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Callegaro, Giorgia; Fiorin, Lucio; Pallavicini, Andrea - In: Quantitative finance 21 (2021) 3, pp. 361-376

Persistent link: https://www.econbiz.de/10012483828

Quantization meets Fourier : a new technology for pricing options

Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino - In: Application of operations research to financial markets, (pp. 59-86). 2019

Persistent link: https://www.econbiz.de/10012157344

Conic quantization : stochastic volatility and market implied liquidity

Fiorin, Lucio; Schoutens, Wim - In: Quantitative finance 20 (2020) 4, pp. 531-542

Persistent link: https://www.econbiz.de/10012194906

A self‐exciting modeling framework for forward prices in power markets

Callegaro, Giorgia; Mazzoran, Andrea; Sgarra, Carlo - In: Applied Stochastic Models in Business and Industry 38 (2021) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012632311

Portfolio optimization in a defaultable market under incomplete information

Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, … - In: Decisions in Economics and Finance 35 (2012) 2, pp. 91-111

We consider the problem of maximization of expected utility from terminal wealth in a market model that is driven by a possibly not fully observable factor process and that takes explicitly into account the possibility of default for the individual assets as well as contagion (direct and...

Persistent link: https://www.econbiz.de/10010845571

Portfolio Optimization in Discontinuous Markets under Incomplete Information

Callegaro, Giorgia; Masi, Giovanni; Runggaldier, Wolfgang - In: Asia-Pacific Financial Markets 13 (2006) 4, pp. 373-394

Persistent link: https://www.econbiz.de/10005727084

Optimal investment in markets with over and under-reaction to information

Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; … - In: Mathematics and financial economics 11 (2017) 3, pp. 299-322

Persistent link: https://www.econbiz.de/10011900563

Utility indifference pricing and hedging for structured contracts in energy markets

Callegaro, Giorgia; Campi, Luciano; Giusto, Valeria; … - In: Mathematical methods of operations research 85 (2017) 2, pp. 265-303

Persistent link: https://www.econbiz.de/10011714437

No-arbitrage commodity option pricing with market manipulation

Aïd, René; Callegaro, Giorgia; Campi, Luciano - In: Mathematics and financial economics 14 (2020) 3, pp. 577-603

Persistent link: https://www.econbiz.de/10012240320

Optimal reduction of public debt under partial observation of the economic growth

Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio - In: Finance and stochastics 24 (2020) 4, pp. 1083-1132

Persistent link: https://www.econbiz.de/10012518165