Leonardo Baggiani
About me
I am a third year PhD student of the Warwick Centre for Doctoral Training in Mathematics and Statistics.Link opens in a new window I am working under the supervision of Prof. Martin Herdegen.Link opens in a new window My main areas of research are risk measures and decentralised finance, in particular automated market makers. More broadly, I am interested in market microstructure and related topics in mathematical finance.
Education
- 2022 - present : PhD Student in Statistics, University of Warwick.
- 2020 - 2022 : Master Degree in Mathematics, Università degli Studi di Milano. Thesis on "Foundations and Recent Developments of Risk FunctionalsLink opens in a new window" with Prof. Marco Maggis.
- 2016 - 2020 : Bachelor Degree in Mathematics, Università degli Studi di Milano.
Publications
Optimal Dynamic Fees in Automated Market Makers Link opens in a new window – L. Baggiani, L. Sánchez-Betancourt, M. Herdegen - Preprint 2025 [arXivLink opens in a new window]
Teaching
- 2023 - 2024 Term 2 : ST908, Stochastic Calculus for Finance (WBS)Link opens in a new window
- 2023 - 2024 Term 1 : ST119-10, Probability 2 (Statistics)Link opens in a new window
Talks/Posters
- July 2025, Stuttgart : University of Stuttgart; Talk
- March 2025, Dublin : Dublin City University (DCU); Talk.
- January 2025, Oxford : London–Oxford–Warwick Mathematical Finance Workshop; Talk.
- September 2024, Berlin : 7th Berlin Workshop on Mathematical Finance for Young ResearchersLink opens in a new window; Poster.
- March 2024, Warwick : Young Researchers' Meeting; Talk.
Organisation
With Pablo Alonso MartinLink opens in a new window we organised the Young Researchers’ Meeting 2024 - 2025Link opens in a new window. I also organised the Mathematical Finance reading group for the years 2023-2024 and 2024-2025.
Random facts about me
- Football fan and Juventus supporter.
- Food lover. Here some restaurant I liked in 2024.
- Comics reader. Here some comics I recommend.
- Sometimes I enjoy watching movies. Here some movies I recommend.
