Insegna Matematica Finanziaria, Processi Stocastici per la Finanza e Modelli Matematici per le Applicazioni Finanziarie, oltre che in vari corsi di master e dottorato. Si occupa attivamente di ricerca nel campo della finanza matematica e dell'econometria finanziaria, ed è autore di numerose pubblicazioni su riviste internazionali specializzate.

• "Time-varying leverage effects" (with F. Bandi), Journal of Econometrics, forthcoming
• "Threshold Bipower Variation and the Impact of Jumps on Volatility
  Forecasting" (with F. Corsi, D. Pirino), Journal of Econometrics (2010), 159 (2), 276-288

• "Threshold estimation of Markov models with jumps and interest rate modeling" (with C. Mancini)Journal of Econometrics (2010), 160(1): 77-92.
• "Intraday LeBaron effects" (with S. Bianco, F. Corsi) Proceedings of the National Academy of Science of the USA (2009), 106: 11439-11443.
• "Nonparametric estimation of the diffusion coefficient of stochastic volatility models" Econometric Theory (2008), 24(5), 1174-1206
• "Nonparametric estimation of stochastic volatility models" Economics Letters (2006), 90(3), 390-395
• "The price-volatility feedback rate: an implementable mathematical indicator of market stability" (with E. Barucci, P. Malliavin, M. Mancino, A. Thalmaier)
  Mathematical Finance (2003), 13(1), 17-35

• "On Measuring Volatility and the GARCH Forecasting Performance" (with E.Barucci) Journal of International Financial Markets, Institutions and Money (2002), 12(3), 183-200