Alessandra Cretarola

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps Applied Stochastic Models in Business and Industry	2024-07-30	Paper
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets Insurance Mathematics & Economics	2022-07-15	Paper
Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} Annals of Operations Research	2021-11-08	Paper
Indifference pricing of pure endowments via BSDEs under partial information Scandinavian Actuarial Journal	2020-12-16	Paper
Market attention and Bitcoin price modeling: theory, estimation and option pricing Decisions in Economics and Finance	2020-07-08	Paper
Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics Economics Letters	2020-07-07	Paper
A continuous time model for bitcoin price dynamics Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-10-12	Paper
The Föllmer–Schweizer decomposition under incomplete information Stochastics	2018-09-04	Paper
Unit-linked life insurance policies: optimal hedging in partially observable market models Insurance Mathematics & Economics	2017-09-19	Paper
Local risk-minimization under restricted information on asset prices Electronic Journal of Probability	2015-11-27	Paper
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization Insurance Mathematics & Economics	2015-03-13	Paper
Optimal consumption policies in illiquid markets Finance and Stochastics	2014-12-17	Paper
A benchmark approach to risk-minimization under partial information Insurance Mathematics & Economics	2014-09-22	Paper
BSDEs under partial information and financial applications Stochastic Processes and their Applications	2014-08-28	Paper
Local risk-minimization under the benchmark approach Mathematics and Financial Economics	2014-05-30	Paper
GKW representation theorem under restricted information. An application to risk-minimization Stochastics and Dynamics	2014-05-16	Paper
Local risk-minimization for defaultable claims with recovery process Applied Mathematics and Optimization	2012-08-01	Paper
Local risk minimization for defaultable markets Mathematical Finance	2009-12-07	Paper
Quadratic hedging methods for defaultable claims Applied Mathematics and Optimization	2008-04-03	Paper

Research outcomes over time

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