Edit Profile (opens in new tab) Cretarola, Alessandra Co-Author Distance Author ID: cretarola.alessandra Published as: Cretarola, Alessandra External Links: ORCID Documents Indexed: 18 Publications since 2007 1 Contribution as Editor Co-Authors: 11 Co-Authors with 19 Joint Publications 357 Co-Co-Authors all top 5 Co-Authors 0 single-authored 9 Ceci, Claudia 7 Colaneri, Katia 5 Figà-Talamanca, Gianna 4 Biagini, Francesca 2 Patacca, Marco 2 Russo, Francesco 1 Gozzi, Fausto 1 Grunspan, Cyril 1 Pham, Huyên 1 Platen, Eckhard 1 Tankov, Peter all top 5 Serials 4 Insurance Mathematics & Economics 2 Applied Mathematics and Optimization 2 Decisions in Economics and Finance 1 Annals of Operations Research 1 Economics Letters 1 Stochastic Processes and their Applications 1 Electronic Journal of Probability 1 Finance and Stochastics 1 Mathematical Finance 1 Scandinavian Actuarial Journal 1 Stochastics and Dynamics 1 Stochastics 1 Mathematics and Financial Economics all top 5 Fields 17 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Probability theory and stochastic processes (60-XX) 3 Statistics (62-XX) 2 Systems theory; control (93-XX) 1 General and overarching topics; collections (00-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 18 Publications have been cited 138 times in 74 Documents Cited by ▼ Year ▼ Local risk minimization for defaultable markets. Zbl 1185.91092 Biagini, Francesca; Cretarola, Alessandra 21 2009 Quadratic hedging methods for defaultable claims. Zbl 1142.91028 Biagini, Francesca; Cretarola, Alessandra 16 2007 BSDEs under partial information and financial applications. Zbl 1329.60174 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 16 2014 Local risk-minimization for defaultable claims with recovery process. Zbl 1244.93152 Biagini, Francesca; Cretarola, Alessandra 13 2012 GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 10 2014 Market attention and Bitcoin price modeling: theory, estimation and option pricing. Zbl 1444.91208 Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco 8 2020 Local risk-minimization under restricted information on asset prices. Zbl 1329.60112 Ceci, Claudia; Cretarola, Alessandra; Colaneri, Katia 7 2015 Unit-linked life insurance policies: optimal hedging in partially observable market models. Zbl 1395.91247 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 7 2017 Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. Zbl 1308.91077 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 6 2015 Detecting bubbles in bitcoin price dynamics via market exuberance. Zbl 1476.91198 Cretarola, Alessandra; Figà-Talamanca, Gianna 6 2021 Optimal consumption policies in illiquid markets. Zbl 1303.91154 Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; Tankov, Peter 5 2011 Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. Zbl 1436.91113 Cretarola, Alessandra; Figà-Talamanca, Gianna 5 2020 Local risk-minimization under the benchmark approach. Zbl 1308.91157 Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard 5 2014 A benchmark approach to risk-minimization under partial information. Zbl 1296.91146 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 4 2014 The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 3 2017 A continuous time model for bitcoin price dynamics. Zbl 1397.62523 Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco 3 2018 Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 2 2022 Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 1 2020 Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 2 2022 Detecting bubbles in bitcoin price dynamics via market exuberance. Zbl 1476.91198 Cretarola, Alessandra; Figà-Talamanca, Gianna 6 2021 Market attention and Bitcoin price modeling: theory, estimation and option pricing. Zbl 1444.91208 Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco 8 2020 Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. Zbl 1436.91113 Cretarola, Alessandra; Figà-Talamanca, Gianna 5 2020 Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 1 2020 A continuous time model for bitcoin price dynamics. Zbl 1397.62523 Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco 3 2018 Unit-linked life insurance policies: optimal hedging in partially observable market models. Zbl 1395.91247 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 7 2017 The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 3 2017 Local risk-minimization under restricted information on asset prices. Zbl 1329.60112 Ceci, Claudia; Cretarola, Alessandra; Colaneri, Katia 7 2015 Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. Zbl 1308.91077 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 6 2015 BSDEs under partial information and financial applications. Zbl 1329.60174 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 16 2014 GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 10 2014 Local risk-minimization under the benchmark approach. Zbl 1308.91157 Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard 5 2014 A benchmark approach to risk-minimization under partial information. Zbl 1296.91146 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 4 2014 Local risk-minimization for defaultable claims with recovery process. Zbl 1244.93152 Biagini, Francesca; Cretarola, Alessandra 13 2012 Optimal consumption policies in illiquid markets. Zbl 1303.91154 Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; Tankov, Peter 5 2011 Local risk minimization for defaultable markets. Zbl 1185.91092 Biagini, Francesca; Cretarola, Alessandra 21 2009 Quadratic hedging methods for defaultable claims. Zbl 1142.91028 Biagini, Francesca; Cretarola, Alessandra 16 2007 all cited Publications top 5 cited Publications all top 5 Cited by 111 Authors 13 Cretarola, Alessandra 9 Biagini, Francesca 8 Ceci, Claudia 7 Colaneri, Katia 5 Figà-Talamanca, Gianna 4 Qian, Linyi 4 Russo, Francesco 4 Wang, Wei 3 Bo, Lijun 3 Okhrati, Ramin 3 Patacca, Marco 3 Platen, Eckhard 2 Castellano, Rosella 2 Cerqueti, Roy 2 Frey, Rüdiger 2 Rheinländer, Thorsten 2 Su, Xiaonan 2 Vandaele, Nele 2 Vanmaele, Michèle 2 Wang, Wensheng 2 Wang, Yongjin 2 Yang, Xuewei 2 Yang, Zhixin 2 Yao, Song 2 Zhang, Yinglin 1 Akyildirim, Erdinç 1 Arai, Takuji 1 Baggio, Rodolfo 1 Balbás, Alejandro 1 Baldeaux, Jan 1 Bandini, Elena 1 Bosserhoff, Frank 1 Boyarchenko, Svetlana I. 1 Cai, Yuzhi 1 Calzolari, Antonella 1 Campi, Luciano 1 Chen, Lv 1 Chevapatrakul, Thanaset 1 Choi, Jin Hyuk 1 Choulli, Tahir 1 Das, Debojyoti 1 Di Nunno, Giulia 1 Du, Ke 1 Federico, Salvatore 1 Focardi, Sergio M. 1 Fung, Man Chung 1 Gang, Tae Ung 1 Gassiat, Paul 1 Göncü, Ahmet 1 Grunspan, Cyril 1 Han, Xia 1 Hilliard, Jimmy E. 1 Hirukawa, Junichi 1 Ignatieva, Katja 1 Jakubowski, Jacek 1 Jin, Zhuo 1 Kang, Wanmo 1 Karathanasopoulos, Andreas 1 Karlsen, Erik Hove 1 Karpathopoulos, Nikolaos 1 Kladívko, Kamil 1 Köck, Verena 1 Kruse, Thomas 1 Laachir, Ismail 1 Lee, Kiseop 1 Lee, Sangyeol 1 Levendorskiĭ, Sergeĭ Zakharovich 1 Li, Danping 1 Liang, Zhibin 1 Lyócsa, Štefan 1 Ma, Jingtang 1 Makogin, Vitalii 1 Marzougue, Mohamed 1 Mascia, Danilo V. 1 Melnikov, Aleksander Viktorovich 1 Menoukeu Pamen, Olivier 1 Mishura, Yuliya Stepanivna 1 Mitra, Sovan 1 Molnár, Péter K. 1 Momeya, Romuald Hervé 1 Ngo, Julie T. D. 1 Nie, Tianyang 1 Niewȩgłowski, Mariusz Andrzej 1 Pansera, Jérôme 1 Petrović, Ljiljana 1 Plíhal, Tomáš 1 Polbennikov, Simon 1 Popier, Alexandre 1 Provenzano, Davide 1 Rutkowski, Marek 1 Sbuelz, Alessandro 1 Schreiber, Irene 1 Sensoy, Ahmet 1 Shao, Jinghai 1 Shen, Weiwei 1 Shen, Yang 1 Šikić, Mario 1 Širaňová, Mária 1 Stadje, Mitja 1 Torti, Barbara ...and 11 more Authors all top 5 Cited in 33 Serials 10 Insurance Mathematics & Economics 5 Annals of Operations Research 5 International Journal of Theoretical and Applied Finance 5 Decisions in Economics and Finance 4 Applied Mathematics and Optimization 4 Stochastic Processes and their Applications 4 Stochastics 3 Mathematical Finance 2 Advances in Applied Probability 2 Stochastic Analysis and Applications 2 Journal of Economic Dynamics & Control 2 European Journal of Operational Research 2 Applied Mathematical Finance 2 Mathematics and Financial Economics 2 SIAM Journal on Financial Mathematics 1 Journal of Mathematical Analysis and Applications 1 Metrika 1 Theory of Probability and its Applications 1 Applied Mathematics and Computation 1 Journal of Optimization Theory and Applications 1 Acta Applicandae Mathematicae 1 Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences 1 Communications in Statistics. Theory and Methods 1 Bulletin des Sciences Mathématiques 1 Bernoulli 1 Probability in the Engineering and Informational Sciences 1 Scandinavian Actuarial Journal 1 Quantitative Finance 1 Stochastics and Dynamics 1 ASTIN Bulletin 1 Hacettepe Journal of Mathematics and Statistics 1 Journal of Industrial and Management Optimization 1 Frontiers of Mathematics in China all top 5 Cited in 13 Fields 60 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 44 Probability theory and stochastic processes (60-XX) 10 Statistics (62-XX) 10 Systems theory; control (93-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 3 Numerical analysis (65-XX) 3 Operations research, mathematical programming (90-XX) 2 Partial differential equations (35-XX) 2 Integral equations (45-XX) 2 Computer science (68-XX) 1 General and overarching topics; collections (00-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year