Dr. Imma Curato


Ulm University
Institute of Mathematical Finance
Helmholtzstraße 18, room 2.27
89069 Ulm, Germany







Office Hours


 +49 (0)731 / 50-23518

+49 (0)731 / 50-31096

Imma Curato


Please make an appointment via e-mail.


Winter Term 2013/2014

Summer Term 2014     

Winter Term 2014/2015             

Summer Term 2015


Winter Term 2015/2016


 Summer Term 2016




Research interests:     






  •  Financial Mathematics I
  • WiMa-Praktikum I
  • Stochastic Optimization with Applications





  • Statistical properties of the Fourier type estimators applied to the analysis of high frequency data;
  • Non parametric econometrics;
  • Calibration/forecast performances of multi-factor stochastic volatility models
  • Analysis of liquidity risk factors;
  • Solutions and simulation of functional operators arising in the context of  macroeconomic models with cash and credit constraints.




Scientific papers:  

"Modeling bond markets and their instabilities", with Philippe Moutot and Rafaela Guberovic.

"Spot volatility estimation using the Laplace transform", with Maria Elvira Mancino and Maria Cristina Recchioni, submitted.

"Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method", submitted.

"High frequency volatility of volatility estimation free from spot volatility estimates", with Maria Elvira Mancino and Simona Sanfelici, Quantitative Finance, 2015, Vol. 15, No. 8, 1331–1345.

"Measuring the leverage effect in a high frequency trading framework", with Simona Sanfelici,  In "Handbook of High Frequency Trading", 2015,  G.N. Gregoriou Ed., Elsevier, 425-446.





  • "Non parametric estimation of volatility of volatility and leverage using integral transforms", PhD Thesis, Pisa (2013), supervisor Prof. Maria Elvira Mancino;
  • "Mathematical models for Plinian Eruption Columns"(in italian), Master Thesis, Florence (2009), supervisor Prof. Fabio Rosso;
  • "Sampling Theorem and Indetermination Principles for the Fourier Transform" (in italian), Bachelor Thesis, Florence (2006), supervisor Prof. Luigi Barletti.


Talks and conferences:

  • CREATES seminar, Aarhus 1st October 2015 (talk);
  • SPA 2015, Oxford 13-17 July 2015 (talk);
  • Finance and Stochastic Seminar, Imperial College London 10 June 2015 (talk);
  • 8th International Conference on Computational and Financial Econometrics, Pisa 6-8 December 2014 (talk);
  • 11th German Probabiliy and Statistic Days, Ulm 4-7 March 2014 (talk);
  • Stochastic Analysis Seminar Oxford-Man Institute, Oxford 17 February 2014 (talk);
  • 5th Annual High Frequency Conference, Hoboken 24-26 October 2013 (talk);
  • Dynstoch workshop 2013: Statistical methods for dynamical stochastic models, Copenhagen 17-19 April 2013 (poster);
  • The Fifth Florence-Ritsumeikan Workshop on Stochastic Process and Applications to Finance and Risk Management,
    Florence 12-13 March 2013 (talk);
  • Ecole CEA-EDF Inria-Systemic Risk and Quantitative Risk Management, Rocquencourt (Paris)  15-17 October 2012;
  • XXXVI A.M.A.S.E.S. convention, Vieste 13-15 September 2012 (talk);
  • Dynstoch workshop 2012: Statistical methods for dynamical stochastic models, Paris 7-9 June 2012 (poster);
  • Statistics for Stochastic Processes: Inference, Limit Theorems, Finance and Data Analysis, Paris 12-13 March 2012;
  • High Frequency Research Training Workshop, Berlin 4-5 May 2011;
  • Statistical Inference and Numerical Analysis for Stochastic Processes and Financial Econometrics, Florence 17-18 March 2011;
  • Fourth Italian Congress of Econometrics and Empirical Economics (ICEEE 2011), Pisa 19-21 January 2011;