Pietro Rossi is a senior financial analyst within the Market Risk Group at Prometeia, specializing in the development of analytical tractable approximation for exotic option, and Monte Carlo technique. He has a Ph.D. in physics from NYU, was postdoctoral research associate at Cornell University and the University of California in San Diego. Later he worked for Thinking Machines (TMC), a Boston based start-up where he contributed to the development of the massively parallel computers CM2 and CM5. After the TMC experience he was director of the parallel computing group at the Center for Advanced Studies, Research and Developments in Sardinia, and subsequently he worked as Senior Scientist at ENEA in the high performance computing division. His scientific activity has been mainly in theoretical particle physics and computer science, while his most recent work deals with the use of Fourier Transform in finance.