Picarelli, Athena

1. A deep solver for BSDEs with jumps
   2022/11/08 by Andersson, Kristoffer, Alessandro Gnoatto, Marco Patacca +4 · 5 citations
   Energy · #60H10 #65M75 #68T07 #93E20 #Computational Finance (q-fin.CP) #Energy Efficiency and Management #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR)
2. Deep xVA solver -- A neural network based counterparty credit risk\n management framework
   2020/05/06 by Alessandro Gnoatto, Athena Picarelli, Gnoatto, Alessandro +3 · 3 citations
   Economics, Econometrics and Finance · Engineering · #Stochastic processes and financial applications #Credit Risk and Financial Regulations #Reservoir Engineering and Simulation Methods
3. Improved order 1/4 convergence for piecewise constant policy\n approximation of stochastic control problems
   2019/01/04 by Espen R. Jakobsen, Jakobsen, Espen R., Athena Picarelli +3 · 1 citation
   Economics, Econometrics and Finance · #Climate Change Policy and Economics #FOS: Mathematics #Monetary Policy and Economic Impact #Probability (math.PR) #Stochastic processes and financial applications
4. Optimal management of pumped hydroelectric production with state\n constrained optimal control
   2019/09/15 by Athena Picarelli, Tiziano Vargiolu, Picarelli, Athena +1 · 1 citation
   Decision Sciences · Engineering · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Reservoir Engineering and Simulation Methods #Risk and Portfolio Optimization #Water resources management and optimization
5. Deep Quadratic Hedging
   2022/12/24 by Alessandro Gnoatto, Gnoatto, Alessandro, Silvia Lavagnini +3 · 1 citation
   Economics, Econometrics and Finance · #60H10 #65M75 #68T07 #93E20 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
6. Convergence of a Deep BSDE solver with jumps
   2025/01/16 by Alessandro Gnoatto, Gnoatto, Alessandro, Katharina Oberpriller +3 · 3 citations
   Mathematics · Engineering · #Advanced Optimization Algorithms Research #Advanced Control Systems Optimization