Ofelia BonesiniOfelia BonesiniFinancial Mathematics
Department of Mathematics
LSE

Research

Interests

My work spans mean field games and N-player games, numerical probability, stochastic control, Volterra equations, and rough paths and signature methods, with applications to finance and energy finance.

Rough volatility Volterra equations Mean field & N-player games Stochastic control Rough paths & signatures Numerical probability Energy finance

Published & accepted

Publications

  1. E
    Rough volatility, path-dependent PDEs and weak rates of convergence
    O. Bonesini, A. Jacquier, A. Pannier
    To appear in Annals of Applied Probability
    arXiv
  2. H
    Rough paths for multi-factor rough volatility models
    O. Bonesini, I. Gasteratos, A. Jacquier, E. Rossi-Ferrucci
    To appear in Finance and Stochastics
    arXiv
  3. I
    Risk premium and rough volatility
    O. Bonesini, A. Jacquier, A. Muguruza
    Frontiers of Mathematical Finance, 7, 78–94, 2025
    DOI
  4. F
    Continuous-time persuasion by filtering
    R. Aïd, O. Bonesini, G. Callegaro, L. Campi
    Journal of Economic Dynamics and Control, 176, 2025
    DOI
  5. D
    A theoretical analysis of Guyon’s toy volatility model
    O. Bonesini, A. Jacquier, C. Lacombe
    SIAM Journal on Financial Mathematics, 16(2), 2025
    DOI
  6. C
    Correlated equilibria and mean field games in progressive strategies
    O. Bonesini, L. Campi, M. Fischer
    Mathematics of Operations Research, 50(2), 2024
    DOI
  7. A
    Functional quantization of rough volatility and applications to volatility derivatives
    O. Bonesini, G. Callegaro, A. Jacquier
    Quantitative Finance, 23(12), 1769–1792, 2023
    DOI
  8. B
    A McKean–Vlasov game of commodity production, consumption and trading
    R. Aïd, O. Bonesini, G. Callegaro, L. Campi
    Applied Mathematics & Optimization, 86(40), 2022
    DOI

Under review & in progress

Preprints

  1. G
    Efficient simulation of a new class of Volterra-type SDEs
    O. Bonesini, G. Callegaro, M. Grasselli, G. Pagès
    Preprint, 2025
    arXiv
  2. L
    XPDE for X ∈ {BS, FBS, P}: a rough volatility context
    O. Bonesini, A. Jacquier
    Preprint, 2023
    arXiv
  3. M
    Work in progress with G. Lanaro
    O. Bonesini, G. Lanaro
    In preparation · presented at Berkeley, TU Berlin and Hammamet (2026)

Paper labels follow the keys used in your CV; update title (M) once it's public.

Co-authors

Collaborators

René Aïd Giorgia Callegaro Luciano Campi Markus Fischer Martino Grasselli Antoine Jacquier Chloé Lacombe Alexandre Pannier Gilles Pagès Ioannis Gasteratos Aitor Muguruza Emilio Rossi-Ferrucci Giacomo Lanaro

Editorial service

Associate Editor, Frontiers of Mathematical Finance.