Ansattprofil

Silvia Lavagnini

Postdoktorstipendiat - Institutt for datavitenskap og analyse

Bilde av Silvia Lavagnini

Biografi

Office hours: By appointment

Publikasjoner

Gnoatto, Alessandro; Lavagnini, Silvia & Picarelli, Athena (2024)

Deep Quadratic Hedging

Doi: https://doi.org/10.1287/moor.2023.0213

We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated from the point of view of backward stochastic differential equations (BSDEs), we (recursively) apply a deep learning-based BSDE solver to compute the entire optimal hedging strategies paths. This allows us to overcome the curse of dimensionality, extending the scope of applicability of quadratic hedging in high dimension. We test our approach with a classic Heston model and with a multiasset and multifactor generalization thereof, showing that this leads to high levels of accuracy.

Lavagnini, Silvia (2021)

PRICING ASIAN OPTIONS with CORRELATORS

24(8) Doi: https://doi.org/10.1142/S0219024921500412 - Fulltekst i vitenarkiv

Benth, Fred Espen & Lavagnini, Silvia (2021)

Correlators of Polynomial Processes

12(4) , s. 1374- 1415. Doi: https://doi.org/10.1137/21M141556X - Fulltekst i vitenarkiv

Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021)

Accuracy of deep learning in calibrating HJM forward curves

3, s. 209- 248. Doi: https://doi.org/10.1007/s42521-021-00030-w - Fulltekst i vitenarkiv

Lavagnini, Silvia (2020)

CARMA Approximations and Estimation

6 Doi: https://doi.org/10.3389/fams.2020.00037 - Fulltekst i vitenarkiv

Benth, Fred Espen; Persio, Luca Di & Lavagnini, Silvia (2018)

Stochastic modelling of wind derivatives in energy markets

6(2) Doi: https://doi.org/10.3390/risks6020056 - Fulltekst i vitenarkiv

Akademisk grad
År Akademisk institusjon Grad
2021 University of Oslo PhD
2017 University of Verona MSc in Mathematics
Arbeidserfaring
År Arbeidsgiver Tittel
2022 - Present BI Norwegian Business School Assistant Professor
2021 - 2022 University of Verona Post-doc, Economics Department