Giorgia Callegaro
Giorgia Callegaro
Adresse e-mail validée de - Page d'accueil
Citée par
Citée par
Carthaginian enlargement of filtrations∗
G Callegaro, M Jeanblanc, B Zargari
ESAIM: Probability and Statistics 17, 550-566, 2013
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
R Aïd, M Basei, G Callegaro, L Campi, T Vargiolu
Mathematics of Operations Research 45 (1), 205-232, 2020
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)
G Callegaro, M Grasselli, G Pagès
Accepted for publication by Mathematics of Operations Research, available at …, 2020
A backward Monte Carlo approach to exotic option pricing
G Bormetti, G Callegaro, G Livieri, A Pallavicini
European Journal of Applied Mathematics 29 (1), 2018
Pricing via recursive quantization in stochastic volatility models
G Callegaro, L Fiorin, M Grasselli
Quantitative Finance 17 (6), 855-872, 2017
Portfolio optimization in discontinuous markets under incomplete information
G Callegaro, GB Di Masi, WJ Runggaldier
Asia-Pacific Financial Markets 13, 373-394, 2006
Quantized calibration in local volatility
G Callegaro, L Fiorin, M Grasselli
Risk Magazine, april 2015, 2015
Quantization Meets Fourier: A New Technology for Pricing Options
G Callegaro, L Fiorin, M Grasselli
Annals of Operations Research, 2018
Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market
G Callegaro, T Vargiolu
International Journal of Risk Assessment and Management 11 (1-2), 180-200, 2009
A self‐exciting modeling framework for forward prices in power markets
G Callegaro, A Mazzoran, C Sgarra
Applied stochastic models in business and industry 38 (1), 27-48, 2022
Optimal Investment in Markets with Over and Under-Reaction to Information
G Callegaro, S Scotti, C Sgarra, G M'hamed
Mathematics and Financial Economics 11 (3), 2017
Optimal reduction of public debt under partial observation of the economic growth
G Callegaro, C Ceci, G Ferrari
Finance and Stochastics 24, 1083-1132, 2020
Portfolio optimization in a defaultable market under incomplete information
G Callegaro, M Jeanblanc, WJ Runggaldier
Decisions in Economics and Finance 35, 91-111, 2012
An application to credit risk of a hybrid Monte Carlo–optimal quantization method
G Callegaro, A Sagna
The Journal of Computational Finance 16, 123-156, 2013
Functional quantization of rough volatility and applications to the VIX
O Bonesini, G Callegaro, A Jacquier
arXiv preprint arXiv:2104.04233, 2021
Utility indifference pricing and hedging for structured contracts in energy markets
G Callegaro, L Campi, V Giusto, T Vargiolu
Mathematical Methods of Operations Research 85 (2), 2017
Optimal consumption problems in discontinuous markets
G Callegaro
Optimization 62 (11), 1575-1602, 2013
Quantization goes polynomial
G Callegaro, L Fiorin, A Pallavicini
Quantitative Finance 21 (3), 361-376, 2021
No–arbitrage commodity option pricing with market manipulation
R Aïd, G Callegaro, L Campi
Mathematics and Financial Economics 14, 577-603, 2020
American quantized calibration in stochastic volatility
G Callegaro, L Fiorin, M Grasselli
Risk Magazine 31 (2), 84-88, 2018
Le système ne peut pas réaliser cette opération maintenant. Veuillez réessayer plus tard.
Articles 1–20