Andrea Roncoroni
ESSEC Business School
Andrea Roncoroni is Professor of Finance at ESSEC Business School (Paris-Singapore) and Visiting Fellow at Bocconi University (Milan). He is heading the Energy and Commodity Finance (ECOMFIN) Research Center at ESSEC and acts as CEO of Energisk, a start-up company developing cutting-edge risk analytics for corporate clients. Andrea holds PhD's in Applied Mathematics and in Finance.
His research interests primarily cover energy and commodity finance, quantitative financial modeling, risk analysis, corporate financial risk management, derivative security design, and price econometrics and simulation. He published in academic journals (e.g., J. Energy Markets, J. Business; J.Banking & Finance; J. Economic Dynamics & Control), professional reviews (e.g., Argo Review), and financial book series (e.g., Implementing Models in Quantitative Finance, Springer Finance; Handbook of Multi-Commodity Markets and Products, Wiley).
As a professional advisor, he consulted for private companies including Dong Energy, Edison Trading, Enel Green Power, Gaz de France, Natixis Bank, and Trafigura Energy Italia, as well as public institutions, including Prime Minister Office (Republic of Italy), Central Bank of France, National Science Foundation (US), International Energy Agency.
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Articles by Andrea Roncoroni
Static mitigation of volumetric risk
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.