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Elisa Nicolato is an Associate Professor at the Department of Economics and Business Economics, Aarhus University. She is a research fellow at the Danish Finance Institute (DFI) and the Center for Research in Energy: Economics and Markets (CoRE). She holds a PhD in Mathematics from University of Padua.
Elisa' research interests include option pricing, term structure of interest, efficient approximation methods and modelling for energy markets. She is particularly interested in developing tractable stochastic volatility models in finite and infinite dimension for option pricing. Recent work has focused to finding accurate and efficient approximations to enable fast calibration of complex pricing models.
Elisa has taught courses at both undergraduate and graduate level covering fixed income, derivatives pricing, mathematical finance, and financial engineering.