Current Position
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| 2006- |
Assistant Professor of Econometrics,
University of Brescia
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Other Affiliations:
Institute of Mathematical Statistics (IMS) and GRETA Assoc. at University of Venice.
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Education
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| 2003-2007 |
Ph.D. in Mathematics,
CEREMADE, Dept. of Mathematics, University Paris Dauphine,
Thesis: "Simulation Methods for Bayesian Inference on Latent Variables Models".
Supervisor: Christian P. Robert
Reviewers: M. F. J. Steel
and M. Lubrano.
Committee:
O. Cappe,
G. Celeux,
J.-M. Marin and
J. Rousseau
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| 2000-2003 |
Ph.D. in Economics,
SSE, University of Venice,
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Thesis: "Simulation Methods for Nonlinear and Non-Gaussian Models in Finance".
Supervisor: Monica Billio
Reviewers: C. P. Robert
and P. Müller.
Committee:
G. Calzolari,
T. Jappelli and L. Lambertini.
Received the Italian Economics Society (SIE) Award as best PhD Thesis 2004.
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| 2001-2002 |
M.Sc. in Applied Mathematics, DEA MASE, University Paris Dauphine - ENSAE.
Thesis: "Credit risk modelling in continuous and discrete time",
Supervised by:
Christian Gourieroux.
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| 1994-1998 |
Graduate degree in Economics (Quantitative Finance),
University of Venice.
Thesis: "Econometric Analysis of the European Investment Styles",
Supervised by:
Domenico Sartore.
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Futher Education
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| 2009 |
33rd Finnish Summer School of Probability Theory, University of Tampere.
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| 2002 |
Summer School of Mathematics, CIRM, University of Marseille.
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| 2000 |
Summer School of Mathematics, SMI, University of Perugia.
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Previous Positions and Visiting
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| 2008-2009 |
Visiting (6 months) at Dept. of Mathematics, University of Bristol.
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| 2008 |
Visiting (1 month) at Dept. of Mathematics, University Paris Sud.
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| 2005-2006 |
Research Assistant (18 months), University of Brescia.
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| 2004-2004 |
Research Assistant (2 months), University of Padova.
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| 2002-2003 |
Visiting (12 months) at CEREMADE, University Paris Dauphine.
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| 1999-2000 |
Research Assistant (12 months), GRETA Ass., University of Venice.
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| 1998-1999 |
Military Service, DB Designe by the Investigating Magistrate Office (GIP), Padova.
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| 1998 |
Stage (2 months), CDC Asset Management, Paris.
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Fellowships and Grants
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| 2008 |
GRETA Assoc. fellowship, project "Bank Deposits Duration Models", 2009.
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| 2008 |
Research Grant, French National Research Council (ANR), project Adapt'MC, CEREMADE, University Paris Dauphine.
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| 2007 |
Research Grant, French National Research Council (ANR), project SELECT, INRIA FUTURS, University Paris-Sud.
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| 2004-2006 |
Research Fellowship, project "Business Cycle and Financial Markets", University of Brescia.
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| 2004 |
Research Fellowship, project "Strategic Asset Allocation", University of Padova.
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| 2003-2004 |
Research Grant, Italian National Research Council (CNR), project "Contagion and interdependence between financial markets", University of Venice.
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| 2000-2003 |
PhD scholarship awarded from University of Venice.
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| 1999-2000 |
Research Fellowship, GRETA Ass., University of Venice.
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Research Interests
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Financial and Computational Econometrics. In particular:
- Bayesian Inference, Monte Carlo Methods, Stochastic Processes;
- Portfolio Theory, Option Pricing, Risk Models;
- Mutual Funds, Hedge Funds, Performance Evaluation and Attribution.
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Publications
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Journals
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| [2009] |
Billio, M. and Casarin, R., (2009), Identifying Business Cycle Turning Points with Sequential Monte Carlo: An Online and Real-Time Application to the Euro Area, Journal of Forecasting, forthcoming.
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| [2009] |
Casarin, R. and Marin, J.-M., (2009), Online data processing: Comparison of Bayesian
regularized particle filters, Electronic Journal of Statistics, 3, 239-258.
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| [2009] |
Marin, J.-M., Casarin, R. and Robert, C. P., (2009), A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N.,
Journal of the Royal Statistical Society, Series B, 71 (2), 360-362.
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| [2009] |
Casarin, R. and Robert, C. P., (2009), A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N.,
Journal of the Royal Statistical Society, Series B, 71 (2), 359-360.
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| [2008] |
Casarin, R., Pelizzon, L. and Piva, A., (2008), Italian Equity Funds: Efficiency and Performance Persistence,
ICFAI Journal of Financial Economics, 6 (1), 7-28.
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| [2007] |
Billio, M. and Casarin, R., (2007), Stochastic Optimization for Allocation Problems with Shortfall Risk Constraint,
Applied Stochastic Models in Business and Industry, 23, 247-271.
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| [2005] |
Casarin, R., Lazzarin, M., Pelizzon, L. and Sartore, D., (2005), Relative Benchmark Rating and Persistence Analysis:
Evidence from Italian Equity Funds, The European Journal of Finance, 11 (4), 297-308.
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| [2005] |
Casarin, R. (2005), Simulation Methods for Nonlinear and Non-Gaussian Models in
Finance, Premio SIE, Rivista Italiana degli Economisti, 2, 341-345.
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Book Chapters
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| [2008] |
Casarin, R., (2008), Solution Manual for Selected Problems, The Bayesian Choice,
2nd Ed. and Paperback Ed., C. P. Robert, 2006, Springer Verlag.
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| [2007] |
Billio, M., Casarin, R. and Sartore, D., (2007), Bayesian inference in dynamic models with latent factors,
in Mazzi, G. L. and Savio, G., Growth and Cycle in the Eurozone, 25-44, Palgrave MacMillan, 2007.
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| [2005] |
Casarin, R., Joutard, C. and Tayeb, A., (2005), Solution Manual for Selected Problems, Monte Carlo Statistical Methods,
2nd Edition, Robert, C. P. and Casella, G., 2005, Springer Verlag.
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| [2000] |
Billio, M., Casarin, R., Mehu, C. and Sartore, D., (2000), Investment Styles in the European Equity Market, in C. Dunis,
Advances in Quantitative Asset Management, Kluwer Academic Press, Dordrecht, 2000.
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Proceedings
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| [2007] |
Casarin, R. and Sartore, D., (2007), Matrix-state particle filters for Wishart
stochastic volatility processes, in Proceedings SIS, 2007 Intermediate Conference,
Risk and Prediction, 399-409, CLEUP Padova.
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| [2007] |
Amisano, G. and Casarin, R., (2007), Particle filters for Markov Switching Stochastic
Correlation Models, in Proceedings SIS, 2007 Intermediate Conference, Risk and Prediction,
305-316, CLEUP Padova.
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| [2003] |
Casarin, R., (2003), Bayesian Inference for Mixture of Stable Distributions,
in Atti del Convegno Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione,
4-6 Semptember 2003, Statistics Department, University of Venice.
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| [2003] |
Billio, M. and Casarin, R., (2003), Extreme Returns in a Shortfall Risk Framework, in
Atti della giornata di studio Metodi Numerici per la Finanza, 30 May 2003, Applied Mathematics Department, University of Venice.
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| [2003] |
Casarin, R., Pelizzon, L. and Piva, A., (2003), Italian Equity Funds: Efficiency and Performance Persistence, in
Atti della giornata di studio Metodi Numerici per la Finanza, 30 May 2003, Applied Mathematics Department, University of Venice.
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| [2002] |
Casarin, R. and Gobbo, M., (2002), Metodi Monte Carlo per la Valutazione di Opzioni Finanziarie, in
Atti della Scuola Estiva in Finanza Quantitativa, 2002, Applied Mathematics Department, University of Venice.
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Working Papers
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| [2007] |
Casarin, R. and Marin, J.-M., (2007), Online data processing: Comparison of Bayesian
regularized particle filters, Research Report N. 6153, INRIA.
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| [2006] |
Billio, M. and Casarin, R., (2006), Stochastic Optimization for Allocation Problems
with Shortfall Risk Constraint, Working Paper, University of Venice.
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| [2006] |
Casarin, R., Trecroci C., (2006), Business Cycle and Stock Market Volatility:
A Particle Filter Approach, Cahier du CEREMADE N. 0610, University Paris Dauphine.
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| [2005] |
Casarin, R. (2005), Stochastic Processes in Credit Risk Modelling,
Discussion Paper N.0505, University of Brescia.
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| [2004] |
Casarin, R., (2004), Bayesian Monte Carlo Filtering for Stochastic Volatility Models,
Cahier du CEREMADE N. 0415, University Paris Dauphine.
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| [2004] |
Casarin, R., (2004), Bayesian Inference for Generalised Markov Switching
Stochastic Volatility Models, Cahier du CEREMADE N. 0414, University Paris Dauphine.
Presented at the 4th International Workshop on Objective Bayesian Methodology, CNRS,
Aussois, 15-20 June 2003. It received the Springer's award as best poster session.
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| [2004] |
Casarin, R., (2004),Bayesian Inference for Mixture of Stable Distributions,
Cahier du CEREMADE N. 0428, University Paris Dauphine.
Presented at Young Statistician Meeting, Cambridge 14-15 April 2003.
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| [2004] |
Bresolin, F. and Casarin, R., (2004), Investimenti e ciclo economico in Veneto,
costruzione di indicatori di previsione e verifica della loro validità,
Quaderno di Ricerca N. 3, Centro Studi C.C.I.A.A. del Veneto, 2004.
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| [2003] |
Billio, M., Casarin, R. and Sartore, D., (2003), Bayesian inference in
dynamic models with latent factors, Working Paper, EUROSTAT.
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| [2002] |
Billio, M., Casarin, R. and Toniolo, G., (2002), Extreme Returns in a
Shortfall Risk Framework, Working Paper GRETA N. 0204, Venice.
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| [2002] |
Casarin, R., Lazzarin, M. and Sartore, D., (2002), Performance,
Style and Persistence of Italian Equity Funds, Working Paper GRETA N. 0203, Venice.
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| [2002] |
Casarin, R. and Gobbo, M., (2002), Metodi Monte Carlo per la Valutazione di Opzioni Finanziarie,
Working Paper GRETA N. 0205, Venice.
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| [2001] |
Casarin, R. and Guderzo, P., (2001), Un Modello Econometrico Mensile per la
Previsione dell'Indice COMIT nel Mercato Azionario Italiano,
Working Paper GRETA N. 0107, Venice.
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| [2000] |
Casarin, R., Pelizzon, L. and Piva, A., (2000), Performances and Performance
Persistence of Italian Equity Funds, Working Paper GRETA N. 0006, Venice.
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| [1999] |
Billio, M., Casarin, R., Mehu, C. and Sartore, D., (1999), Gli Stili di Investimento
nel Mercato Azionario Europeo, Working Paper GRETA N. 9908, Venice.
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Referring Activity
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Journal of the American Statistical Association, Computational Statistics and Data Analysis, Journal of Statistical Planning and Inference, IEEE Signal Processing Letters,
Journal of Economics Dynamics and Control, European Journal of Finance, Research in Economics.
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Teaching
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Graduate and Post-Graduate Courses
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"Statistics for Linguistic", Ph.D. in Computational Linguistic, University of Venice, 2009.
"Financial Econometrics", University of Brescia, 2009.
"Problems in Financial Econometrics", University of Brescia, 2009.
"Applied Econometrics I-II", University of Brescia, 2010.
"Problems in Applied Econometrics I-II", University of Brescia, 2010.
"Applied Econometrics", University of Brescia, 2009.
"Problems in Applied Econometrics", University of Brescia, 2009.
"Currency Risk and Capital Markets", University of Brescia, 2008, 2009.
"Finance of Insurance and Social Security", University of Brescia, 2006, 2007, 2008, 2009.
"Numerical Methods in Econometrics and Finance, FSE", University of Brescia, 2007.
"Forecasting Methods I", University of Venice, 2006, 2007.
"Stochastic Filtering", University of Venice, 2006, 2008.
"Introduction to Stochastic Calculus",
M.Sc. in Economics and Finance, Venice International University, 2004, 2005, 2006.
"Stochastic Volatility Models", University of Venice, 2006.
"Simulation Methods in Econometrics", University of Venice, 2005.
"Simulation Methods in Bayesian Inference", University of Venice, 2003.
"Monte Carlo Simulation Methods", University of Venice, 2002.
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Training Courses
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"Multivariate Stochastic Process Simulation Methods", NEXTRA, Milan, 2002.
"Performance Evaluation and Attribution", Arthur Andersen MBA, Milan, 2001.
"Stochastic Process Simulation Methods", Arthur Andersen MBA, Milan, 2001.
"Monte Carlo Simulation Methods", Arthur Andersen MBA, Milan, 2000.
"Portfolio Theory and Asset Allocation", Arthur Andersen MBA, Milan, 2000.
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Consulting Activities
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NEXTRA, Unicredit, Arthur Andersen MBA, Eurostat, Unioncamere del Veneto, UBI Banca, IntesaSanPaolo.
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Links
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Laboratories and related links
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GRETA Ass.,
CEREMADE, University Paris Dauphine,
CREST, Paris INSEE,
CIRM, University of Marseille, Luminy,
SMI, University of Perugia,
Statistical Laboratory at the University of Cambridge,
MCMC Preprint Service,
Bayesian Statistics Personal Web Pages.
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Software Archives
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GAUSS,
Numerical Recepies in C/C++.
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