Alexander Castello

I am involved in the EU-funded project “PRIN 2022 - PNRR - JET - Just Energy Transition: Stochastic and Machine Learning methods for the evaluation, mitigation and geographical hedging of involved natural risks (with climate in view)”. My research focuses on the design and pricing of a novel derivative-based framework aimed at managing risks associated with the transition to a climate-neutral society. While the initial stage of this work relied on traditional quantitative methodologies, including Monte Carlo simulations and Historical Bootstrap techniques, I am currently and actively advancing the project by testing and validating advanced Generative Machine Learning models (e.g. MLP-GAN, DC-GAN, β-VAE, A-VAE, SGHMC-EBM, S-EBM and Transformer architectures) for synthetic data generation, with the objective of enhancing pricing accuracy, model robustness, and risk assessment within the proposed framework.

Postdoctoral Research position at the Department of Economics of the University of Genoa, funded by Liguria Region. The project involved conducting an economic analysis of the regional productive structure across various sectors, both from a historical and forward-looking perspective (e.g., using Relative Rotation Graphs and Shift-Share Analysis), based on the enhancement and utilization of data from the Territorial Public Accounts and ISTAT databases.

Duties description:

• implementation of the reinsurance strategy

• preparation of reports and statistics, data entry

• documentation and data maintenance