Volterra Volatility Models: Option Pricing and Hedging

Anton Yurchenko-Tytarenko , Giulia Di Nunno , Yuliya Mishura
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Volterra Volatility Models: Option Pricing and Hedging

Anton Yurchenko-Tytarenko , Giulia Di Nunno , Yuliya Mishura
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310 PAGESANGLAIS

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  • Date de publication : Aug 30, 2026
  • Langue : anglais
  • Nombre de pages : 310
  • Éditeur : Springer Nature
  • ISBN : 9783032265753
  • Dimensions : 6.1" W x 1.0" L x 9.25" H

Giulia Di Nunnois a professor at the University of Oslo and an adjunct professor at Norwegian School of Economics (NHH). She received her PhD in mathematical statistics in 2003 from the University of Pavia. Her main research fields are stochastic analysis and control with financial modelling in view. She has worked in portfolio optimisation, risk evaluation, pricing and hedging, stochastic volatility modelling, and more recently, numerical methods and machine learning in finance. Di Nunno is the author and co-author of about 80 scientific works, including a monograph on Malliavin calculus for Levy Processes with Applications to Finance and she is an editor of various volumes, all published by Springer. She is active internationally within knowledge societies, research projects, and works as an editor for several leading journals. She has made significant contributions in promoting mathematics in education and research globally as well as promoting women in mathematics. She is also the recipient of the 2019 ICIAM Su Buchin Prize.

Yuliya Mishurareceived her PhD in probability and statistics from Kyiv University in 1978 and completed her postdoctoral degree in probability and statistics (Habilitation) in 1990. She is currently a professor of the Department of Probability, Statistics and Actuarial Mathematics at Taras Shevchenko National University of Kyiv. Having broad and varied scientific interests, she is the author/coauthor of more than 320 research papers and more than 20 books. Her research interests include theory and statistics of stochastic processes, stochastic differential equations, stochastic finance, stochastic analysis, functional limit theorems, entropies of probability distributions and stochastic systems and other applications of stochastics. She was the invited speaker of many international congresses and conferences and the organizer of a series of conferences. She is the Editor-in-Chief of the journal Theory of Probability and Mathematical Statistics, Coeditor-in-Chief of the journal Modern Stochastics: Theory and Applications and the associated editor of several journals. She was a team leader and participant in many international research projects.

Anton Yurchenko-Tytarenkocompleted his PhD at the Faculty of Mathematics and Natural Sciences, University of Oslo in 2022. He specializes in probability theory, statistics, and stochastic analysis, with research interests in financial modeling, particularly volatility, stochastic systems with memory, machine learning and numerical methods for random processes. He is currently a Senior Power Market Analyst at Statkraft Energi AS, where he focuses on modeling and forecasting prices of power market assets.

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