Adjunct Professor, Department of Mathematics
Ph.D., International School for Advanced Studies
Credit Models, Computational Finance, and Machine Learning
Luca is the Global Head of Quantitative Strategies (QS) Credit at Credit Suisse, where he has worked since 2004. Previous to this role, he was the global head of QS for Credit and Structured Notes; he was the EMEA head and the US head of QS Global Credit Products; he worked in Commodities in New York and London, and he was part of the cross-asset modeling R&D group of QS in the London office.
Luca is also Visiting Professor at the Department of Mathematics at University College London, and an Adjunct Professor at Columbia University. His current research interests are in Credit Models, Computational Finance, and Machine Learning, with a focus on efficient numerical techniques for Derivatives Pricing and Risk Management, and applications of Adjoint Algorithmic Differentiation (AAD), which he has pioneered in Finance and Physics, and for which he holds a US Patent. Luca has published over 70 scientific papers, with the top 3 papers collecting to date over 1000 citations (h factor 27, i10 factor 49).
Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in High-Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems. He has been awarded the Director’s fellowship at Los Alamos National Laboratory, and the Wigner Fellowship at Oak Ridge National Laboratory.
Luca holds an M.S. cum laude in Physics from the University of Florence, and an M.Phil. and a Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste.