Carlo Sgarra

Full Professor

University of Bari Aldo Moro

Italy

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About

Carlo Sgarra is a Full Professor at Universita degli Studi di Bari Aldo Moro in Italy. His research areas encompass finance, particularly focusing on hedging strategies, energy finance, and stochastic modeling. Notable recent articles include studies on self-exciting jumps in hedging, interest rate term structures, and pricing of Asian options within sophisticated mathematical frameworks.

Articles (7)

Year:

2025

Year:

2024

Year:

2024

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2023

Year:

2022

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2021

Year:

2020

Collaborators (3)

Simone Scotti

ITALY

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David R. Banos

Associate professor

University of Oslo

NORWAY

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RICCARDO BRIGNONE

Tenure Track Assistant Professor

University of Pavia

ITALY

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Carlo Sgarra

Research Interests

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Articles (7)

Semistatic Variance-Optimal Hedging with Self-Exciting Jumps

Foreword to the Special Issue on Energy Finance and Climate Change

Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration

Interest Rates Term Structure Models Driven by Hawkes Processes

A self‐exciting modeling framework for forward prices in power markets

A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process

Asian options pricing in Hawkes-type jump-diffusion models

Collaborators (3)

Simone Scotti

David R. Banos

RICCARDO BRIGNONE

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