Sfoglia per Autore
Quadratic Hedging Methods for Defaultable Claims
2007 F., Biagini; Cretarola, Alessandra
Local Risk-Minimization for Defaultable Markets
2009 F., Biagini; Cretarola, Alessandra
Optimal Consumption Policies in Illiquid Markets
2011 Cretarola, Alessandra; F., Gozzi; H., Pham; P., Tankov
Local Risk-Minimization for Defaultable Claims with Recovery Process
2012 F., Biagini; Cretarola, Alessandra
A benchmark approach to risk-minimization under partial information
2014 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
GKW representation theorem under restricted information: an application to risk-minimization
2014 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco
BSDEs under partial information and financial applications
2014 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco
Local risk-minimization under the benchmark approach
2014 Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
2015 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
Local Risk-Minimization under Restricted Information on Asset Prices
2015 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
A Confidence-Based Model for Asset and Derivative Prices in the Bitcoin Market
2017 Cretarola, Alessandra; Figa-Talamanca, Gianna
A sentiment-based model for the BitCoin: theory, estimation and option pricing
2017 Cretarola, Alessandra; FIGA' TALAMANCA, Gianna; Patacca, Marco
Unit-linked life insurance policies: Optimal hedging in partially observable market models
2017 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
The Föllmer-Schweizer decomposition under incomplete information
2017 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
Modeling Bitcoin Price and Bubbles
2018 Cretarola, Alessandra; FIGA' TALAMANCA, Gianna
A continuous time model for Bitcoin price dynamics
2018 Cretarola, Alessandra; FIGA' TALAMANCA, Gianna; Patacca, Marco
Model-based arbitrage in multi-exchange models for Bitcoin price dynamics
2019 Bistarelli, Stefano; Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco
Is arbitrage possible in the bitcoin market? (Work-In-Progress Paper)
2019 Bistarelli, Stefano; Cretarola, Alessandra; Figà-Talamanca, Gianna; Mercanti, Ivan; Patacca, Marco
Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
2020 Cretarola, Alessandra; Figà-Talamanca, Gianna
Market attention and Bitcoin price modeling: theory, estimation and option pricing
2020 Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco
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