Lorenzo Agabiti

Education

1. 10/2024 – present

   PhD in Stochastic Differential Equations, Sorbonne University

   Paris, France

   • Winner of the MathPhdInFrance scholarship (Marie Skłodowska-Curie actions cofund).
   • Co-supervised between Sorbonne University and Nancy University, by Lorenzo Zambotti (LPSM) and Antoine Lejay (IECL).
   • Project: Existence, uniqueness and a priori estimates for solutions à la Davie of rough equations with arbitrary Hölder regularity of the driving path.
2. 09/2021 – 02/2024

   MSc in Applied Mathematics, EPFL

   Lausanne, Switzerland

   • Minor in Financial Engineering.
   • Coursework: Introduction to Stochastic PDEs, Theory of Stochastic Calculus, Stochastic Processes, Machine Learning for Finance, Numerical Integration of SDEs, Advanced Derivatives, Martingales in Financial Mathematics.
   • Project in Stochastic Real World Pricing: continuous financial markets, growth optimal portfolio, Bessel processes, minimized market model.
3. 09/2023 – 02/2024

   Master thesis in Stochastic PDEs, Sorbonne University

   Paris, France

   • Carried out in the probability, statistics and modelling laboratory (LPSM).
   • Project on the theory of rough paths and the analytical theory of controlled equations with a very rough driving path.
   • Study of the theory of regularity structures and of the resolution of stochastic PDEs.
4. 09/2018 – 07/2021

   BSc in Mathematics for Engineering, Politecnico di Torino

   Turin, Italy

   • Coursework: Real Analysis I and II, Probability Theory, Programming and Scientific Calculus, Applied Statistics, Linear Algebra, Numerical Analysis, Functional Analysis.
   • Final project: Krein–Milman’s theorem, a topic in functional analysis with applications to convex optimization.

Working experience

1. 06/2023 – 09/2023

   Quantitative summer internship, Credit Suisse

   Zurich, Switzerland

   • Credit Portfolio Modelling team: worked with the Credit Erc model and the internal statistical model for credit risk in Lombard and non-Lombard deals.
   • Developed an application that approximates the impact of a new deal on the Value at Risk and Expected Shortfall of the bank portfolios.
   • Skills used: statistics, R, Shiny, front-end programming (HTML, CSS, JavaScript).

Research

1. 2026

   Remainders of generalised Taylor expansions and a priori bounds for rough differential equations

   With Alberto Bonicelli and Lorenzo Zambotti. arXiv preprint.

Extracurricular

1. 2018 – 2019

   Production manager, “Junior Achievement” start-up project

   Rieti, Italy

   • Managed the production and development of a new board game, which won the prize for best-selling product.
2. 2016

   “IMUN”, simulation of the United Nations working sessions

   Rome, Italy

   • Worked as a diplomat with delegates from around the world, practising negotiation and public speaking in English.