here.

Academic work experience

PhD GTA - Graduate Teaching Assistant a.y. 2023/2024, LSE

• Department of Statistics. Courses: ST330 - Stochastic and Actuarial Methods in Finance and ST302 - Stochastic Processes.

MSc Teaching Assistant a.y. 2020/2021, Bocconi University

• Department of Finance. Course: 20135 - Theory of Finance.

Industry work experience

PhD Researcher Intern a.y. 2023/2024, Bank of England

• MFCD division, Interest Rates and Asset Pricing team. Research work in derivatives markets.

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Research

"Note on the Weak Convergence of Hyperplane α-Quantile Functionals and Their Continuity in the Skorokhod J1 Topology" (2024). Journal Article. Journal of Theoretical Probability, Vol. 38.

• You can find the paper here.

"The mathematics of α-quantile options: an introduction". Conference poster. World Bachelier Congress 2024.

• You can see the poster here. It is a gentle introduction to my research on the α-quantile functional.

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Education

PhD Candidate, Statistics (current position), LSE

• LSE Scholarship.
• Department of Statistics. Research Group: Probability in Finance and Insurance (PFI). Advisors: Prof. Umut Cetin. and Prof. Angelos Dassios..
• My LSE webpage.

MSc, Quantitative Methods for Risk Management. (2022), Distinction, LSE

• Department of Statistics. Received unconditional offer and full scholarship for the MPhil/PhD in Statistics.
• PhD level courses: Probability and Mathematical Statistics I & II (ST452/ST453).

MSc, Finance, Major in Quantitative Finance. (2020), 110/110 cum laude, Bocconi University

• Department of Finance.
• Dissertation Topic: Low Frequency Financial Econometrics. Thesis advisor: Prof. Claudio Tebaldi.
• Research thesis on the econometrics of frequency decompositions of discrete time series.

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