Sfoglia per Autore
Functional quantization of rough volatility and applications to volatility derivatives
2023 Bonesini, O.; Callegaro, G.; Jacquier, A.
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
2023 Brachetta, M.; Callegaro, G.; Ceci, C.; Sgarra, C.
A fully quantization-based scheme for FBSDEs
2023 Callegaro, G.; Gnoatto, A.; Grasselli, M.
A Self-Exciting Modelling Framework for Forward Prices in Power Markets
2022 Callegaro, Giorgia; Sgarra, Carlo; Mazzoran, Andrea
A McKean–Vlasov Game of Commodity Production, Consumption and Trading
2022 Callegaro, Giorgia; Bonesini, Ofelia; Aid, René; Campi, Luciano
Quantization goes polynomial
2021 Callegaro, Giorgia; Pallavicini, Andrea; Fiorin, Lucio
Correction to: No-arbitrage commodity option pricing with market manipulation (Mathematics and Financial Economics, (2020), 14, 3, (577-603), 10.1007/s11579-020-00265-y)
2021 Aid, R.; Callegaro, G.; Campi, L.
Fast hybrid schemes for fractional Riccati equations (Rough is not so tough)
2021 Callegaro, G.; Grasselli, M.; Pages, G.
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
2020 René, Aïd; Basei, Matteo; Callegaro, Giorgia; Campi, Luciano; Vargiolu, Tiziano
Optimal reduction of public debt under partial observation of the economic growth
2020 Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio
No–arbitrage commodity option pricing with market manipulation
2020 Aïd, René; Callegaro, Giorgia; Campi, Luciano
Quantization meets Fourier: a new technology for pricing options
2019 Callegaro, Giorgia; Grasselli, Martino; Fiorin, Lucio
American quantized calibration in stochastic volatility
2018 Callegaro, Giorgia; Grasselli, Martino; Fiorin, Lucio
A backward Monte Carlo approach to exotic option pricing
2018 Bormetti, Giacomo; Callegaro, Giorgia; Livieri, Giulia; Pallavicini, Andrea
Optimal investment in markets with over and under-reaction to information
2017 Callegaro, G.; Gaïgi, M.; Scotti, S.; Sgarra, C.
Utility indifference pricing and hedging for structured contracts in energy markets
2017 Callegaro, Giorgia; Campi, Luciano; Giusto, Valeria; Vargiolu, Tiziano
Pricing via recursive Quantization in Stochastic Volatility Models
2017 Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino
Optimal investment in markets with over and under-reaction to information
2017 Callegaro, Giorgia; Gaïgi, M’Hamed; Scotti, Simone; Sgarra, Carlo
Quantized calibration in local volatility
2015 Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino
Pricing and Calibration in Local Volatility Models Via Fast Quantization
2014 Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino
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