Alessandra Cretarola

Available identifiers

zbMath Open cretarola.alessandraMaRDI QIDQ402718

List of research outcomes

Publication	Date of Publication	Type
Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps	2024-07-30	Paper
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	2022-07-15	Paper
Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}	2021-11-08	Paper
Indifference pricing of pure endowments via BSDEs under partial information	2020-12-16	Paper
Market attention and Bitcoin price modeling: theory, estimation and option pricing	2020-07-08	Paper
Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics	2020-07-07	Paper
A Continuous Time Model for Bitcoin Price Dynamics	2018-10-12	Paper
The Föllmer–Schweizer decomposition under incomplete information	2018-09-04	Paper
Unit-linked life insurance policies: optimal hedging in partially observable market models	2017-09-19	Paper
Local risk-minimization under restricted information on asset prices	2015-11-27	Paper
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization	2015-03-13	Paper
Optimal consumption policies in illiquid markets	2014-12-17	Paper
A benchmark approach to risk-minimization under partial information	2014-09-22	Paper
BSDEs under partial information and financial applications	2014-08-28	Paper
Local risk-minimization under the benchmark approach	2014-05-30	Paper
GKW representation theorem under restricted information: An application to risk-minimization	2014-05-16	Paper
Local risk-minimization for defaultable claims with recovery process	2012-08-01	Paper
Local risk minimization for defaultable markets	2009-12-07	Paper
Quadratic hedging methods for defaultable claims	2008-04-03	Paper

Research outcomes over time

This page was built for person: Alessandra Cretarola