Andrea Fiacco
Doctoral Research Fellow
-
Risk and Stochastics
Norwegian version of this page
Email
andrefi@math.uio.no
Room
1214
Username
Visiting address
Moltke Moes vei 35
Niels Henrik Abels hus
0851 OSLO
Postal address
Postboks 1053 Blindern
0316 OSLO
Other affiliations
The International Summer School
(Student)
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.
Publications
- Di Nunno, Giulia; Fiacco, Andrea & Karlsen, Erik Hove (2019). On the approximation of Lévy driven Volterra processes and their integrals. Journal of Mathematical Analysis and Applications. ISSN 0022-247X. 476(1), s 120- 148 . doi: 10.1016/j.jmaa.2019.02.051 Full text in Research Archive. Show summary
Published Jan. 5, 2018 3:28 PM
- Last modified Nov. 6, 2018 2:07 PM