2108/314197 - 2023 -
Some optimisation problems in insurance with a terminal distribution constraint Colaneri, Katia - 01 - Articolo su rivista
rivista: SCANDINAVIAN ACTUARIAL JOURNAL (TAYLOR & FRANCIS LTD, 4 PARK SQUARE, MILTON PARK, ABINGDON, ENGLAND, OXON, OX14 4RN) pp. 655-678 - issn: 0346-1238 - wos: WOS:000884548600001 (2) - scopus: 2-s2.0-85142177867 (2)
2108/305654 - 2022 -
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics Colaneri, Katia - 01 - Articolo su rivista
rivista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 396-435 - issn: 0304-4149 - wos: WOS:000966628800011 (2) - scopus: 2-s2.0-85132962135 (3)
2108/284686 - 2022 -
A Class of recursive optimal stopping problems with applications to stock trading Colaneri, Katia - 01 - Articolo su rivista
rivista: MATHEMATICS OF OPERATIONS RESEARCH (INFORMS:901 Elkridge Landing Road, Suite 400:Linthicum, MD 21090:(800)446-3676, (410)850-0300, EMAIL: informs@informs.org, INTERNET: http://www.informs.org, http://pubsonline.informs.org, Fax: (410)684-2963) pp. 1833-1861 - issn: 0364-765X - wos: WOS:000734411300001 (0) - scopus: 2-s2.0-85139998283 (1)
2108/299869 - 2022 -
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets Colaneri, Katia - 01 - Articolo su rivista
rivista: INSURANCE MATHEMATICS & ECONOMICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 252-278 - issn: 0167-6687 - wos: WOS:000802755400004 (14) - scopus: 2-s2.0-85129252678 (18)
2108/247090 - 2021 -
The value of knowing the market price of risk Colaneri, Katia; Herzel, Stefano - 01 - Articolo su rivista
rivista: ANNALS OF OPERATIONS RESEARCH (Switzerland: Springer Nature
Dordrecht: Kluwer Academic Publishers.
Amsterdam; Bussum: Baltzer Science Publishers.) pp. - - issn: 0254-5330 - wos: WOS:000527510300001 (4) - scopus: 2-s2.0-85083894106 (6)
2108/254617 - 2021 -
Optimal convergence trading with unobservable pricing errors Colaneri, Katia - 01 - Articolo su rivista
rivista: ANNALS OF OPERATIONS RESEARCH (Switzerland: Springer Nature
Dordrecht: Kluwer Academic Publishers.
Amsterdam; Bussum: Baltzer Science Publishers.) pp. - - issn: 0254-5330 - wos: WOS:000539458400001 (3) - scopus: 2-s2.0-85085593496 (4)
2108/284690 - 2021 -
Implicit incentives for fund managers with partial information Colaneri, Katia; Herzel, Stefano - 01 - Articolo su rivista
rivista: COMPUTATIONAL MANAGEMENT SCIENCE (Heidelberg ; Berlin : Springer) pp. 539-561 - issn: 1619-697X - wos: WOS:000655614000001 (0) - scopus: 2-s2.0-85106742945 (0)
2108/284688 - 2021 -
Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences Colaneri, Katia - 01 - Articolo su rivista
rivista: MATHEMATICS (Basel: MDPI AG, 2013-) pp. 1610- - issn: 2227-7390 - wos: WOS:000676836500001 (4) - scopus: 2-s2.0-85110591430 (4)
2108/284678 - 2021 -
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds Colaneri, Katia - 01 - Articolo su rivista
rivista: INSURANCE MATHEMATICS & ECONOMICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 498-507 - issn: 0167-6687 - wos: WOS:000727655900021 (4) - scopus: 2-s2.0-85115804831 (4)
2108/254613 - 2020 -
Indifference pricing of pure endowments via BSDEs under partial information Colaneri, Katia - 01 - Articolo su rivista
rivista: SCANDINAVIAN ACTUARIAL JOURNAL (TAYLOR & FRANCIS LTD, 4 PARK SQUARE, MILTON PARK, ABINGDON, ENGLAND, OXON, OX14 4RN) pp. 1-30 - issn: 0346-1238 - wos: WOS:000547722900001 (4) - scopus: 2-s2.0-85087871215 (7)
2108/254615 - 2020 -
Value adjustments and dynamic hedging of reinsurance counterparty risk' Colaneri, Katia - 01 - Articolo su rivista
rivista: SIAM JOURNAL ON FINANCIAL MATHEMATICS (Philadelphia: SIAM Society for Industrial and Applied Mathematics) pp. 788-814 - issn: 1945-497X - wos: WOS:000576509000007 (3) - scopus: 2-s2.0-85091864092 (4)
2108/218979 - 2020 -
Optimal liquidation under partial information with price impact Colaneri, Katia - 01 - Articolo su rivista
rivista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 1913-1946 - issn: 0304-4149 - wos: WOS:000521513700004 (6) - scopus: 2-s2.0-85068185657 (12)
2108/218975 - 2019 -
Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information Colaneri, Katia - 01 - Articolo su rivista
rivista: SIAM JOURNAL ON FINANCIAL MATHEMATICS (Philadelphia: SIAM Society for Industrial and Applied Mathematics) pp. 512-546 - issn: 1945-497X - wos: WOS:000473132700007 (3) - scopus: 2-s2.0-85071370546 (3)
2108/299872 - 2018 -
The value of information for optimal portfolio management Colaneri, Katia; Herzel, Stefano - 03 - Contributo in libro
libro: Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018 - (978-3-319-89823-0)
2108/218973 - 2018 -
PAIRS TRADING under DRIFT UNCERTAINTY and RISK PENALIZATION Colaneri, Katia - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (World Scientific Publishing Company:PO Box 128, Farrer Road, Singapore 912805 Singapore:011 65 6 4665775, EMAIL: journal@wspc.com.sg, INTERNET: http://www.wspc.com.sg, http://www.worldscinet.com, Fax: 011 65 6 4677667) pp. 1850046- - issn: 0219-0249 - wos: WOS:000450574100005 (7) - scopus: 2-s2.0-85054815068 (8)
2108/218977 - 2017 -
Recent Advances in Nonlinear Filtering with a Financial Application to Derivatives Hedging under Incomplete Information Colaneri, Katia - 03 - Contributo in libro
libro: Bayesian Inference - (978-953-51-3577-7)
2108/218967 - 2017 -
The Föllmer–Schweizer decomposition under incomplete information Colaneri, Katia - 01 - Articolo su rivista
rivista: STOCHASTICS (Abingdon : Taylor & Francis, 2005-) pp. 1166-1200 - issn: 1744-2508 - wos: WOS:000417813000003 (2) - scopus: 2-s2.0-85012912541 (3)
2108/218969 - 2017 -
Unit-linked life insurance policies: Optimal hedging in partially observable market models Colaneri, Katia - 01 - Articolo su rivista
rivista: INSURANCE MATHEMATICS & ECONOMICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 149-163 - issn: 0167-6687 - wos: WOS:000412617200014 (10) - scopus: 2-s2.0-85029601557 (11)
2108/218965 - 2015 -
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization Colaneri, Katia - 01 - Articolo su rivista
rivista: INSURANCE MATHEMATICS & ECONOMICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 47-60 - issn: 0167-6687 - wos: WOS:000349192500006 (10) - scopus: 2-s2.0-84912073825 (10)
2108/218963 - 2015 -
Local risk-minimization under restricted information on asset prices Colaneri, Katia - 01 - Articolo su rivista
rivista: ELECTRONIC JOURNAL OF PROBABILITY (Seattle, Wash.: Department of Mathematics, University of Washington.) pp. 1-30 - issn: 1083-6489 - wos: WOS:000361023600001 (6) - scopus: 2-s2.0-84941347409 (9)
2108/218957 - 2014 -
The zakai equation of nonlinear filtering for jump-diffusion observations: Existence and uniqueness Colaneri, Katia - 01 - Articolo su rivista
rivista: APPLIED MATHEMATICS AND OPTIMIZATION (New York : Springer Verlag) pp. 47-82 - issn: 0095-4616 - wos: WOS:000330985300003 (24) - scopus: 2-s2.0-84894079005 (27)
2108/218961 - 2014 -
A benchmark approach to risk-minimization under partial information Colaneri, Katia - 01 - Articolo su rivista
rivista: INSURANCE MATHEMATICS & ECONOMICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 129-146 - issn: 0167-6687 - wos: WOS:000335432100013 (8) - scopus: 2-s2.0-84893780433 (9)
2108/218959 - 2012 -
Nonlinear filtering for jump diffusion observations Colaneri, Katia - 01 - Articolo su rivista
rivista: ADVANCES IN APPLIED PROBABILITY (Applied Probability:School of Mathematics and Statistics, The University, Sheffield S3 7RH United Kingdom:EMAIL: s.c.boyles@sheffield.ac.uk, INTERNET: http://www.shef.ac.uk/uni/companies/apt, Fax: 011 44 114 2729782) pp. 678-701 - issn: 0001-8678 - wos: WOS:000310413800005 (27) - scopus: 2-s2.0-84872061233 (27)