New Face: Silvia Lavagnini

From Italy

Start date: 01.08.2017

Section: 3 - Stochastic analysis, finance, insurance og risk

I am an applied mathematician graduated last March at University of Verona, Italy. My branch of research is stochastic calculus and mathematical finance applied to renewable energies. Last year I was in Oslo for six months to work at my master thesis with prof. Fred Espen Benth. We worked on a joint model for wind energy production from a wind power plant and spot price for electricity, in order to study the income from the plant as the product between the two processes mentioned. After calibration of our models, also in collaboration with prof. Di Persio Luca from University of Verona, we constructed a quanto option that can be useful for an energy company which want to cover itself simultaneously against the risk due to the change in the electric energy spot price, and due to the low wind production related to low wind or wear of the plant. The aim of this PhD is to continue the work started last year in what I found to be an highly stimulating scientific environment, also improving my level of English and approaching more deeply with a new culture in a very nice and green country. The project will be joint with the Norwegian company Statkraft.

Tags: Mathematical finance, energy markets
Published Aug. 1, 2017 9:49 AM - Last modified Apr. 20, 2020 1:37 PM