RONCORONI Andrea

Academic Webpage

• 2002 : Doctorat en Finance (Université Paris-Dauphine, PSL University, France)
• 1999 : Ph.D. en Mathématiques Appliquées (Università degli Studi di Trieste, Italie)
• 1998 : MS en Mathématiques (Courant Institute of Mathematical Sciences, New York University, États-Unis)
• 1996 : BS. en Economie (Università Bocconi, Italie)

• 2006 : International Teachers Program (International Institute for Management Development (IMD), Suisse)

Positions académiques principales

• 2010 - présent : Professeur (ESSEC Business School, France)
• 2006 - 2010 : Professeur associé (ESSEC Business School, France)
• 2001 - 2006 : Professeur assistant (ESSEC Business School, France)

Autres positions académiques

• 2016 - présent : Chairman, Commodity & Energy Markets Association (CEMA) (Commodity and Energy Markets Association (CEMA), Allemagne)
• 2005 - présent : Directeur, Energy and Commodity Finance Research Center (ESSEC Business School, France)
• 2015 - 2023 : Directeur académique, Bocconi-ESSEC Double Degree in Management, Milan-Paris-Mumbai-Singapore. (ESSEC Business School, France)

• GUIOTTO, P. and RONCORONI, A. (2023). Optimal Newsvendor IRM with Downside Risk. Foundations and Trends in Technology, Information and Operations Management, 16(3–4), pp. 193-213.
• GUIOTTO, P. and RONCORONI, A. (2022). Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management. Operations Research, 70(1), pp. 38–54.
• GUIOTTO, P., RONCORONI, A. and TÉDONGAP, R. (2022). Operations Revenue Insurance. Foundations and Trends in Technology, Information and Operations Management, 15(3), pp. 225-246.
• GUIOTTO, P., RONCORONI, A. and TURCIC, D. (2020). The Term Structure of Optimal Operations. Foundations and Trends in Technology, Information and Operations Management, 14(1–2), pp. 155-177.
• GUIOTTO, P. and RONCORONI, A. (2019). Optimal Positioning in the Derivative Market: Review, Foundations, and Trends. Foundations and Trends in Technology, Information and Operations Management, 12(2-3), pp. 254-279.
• CALDANA, R., FUSAI, G. and RONCORONI, A. (2017). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. European Journal of Operational Research, 261(2), pp. 715-734.
• RONCORONI, A. and ID BRIK, R. (2017). Hedging Size Risk: Theory and Application to the US Gas Market. Energy Economics, 64, pp. 415-437.
• ID BRIK, R. and RONCORONI, A. (2016). Static Mitigation of Volumetric Risk. Journal of Energy Markets, 9(2), pp. 111-150.
• RONCORONI, A., GALLUCCIO, S. and GUIOTTO, P. (2010). Shape factors and cross-sectional risk. Journal of Economic Dynamics and Control, 34(11), pp. 2320-2340.
• FUSAI, G., MARENA, M. and RONCORONI, A. (2008). Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets. Journal of Banking and Finance, 32(10), pp. 2033-2045.
• GALLUCIO, S. and RONCORONI, A. (2006). A New Measure of Cross-sectional Risk and its Empirical Implications for Portfolio Risk Management. Journal of Banking and Finance, pp. 2387.
• RONCORONI, A. and MORO, A. (2006). Flexible-rate Mortages. International Journal of Business, pp. 144-157.
• GEMAN, H. and RONCORONI, A. (2006). Understanding the Fine Structure of Electricity Prices. Journal of Business, pp. 1225-1261.

• FUSAI, G. and RONCORONI, A. (2008). Implementing Models in Quantitative Finance: Methods and Cases. Springer, 607 pages.

• RONCORONI, A., FUSAI, G. and CUMMINS, M. [Eds] (2015). Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. Wiley.

• RONCORONI, A., ID BRIK, R. and CUMMINS, M. (2015). Estimating Commodity Term Structure Volatilities. In: Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. 1st ed. Wiley, pp. 635-657.
• CALDANA, R., FUSAI, G. and RONCORONI, A. (2015). How to Build Electricity Forward Curves. In: Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. 1st ed. Wiley, pp. 673-685.
• FIGA TALAMANCA, G. and RONCORONI, A. (2015). Nonparametric Estimation of Energy and Commodity Price Processes. In: Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. 1st ed. Wiley, pp. 659-672.
• RONCORONI, A. and GUIOTTO, P. (2001). Theory and Calibration of HJM with Shape Factors. In: Mathematical Finance. Bachelier Congress 2000. 1st ed. Springer, pp. 407-426.

• IGNACIO PEÑA, J. and RONCORONI, A. (2023). Theory and Methodology for Energy and Commodity Markets. Energy Economics, In press.
• RONCORONI, A., PROKOPCZUK, M. and RONN, E.I. (2018). Journal of Banking and Finance. Journal of Banking and Finance.

• FIGA-TALAMANCA, G., GUIOTTO, P. and RONCORONI, A. (2023). All-Weather Hedging, Reshoring Decision Making, and Integrated Risk Management. In: 2023 Institute for Operations Research and the Management Sciences (INFORMS) Annual Meeting. Phoenix.
• RONCORONI, A. and GUIOTTO, P. (2023). Optimal Contingent Claim under Disappointment Aversion: Theory and Application to Integrated Risk. In: 67th EWGCFM Annual Meeting 2023: The Role of Fintech and Artificial Intelligence in Risk Management and Measurement. Rome.
• RONCORONI, A. and GUIOTTO, P. (2022). Optimal Contingent Decision under Disappointment Aversion: Theory and Application to Integrated Risk Management. In: 2022 Supply Chain Finance & Risk Management Workshop. St. Louis.
• RONCORONI, A. and GUIOTTO, P. (2021). A New Integrated Risk-Management Policy for the Newsvendor Position. In: 2021 Commodity and Energy Markets Association (CEMA) Annual Meeting. Online.
• RONCORONI, A. and GUIOTTO, P. (2020). A New Integrated Risk-Management Policy for the Newsvendor Position. In: 31st POMS Annual Conference 2020.
• GUIOTTO, P., RONCORONI, A. and TURCIC, D. (2020). The Term Structure of Optimal Operations: the Newsvendor Case. In: 2020 Supply Chain Finance & Risk Management Worskhop.
• RONCORONI, A. and GUIOTTO, P. (2019). Combined Custom Hedging: Optimal Design, Non Insurable Exposure, and Operational Risk Management. In: 2019 Mostly OM Workshop.
• GUIOTTO, P., RONCORONI, A. and TÉDONGAP, R. (2019). Optimal Portfolio Insurance and Allocation. In: Nonstandard Investment Choice.
• RONCORONI, A. (2019). The Term Structure of Optimal Integrated Hedge. In: 2019 Supply Chain Finance & Risk Management Workshop.
• GUIOTTO, P. and RONCORONI, A. (2019). A New Integrated Risk-Management Policy for the Newsvendor Position. In: 2019 Energy Finance Christmas Workshop (EFC19).
• RONCORONI, A. (2018). A Theory of Corporate Hedge Design. In: 2018 Supply Chain Finance & Risk Management Workshop.
• GUIOTTO, P. and RONCORONI, A. (2018). Optimal Positioning in the Derivative Market: Review, Foundations, and Trends. In: 2018 Symposium on Energy and Finance.
• RONCORONI, A. (2017). Optimal Custom Hedge of Quantity Risk. In: 2017 Institute for Operations Research and the Management Sciences (INFORMS) Annual Meeting.
• GUIOTTO, P. and RONCORONI, A. (2017). Optimal Financial Hedging of Nontradable Risk. In: 2017 International Symposium on Environment and Energy Finance Issues.
• GUIOTTO, P. and RONCORONI, A. (2017). Optimal Financial Hedging of Nontradable Risk. In: 41st Annual Meeting of the Association for Mathematics Applied to Social and Economic Sciences (AMASES 2017).
• RONCORONI, A. (2017). Security Design, Nontradable Risk, and Market Segmentation. In: Commodity and Energy Markets Annual Meeting 2017.
• CALDANA, R., FUSAI, G. and RONCORONI, A. (2016). Electricity Forward Curves with Thin Granularity. In: 4th International Symposium on Energy and Finance Issues (ISEFI2016).
• CALDANA, R., FUSAI, G. and RONCORONI, A. (2016). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. In: Energy Finance Christmas Workshop (EFC16).
• RONCORONI, A. and ID BRIK, R. (2016). Hedging Size Risk: Theory and Application to the US Gas Market. In: 2016 Commodity Markets Conference.
• RONCORONI, A. and ID BRIK, R. (2016). Hedging Size Risk: Theory and Application to the US Gas Market. In: 2016 Tepper School of Business Seminar.
• RONCORONI, A. (2016). How Firms Should Hedge Non-Tradable Risk? In: Seminar Talks in the Winter Term 16/17.
• LECESNE, L. and RONCORONI, A. (2016). How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions? In: Energy & Commodity Finance Conference 2016 (Ecomfin).
• RONCORONI, A. and ID BRIK, R. (2016). Optimal Hedge Design. In: SIAM Conference 2016 on Financial Mathematics and Engineering (FM16).
• RONCORONI, A. and ID BRIK, R. (2016). Static Hedging of Quantity Risk. In: 11th edition of the International Summer School on Risk Measurement and Control.
• RONCORONI, A. and ID BRIK, R. (2015). On the General Structure of Arbitrage Pricing Models for Commodity Prices. In: Energy Finance Conference 2015.
• RONCORONI, A. and ID BRIK, R. (2015). On the General Structure of Arbitrage Pricing Models for Commodity Prices. In: 32nd International Conference of the French Finance Association 2015 (AFFI 2015).
• ID BRIK, R. and RONCORONI, A. (2015). Static Mitigation of Volumetric Risk. In: 3rd 2015 International Symposium on Energy and Finance (ISEFI-2015).
• RONCORONI, A. and ID BRIK, R. (2011). Static Hedging of Multiplicative Risk. In: XXXV Convegno Annuale dell' AMASES.

• RONCORONI, A., PROKOPCZUK, M. and RONN, E.I. (2018). Introduction—Special Issue on Commodity and Energy Markets in the Journal of Banking and Finance. Journal of Banking and Finance, pp. 1-4.

• RONCORONI, A., FIORENZANI, S. and SAITA, F. (2007). Pricing Illiquid Energy Contracts Using RAROC. ESSEC Business School.
• GEMAN, H. and RONCORONI, A. (2003). A Family of Reduced-form Models for Electricity Prices. ESSEC Business School.
• GUIOTTO, P. and RONCORONI, A. (1999). Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates. ESSEC Business School.

• RONCORONI, A. (2021). A New Framework for Financial Risk Management. ESSEC Knowledge.