Andrea Fiacco
Doctoral Research Fellow
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Stochastic analysis, finance, insurance og risk
Norwegian version of this page
Email
andrefi@math.uio.no
Username
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.
Published Jan. 5, 2018 3:28 PM
- Last modified Jan. 5, 2018 3:28 PM