Fulvio Corsi

Dr Fulvio Corsi, currently hold a position as Associate Professor at University of Pisa. After joining the Olsen and Associates Company, who pioneered the study of high-frequency data in finance, he earned his PhD in finance at University of Lugano under the supervision of Prof. Barone-Adesi and Prof. Tim Bollerslev. He is expert in modelling and forecasting volatility dynamics: he devised the HAR-RV model (winning the Engle Prize 2010 for best paper published in 2007, 2008 and 2009 volumes of Journal of Financial Econometrics) which is nowadays a standard benchmark in analyzing financial volatility dynamics. He also contributed in the field of volatility measuring in the presence of microstructure noise, jump detection, correlation measuring and modelling, derivative pricing and nonlinear dynamic modelling of asset price bubble and crashes. He published on international journals as Journal of Financial Economics, Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, PNAS.


CURRENT POSITION

Dec 17 – present University of Pisa, (IT), Associate Professor.

PROFESSIONAL EXPERIENCE

Feb 15 – Dic 2017 Ca’ Foscari University of Venice, (IT), Associate Professor

Sept 13 - present City University London, (UK), Reader in Financial Economics.

Jun 13 – Jan 15 Ca’ Foscari University of Venice, (IT), Assistant Professor.

Jan 12 – May 13 Scuola Normale Superiore di Pisa, Pisa (IT), research fellowship within the “CRISIS” FP7 European Commission research project.

Set 09 – Dec 11 University of St. Gallen and Swiss Finance Institute, St. Gallen (CH), Research Fellow

Set 07 – Aug 09 University of Siena, Siena (IT), Department of Political Economy, Post-doc Research Fellow.

Feb 05 – Aug 07 University of Lugano, Lugano (CH), teaching assistant for master course in Financial Econometrics, Course Director: Prof. Patrick Gagliardini.

Oct 02 – Oct 03 University of Lugano, Lugano (CH), teaching assistant for undergraduate course in Statistics, Course Director: Prof. Fabio Trojani.

Oct 01 – Oct 02 University of Lugano, Lugano (CH), Swiss National Science Foundation project: Financial Valuation and Risk Management (NCCR FINRISK), direction: Prof. Giovanni Barone-Adesi.

Oct 99 – Aug 01 Olsen & Associates Research Institute For Applied Economics, Zurich (CH), Junior researcher within the research project: “Volatility and VaR Measures with High Frequency Data”,
direction: Prof. Michel Dacorogna.

EDUCATION

June 05 Ph.D. in Finance, University of Lugano, Lugano (CH)
Dissertation title:“Measuring and Modelling Realized Volatility: from tick-by-tick to long memory”.
Dissertation Committee: Prof. G. Barone-Adesi, advisor, University of Lugano, Prof. T. Bollerlsev, Duke University, Prof. F. Audrino, University of Lugano.

Nov 03 – Jan 05 Visiting Scholar at the Department of Economics of Duke University, NC (USA), under the supervision of Prof. Tim Bollerslev.

Oct 01 – Nov 03 Doctoral program in Finance, University of Lugano, Lugano (CH)

Jan 99 – Jul 99 Venice International University, San Servolo, Venice (IT) MSc in Economics and Finance.

July 98 University of Pisa, Pisa (IT)
Diploma in Economics and Business with 110/110 cum laude.
Dissertation title: “Nonlinear Models, Chaos Theory and Haken’s Synergetics: an application to stock markets.” Supervisor: Prof. Pier Mario Pacini.