Gaetano Agazzotti
Recently graduated from the MVA master at ENS Paris-Saclay and Ecole des Mines de Nancy, I am a a first year PhD. student under the supervision of A. Chambolle and C. Royer. My work is focused on the use of primal-dual algorithms for transportation problems.
Before starting my PhD., I worked on mathematical finance, real analysis and machine learning.
An updated list of the research projects I have been involved here. If you have any questions about the articles or the accompanying code, I would be more than happy to answer!
news
| Oct 14, 2025 | Our preprint Fast and explicit European option pricing under tempered stable processes is now available with its companion repository TS-Pricing . |
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| Sep 19, 2025 | Our paper Calibration and option pricing with stochastic volatility and double exponential jumps was presented by J.P. Aguilar at the Mathematical Finance seminar of Texas Tech University on 2025-09-19. |
| Mar 28, 2025 | Our paper Long time asymptotic behavior of a self-similar fragmentation equation has just been accepted in the Nonlinear Analysis journal  |
| Feb 17, 2025 | Our paper Calibration and option pricing with stochastic volatility and double exponential jumps has just been accepted in the Journal of Computational and Applied Mathematics |