CALLEGARO, GIORGIA
CALLEGARO, GIORGIA
Dipartimento di Matematica "Tullio Levi-Civita" - DM
A backward Monte Carlo approach to exotic option pricing
2018 Bormetti, Giacomo; Callegaro, Giorgia; Livieri, Giulia; Pallavicini, Andrea
A fully quantization-based scheme for FBSDEs
2023 Callegaro, G.; Gnoatto, A.; Grasselli, M.
A McKean–Vlasov Game of Commodity Production, Consumption and Trading
2022 Callegaro, Giorgia; Bonesini, Ofelia; Aid, René; Campi, Luciano
A Self-Exciting Modelling Framework for Forward Prices in Power Markets
2022 Callegaro, Giorgia; Sgarra, Carlo; Mazzoran, Andrea
American quantized calibration in stochastic volatility
2018 Callegaro, Giorgia; Grasselli, Martino; Fiorin, Lucio
An application to credit risk of a hybrid Monte Carlo-optimal quantization method
2013 Callegaro, Giorgia; A., Sagna
Carthaginian enlargement of filtrations
2013 Callegaro, Giorgia; M., Jeanblanc; B., Zargari
Correction to: No-arbitrage commodity option pricing with market manipulation (Mathematics and Financial Economics, (2020), 14, 3, (577-603), 10.1007/s11579-020-00265-y)
2021 Aid, R.; Callegaro, G.; Campi, L.
Fast hybrid schemes for fractional Riccati equations (Rough is not so tough)
2021 Callegaro, G.; Grasselli, M.; Pages, G.
Functional quantization of rough volatility and applications to volatility derivatives
2023 Bonesini, O.; Callegaro, G.; Jacquier, A.
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
2020 Aïd, René; Basei, Matteo; Callegaro, Giorgia; Campi, Luciano; Vargiolu, Tiziano
No–arbitrage commodity option pricing with market manipulation
2020 Aïd, René; Callegaro, Giorgia; Campi, Luciano
Optimal consumption problems in defaultable markets
2013 Callegaro, Giorgia
Optimal investment in markets with over and under-reaction to information
2017 Callegaro, Giorgia; Gaïgi, M’Hamed; Scotti, Simone; Sgarra, Carlo
Optimal investment in markets with over and under-reaction to information
2017 Callegaro, G.; Gaïgi, M.; Scotti, S.; Sgarra, C.
Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market
2009 Callegaro, Giorgia; Vargiolu, Tiziano
Optimal reduction of public debt under partial observation of the economic growth
2020 Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
2024 Brachetta, M.; Callegaro, G.; Ceci, C.; Sgarra, C.
Portfolio optimization in a defaultable market under incomplete information
2012 Callegaro, Giorgia; M., Jeanblanc; W. J., Runggaldier
Portfolio Optimization in Discontinuous Markets under Incomplete Information
2006 Callegaro, Giorgia; G. B., Di Masi; W. J., Runggaldier