COLANERI, KATIA
COLANERI, KATIA
Dipartimento di Economia e Finanza
A benchmark approach to risk-minimization under partial information
2014-01-01 Ceci, C; Colaneri, K; Cretarola, A
A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading
2021-01-01 Colaneri, K; De Angelis, T
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
2021-01-01 Colaneri, K; Frey, R
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
2015-01-01 Ceci, C; Colaneri, K; Cretarola, A
Implicit incentives for fund managers with partial information
2021-01-01 Angelini, F; Colaneri, K; Herzel, S; Nicolosi, M
Indifference pricing of pure endowments via BSDEs under partial information
2020-01-01 Ceci, C; Colaneri, K; Cretarola, A
Local risk-minimization under restricted information on asset prices
2015-01-01 Ceci, C; Colaneri, K; Cretarola, A
Nonlinear filtering for jump diffusion observations
2012-01-01 Ceci, C; Colaneri, K
Optimal convergence trading with unobservable pricing errors
2021-01-01 Altay, S; Colaneri, K; Eksi, Z
Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences
2021-01-01 Colaneri, K; Cretarola, A; Salterini, B
Optimal liquidation under partial information with price impact
2020-01-01 Colaneri, K; Eksi, Z; Frey, R; Szolgyenyi, M
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
2022-01-01 Ceci, C; Colaneri, K; Cretarola, A
PAIRS TRADING under DRIFT UNCERTAINTY and RISK PENALIZATION
2018-01-01 Altay, S; Colaneri, K; Eksi, Z
Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information
2019-01-01 Altay, S; Colaneri, K; Eksi, Z
Recent Advances in Nonlinear Filtering with a Financial Application to Derivatives Hedging under Incomplete Information
2017-01-01 Ceci, C; Colaneri, K
Some optimisation problems in insurance with a terminal distribution constraint
2022-01-01 Colaneri, K; Eisenberg, J; Salterini, B
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
2022-09-01 Bandini, E; Calvia, A; Colaneri, K
The Föllmer–Schweizer decomposition under incomplete information
2017-01-01 Ceci, C; Colaneri, K; Cretarola, A
The value of information for optimal portfolio management
2018-01-01 Colaneri, K; Herzel, S; Nicolosi, M
The value of knowing the market price of risk
2021-01-01 Colaneri, K; Herzel, S; Nicolosi, M