Francesco Caravenna
Professor of Mathematics (Probability and Statistics)
Associate Editor of Annals of Applied Probability (since 2019)
Associate Editor of Annales de
l'Institut Henri Poincaré (since 2018)
Contacts
Department of Mathematics and Applications
University of Milano-Bicocca
Via Cozzi 55, 20125 Milano, Italy
Office: 3016, U5 building (3rd floor)
Phone: +39 02 6448 5752
E-mail: francesco.caravenna at unimib.it
Research Interests
Probability Theory and its applications, in particular:
- Statistical Mechanics (disordered systems, random polymers)
- Random Walks (asymptotic properties, renewal theory, fluctuation theory)
- Mathematical Finance (stochastic volatility models, implied volatility)
See my publications page (with papers, preprints and slides)
Teaching
See my teaching page (mainly in Italian
)
Some teaching-related stuff that I wrote:
- A probability textbook (in Italian, together with Paolo Dai Pra)
-
Dispense su
Moto Browniano
e Analisi Stocastica (lecture notes in Italian)
[version 3.3; last modified: 9 Jun 2011] - ABRACADABRA and Enterprise (solutions of exercises E10.6 and E10.10 from the book "Probability with Martingales" by D. Williams)
Organization
- Workshop on Self-interacting random walks, Polymers and Folding, CIRM, Marseille (F), 9-13 September 2019
- Third Workshop on Large Scale Random Structures, Milano-Bicocca University, 10-11 July 2019
- XVIII Workshop on Quantitative Finance, Milano-Bicocca University, 25-27 January 2017
- Winter School on Recent Breakthroughs in Singular Stochastic PDEs, Milano-Bicocca University, 2-6 February 2015
Links
- Large Scale Random Structures, National Research Group (PRIN 2015)
- National Probability and Statistical Physics seminar (in Florence)
- Joint PhD program in Mathematics (Pavia - Milano Bicocca - INdAM)
- Some computer programs linked to my research
