Katia Colaneri

Available identifiers

zbMath Open colaneri.katiaMaRDI QIDQ743151

List of research outcomes

Publication	Date of Publication	Type
Implicit incentives for fund managers with partial information	2023-08-04	Paper
Some optimisation problems in insurance with a terminal distribution constraint	2023-07-12	Paper
A class of recursive optimal stopping problems with applications to stock trading	2022-09-26	Paper
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics	2022-07-27	Paper
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	2022-07-15	Paper
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	2021-11-19	Paper
The value of knowing the market price of risk	2021-11-08	Paper
Optimal convergence trading with unobservable pricing errors	2021-11-08	Paper
Indifference pricing of pure endowments via BSDEs under partial information	2020-12-16	Paper
Value adjustments and dynamic hedging of reinsurance counterparty risk	2020-09-28	Paper
Optimal liquidation under partial information with price impact	2020-04-07	Paper
Portfolio optimization for a large investor controlling market sentiment under partial information	2019-07-10	Paper
A class of recursive optimal stopping problems with applications to stock trading	2019-05-07	Paper
Pairs trading under drift uncertainty and risk penalization	2018-11-23	Paper
The value of information for optimal portfolio management	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
A benchmark approach to risk-minimization under partial information	2014-09-22	Paper
The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness	2014-07-01	Paper
Nonlinear filtering for jump diffusion observations	2012-11-02	Paper
A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data	N/A	Paper

Research outcomes over time

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