Francesco Siano

Francesco Siano is a seasoned professional with expertise in the valuation and assessment of risk related to various deals in storage, swing, and tolling. His experience includes handling slow seasonal assets to fast multi-cycle assets with volumetric constraints and indexed to oil and FX curves.

Francesco is skilled in calibration techniques like arbitrage-free implied volatility surface (SVI, SSVI), first-order Greeks via Adjoint Algorithm Differentiation, and mean-reverting model parameters calibration for gas contracts. He has also developed methodologies for generating forward curves using Principal Components Analysis.

His proficiency extends to testing commercial software for new feature developments and specializes in options, Greeks, Monte Carlo simulations, and hedging strategies for storage, swing, and tolling deals. Francesco is a proficient user of tools like Mathematica, Python, C#, Matlab.

Francesco Siano pursued a Ph.D. in Physics from the University of Southern California and has held key roles in several prestigious organizations, including being a Senior Quantitative Market Risk Analyst at SOCAR Trading and Senior Risk Quantitative Analyst at Gazprom Marketing & Trading.