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Reza Solgi
Nationality: Iranian
Entered Doctoral Program: 2008
Languages
English
Basic Italian and Arabian
Farsi (mother tongue)
Research Interests
Option Pricing and Risk Management
Computational Bayesian Statistics
Publications - Mira A. and Solgi R., Zero-Variance Markov chain Monte Carlo to Estimate Bayesian GARCH models, Mathematical and Statistical Methods for Actuarial Sciences and Finance, April 7-9, 2010, Ravello, Italy.
- Solgi R., Stochastic Modeling of Spot Power Price in Italian Market, Markov chain Monte Carlo in Theory and Practice, Jan 9-11, 2008, Bormio, Italy.
- Solgi R., Application of SMaPS Model (Spot Market Price Simulator) in MATLAB, MATLAB for Financial Applications, May 22, 2007, Milan, Italy.
- Rasoulizadeh A. and Solgi R., Statistical Analysis of the Price Index of Tehran Stocks Exchange, preprint cond-mat/0410289 (http://arxiv.org/PS_cache/cond-mat/pdf/0410/0410289v1.pdf ).
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E-mail
Reza.Solgi@sfi-phd.ch
Telephone
Office: +41 58 666 4493
Address
University of Lugano
Via Buffi 13
6900 Lugano
Switzerland
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Education
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2008 - Present
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Doctoral program in Finance, USI, Lugano, Switzerland.
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2005 - 2006
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MSc in Complexity and its Interdisciplinary Applications, Istituto Universitario di Studi Superiori, University of Pavia, Pavia, Italy.
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1998 - 2002
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BSc in Polymer Engineering, Tehran Polytechnic University.
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Work Experience
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2008 - 2009
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Consultant of Enel Trade SpA, Trading and Risk Management Division, Rome, Italy.
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2006-2008
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Quantitative analyst, Generation and Energy Management Division, Rome, Italy.
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2003-2004
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Scientific researcher (in the VaR project), Farda Institute, Tehran, Iran.
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Teaching Assistant
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Spring 2008 and 2009
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Multivariate Statistics, USI, Lugano, Switzerland.
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Fall 2009
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Advanced Statistics, USI, Lugano, Switzerland.
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Fall 2007 and 2009
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Applied Statistics, USI, Lugano, Switzerland.
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Fall 2003-Spring 2004
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Process Control, Tehran Polytechnic University, Tehran, Iran.
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