Zobrazeno 1 - 10
of 90
pro vyhledávání: '"Callegaro, Giorgia"'
We frame dynamic persuasion in a partial observation stochastic control game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional unobserved state process. Information is provided to the Receiver through a device design
Externí odkaz:
http://arxiv.org/abs/2410.07735
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra path-dependent (non-Markovian) stochastic process into a standard (Markovian) diffusion process. This transformation is achieved by embedding a Markovian
Externí odkaz:
http://arxiv.org/abs/2306.02708
We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximize expected exponential utility of terminal wealth and show t
Externí odkaz:
http://arxiv.org/abs/2207.05489
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short position in a
Externí odkaz:
http://arxiv.org/abs/2111.04391
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pag\`es and Sagna (2018) so that our approach is fully based on recursive marginal quantization and does not involve any Mont
Externí odkaz:
http://arxiv.org/abs/2105.09276
Publikováno v:
Quantitative Finance, 23:12, 1769-1792 (2023)
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools fo
Externí odkaz:
http://arxiv.org/abs/2104.04233
Autor:
Brachetta, Matteo1 (AUTHOR), Callegaro, Giorgia2 (AUTHOR), Ceci, Claudia3 (AUTHOR), Sgarra, Carlo4 (AUTHOR) carlo.sgarra@uniba.it
Publikováno v:
Finance & Stochastics. Apr2024, Vol. 28 Issue 2, p453-495. 43p.
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering featu
Externí odkaz:
http://arxiv.org/abs/1910.13286
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the producer c
Externí odkaz:
http://arxiv.org/abs/1909.07896
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly observe the dev
Externí odkaz:
http://arxiv.org/abs/1901.08356