Antonio Castagna

Adjunct Professor at University of Bologna since 2019, he focusses his research in the derivatives pricing valuation, included all adjustments due to funding and credit risks (xVAs), in the risk management of market and credit risk, in the ALM and behavioural risk modelling of the banking book.

He is also partner and co-founder of the consulting company Iason Consulting ltd, where is works on the design of models to price complex derivatives and to measure financial, liquidity and credit risks.

He previously was in Banca IMI, Milan, from the 1999 to 2006, where he first worked as a market maker of cap/floor’s and swaptions, and then he set up the FX options market-making desk, for which he was the responsible. He started his carrier in the 1997 at IMI Bank, Luxembourg, in the Risk Control Department.

He wrote papers on different topics, including credit derivatives, managing of exotic options’ risks and volatility smiles.

He is also author of the books “FX Options and Smile Risk” and “Measuring and Managing Liquidity Risk” both published by Wiley.