Regular biography
Dr Pietro Siorpaes is an Assistant Professor in Mathematical Finance at the Department of Mathematics, Imperial College London. His research focuses on areas within mathematical finance, though specific details are not provided. Dr Siorpaes is affiliated with the university and maintains a profile page at https://profiles.imperial.ac.uk/p.siorpaes. Further information about his work and achievements can be found on his personal academic page.
Scholar-generated biography
Pietro Siorpaes is a researcher at Imperial College London with expertise in mathematical finance and stochastic analysis. His work focuses on optimal investment strategies, utility-based pricing, and stochastic calculus, with an emphasis on martingale inequalities and optimal transport. He explores the structure of martingale transports, pathwise stochastic calculus, and the application of Burkholder–Davis–Gundy inequalities in financial mathematics. His research also addresses the pricing of contingent claims in large markets and the quantization of probabilities while preserving convex order. Siorpaes' contributions span both theoretical and applied aspects of stochastic processes and their use in financial modeling.