Matteo Stefani

Responsible for the implementation and validation of financial stochastic models, with a focus on Monte Carlo simulation for the generation of economic scenarios and derivatives pricing. Develop and maintain quantitative pricing models and libraries using object-oriented programming in C# and Python. Design and optimize numerical algorithms to enhance computational efficiency, accuracy, and robustness, delivering reliable solutions to clients.

During my internship, I worked on the G2++ model for short-term interest rates, with the entire implementation, calibration, and simulation framework developed in Python.
The first phase involved the manual implementation and validation of the model. During the validation phase, open-source libraries were used to assess the reliability and accuracy of the results generated by our implementation.
The second phase focused on calibrating the model parameters using a series of market data sets consisting of swaption quotes. The calibration aimed both at identifying the set of model parameters that best fits the prevailing market conditions and at assessing the model’s ability to accurately reproduce the observed market prices.
Finally, the calibrated parameters were incorporated into a Monte Carlo simulation to generate future scenarios for zero-coupon bond prices by simulating the short-rate dynamics specified by the G2++ model.
The simulated results were then validated against the corresponding closed-form formulas available for the model, which provided a theoretical benchmark for assessing the accuracy and reliability of the Monte Carlo results.

During my internship, I focused on studying Regulation (EU) No. 1286/2014 of the European Parliament and of the Council of 26 November 2014 and the related Commission Delegated Regulation (EU) 2017/653 of 8 March 2017.
The study of Regulation (EU) No. 1286/2014 allowed me to understand the needs and motivations that led the European Commission to introduce a new standardised Key Information Document (KID) for Packaged Retail and Insurance-based Investment Products (PRIIPs).
The study of Commission Delegated Regulation (EU) 2017/653 allowed me to learn about the technical procedures and methodologies required for the preparation of KIDs. In particular, I gained an understanding of the procedures used to calculate the risk and performance measures of PRIIPs, including market, credit and liquidity risk, as well as the expected return, which are subsequently reported in the KID.