Dr. Riccardo Brignone

Research Assistant of the Department of Quantitative Finance

Dr. Riccardo Brignone

Department of Quantitative Finance
Faculty of Economics and Behavioural Science
Albert-Ludwigs-Universität Freiburg
Rempartstraße 16
79098 Freiburg i. Br.



Office Hours / Contact

Tel.: +49 761 203 9364

E-Mail: riccardo.brignone@finance.uni-freiburg.de

Room: 03-20

Office hours by appointment



  • Summer Term 2024: Derivatives Princing, Lecture + Tutorial
  • Winter Term 2023/24: Portfolio Management, Lecture + Tutorial
  • Summer Term 2023: Derivatives Princing, Lecture + Tutorial
  • Winter Term 2022/23: Portfolio Management, Tutorial
  • Summer Term 2022: Principles of Finance, Tutorial
  • Winter Term 2021/22:Portfolio Management, Tutorial
  • Winter Term 2021/22: Futures and Options, Tutorial
  • Summer Term 2021: Probability Theory for Economics and Finance, Tutorial
  • Summer Term 2020: Principles of Finance, Additional Tutorial


Research Interests

  • Derivatives pricing
  • Term Structure of Interest Rates
  • Financial Econometrics



  • Exact Simulation of the Multifactor Ornstein-Uhlenbeck Driven Stochastic Volatility Model, SIAM Journal on Scientific Computing, (2024), 46, A1441-A1460
  • Exact simulation of the Hull and White stochastic volatility model, with L. Gonzato, Journal of Economic Dynamics and Control (2024), 163, 104861
  • Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing, with L. Gonzato and C. Sgarra. Quantitative Energy Finance: Recent Trends and Developments (2024), 41-72
  • Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants, with L. Gonzato and E. Lütkebohmert, Journal of Banking and Finance (2023), 148, 106745
  • Unified moment-based modelling of integrated stochastic processes, with I. Kyriakou and G. Fusai, Operations Research, Forthcoming
  • Commodity Asian Option Pricing and Simulation in a 4-Factor Model with Jump Clusters, with L. Gonzato and C. Sgarra, Annals of Operations Research, Forthcoming
  • Moments of integrated exponential Lévy processes and applications to Asian options pricing, Quantitative Finance (2022), 22, 1717-1729
  • Arbitrage-Free Nelson-Siegel Model for Multiple Yield Curves, with C. Gerhart and E. Lütkebohmert, Mathematics and Financial Economics (2022), 15, 239-266
  • A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process, with G. Bernis, S. Scotti and C. Sgarra, Mathematics and Financial Economics (2021) 15, 747-773
  • Moment-matching approximations for stochastics sums in non-Gaussian Ornstein-Uhlenbeck models, with I. Kyriakou and G. Fusai, Insurance: Mathematics and Economics (2021), 96, 232-247
  • Asian options pricing in Hawkes-type jump-diffusion models, with C. Sgarra, Annals of Finance (2020), 16, 101-119


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