andrefi

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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, 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 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