Callegaro, Giorgia
- Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
2016/04/29 by Aïd, René, Basei, Matteo, Callegaro, Giorgia +2 · 3 citations
#FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Probability (math.PR)
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
2022/07/12 by Matteo Brachetta, Brachetta, Matteo, Giorgia Callegaro +5 · 5 citations
Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- A Self-Exciting Modelling Framework for Forward Prices in Power Markets
2019/10/29 by Giorgia Callegaro, Callegaro, Giorgia, Andrea Mazzoran +3 · 2 citations
Biochemistry, Genetics and Molecular Biology · Economics, Econometrics and Finance · Mathematics · #Diffusion and Search Dynamics #FOS: Economics and business #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Utility indifference pricing and hedging for structured contracts in\n energy markets
2014/07/29 by Giorgia Callegaro, Callegaro, Giorgia, Luciano Campi +5 · 1 citation
Economics, Econometrics and Finance · Engineering · #FOS: Economics and business #Market Dynamics and Volatility #Mathematical Finance (q-fin.MF) #Process Optimization and Integration
- Optimal Reduction of Public Debt under Partial Observation of the Economic Growth
2019/01/24 by Callegaro, Giorgia, Ceci, Claudia, Ferrari, Giorgio · 2 citations
#60G35 #60G40 #60J60 #91B64 #93E11 #93E20 #FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Optimization and Control (math.OC)
- Continuous-time persuasion by filtering
2024/10/10 by Aïd, René, Bonesini, Ofelia, Callegaro, Giorgia +1 · 3 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- A McKean-Vlasov game of commodity production, consumption and trading
2021/11/08 by Aïd, René, Bonesini, Ofelia, Callegaro, Giorgia +1 · 1 citation
#49N10 #91A15 #91G30 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)