About me

I'm Riccardo Martelli, Theoretical Physicist turned Quantitative Researcher/Analyst.
I currently work at Intesa Sanpaolo building pricing models for commodity and credit derivatives. My background is in theoretical physics: MSc from UniMi, published in Physical Review D. Before pivoting to finance, I got deep into AI and ML: neural networks, NLP, reinforcement learning, then completed an MSc in Quantitative Finance at Polimi (visiting UCL London).
This site started as a tutoring portfolio, over seven years I taught mathematics, physics, and CS to nearly a hundred university students. It's since grown into something broader: a space for projects, research, and topics I find worth writing about: derivatives pricing, systematic strategies, mathematics physics, probability and statistics and other fun projects, whatever I'm currently digging into.
I like problems that sit at the edge of mathematics, computation, and markets. Outside of work I build quantitative investment and trading strategies, it's how I think through ideas that don't fit in a pricing model. If that's your world too, don't be a stranger.
Browse the projects, read the publications, or get in touch.

Current number of strategies I'm developing: 2

Status: Available

Blog

I have matured that in my constant research process I learn a lot of stuff, and to miss-quote Feynman: "if you wanna learn it teach it!", so I decided to dedicate this page, that originally was created for informing my students, to explain in simpler terms some concepts from mathematics, physics, computer science, AI etc.
This page is a personal journey, so there might be some unrelated content on philosophy or society

Here is the link to my notes.

Method

My method reflects my personal inclination toward clarity and innovation. The best way to tackle a problem is to examine the theory, reformulate it in a simpler way, and then, by creating a functional method, solve the problems easily and consolidate the acquired knowledge.

Courses

Here, I present some of the courses I have offered. The full list is quite extensive, and a few subjects may be missing. If you would like to learn more about my hard skills, you can contact me here.

Click on the subject to see the whether I've taught it, studied it or did research on it.

• Mathematics:

Mathematics for highschool students.Studied & Taught


Stochastic Calculus, Linear Algebra, Calculus 1, Calculus 2, Calculus 3, Calculus 4, Differential Geometry, Lie Groups and Lie algebras, Complex Analysis, Functional Analysis, Mathematical Method for Classical Mechanics, Fourier Transform, Laplace Transform, Integral Transformations, Padè approximations, Taylor Series, Laurent Series, Fourier Series, Discrete Mathematics,...

Probability and statistics, Measure Theory, Bayesian Probability, Probability Distributions, Sampling, Discrete Distributions, Statistical Tests, p-values, Data Analysis,...

• Physics:

Physics for highschool students.Studied & Taught


Physics 1, Physics 2, Classical Mechanics, Thermodynamics, Mathematical Methods for Physics or Engineering, Lagrangian and Hamiltonian formulations, Fluid Dynamics, Quantum Mechanics, Relativistic Quantum Mechanics and Field Theory, General Relativity, Group Theory for Mathematical Modeling, Many Body Theory, Electromagnetism, Electrodynamics,...

• Computer Science:

Computer Science for highschool students.Studied & Taught


C++, C, Python, HTML, CSS, JavaScript, MATLAB, Mathematica, R, Tensorflow, Keras, Scikit-learn, SQL, Bash,Cuda, Sed, Awk, Data Analysis, Data Representation, Machine learning, Deep Learning, Numerical Simulation, Monte Carlo Simulation, Genetic Algorithms, Simulated Annealing, Reinforcement Learning, Metropolis Algorithm,...


• Quantitative Finance and Econometrics:

Econometrics, Black & Scholes Equations, Pricing of Derivatives, Portfolio Management, Modern Portfolio Theory, Monte Carlo Simulation in Finance, Investment Decisions, Portfolio Selection, Risk-based Strategies, Risk Parity, Maximum Diversification Portfolio, Entropy Based Allocation and Advanced Allocation, Trading (Equity-Commodities-Forex-Futures), Risk Management, Alternative Assets (Real Estate-Private Equity-Hedge Funds), Credit, Currency, Commodities, Asset Allocation, Dynamic Portfolio Management, Quantitative Risk Management, Machine Learning for Finance, Statistical Arbitrage, High-Frequency Trading (HFT), Market Making, Asset Pricing Models, Value at Risk (VaR), Expected Shortfall, Entropic Value at Risk (EVaR), Portfolio Optimization, Multi-Asset Strategies, Derivatives Pricing, Interest Rate Models, Quantitative Trading Strategies, Stochastic Models for Finance,...

Publications

Check out my publications and research:

• The Action of the Axisymmetric and Stationary Symmetry Group of General Relativity on a Static Black Hole
• Black Holes in a Swirling Universe
• Charged Black hole solutions in general relativity from inverse scattering
• Entropy-Based Allocation & Macro Scenarios

Projects

I worked on several projects.

• Billionaires' wealth analysis

I have conducted a statistical analysis on the inhomogeneity of billionaires' wealth distribution.

• Monte Carlo and Numerical Simulations

A series of projects covering various topics, including Monte Carlo simulations for option pricing, the Metropolis algorithm, Simulated Annealing, Genetic Algorithms, and TensorFlow implementations of AI models.

• Sentiment analysis using NLP and Deep Neural Networks

Gathered stock news from Google RSS and Reddit, for different asset classes. Leveraged NLP methods to preprocess articles data. Developed an LSTM and CNN hybrid Deep Neural Network with attention layer to predict news sentiment. Compared news sentiment prediction with stock returns to evaluate the model's effectiveness using a chi-squared tests.

• Beamer Theme: NovaBeamer

The NovaBeamer Theme is a LaTeX Beamer theme designed to create elegant and professional presentations for academic and scientific purposes.