Home / Nicola Bruti Liberati

Nicola Bruti Liberati

logo1
logo2

(English version below)

Nicola era un ricercatore senior presso la School of Finance and Economics della University of Technology, Sydney (UTS) con specializzazione in finanza matematica e quantitativa e in metodi numerici per equazioni differenziali stocastiche. Nato a Milano nel 1975, i suoi interessi accademici si rivolsero ai metodi quantitativi applicati all’economia e alla finanza durante i suoi studi universitari. Nel marzo del 2001 gli fu conferita la Laurea in Economia con lode dall’Università Bocconi di Milano con una tesi su Applicazioni di equazioni alle derivate parziali a modelli finanziari avendo come relatore il prof. Sandro Salsa. Nicola perfezionò i suoi studi a New York dove ottenne un Master in Matematica con specializzazione in Matematica della Finanza presso la Columbia University con il massimo dei voti. Successivamente, Nicola intraprese un Dottorato di Ricerca (Ph.D.) in metodi finanziari quantitativi presso la School of Finance and Economics di UTS sotto la guida del prof. Eckhard Platen. Nicola ha consegnato la sua tesi di dottorato Numerical Solution of Stochastic Differential Equations with Jumps in Finance nell’aprile 2007 venendo immediatamente ammesso a ricevere il titolo di Dottore di Ricerca che gli doveva essere rilasciato formalmente dall’ateneo durante una cerimonia ufficiale in settembre. Prima di ricevere formalmente il titolo, il 27 agosto del 2007 Nicola è morto in un incidente stradale.

Nicola ha svolto la sua attività di ricerca principalmente nell’ambito dei metodi numerici per processi stocastici con salti. Il libro scritto in collaborazione con Eckhard Platen rappresenta tuttora un punto di riferimento nella materia.

Nicola colpiva chi lo incontrava per la modestia e determinazione che nascondevano una intelligenza e una sensibilità non comuni. Chi ha avuto la fortuna di conoscerlo ricorderà per sempre la sua gentilezza e la sua umanità. 

Il suo legame con il Dipartimento di Matematica è dovuto al rapporto con il suo mentore Sandro Salsa. È proprio grazie a lui, che il Dipartimento di Matematica si è aperto nel 2005 alla finanza quantitativa. Il laboratorio del Dipartimento QFinLab, fondato e diretto da Emilio Barucci, è intitolato a Nicola in ricordo di quello che ha trasmesso a chi ha avuto la fortuna di conoscerlo.

Nicola was a Senior Researcher at the School of Finance and Economics of the University of Technology Sydney (UTS), specializing in mathematical and quantitative finance and numerical methods for stochastic differential equations. Born in Milan in 1975, his academic interests turned to quantitative methods applied to economics and finance during his university studies. In March 2001, he graduated with honours in Economics from Bocconi University in Milan, with a thesis on Applications of Partial Differential Equations to Financial Models, supervised by Professor Sandro Salsa. Nicola continued his studies in New York, where he obtained a Master’s degree in Mathematics, specializing in Mathematics of Finance, from Columbia University with the highest honours. He subsequently undertook a PhD in quantitative finance methods at the School of Finance and Economics at UTS under the supervision of Professor Eckhard Platen. Nicola submitted his PhD thesis, Numerical Solution of Stochastic Differential Equations with Jumps in Finance, in April 2007 and was immediately approved for the award of the PhD degree, which was to be formally conferred by the University at an official ceremony in September. Before formally receiving his degree, on 27 August 2007, Nicola died in a road accident.

Nicola’s research focused mainly on numerical methods for stochastic processes with jumps. The book he co-authored with Eckhard Platen remains a reference work in the field to this day.

Nicola impressed those who met him with his modesty and determination, behind which lay uncommon intelligence and sensitivity. Those who had the good fortune to know him will always remember his kindness and humanity.

His connection with the Department of Mathematics was due to his relationship with his mentor, Sandro Salsa. It was thanks to him that, in 2005, the Department of Mathematics opened up to quantitative finance. The Department’s QFinLab, founded and directed by Emilio Barucci, is named after Nicola in memory of what he passed on to those who had the good fortune to know him.

List of publications

  1. Bruti-Liberati, N.: Numerical Solution of Stochastic Differential Equations with Jumps in Finance. PhD Thesis University of Technology, Sydney, Australia (2007).
  2. Bruti-Liberati, N.; Platen, E.: On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in Finance. In Computational Science – ICCS 2004, Volume 3039 of Lecture Notes in Comp. Sci., pp. 771 – 778, Springer (2004).
  3. Bruti-Liberati, N.; Platen, E.; Martini, F.; Piccardi, M.: An FPGA generator for multi-point distributed random variables. In Proceedings of the 2005 ACM/SIGDA 13th International Symposium on Field-Programmable Gate Arrays, p. 280, (2005). (full paper accepted, only abstract published).
  4. Bruti-Liberati, N.; Platen, E.; Martini, F.; Piccardi, M.: A multi-point distributed random variable accelerator for Monte Carlo simulation in Finance. In Proceedings of the Fifth International Conference on Intelligent Systems Design and Applications, IEEE Computer Society Press, 532-537 (2005).
  5. Bruti-Liberati, N.; Nikitopoulos-Sklibosios, Ch.; Platen, E.: First order strong approximations of jump diffusions. Monte Carlo Methods Appl. 12(3-4), 191-209 (2006).
  6. Bruti-Liberati, N.; Platen, E.: Approximation of jump diffusions in finance and economics. Computational Economics 29(3-4), 283-312 (2007).
  7. Bruti-Liberati, N.; Platen, E.: Strong approximations of stochastic differential equations with jumps. Journal of Computational and Applied Mathematics 205, 982-1001 (2007).
  8. Bruti-Liberati, N.; Martini, F.; Piccardi, M.; Platen, E.: A hardware generator for multi-point distributed random numbers for Monte Carlo simulation. to appear in Mathematics and Computers in Simulation (2007).
  9. Bruti Liberati, N.; Martini, F.; Piccardi, M.; Platen, E.: A hardware generator for multi-point distributed random variables. Mathematics and Computers in Simulation, 77: 45-56 (2008).
  10. Bruti-Liberati, N.; Platen, E.: Strong predictor-corrector Euler methods for stochastic differential equations. Stochastics and Dynamics, 8, 3: 561-581 (2008).
  11. Bruti-Liberati, N.; Nikitopoulos-Sklibosios, Ch.: Alternative defaultable term structure models. Asia-Pacific Financial Markets, 16: 1-31 (2009).
  12. Bruti-Liberati, N.; Nikitopoulos-Sklibosios, C.; Platen, E.: Real-world jump-diffusion term, structure models. Quantitative Finance, 10, 3: 23-37 (2010).
  13. Bruti-Liberati, N.; Platen, E.: Monte Carlo Simulation for Stochastic Differential Equations. Encyclopedia of Quantitative Finance (2010).
  14. Bruti-Liberati, N.; Platen, E.: Stochastic Differential Equations: scenario simulation. Encyclopedia of Quantitative Finance(2010).
  15. Bruti-Liberati, N.; Platen, E.: Stochastic Differential Equations with Jumps: simulations. Encyclopedia of Quantitative Finance (2010).
  16. Bruti-Liberati, N.; Platen, E.: Stochastic differential equations with jumps, Springer (2010).
  17. Bruti-Liberati, N.; Platen, E.: On weak predictor-corrector schemes for jump-diffusion processes in finance. Topics in Numerical Methods for Finance: 1-13 (2012).