New Face: Andrea Fiacco
Start date: 03.01.2018
Section: 3- Stochastic analysis, finance, insurance og risk
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.