Department of Economics and Business Economics

Elisa Nicolato

Associate professor

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Elisa Nicolato

Associate professor

  • Department of Economics and Business Economics
Postal address:
Fuglesangs Allé 4
2630, 109
8210
Aarhus V
Denmark

Email: eln@econ.au.dk

Phone: +4587164998

Personal information

Born in Lonigo (Vicenza, Italy) on June 25th, 1969.
Marital status: married.
Children: 1 daughter.

Education and Qualifications

Laurea degree with honors (110/110 cum laude) in Mathematics at University
of Padova, July 1996.
Thesis Title: “A Bayesian Dynamic Programming Approach to Optimal
Maintenance combined with Burn-in.”

Ph.D. degree in Computational Mathematics at University of Padova,
February 2000.
Thesis Title: “ A Class of Stochastic Volatility Models for the Term
Structure of Interest Rates”

Qualified for the position as Associate Professor (Lektor) in Mathematical
Finance, May 2004.

Diploma in Higher Education Pedagogy, April 2009.

Positions

Associate Professor at the Department of Economics and Business, Business
and Social Sciences, Aarhus University, since July 2011.

Associate Professor at the Department of Business Studies, Aarhus School
of Business, Aarhus University, Denmark, July 2009–July 2011.

Assistant Professor at the Department of Business Studies, Aarhus School
of Business, Aarhus University, Denmark, October 2004–July 2009.

Postdoctoral researcher at the Department ofMathematical Sciences, Aarhus
University, Denmark, June 2001–April 2003.

Postdoctoral researcher by invitation at the Vienna University of Technology,
Department of Statistics, Probability Theory and Actuarial
Mathematics, Austria, March 2001–June 2001

Postdoctoral researcher at the Center for Mathematical Physics and Stochastics
and Center for Analytical Finance, Aarhus University, Denmark,
February 2000–February 2001.

Visiting Ph.D. student at the Aarhus University, Department of Mathematical
Sciences, September 1997–January 2001.

Teaching Experience

Fixed Income and Derivative Securities, MA-course. Department of Business
Studies, Aarhus School of Business, Aarhus University. Spring 2009-2011.

Advances in Financial Modeling, MA-course. Department of Business
Studies, Aarhus School of Business, Aarhus University. Fall 2010.

Mathematics, BA-course. Department of Business Studies, Aarhus School
of Business, Aarhus University. Fall 2010.

Financial Engineering, MA-course. Department of Business Studies, Aarhus
School of Business, Aarhus University. Fall 2005, Fall 2006, Fall 2007,
Fall 2008.

Asset Pricing II, MA-course. Department of Business Studies, Aarhus
School of Business, Aarhus University. Fall 2007.

Fixed Income Securities, series of lectures. Part of the MA-course Foundations
of Empirical Finance, Department of Economics, Aarhus University.
Spring 2002.

Mathematics for Economists, Ph.D. course. Department of Economics,
Aarhus University. Fall 2001, Fall 2002.

Concentrated Advanced Course on L´evy Processes, Exercise sessions. Course
organized by MaPhySto, Aarhus University, lectures by Ken-iti Sato
(Nagoya University). January 2000.

Research Interests

Mathematical Finance and Financial econometrics. In particular:
- Term Structure for Interest Rates;
- L´evy and Affine Processes;
- Stochastic Volatility Models.
- Credit Derivatives

Selected Invited Visits and Communications

Frankfurt School of Finance & Management, March 2011.

ETH Zurich, D-Math, October 2010

Quantitative Methods in Finance Conference 2009, Sydney, December 2009.

33rd Conference on Stochastic Processes and Their Applications, Berlin,
July 2009 (by invitation)

19th Annual Derivatives Securities and Risk Management Conference, Arlington,
Virginia, April 2009

Quantitative Methods in Finance Conference 2008, Sydney, December 2008.
Bachelier Finance Society, Fifth World Congress, London, July 2008.

Vienna University of Technology, May 2008.

From L´evy Processes to Semimartingales - Recent Theoretical Developments
and Applications to Finance, Summer School organized jointly
by CAF, DYNSTOCH and MaPhySto, University of Aarhus, August 2002.

Fourth Seminar on Stochastic Analysis, Random Fields and Applications,
Centro Stefano Franscini, Ascona, May 2002.

First SIAM-EMS Conference ”AMCW” 2001 , Berlin, September 2001.

EURANDOM: Application of L´evy processes in Financial Mathematics,
Eindhoven, June 2001.

Vienna University of Technology, September 2000.

Nuffield College, Oxford, June and December 2000.

Centre de Mathematiques Appliquees - Ecole Polytechnique, Palaiseau,
July 1999.

DYNSTOCH, 2000. Padova, September, 2000.

AFFI–CNRS Workshop :Quantitative Methods in Finance. IAE, Aix en
Provence, June 1999.

EUROXV-INFORMSXXXIV, Barcelona, July 1997.

Other Professional Activities

Organizer of the PhD course: ”Commodities and Commodity Derivatives”,
Lectured by Helyette Geman, January 2011.

Organizer of the PhD course: ”Stochastic Processes in Financial Applications”,
Lectured by Dilip B. Madan, January 2010.

Organizer of the PhD course: ”Credit Risk and Bubbles”, Lectured by
Robert A. Jarrow, June 2009.

Organizer of the Workshop: ”Recent Advances in Interest Rate Modeling”,
August 2008.

References

Professor Peter Løchte Jørgensen
Department of Economics and Business
Business and Social Sciences
Aarhus University
Fuglesangs All´e 4, DK-8210, Aarhus V
Denmark
phone:(+45) 8948 6691
email: plj@asb.dk

Professor Anders Grosen
Department of Economics and Business
Business and Social Sciences
Aarhus University
Fuglesangs All´e 4, DK-8210, Aarhus V
Denmark
phone:(+45) 8948 6427
email: gro@asb.dk