Andrea Fiacco

Doctoral Research Fellow - Risk and Stochastics
Image of Andrea Fiacco
Norwegian version of this page
Phone +393487529118
Room 1214
Visiting address Moltke Moes vei 35 Niels Henrik Abels hus 0851 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, Mathematical Finance, energy markets


  • 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