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Employment (2)

Universita degli Studi di Bari Aldo Moro: Bari, Puglia, IT

2023-09-15 to present | Full Professor (Mathematics)
Employment
Source: Self-asserted source
Carlo Sgarra

Politecnico di Milano: Milano, Lombardia, IT

1990-05-16 to 2023-09-15 | Prof. (Mathematics)
Employment
Source: Self-asserted source
Carlo Sgarra

Education and qualifications (1)

Università degli Studi di Milano: Milano, Lombardia, IT

1983-10-01 to 1987-11-01 | PhD. (Mathematics)
Education
Source: Self-asserted source
Carlo Sgarra

Works (7)

Foreword to the Special Issue on Energy Finance and Climate Change

Applied Stochastic Models in Business and Industry
2024-11 | Journal article
Contributors: Roberto Baviera; Carlo Sgarra; Tiziano Vargiolu; Rituparna Sen
Source: check_circle
Crossref

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

North American Actuarial Journal
2024-10 | Journal article
Contributors: David Baños; Å. H. Sande; Carlo Sgarra
Source: check_circle
Crossref

Interest Rates Term Structure Models Driven by Hawkes Processes

SIAM Journal on Financial Mathematics
2023-12-31 | Journal article
Part of ISSN: 1945-497X
Contributors: Guillaume Bernis; Matthieu Garcin; Simone Scotti; Carlo Sgarra
Source: Self-asserted source
Carlo Sgarra

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

Applied Stochastic Models in Business and Industry
2022-01 | Journal article
Contributors: Giorgia Callegaro; Andrea Mazzoran; Carlo Sgarra
Source: check_circle
Crossref

A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process

Mathematics and Financial Economics
2021-09-24 | Journal article
Contributors: Guillaume Bernis; Riccardo Brignone; Simone Scotti; Carlo Sgarra
Source: check_circle
Crossref

Asian options pricing in Hawkes-type jump-diffusion models

Annals of Finance
2020-03-28 | Journal article
Contributors: Riccardo Brignone; Carlo Sgarra
Source: check_circle
Crossref

Optimal investment in markets with over and under-reaction to information

Mathematics and Financial Economics
2017-06 | Journal article
Contributors: Giorgia Callegaro; M’hamed Gaïgi; Simone Scotti; Carlo Sgarra
Source: check_circle
Crossref

Peer review (2 reviews for 2 publications/grants)

Review activity for Annals of operation research. (1)
Review activity for Energy economics. (1)