Andrea home page

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• My curriculm vitae



• Conferences I have participated
  
  
  • MathFinance 2008: High Performancne Computing Techniques in Finance
  
  
  • MathFinance 2014: Solving PDEs Using Continuous Time Markov Chains
    Abstract: This talk shows how Finite Difference schemes can be interpreted as an exact solution of Continuous Time Markov Chains. Rather than approximating the solution of the continuous process, one can solve exactly an approximated process. It is a lot easier to have an intuition for the meaning of boundary conditions.



• Some works I have done during the "Diplome d'Etudes Approfondies" at Paris University
  
  
  • Evaluation d'options avec incertitude sur la volatilité
    (DVI: options.zip) or (PDF: options.pdf)
    For more info go here
  
  
  • Une implémentation du modèle HJM pour l'évaluation de swaptions bermuda
    (DVI: bermuda.zip) or (PDF: bermuda.pdf)
    For more info go here



• A paper (Italian language) on the relation between partial differential equations and diffusion processes
  (DVI: diffusioni.zip) or (PDF: diffusioni.pdf)



• The AndSoft Inc. is still alive with new code on GitHub and old code here.



• An example of VRML code: The Solar System



• Win95 program for numerical resolution of Stochastic Differential Equations