An application to credit risk of a hybrid Monte Carlo-optimal quantization method

von Callegaro, Giorgia
Veröffentlicht in The journal of computational finance (2013)

Quantization meets Fourier : a new technology for pricing options

von Callegaro, Giorgia
Veröffentlicht in Symposium on Quantitative Finance and Risk Analysis (3. : 2017 : Kerkira) Application of operations research to financial markets (2019)

Fast hybrid schemes for fractional Riccati equations (rough is not so tough)

von Callegaro, Giorgia
Veröffentlicht in Mathematics of operations research (2021)

No-arbitrage commodity option pricing with market manipulation

von Aïd, René
Veröffentlicht in Mathematics and financial economics (2020)

Optimal reduction of public debt under partial observation of the economic growth

von Callegaro, Giorgia
Veröffentlicht in Finance and stochastics (2020)

Portfolio optimization in a defaultable market under incomplete information

von Callegaro, Giorgia
Veröffentlicht in Decisions in economics and finance (2012)

Optimal investment in markets with over and under-reaction to information

von Callegaro, Giorgia
Veröffentlicht in Mathematics and financial economics (2017)

Utility indifference pricing and hedging for structured contracts in energy markets

von Callegaro, Giorgia
Veröffentlicht in Mathematical methods of operations research (2017)

Portfolio optimization in discontinuous markets under incomplete information

von Callegaro, Giorgia
Veröffentlicht in Asia-Pacific financial markets (2007)

Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications

von Aïd, René
Veröffentlicht in Mathematics of operations research (2020)