Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance







805Weeks BuildingSouth Kensington Campus





Damiano is part of the Mathematical Finance and Stochastic Analysis research groups.

Damiano's current interests include the areas of quantitative finance, probability and statistics, and information geometry.

In quantitative finance the main areas of interest are valuation and pricing, risk measurement and liquidity risk, term structure modeling and interest rates, multivariate volatility smile modeling, credit and default modeling, counterparty risk, collateral and funding costs, nonlinear PDEs and Backward SDEs for funding costs, stochastic dynamical models for commodities and inflation, algorithmic trading and optimal execution. 

In Probability and Statistics the interest is on the interaction between the exponential statistical manifold and the dynamic features of stochastic processes laws, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions. Many of these interests are related to the differential geometric approach to statistics, occasionally called "information geometry". Damiano is also interested in dependence structure across arrival times that are iterable.

Damiano's research papers and preprints are available at his

personal page

or at

SSRN and arXiv