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Dr. Alonso Peña is Associate Tutor for the CQF, where he teaches credit risk, credit derivatives and counterparty credit risk. He is SDA Professor at the SDA Bocconi School of Management in Milan, teaching undergraduate, MBA and Executive courses. 

Alonso has also gained a PhD in finite element analysis (PDE numerical solution) from the University of Cambridge in 1997 and the Certificate in Quantitative Finance (CQF) in 2004. He has worked as a quantitative analyst (cross asset, equity, equity baskets, credit derivatives, interest rate derivatives and structured products) for Unicredit Group in London/Milan and Thomson Reuters in Milan/Paris. 

Alonso has done research in neuroscience at the University of Cambridge as Research Associate, Senior Research Associate and as a Wellcome Trust Training Fellow in Mathematical Biology. He has recently published the book "Advanced Quantitative Finance with C++" with Packt Publishing UK.

Areas of research:

  • Credit derivatives and Counterparty Credit Risk
  • Numerical methods for option pricing
  • The "New" Derivatives: Weather, Freight, Property
  • Fractal analysis of financial time series
  • Approximation theory
  • Visual representation and analysis of high-dimensional financial data