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I received my PhD from McGill University in 1989. Upon completing my PhD, I was a Natural Sciences and Engineering Research Council postdoctoral research fellow and later a university research fellow at the University of Toronto until 1997.
In 1998, I joined the Masters in Mathematical Finance as an instructor and later as an adjunct professor in financial mathematics until 2002. I also founded a financial software and consulting company in 1998.
I joined Laurier in 2002 as associate professor of Mathematics and as SHARCNET chair in Financial Mathematics.
My research focuses on mathematical and computational finance by combining various areas of applied mathematics, probability theory, stochastic modeling, simulation methods and high performance computing. A main aspect of my research is the development of analytically solvable models and other alternative stochastic models for financial asset price dynamics and the implementation of such models to important problems in quantitative finance. Areas of application include pricing and hedging of various standard and complex (path dependent) financial derivatives for single and multi-asset contracts, the development of credit-risk models, the calculation of distributions of various quantities associated to the paths of stochastic processes such as first-passage times, occupation times and other quantities of interest to option pricing and risk modeling.
- My co-authored published article entitled “Black-Scholes goes Hypergeometric” was voted best cutting-edge paper of the year in Risk Magazine (2001).
- Natural Sciences and Engineering Research Council Postdoctoral Award (1989-1991).
I have research assistantship opportunities for undergraduate and graduate students. You may contact me for more information.
I am willing to supervise as well as co-supervise graduate students whose research interests lie in mathematical or computational finance.
- Campolieti, G. and Makarov, R. N. “Financial Mathematics: A Comprehensive Treatment” Chapman & Hall/CRC Financial Mathematics Series, CRC Press, Taylor & Francis Group (2014).
- Campolieti, G., Makarov, R. N. and Wouterloot K., “Pricing Step Options under the CEV and other Solvable Diffusion Models”, International Journal of Theoretical and Applied Finance. (2013).
- Campolieti, G. and Makarov, R., “On Properties of Analytically Solvable Families of Local Volatility Diffusion Models”, Mathematical Finance (2012).
- Campolieti, G. and Makarov, R., “Solvable Nonlinear Volatility Diffusion Models with Affine Drift”, available at arXiv.org, arXiv: 0907.2926v1 (2009).
- Campolieti, G. and Makarov, R., “Path Integral Pricing of Asian Options on State Dependent Volatility Models”, Quantitative Finance (2008).
- Campolieti, G. and Makarov, R., “Pricing Path-Dependent Options on State Dependent Volatility Models with a Bessel Bridge”, International Journal of Theoretical and Applied Finance (2007).
- Albanese, C., Campolieti, G. , Carr P., and Lipton A., “Black-Scholes goes Hypergeometric”, Risk Magazine (2001).
Contact Info:
Office location: LH3073
Languages spoken: English, French, Italian