Nicola Bruti Liberati

Education

  1. PhD student in Finance, School of Finance and Economics, University of Technology, Sydney
  2. M.A. in Mathematics of Finance, Columbia University, NY, 2002
  3. BSc in Economics (Discipline Economiche e Sociali), Bocconi University, Milan, 2001

Book Chapters

  1. N. Bruti-Liberati and E. Platen (2007)
    "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance"
    in Numerical Methods for Finance, Financial Mathematics Series, vol. 8, Chapman & Hall/CRC, (forthcoming).

Journal Articles

  1. N. Bruti-Liberati, F. Martini, M. Piccardi and E. Platen (2006)
    "A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation"
    Journal of Mathematics and Computers in Simulation, (forthcoming).


  2. N. Bruti-Liberati and E. Platen (2007)
    "Approximation of Jump Diffusions in Finance and Economics"
    Computational Economics, 29(3-4), 283-312.


  3. N. Bruti-Liberati and E. Platen (2006)
    "Strong Approximations of Stochastic Differential Equations with Jumps"
    Journal of Computational and Applied Mathematics, 205(2) 982-1001.


  4. N. Bruti-Liberati, C. Nikitopoulos-Sklibosios and E. Platen (2006)
    "First Order Strong Approximations of Jump Diffusions"
    Monte Carlo Methods and Applications, 12(3), 191-209.


Conference Proceedings

  1. N. Bruti-Liberati, E. Platen, F. Martini and M. Piccardi (2005)
    "A Multi-point Distributed Random Variable Accelerator for Monte Carlo Simulation in Finance"
    Proceedings of the Fifth International Conference on Intelligent Systems Design and Applications, pp. 532-537, IEEE Computer Society Press.


  2. F. Martini, M. Piccardi, N. Bruti-Liberati and E. Platen (2005)
    "A Hardware Generator for Multi-Point Distributed Random Variables"
    Proceedings of the 2005 IEEE International Symposium on Circuit and Systems (ISCAS05),
    Vol 2, pp. 1702-05.


  3. N. Bruti-Liberati, E. Platen, F. Martini and M. Piccardi (2005)
    "An FPGA generator for Multi-point Distributed Random Variables"
    Proceedings of the 2005 ACM/SIGDA 13th International Symposium on Field Programmable Gate Arrays, Poster Session (full paper accepted, only abstract published), page 280.


  4. N. Bruti-Liberati and E. Platen (2004)
    "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance"
    in Computational Science-ICCS2004, series Lecture Notes in Computer Science, Vol 3039, pag 771-78, Springer-Verlag.

Conference Presentations

  1. "Weak Jump-Adapted Predictor-Corrector Schemes for Jump Diffusions in Finance"
    First IMA Conference on Computational Finance (London, UK, 23/04/2007)

  2. "Weak Predictor-Corrector Schemes for Jump Diffusions in Finance"
    Quantitative Methods in Finance Conference 2006 (Sidney, Australia, 13/12/2006-16/12/2006)

  3. "Weak Predictor-Corrector Methods for Jump Diffusions in Finance"
    5th National Symposium on Financial Mathematics (Melbourne, Australia 27/10/2006-29/10/2006)

  4. "Weak Approximations of Jump Diffusions with Applications in Finance"
    Bachelier Finance Society 2006 Fourth World Congress (Tokyo, Japan 17/8/2006-20/8/2006)

  5. "Predictor-Corrector Schemes for Jump-Diffusion Processes"
    International Conference on Numerical Methods for Finance (Dublin, Ireland 7/6/2006-9/6/2006)

  6. "Approximations of Jump-Diffusion Processes and Applications to Credit Risk"
    2006 Symposium on Credit Risk, Extreme Values, and Actuarial Studies (ANU, Canberra, Australia, 9/3/2006-10/3/2006)

  7. "Weak Numerical Methods for Jump-Diffusion Processes with Applications in Finance"
    Numerical Methods in Finance (Inria-Rocquencourt, France, 1/2/2006-3/2/2006)

  8. "On the Weak Approximation of Jump-Diffusion Processes with Applications in Finance"
    VII Workshop on Quantitative Finance (Perugia, Italy, 26/1/2006-27/1/2006)

  9. "On the Weak Approximation of Jump-Diffusion Processes in Finance"
    Quantitative Methods in Finance Conference 2005 (Sidney, Australia, 14/12/2005-17/12/2005)

  10. "A Multi-point Distributed Random Variable Accelerator for Monte Carlo Simulation in Finance"
    Fifth International Conference on Intelligent Systems Design and Applications (Wroclaw, Poland, 8/9/2005-10/9/2005)

  11. "On the Strong Approximation of Jump Diffusions" (Plenary Lecture)
    Stochastic Calculus and its Applications to Quantitative Finance and Electrical Engineering (Calgary, Canada, 24/7/2005-27/7/2005)

  12. "On the Approximation of Jump-Diffusions Processes"
    Conference on Stochastic Modelling of Complex Systems (Day Dream Island Resort, Australia, 10/7/2005-16/7/2005)

  13. "Strong Approximations of Jump-Diffusions"
    Levy Process Theory and Applications in Finance (Canberra, Australia, 4/3/2005-5/3/2005)

  14. "Random Bit Generators for Monte Carlo Simulation in Finance"
    Quantitative Methods in Finance Conference 2004 (Sidney, Australia, 15/12/2004-18/12/2004)

  15. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance"
    International Conference on Computational Science 2004 (Krakow, Poland, 06/6/2004-09/6/2004)

Seminar Presentations

  1. "On the Approximations of Jump Diffusions with Applications in Finance"
    Universita della Svizzera Italiana, Lugano, Switzerland, September 2005, (invited by Prof. Giovanni Barone-Adesi)

  2. "Random Bit Generators for Monte Carlo Simulation in Finance"
    Banca Imi, Milan, Italy, September 2005, (invited by Gianvittorio Mauri and Fabio Mercurio, Product and Business Development Group).

  3. "Numerical Methods for Jump Diffusions with Applications in Financial Engineering"
    Politecnico, Milan, Italy, September 2005, (invited by Prof. Sandro Salsa and Prof. Emilio Barucci).

  4. "Strong and Weak Approximations of Jump-Diffusion Processes in Finance"
    Essec Business School, Paris, France, September 2005, (invited by Prof. Andrea Roncoroni).

Working Papers

  1. N. Bruti-Liberati, C. Nikitopoulos-Sklibosios and E. Platen,
    "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models"
    Technical Report, University of Technology, Sydney, QFRC Research Paper 198.

  2. N. Bruti-Liberati and E. Platen,
    "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance"
    Technical Report, University of Technology, Sydney, QFRC Research Paper 179.

  3. N. Bruti-Liberati and E. Platen,
    "Approximation of Jump Diffusions in Finance and Economics"
    Technical Report, University of Technology, Sydney, QFRC Research Paper 176.

  4. N. Bruti-Liberati and E. Platen,
    "On the Strong Approximation of Pure Jump Processes"
    Technical Report, University of Technology, Sydney, QFRC Research Paper 164.

  5. N. Bruti-Liberati and E. Platen,
    "On the Strong Approximation of Jump-Diffusion Processes"
    Technical Report, University of Technology, Sydney, QFRC Research Paper 157.

  6. N. Bruti-Liberati, F. Martini, M. Piccardi and E. Platen
    "A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation"
    Technical Report, University of Technology, Sydney, QFRC Research Paper 156.

  7. N. Bruti-Liberati and E. Platen
    "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance"
    Technical Report, University of Technology, Sydney, QFRC Research Paper 114.

Teaching

  1. Lecturer of "Derivative Securities", B.A. of Business, University of Technology, Sydney (Aug-Nov 2006)

Refereing for Scientific Journals

Computational Economics, IEEE Transactions on Computers, Journal of Economic Dynamics & Control,SIAM Journal on Applied Mathematics. E-mail:
nicola.brutiliberati@gmail.com