Giorgia Callegaro

Publication Activity (10 Years)

Years Active: 2017-2024
Publications (10 Years): 7

Top Topics

Mathematical Methods

Quantization Scheme

Recent Advances

Top Venues

Ann. Oper. Res.

Math. Oper. Res.

Appl. Math. Comput.

Publications

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336 (1-2) (2024)
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
A fully quantization-based scheme for FBSDEs. Appl. Math. Comput. 441 (2023)
Giorgia Callegaro, Martino Grasselli, Gilles Pagès
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough). Math. Oper. Res. 46 (1) (2021)
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
A Fully Quantization-based Scheme for FBSDEs. CoRR (2021)
René Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications. Math. Oper. Res. 45 (1) (2020)
Giorgia Callegaro, Lucio Fiorin, Martino Grasselli
Quantization meets Fourier: a new technology for pricing options. Ann. Oper. Res. 282 (1-2) (2019)
Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu
Utility indifference pricing and hedging for structured contracts in energy markets. Math. Methods Oper. Res. 85 (2) (2017)