Andrea Fiacco

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Visiting address Ullevål stadion Sognsveien 77 B 0855 OSLO
Postal address Postboks 1053 Blindern 0316 OSLO
Other affiliations Faculty of Mathematics and Natural Sciences (Student)

I am a PhD student in mathematics and i will start working in January 2018 about stochastic analysis and energy markets, under the supervision of Giulia Di Nunno.

Prior to coming to Oslo i graduated in Mathematics at the University of Rome Tor Vergata, with a thesis entitled “A hybrid approach for the implementation of the Heston-Hull-White model”. The work is about the construction of a tree/finite-difference approximation for the HHW model, that is the joint evolution of an equity value with stochastic volatility and stochastic interest rate.

Tags: Stochastic Analysis, energy markets, Mathematical Finance
Published Jan. 5, 2018 3:28 PM - Last modified Jan. 5, 2018 3:28 PM