Silvia Lavagnini

Doctoral Research Fellow - Risk and Stochastics

I am a last-year PhD candidate with the supervision of prof. Fred Espen Benth. I have a four-year position including one year of in-house training in an international energy company in Oslo.

My research is centred around stochastic analysis and mathematical finance, with a particular focus on markets for energy, weather and commodities.

Thesis title: Stochastic Modelling in Energy Markets -- From the Spot Price to Derivative Contracts

Defence date: 18 June 2021


Curriculum vitae here.


Publications:


Preprints:

  • L.S. (2021). Pricing Asian Options with Correlators. Submitted to Int. J. Theor. Appl. Finance. (arXiv preprint)
  • Fred E. Benth and S.L. (2019). Correlators of Polynomial Processes. Submitted to SIAM J. on Financial Mathematics. (arXiv preprint)
Tags: Mathematical finance, Energy markets, Stochastic analysis and finance and insurance and risk
Published Aug. 28, 2017 8:38 AM - Last modified May 14, 2021 3:48 PM

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