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Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization

Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 60 (2015), pp. 47-60

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010484834

Indifference pricing of pure endowments via BSDEs under partial information

Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 904-933

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012313747

Utility maximization with intermediate consumption under restricted information for jump market models

Ceci, Claudia - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-34

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009672596

A Confidence-Based Model for Asset and Derivative Prices in the Bitcoin Market

Cretarola, Alessandra - 2019

We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices causing a Bubble effect, the presence of which is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012902367

A Sentiment-Based Model for the Bitcoin : Theory, Estimation and Option Pricing

Cretarola, Alessandra - 2019

In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek the author analyses transaction based as well as popularity based potential...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012901017

Market attention and Bitcoin price modeling : theory, estimation and option pricing

Cretarola, Alessandra; Figà-Talamanca, Gianna; … - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 187-228

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012285396

Utility indifference valuation for jump risky assets

Ceci, Claudia; Gerardi, Anna - In: Decisions in economics and finance : DEF ; a journal of … 34 (2011) 2, pp. 85-120

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009375096

Pricing for geometric marked point processes under partial information : entropy approach

Ceci, Claudia; Gerardi, Anna - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 179-207

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003855758