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Cretarola, Alessandra

Author ID: cretarola.alessandra Recent zbMATH articles by "Cretarola, Alessandra"
Published as: Cretarola, Alessandra
External Links: ORCID

Publications by Year

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 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

Citations by Year