Carlo Sgarra
- 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, Andrea Mazzoran, Callegaro, Giorgia +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