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 HestonHullWhite model”. The work is about the construction of a tree/finitedifference approximation for the HHW model, that is the joint evolution of an equity value with stochastic volatility and stochastic interest rate.
Tags:
Stochastic Analysis,
Mathematical Finance,
energy markets
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 0022247X.
476(1), s 120 148 . doi:
10.1016/j.jmaa.2019.02.051
Full text in Research Archive.
Show summary
Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g.temperatures and wind and the related financial derivatives. Volterra processes are in general nonsemimartingales and a theory of integration with respect to such processes is in fact not standard. In this work we suggest to construct an approximating sequence of Lévy driven Volterra processes, by perturbation of the kernel function. In this way,one can obtain an approximating sequence of semimartingales. Then we consider fractional integration with respect to Volterra processes as integrators and we study the corresponding approximations of the fractional integrals. We illustrate the approach presenting the specific study of the GammaVolterra processes. Examples and illustrations via simulation are given.
Published Jan. 5, 2018 3:28 PM
 Last modified Nov. 6, 2018 2:07 PM