Nicola Cantarutti

About Me

Hello!
I'm a researcher and scientific software developer with a background in applied mathematics and quantitative finance.
I'm a very curious person and a critical thinker. I like to work on unsolved problems and challenging projects where my ideas can be relevant.

I'm a crypto enthusiast! I am passionate about crypto-trading and DeFi. I have also collaborated with a DeFi project

In the last few years I have been working on software projects in python and C++. I also have experience in data analysis and data science.

In my spare time, I like sports, in particular football and swimming. I'm a big fan of Inter Milan.
I like cooking, and I listen to a lot of music. I like psychological/strategic games and card games such as Poker and Magic the Gathering.
I love traveling and visiting new cities and natural attractions.

My projects

• Github repository of jupyter notebooks on quantitative finance (more than 5K stars) containing:

  • Stochastic processes, with main focus on Lévy processes
  • Numerical methods for option pricing
  • Exotic options, incomplete markets
  • Partial integro-differential equations
  • Statistics, parameter estimation, data analysis
  • Kalman filter applied to finance
  • Code optimtimization, Python, Cython

• Github repository of jupyter notebooks containing all the mathematics that I found interesting, or that I used in the past.

• Python package for blood-flow simulation: Astrovascpy.
  I formulated and implemented a model based on fluid dynamics, graph theory, and stochastic calculus, for blood flow dynamics. I am one of the main maintainer of the package it in Python using MPI and PETSc for parallelization.

• DeFi: I implemented an AMM stable-swap model used by Shade Protocol.

Education

• Ph.D. in Applied Mathematics, (2020)
  CEMAPRE - ISEG - University of Lisbon, Portugal. Marie Curie European Scholarship.
  Approved with Distinction cum Laude.
  Thesis title: Option pricing in exponential Lévy models with transaction costs.
• MSc in Theoretical Physics, (2012), University of Trieste, Italy.
  Thesis title: Radiative cooling of gas in cosmological haloes.
• BSc in Physics, (2009), University of Trieste, Italy.
  Thesis title: Introduction to Lie's groups and su(3).

List of publications

Modeling of Blood Flow Dynamics in Rat Somatosensory Cortex. "MDPI Biomedicines", January 2025, Volume 13-1.

Silkswap: an asymmetric automated market maker model for stablecoins Shade AMM Whitepaper, 2022.

STEPS 4.0: Fast and memory-efficient molecular simulations of neurons at the nanoscale. "Frontiers in Neuroinformatics", Volume 16, 2022.

Option pricing in exponential Lévy models with transaction costs. "Journal of Computational Finance", April 2020. Volume 23. Num. 5, pages 1--31.

Numerical Study of the Merton PIDE in Option Pricing. SSRN, 2020.

Multinomial method for option pricing under Variance Gamma. "International Journal of Computer Mathematics", 2019. Volume 96, pages 1087--1106.

Indifference pricing in a market with transaction costs and jumps. Chapter 3 in the book "Novel Methods in Computational Finance" -- Springer 2017.

Skills

Phd courses: advanced statistics, stochastic calculus, analysis and optimization, stochastic control theory, Lévy processes, numerical methods for finance.

Programming: Python, pytest, tox, packaging, web scraping, sphynx, numpy, scipy, pandas, scikit-learn, cvxpy, mpi4py, petsc4py.
C, Modern C++, CMake, CTest, Cython
CI/CD: GitHub-actions, Gitlab.
Slurm, Docker, Git. Linux, VSCode, Emacs, Vim, LaTeX, SQL and Tableau.