Giorgia Callegaro

Available identifiers

zbMath Open callegaro.giorgiaWikidataQ103377403 ScholiaQ103377403MaRDI QIDQ829341

List of research outcomes

Publication	Date of Publication	Type
Functional quantization of rough volatility and applications to volatility derivatives	2024-04-12	Paper
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	2024-04-02	Paper
From elephant to goldfish (and back): memory in stochastic Volterra processes	2023-06-05	Paper
A fully quantization-based scheme for FBSDEs	2022-12-07	Paper
A McKean-Vlasov game of commodity production, consumption and trading	2022-09-23	Paper
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)	2021-06-03	Paper
Quantization goes polynomial	2021-06-02	Paper
A Fully Quantization-based Scheme for FBSDEs	2021-05-07	Paper
Correction to: ``No-arbitrage commodity option pricing with market manipulation	2021-05-05	Paper
Optimal reduction of public debt under partial observation of the economic growth	2020-11-11	Paper
No-arbitrage commodity option pricing with market manipulation	2020-06-18	Paper
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications	2020-04-30	Paper
Quantization meets Fourier: a new technology for pricing options	2020-01-20	Paper
Pricing via recursive quantization in stochastic volatility models	2018-11-19	Paper
A backward Monte Carlo approach to exotic option pricing	2018-07-13	Paper
Optimal investment in markets with over and under-reaction to information	2017-11-09	Paper
Utility indifference pricing and hedging for structured contracts in energy markets	2017-08-11	Paper
Carthaginian enlargement of filtrations	2014-04-10	Paper
Optimal consumption problems in discontinuous markets	2014-02-07	Paper
Portfolio optimization in a defaultable market under incomplete information	2013-02-25	Paper
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method	2009-07-03	Paper
Portfolio optimization in discontinuous markets under incomplete information	2007-11-27	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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