Norberto Laghi

Norberto Laghi is a quantitative finance practitioner with extensive experience in the investment banking and asset management sectors. Dr. Laghi has received a Ph.D. from the University of Wiscosin–Madison, and has spent over four years working as post-doctoral researcher in the School of Mathematics at the University of Edinburgh. He has then embarked on a career in the private sector, where he has researched a wide array of topics, including quantitative portfolio optimisation, derivative pricing and interest rate modelling, and has worked on innovative ways to apply Fourier Analysis techniques to tackle quantitative finance problems.

Articles by Norberto Laghi

Original research

Rainbows and transforms: semi-analytic formulas

In this paper the authors show how the techniques introduced by Hurd and Zhou in 2010 can be used to derive a pricing framework for rainbow options by using the joint characteristic function of the logarithm of the underlying assets.

26 Nov 2021